Document and Entity Information
Document and Entity Information | 6 Months Ended |
Jun. 30, 2016shares | |
Document and Entity Information | |
Entity Registrant Name | CITIGROUP INC |
Entity Central Index Key | 831,001 |
Document Type | 10-Q |
Document Period End Date | Jun. 30, 2016 |
Amendment Flag | false |
Current Fiscal Year End Date | --12-31 |
Entity Filer Category | Large Accelerated Filer |
Entity Common Stock, Shares Outstanding | 2,905,374,038 |
Document Fiscal Year Focus | 2,016 |
Document Fiscal Period Focus | Q2 |
CONSOLIDATED STATEMENT OF INCOM
CONSOLIDATED STATEMENT OF INCOME (Unaudited) - USD ($) shares in Millions, $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||
Revenues | |||||
Interest revenue | $ 14,356 | $ 14,873 | $ 28,523 | $ 29,473 | |
Interest expense | 3,120 | 3,051 | 6,060 | 6,079 | |
Net interest revenue | 11,236 | 11,822 | 22,463 | 23,394 | |
Commissions and fees | 2,725 | 3,194 | 5,188 | 6,364 | |
Principal transactions | 1,816 | 2,173 | 3,656 | 4,144 | |
Administration and other fiduciary fees | 878 | 995 | 1,689 | 1,957 | |
Realized gains on sales of investments, net | 200 | 183 | 386 | 490 | |
Other-than-temporary impairment losses on investments | |||||
Gross impairment losses | (118) | (43) | (583) | (115) | |
Less: Impairments recognized in AOCI | 0 | 0 | 0 | 0 | |
Net impairment losses recognized in earnings | (118) | (43) | (583) | (115) | |
Insurance premiums | 217 | 482 | 481 | 979 | |
Other revenue | 594 | 664 | 1,823 | 1,993 | |
Total non-interest revenues | 6,312 | 7,648 | 12,640 | 15,812 | |
Total revenues, net of interest expense | 17,548 | 19,470 | 35,103 | 39,206 | |
Provisions for credit losses and for benefits and claims | |||||
Provision for loan losses | 1,390 | 1,515 | 3,276 | 3,270 | |
Policyholder benefits and claims | 49 | 181 | 137 | 378 | |
Provision (release) for unfunded lending commitments | (30) | (48) | 41 | (85) | |
Total provisions for credit losses and for benefits and claims | 1,409 | 1,648 | 3,454 | 3,563 | |
Operating expenses | |||||
Compensation and benefits | 5,229 | 5,483 | 10,785 | 11,003 | |
Premises and equipment | 642 | 737 | 1,293 | 1,446 | |
Technology/communication | 1,657 | 1,656 | 3,306 | 3,256 | |
Advertising and marketing | 433 | 393 | 823 | 785 | |
Other operating | 2,408 | 2,659 | 4,685 | 5,322 | |
Total operating expenses | 10,369 | 10,928 | 20,892 | 21,812 | |
Income from continuing operations before income taxes | 5,770 | 6,894 | 10,757 | 13,831 | |
Provision for income taxes | 1,723 | 2,036 | 3,202 | 4,156 | |
Income from continuing operations | 4,047 | 4,858 | 7,555 | 9,675 | |
Discontinued operations | |||||
Income (loss) from discontinued operations | (36) | 9 | (39) | 1 | |
Provision (benefit) for income taxes | (13) | 3 | (14) | 0 | |
Income (loss) from discontinued operations, net of taxes | (23) | 6 | (25) | 1 | |
Net income before attribution of noncontrolling interests | 4,024 | 4,864 | 7,530 | 9,676 | |
Noncontrolling interests | 26 | 18 | 31 | 60 | |
Citigroup’s net income | $ 3,998 | $ 4,846 | $ 7,499 | $ 9,616 | |
Basic earnings per share | |||||
Income from continuing operations (in dollars per share) | [1] | $ 1.25 | $ 1.51 | $ 2.36 | $ 3.03 |
Loss from discontinued operations, net of taxes (in dollars per share) | [1] | (0.01) | 0 | (0.01) | 0 |
Net income (in dollars per share) | [1] | $ 1.24 | $ 1.52 | $ 2.35 | $ 3.03 |
Weighted average common shares outstanding (in shares) | 2,915.8 | 3,020 | 2,929.4 | 3,027.1 | |
Diluted earnings per share | |||||
Income from continuing operations (in dollars per share) | [1] | $ 1.25 | $ 1.51 | $ 2.36 | $ 3.02 |
Loss from discontinued operations, net of taxes (in dollars per share) | [1] | (0.01) | 0 | (0.01) | 0 |
Net income (in dollars per share) | [1] | $ 1.24 | $ 1.51 | $ 2.35 | $ 3.02 |
Adjusted weighted average common shares outstanding (in shares) | 2,915.9 | 3,025 | 2,929.5 | 3,032.1 | |
[1] | Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income. |
CONSOLIDATED STATEMENT OF COMPR
CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME (Unaudited) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||
Statement of Comprehensive Income [Abstract] | |||||
Net income before attribution of noncontrolling interests | $ 4,024 | $ 4,864 | $ 7,530 | $ 9,676 | |
Add: Citigroup’s other comprehensive income (loss) | |||||
Net change in unrealized gains and losses on investment securities, net of taxes | 927 | (935) | 2,961 | (344) | |
Net change in debt valuation adjustment (DVA), net of taxes | [1] | 12 | 0 | 205 | 0 |
Net change in cash flow hedges, net of taxes | 151 | 92 | 468 | 178 | |
Benefit plans liability adjustment, net of taxes | (27) | 578 | (492) | 488 | |
Net change in foreign currency translation adjustment, net of taxes and hedges | (552) | (148) | 102 | (2,210) | |
Citigroup’s total other comprehensive income (loss) | 511 | (413) | 3,244 | (1,888) | |
Total comprehensive income before attribution of noncontrolling interests | 4,535 | 4,451 | 10,774 | 7,788 | |
Less: Net income attributable to noncontrolling interests | 26 | 18 | 31 | 60 | |
Citigroup’s comprehensive income | $ 4,509 | $ 4,433 | $ 10,743 | $ 7,728 | |
[1] | Effective January 1, 2016, Citigroup early adopted only the provisions of the amendment in ASU No. 2016-01, Financial Instruments - Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, related to the presentation of DVA on fair value option liabilities. Accordingly, beginning in the first quarter 2016, the portion of the change in fair value of these liabilities related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of Accumulated other comprehensive income (AOCI). |
CONSOLIDATED BALANCE SHEET (Una
CONSOLIDATED BALANCE SHEET (Unaudited) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Assets | ||
Cash and due from banks (including segregated cash and other deposits) | $ 22,140 | $ 20,900 |
Deposits with banks | 127,993 | 112,197 |
Federal funds sold and securities borrowed or purchased under agreements to resell (including $144,816 and $137,964 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 228,683 | 219,675 |
Brokerage receivables | 36,851 | 27,683 |
Trading account assets (including $92,869 and $92,123 pledged to creditors at June 30, 2016 and December 31, 2015, respectively) | 271,764 | 249,956 |
Investments: | ||
Available for sale (including $8,659 and $10,698 pledged to creditors as of June 30, 2016 and December 31, 2015, respectively) | 312,765 | 299,136 |
Held to maturity (including $1,487 and $3,630 pledged to creditors as of June 30, 2016 and December 31, 2015, respectively) | 35,903 | 36,215 |
Non-marketable equity securities (including $1,973 and $2,088 at fair value as of June 30, 2016 and December 31, 2015, respectively) | 7,625 | 7,604 |
Total investments | 356,293 | 342,955 |
Loans: | ||
Loans, net of unearned income | 633,515 | 617,617 |
Allowance for loan losses | (12,304) | (12,626) |
Total loans, net | 621,211 | 604,991 |
Goodwill | 22,496 | 22,349 |
Intangible assets (other than MSRs) | 5,521 | 3,721 |
Mortgage servicing rights (MSRs) | 1,324 | 1,781 |
Other assets (including $7,432 and $6,121 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 124,495 | 125,002 |
Total assets | 1,818,771 | 1,731,210 |
Liabilities | ||
Non-interest-bearing deposits in U.S. offices | 140,145 | 139,249 |
Interest-bearing deposits in U.S. offices (including $685 and $923 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 295,589 | 280,234 |
Non-interest-bearing deposits in offices outside the U.S. | 76,574 | 71,577 |
Interest-bearing deposits in offices outside the U.S. (including $786 and $667 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 425,544 | 416,827 |
Total deposits | 937,852 | 907,887 |
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $46,144 and $36,843 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 158,001 | 146,496 |
Brokerage payables | 62,054 | 53,722 |
Trading account liabilities | 136,307 | 117,512 |
Short-term borrowings (including $1,850 and $1,207 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 18,408 | 21,079 |
Long-term debt (including $25,931 and $25,293 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 207,448 | 201,275 |
Other liabilities (including $2,822 and $1,624 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 65,680 | 60,147 |
Total liabilities | 1,585,750 | 1,508,118 |
Stockholders’ equity | ||
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of June 30, 2016 and 668,720 as of December 31, 2015, at aggregate liquidation value | 19,253 | 16,718 |
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,482,042 as of June 30, 2016 and December 31, 2015 | 31 | 31 |
Additional paid-in capital | 107,730 | 108,288 |
Retained earnings | 140,527 | 133,841 |
Treasury stock, at cost: June 30, 2016—194,108,004 shares and December 31, 2015—146,203,311 shares | (9,538) | (7,677) |
Accumulated other comprehensive income (loss) | (26,115) | (29,344) |
Total Citigroup stockholders’ equity | 231,888 | 221,857 |
Noncontrolling interest | 1,133 | 1,235 |
Total equity | 233,021 | 223,092 |
Total liabilities and equity | 1,818,771 | 1,731,210 |
Consumer | ||
Loans: | ||
Loans, net of unearned income | 326,419 | 325,785 |
Corporate | ||
Loans: | ||
Loans, net of unearned income | 307,096 | 291,832 |
Consolidated VIEs | ||
Assets | ||
Cash and due from banks (including segregated cash and other deposits) | 112 | 153 |
Trading account assets (including $92,869 and $92,123 pledged to creditors at June 30, 2016 and December 31, 2015, respectively) | 427 | 583 |
Investments: | ||
Total investments | 4,755 | 5,263 |
Loans: | ||
Loans, net of unearned income | 76,043 | 80,780 |
Allowance for loan losses | (1,751) | (2,135) |
Total loans, net | 74,292 | 78,645 |
Other assets (including $7,432 and $6,121 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 150 | 150 |
Total assets | 79,736 | 84,794 |
Liabilities | ||
Short-term borrowings (including $1,850 and $1,207 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 10,986 | 11,965 |
Long-term debt (including $25,931 and $25,293 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 27,723 | 31,273 |
Other liabilities (including $2,822 and $1,624 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 2,072 | 2,099 |
Total liabilities | 40,781 | 45,337 |
Consolidated VIEs | Consumer | ||
Loans: | ||
Loans, net of unearned income | 54,211 | 58,772 |
Consolidated VIEs | Corporate | ||
Loans: | ||
Loans, net of unearned income | $ 21,832 | $ 22,008 |
CONSOLIDATED BALANCE SHEET (Un5
CONSOLIDATED BALANCE SHEET (Unaudited) (Parenthetical) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Federal funds sold and securities borrowed or purchased under agreements to resell, at fair value | $ 228,683 | $ 219,675 |
Trading account assets, pledged to creditors | 92,869 | 92,123 |
Available-for-sale securities, pledged to creditors | 8,659 | 10,698 |
Held-to-maturity securities, pledged to creditors | 1,487 | 3,630 |
Loans, net of unearned income | 633,515 | 617,617 |
Other assets, at fair value | 124,495 | 125,002 |
Interest-bearing deposits in U.S. offices | 295,589 | 280,234 |
Interest-bearing deposits in offices outside the U.S. | 425,544 | 416,827 |
Federal funds purchased and securities loaned or sold under agreements to repurchase, at fair value | 158,001 | 146,496 |
Short-term borrowings, at fair value | 18,408 | 21,079 |
Long-term debt, at fair value | 207,448 | 201,275 |
Other liabilities | $ 65,680 | $ 60,147 |
Preferred stock, par value (in dollars per share) | $ 1 | $ 1 |
Preferred stock, authorized shares (in shares) | 30,000,000 | 30,000,000 |
Preferred stock, issued shares, at aggregate liquidation value (in shares) | 770,120 | 668,720 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, authorized shares (in shares) | 6,000,000,000 | 6,000,000,000 |
Common stock, issued shares (in shares) | 3,099,482,042 | 3,099,482,042 |
Treasury stock (in shares) | 194,108,004 | 146,203,311 |
Consumer | ||
Loans, net of unearned income | $ 326,419 | $ 325,785 |
Corporate | ||
Loans, net of unearned income | 307,096 | 291,832 |
Fair value | ||
Federal funds sold and securities borrowed or purchased under agreements to resell, at fair value | 144,816 | 137,964 |
Non-marketable equity securities, pledged to creditors | 1,973 | 2,088 |
Other assets, at fair value | 7,432 | 6,121 |
Interest-bearing deposits in U.S. offices | 685 | 923 |
Interest-bearing deposits in offices outside the U.S. | 786 | 667 |
Federal funds purchased and securities loaned or sold under agreements to repurchase, at fair value | 46,144 | 36,843 |
Short-term borrowings, at fair value | 1,850 | 1,207 |
Long-term debt, at fair value | 25,931 | 25,293 |
Other liabilities | 2,822 | 1,624 |
Fair value | Consumer | ||
Loans, net of unearned income | 32 | 34 |
Fair value | Corporate | ||
Loans, net of unearned income | $ 4,102 | $ 4,971 |
CONSOLIDATED STATEMENT OF CHANG
CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS' EQUITY (Unaudited) - USD ($) $ in Millions | Total | Citigroup stockholders' equity | Preferred stock at aggregate liquidation value | Citigroup common stockholders' equity | Common stock and additional paid-in capital | Retained earnings | Treasury stock, at cost | Citigroup's accumulated other comprehensive income (loss) | Noncontrolling interests | |||
Balance, beginning of period at Dec. 31, 2014 | $ 10,468 | $ 108,010 | $ 118,201 | $ (2,929) | $ (23,216) | $ 1,511 | ||||||
Adjustment to opening balance, net of taxes at Dec. 31, 2014 | [2] | (349) | [1] | 0 | ||||||||
Adjusted balance, beginning of period at Dec. 31, 2014 | 117,852 | (23,216) | ||||||||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||
Issuance of new preferred stock | 3,500 | |||||||||||
Employee benefit plans | 279 | 151 | [3] | |||||||||
Preferred stock issuance expense | (14) | |||||||||||
Other | (25) | (1) | ||||||||||
Net income | $ 9,676 | 9,616 | 60 | |||||||||
Common dividends | [4] | (184) | ||||||||||
Preferred dividends | (330) | (330) | ||||||||||
Tax benefit | 0 | |||||||||||
Treasury stock acquired | [5] | (1,850) | ||||||||||
Other comprehensive income (loss) | (1,888) | (61) | ||||||||||
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary | 0 | |||||||||||
Transactions between Citigroup and the noncontrolling-interest shareholders | (114) | |||||||||||
Dividends paid to noncontrolling-interest shareholders | (10) | |||||||||||
Net change in noncontrolling interests | (126) | |||||||||||
Balance, end of period at Jun. 30, 2015 | 220,825 | $ 219,440 | 13,968 | $ 205,472 | 108,250 | 126,954 | (4,628) | (25,104) | 1,385 | |||
Balance, beginning of period at Mar. 31, 2015 | (24,691) | |||||||||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||
Net income | 4,864 | |||||||||||
Preferred dividends | (202) | |||||||||||
Other comprehensive income (loss) | (413) | |||||||||||
Balance, end of period at Jun. 30, 2015 | 220,825 | 219,440 | 13,968 | 205,472 | 108,250 | 126,954 | (4,628) | (25,104) | 1,385 | |||
Balance, beginning of period at Dec. 31, 2015 | 223,092 | 16,718 | 108,319 | 133,841 | (7,677) | (29,344) | 1,235 | |||||
Adjustment to opening balance, net of taxes at Dec. 31, 2015 | [2] | 15 | [1] | (15) | ||||||||
Adjusted balance, beginning of period at Dec. 31, 2015 | 133,856 | (29,359) | ||||||||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||
Issuance of new preferred stock | 2,535 | |||||||||||
Employee benefit plans | (516) | 773 | [3] | |||||||||
Preferred stock issuance expense | (37) | |||||||||||
Other | (5) | (25) | ||||||||||
Net income | 7,530 | 7,499 | 31 | |||||||||
Common dividends | [4] | (296) | ||||||||||
Preferred dividends | (532) | (532) | ||||||||||
Tax benefit | 0 | |||||||||||
Treasury stock acquired | [5] | (2,634) | ||||||||||
Other comprehensive income (loss) | 3,244 | (23) | ||||||||||
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary | (11) | |||||||||||
Transactions between Citigroup and the noncontrolling-interest shareholders | (73) | |||||||||||
Dividends paid to noncontrolling-interest shareholders | (1) | |||||||||||
Net change in noncontrolling interests | (102) | |||||||||||
Balance, end of period at Jun. 30, 2016 | 233,021 | 231,888 | 19,253 | 212,635 | 107,761 | 140,527 | (9,538) | (26,115) | 1,133 | |||
Balance, beginning of period at Mar. 31, 2016 | (26,626) | |||||||||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||
Net income | 4,024 | |||||||||||
Preferred dividends | (322) | |||||||||||
Other comprehensive income (loss) | 511 | |||||||||||
Balance, end of period at Jun. 30, 2016 | $ 233,021 | $ 231,888 | $ 19,253 | $ 212,635 | $ 107,761 | $ 140,527 | $ (9,538) | $ (26,115) | $ 1,133 | |||
[1] | Citi adopted ASU 2014-01 Investments-Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Affordable Housing, in the first quarter of 2015 on a retrospective basis. This adjustment to opening Retained earnings represents the impact to periods prior to January 1, 2013 and is shown as an adjustment to the opening balance since 2015 is the earliest period presented in this statement. See Note 1 to the Consolidated Financial Statements for additional information. | |||||||||||
[2] | Effective January 1, 2016, Citigroup early adopted the provisions of the amendment in ASU No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, related to the presentation of DVA on fair value option liabilities. Accordingly, beginning in the first quarter 2016, the portion of the change in fair value of these liabilities related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of Accumulated other comprehensive income (AOCI). The cumulative effect of this change in accounting resulted in a reclassification from Retained earnings to AOCI of an accumulated after-tax loss of approximately $15 million at January 1, 2016. | |||||||||||
[3] | Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements. | |||||||||||
[4] | Common dividends declared were $0.05 per share in the first and second quarter of 2016 and $0.01 per share in the first quarter and $0.05 per share in the second quarter of 2015. | |||||||||||
[5] | For the six months ended June 30, 2016 and 2015, primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program. |
CONSOLIDATED STATEMENT OF CHAN7
CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS' EQUITY (Unaudited) (Parenthetical) - USD ($) $ in Millions | 3 Months Ended | |||
Jun. 30, 2016 | Mar. 31, 2016 | Jun. 30, 2015 | Mar. 31, 2015 | |
Common dividends declared (in dollars per share) | $ 0.05 | $ 0.05 | $ 0.05 | $ 0.01 |
CONSOLIDATED STATEMENT OF CASH
CONSOLIDATED STATEMENT OF CASH FLOWS (Unaudited) - USD ($) $ in Millions | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | ||
Cash flows from operating activities of continuing operations | |||
Net income before attribution of noncontrolling interests | $ 7,530 | $ 9,676 | |
Net income attributable to noncontrolling interests | 31 | 60 | |
Citigroup’s net income | 7,499 | 9,616 | |
Gain (loss) from discontinued operations, net of taxes | (25) | 1 | |
Income from continuing operations—excluding noncontrolling interests | 7,524 | 9,615 | |
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations | |||
Gains on significant disposals | [1] | (422) | 0 |
Depreciation and amortization | 1,776 | 1,767 | |
Provision for loan losses | 3,276 | 3,270 | |
Realized gains from sales of investments | (386) | (490) | |
Net impairment losses on investments, goodwill and intangible assets | 583 | 136 | |
Change in trading account assets | (21,808) | 17,589 | |
Change in trading account liabilities | 18,795 | (2,741) | |
Change in brokerage receivables net of brokerage payables | (836) | (12,815) | |
Change in loans held-for-sale (HFS) | 1,786 | (1,869) | |
Change in other assets | (4,345) | (1,382) | |
Change in other liabilities | 7,175 | 3,575 | |
Other, net | 7,949 | 1,691 | |
Total adjustments | 13,543 | 8,731 | |
Net cash provided by operating activities of continuing operations | 21,067 | 18,346 | |
Cash flows from investing activities of continuing operations | |||
Change in deposits with banks | (15,796) | (2,911) | |
Change in federal funds sold and securities borrowed or purchased under agreements to resell | (9,008) | 5,516 | |
Change in loans | (30,170) | (9,945) | |
Proceeds from sales and securitizations of loans | 7,021 | 6,377 | |
Purchases of investments | (108,359) | (140,945) | |
Proceeds from sales of investments | 66,138 | 89,707 | |
Proceeds from maturities of investments | 33,383 | 44,732 | |
Proceeds from significant disposals | [1] | 265 | 0 |
Capital expenditures on premises and equipment and capitalized software | (1,377) | (1,471) | |
Proceeds from sales of premises and equipment, subsidiaries and affiliates, and repossessed assets | 390 | 328 | |
Net cash used in investing activities of continuing operations | (57,513) | (8,612) | |
Cash flows from financing activities of continuing operations | |||
Dividends paid | (828) | (514) | |
Issuance of preferred stock | 2,498 | 3,486 | |
Treasury stock acquired | (2,634) | (1,850) | |
Stock tendered for payment of withholding taxes | (312) | (423) | |
Change in federal funds purchased and securities loaned or sold under agreements to repurchase | 11,505 | 3,574 | |
Issuance of long-term debt | 27,142 | 27,183 | |
Payments and redemptions of long-term debt | (26,855) | (26,059) | |
Change in deposits | 29,965 | 8,705 | |
Change in short-term borrowings | (2,671) | (32,428) | |
Net cash provided by (used in) financing activities of continuing operations | 37,810 | (18,326) | |
Effect of exchange rate changes on cash and cash equivalents | (124) | (103) | |
Change in cash and due from banks | 1,240 | (8,695) | |
Cash and due from banks at beginning of period | 20,900 | 32,108 | |
Cash and due from banks at end of period | 22,140 | 23,413 | |
Supplemental disclosure of cash flow information for continuing operations | |||
Cash paid during the period for income taxes | 2,045 | 2,863 | |
Cash paid during the period for interest | 5,726 | 5,478 | |
Non-cash investing activities | |||
Decrease in net loans associated with significant disposals reclassified to HFS | 0 | (8,874) | |
Decrease in investments associated with significant disposals reclassified to HFS | 0 | (1,444) | |
Transfers to loans HFS from loans | 6,000 | 15,900 | |
Transfers to OREO and other repossessed assets | 97 | 158 | |
Non-cash financing activities | |||
Decrease in long-term debt associated with significant disposals reclassified to HFS | $ 0 | $ (5,923) | |
[1] | See Note 2 for further information on significant disposals. |
BASIS OF PRESENTATION AND ACCOU
BASIS OF PRESENTATION AND ACCOUNTING CHANGES | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
BASIS OF PRESENTATION AND ACCOUNTING CHANGES | BASIS OF PRESENTATION AND ACCOUNTING CHANGES Basis of Presentation The accompanying unaudited Consolidated Financial Statements as of June 30, 2016 and for the three- and six- month periods ended June 30, 2016 and 2015 include the accounts of Citigroup Inc. and its consolidated subsidiaries. In the opinion of management, all adjustments, consisting of normal recurring adjustments, necessary for a fair presentation have been reflected. The accompanying unaudited Consolidated Financial Statements should be read in conjunction with the Consolidated Financial Statements and related notes included in Citigroup’s Annual Report on Form 10-K for the fiscal year ended December 31, 2015, including the historical audited consolidated financial statements of Citigroup reflecting the certain realignments and reclassifications set forth in Citigroup’s Current Report on Form 8-K filed with the SEC on June 17, 2016 (2015 Annual Report on Form 10-K), and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2016 (First Quarter of 2016 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 makes its best judgment, actual results could differ from those estimates. Current market conditions increase the risk and complexity of the judgments in these estimates. As noted above, the Notes to Consolidated Financial Statements are unaudited. Throughout these Notes, “Citigroup,” “Citi” and the “Company” refer to Citigroup Inc. and its consolidated subsidiaries. Certain reclassifications have been made to the prior periods’ financial statements and notes to conform to the current period’s presentation. ACCOUNTING CHANGES Recognition and Measurement of Financial Assets and Financial Liabilities In January 2016, the FASB issued Accounting Standards Update (ASU) No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities , which addresses certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. This ASU requires entities to present separately in OCI the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. It will also require equity investments (except those accounted for under the equity method of accounting or those that result in consolidation of the investee) to be measured at fair value with changes in fair value recognized in net income, thus eliminating eligibility for the current available-for-sale category. However, Federal Reserve Bank and Federal Home Loan Bank stock as well as exchange seats will continue to be presented at cost. Citi early-adopted only the provisions of this ASU related to presentation of DVA in OCI effective January 1, 2016, as permitted by the ASU. Accordingly, beginning in the first quarter 2016, the portion of the change in fair value of liabilities for which the fair value option was elected related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of Accumulated other comprehensive income (AOCI), whereas, these amounts were previously recognized in Citigroup’s revenues and net income. The impact of adopting this amendment resulted in a cumulative catch-up reclassification from retained earnings to AOCI of an accumulated after tax loss of approximately $15 million at January 1, 2016. Financial statements for periods prior to 2016 were not subject to restatement under the provisions of this ASU. For additional information, see Note 18, Note 22 and Note 23 to the Consolidated Financial Statements. The Company is evaluating the effect that the other provisions of ASU 2016-01 will have on its Consolidated Financial Statements and related disclosures. Accounting for Investments in Tax Credit Partnerships In January 2014, the FASB issued ASU No. 2014-01, Investments—Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Qualified Affordable Housing Projects . Any transition adjustment is reflected as an adjustment to retained earnings in the earliest period presented (retrospective application). The ASU is applicable to Citi’s portfolio of low income housing tax credit (LIHTC) partnership interests. The new standard widens the scope of investments eligible to elect to apply a new alternative method, the proportional amortization method, under which the cost of the investment is amortized to tax expense in proportion to the amount of tax credits and other tax benefits received. Citi qualifies to elect the proportional amortization method under the ASU for its entire LIHTC portfolio. These investments were previously accounted for under the equity method, which resulted in losses (due to amortization of the investment) being recognized in Other revenue and tax credits and benefits being recognized in the Income tax expense line. In contrast, the proportional amortization method combines the amortization of the investment and receipt of the tax credits/benefits into one line, Income tax expense . Citi adopted ASU 2014-01 in the first quarter of 2015. The adoption of this ASU was applied retrospectively and cumulatively reduced Retained earnings by approximately $349 million , Other assets by approximately $178 million , and deferred tax assets by approximately $171 million . Consolidation In February 2015, the FASB issued ASU No. 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis , which intended to improve certain areas of consolidation guidance for legal entities such as limited partnerships, limited liability companies, and securitization structures. The ASU reduced the number of consolidation models and became effective on January 1, 2016. Adoption of ASU 2015-02 did not have a material impact on the Company’s Consolidated Financial Statements. Consolidation-Collateralized Financing Entities In August 2014, the FASB issued ASU No. 2014-13, Consolidation (Topic 810): Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity , which provides an alternative measurement method for consolidated collateralized financing VIEs to elect: (i) to measure their financial assets and liabilities separately under existing U.S. GAAP for fair value measurement with any differences in such fair values reflected in earnings; or (ii) to measure both their financial assets and liabilities using the more observable of the fair value of the financial assets or the fair value of the financial liabilities. The ASU became effective on January 1, 2016. Adoption of ASU 2014-13 did not have a material impact on the Company’s Consolidated Financial Statements. FUTURE APPLICATION OF ACCOUNTING STANDARDS Accounting for Financial Instruments-Credit Losses In June 2016, the FASB issued ASU 2016-13, Financial Instruments-Credit Losses (Topic 326) . The ASU introduces a new accounting model, the Current Expected Credit Losses model (CECL), which requires earlier recognition of credit losses, while also providing additional transparency about credit risk. The FASB’s CECL model utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity securities and other receivables at the time the financial asset is originated or acquired. The expected credit losses are adjusted each period for changes in expected lifetime credit losses. For available-for-sale securities where fair value is less than cost, credit-related impairment, if any, will be recognized in an allowance for credit losses and adjusted each period for changes in expected credit risk. This model replaces the multiple existing impairment models in current GAAP, which generally require that a loss be incurred before it is recognized. The CECL model represents a significant departure from existing GAAP, and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The ASU will be effective for Citi as of January 1, 2020. Early application is permitted for annual periods beginning January 1, 2019. Recognition of Breakage for Certain Prepaid Stored-Value Products In March 2016, the FASB issued ASU No. 2016-04, Liabilities—Extinguishment of Liabilities (Subtopic 405-20): Recognition of Breakage for Certain Prepaid Stored-Value Products , which was intended to address potential diversity in entities’ practices related to the derecognition of the financial liability that is recorded when an entity issues a prepaid stored-value product. Typically, when the holder of a prepaid stored-value product redeems that product to make a purchase of goods or services, the issuing entity settles the transaction with the selling merchant, and the liability to the product holder is extinguished. However, in some cases, a prepaid stored-value product may be wholly or partially unused for an indefinite time period. The ASU provides authoritative guidance describing the narrow circumstances in which an entity’s liability for an unredeemed prepaid stored-value product may be extinguished. The amendment is effective on January 1, 2018; early adoption is permitted. Adoption of the ASU is not expected to have a material impact on the Company’s Consolidated Financial Statements. Revenue Recognition In May 2014, the FASB issued ASU No. 2014-09, Revenue from Contracts with Customers , which requires an entity to recognize the amount of revenue to which it expects to be entitled for the transfer of promised goods or services to customers. The ASU will replace most existing revenue recognition guidance in GAAP when it becomes effective on January 1, 2018. Early application is permitted for annual periods beginning after December 15, 2016. The ASU is not applicable to financial instruments and, therefore, is not expected to impact a majority of the Company’s revenue, including net interest income. The Company is evaluating the effect that ASU 2014-09 will have on its Consolidated Financial Statements and related disclosures. Lease Accounting In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842), which is intended to increase transparency and comparability of accounting for lease transactions. The ASU will require lessees to recognize all leases on the balance sheet as lease assets and lease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessor accounting is largely unchanged. The guidance is effective beginning January 1, 2019 with an option to early adopt. The Company is evaluating whether to early adopt and the effect that ASU 2016-02 will have on its Consolidated Financial Statements, regulatory capital and related disclosures. |
DISCONTINUED OPERATIONS AND SIG
DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS | 6 Months Ended |
Jun. 30, 2016 | |
Discontinued Operations and Disposal Groups [Abstract] | |
DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS | DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS Discontinued Operations The following Discontinued operations are recorded within the Corporate/Other segment. Sale of Brazil Credicard Business Citi sold its non-Citibank-branded cards and consumer finance business in Brazil (Credicard) in 2013 and reported it as Discontinued operations . Residual costs and resolution of certain contingencies from the disposal resulted in income from Discontinued operations , net of taxes, of $0 million and $8 million for the three months ended June 30, 2016 and 2015, respectively, and income from Discontinued operations , net of taxes, of $0 million and $6 million for the six months ended June 30, 2016 and 2015, respectively. Sale of Egg Banking plc Credit Card Business Citi sold the Egg Banking plc (Egg) credit card business in 2011 and reported it as Discontinued operations . Residual costs from the disposal resulted in losses from Discontinued operations , net of taxes, of $20 million and $2 million for the three months ended June 30, 2016 and 2015 , respectively, and losses from Discontinued operations , net of taxes, of $22 million and $6 million for the six months ended June 30, 2016 and 2015, respectively. Combined Results for Discontinued Operations The following is summarized financial information for previous Discontinued operations for which Citi continues to have minimal residual costs associated with the sales: Three Months Ended Six Months Ended In millions of dollars 2016 2015 2016 2015 Total revenues, net of interest expense (1) $ — $ — $ — $ — Income (loss) from discontinued operations $ (36 ) $ 9 $ (39 ) $ 1 Provision (benefit) for income taxes (13 ) 3 (14 ) — Income (loss), from discontinued operations, net of taxes $ (23 ) $ 6 $ (25 ) $ 1 (1) Total revenues include gain or loss on sale, if applicable. Cash flows for the Discontinued operations were not material for all periods presented. Significant Disposals The following sales completed during 2016 and 2015 were identified as significant disposals. The major classes of assets and liabilities derecognized from the Consolidated Balance Sheet at closing and the income (loss) before taxes related to each business until the disposal date are presented below. Novation of the 80% Primerica Coinsurance Agreement During the first quarter of 2016, Citi completed a novation (an arrangement that extinguishes Citi’s rights and obligations under a contract) of the Primerica 80% Coinsurance Agreement to a third-party re-insurer, resulting in revenue of $422 million recorded in Other revenue ( $274 million after tax). Furthermore, the novation resulted in derecognition of $1.5 billion of available for-sale securities and cash, $0.95 billion of deferred acquisition costs and $2.7 billion of insurance liabilities. Income before taxes, excluding the revenue upon novation, was as follows: Three Months Ended Six Months Ended In millions of dollars 2016 2015 2016 2015 Income before taxes $ — $ 42 $ — $ 77 Sale of OneMain Financial Business On November 15, 2015, Citi sold its OneMain Financial business, which was reported in Citi Holdings, including 1,100 retail branches, 5,500 employees, and approximately 1.3 million customer accounts. OneMain Financial had approximately $10.2 billion of assets, including $7.8 billion of loans (net of allowance), and $1.4 billion of available-for-sale securities. The total amount of liabilities sold was $8.4 billion , including $6.2 billion of long-term debt and $1.1 billion of short-term borrowings. The transaction generated a pretax gain on sale of $2.6 billion , recorded in Other revenue ($ 1.6 billion after-tax) during the fourth quarter of 2015. However, when combined with the loss on redemption of certain long-term debt supporting remaining Citi Holdings’ assets during the fourth quarter of 2015, the resulting net after-tax gain was $0.8 billion . Income before taxes was as follows: Three Months Ended Six Months Ended In millions of dollars 2016 2015 2016 2015 Income before taxes $ — $ 177 $ — $ 354 |
BUSINESS SEGMENTS
BUSINESS SEGMENTS | 6 Months Ended |
Jun. 30, 2016 | |
Segment Reporting [Abstract] | |
BUSINESS SEGMENTS | BUSINESS SEGMENTS Citigroup’s activities are conducted through the Global Consumer Banking (GCB), Institutional Clients Group (ICG), Corporate/Other and Citi Holdings business segments. GCB includes a global, full-service consumer franchise delivering a wide array of banking, including commercial banking, credit card lending and investment services through a network of local branches, offices and electronic delivery systems and is composed of four GCB businesses: North America, EMEA, Latin America and Asia . ICG is composed of Banking and Markets and securities services and provides corporate, institutional, public sector and high-net-worth clients in over 100 countries and jurisdictions with a broad range of banking and financial products and services. Corporate/Other includes certain unallocated costs of global functions, other corporate expenses and net treasury results, unallocated corporate expenses, offsets to certain line-item reclassifications and eliminations, the results of discontinued operations and unallocated taxes. Citi Holdings is composed of businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses. The accounting policies of these reportable segments are the same as those disclosed in Note 1 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K. The prior-period balances reflect reclassifications to conform the presentation to the current period’s presentation. Effective January 1, 2016, historical financial data was reclassified from Citicorp to Citi Holdings for the consumer businesses in Argentina, Brazil and Colombia that Citi intends to exit. These businesses, which previously were reported as part of Latin America Global Consumer Banking , are now reported as part of Citi Holdings. While Citi does not intend to exit its consumer businesses in Venezuela, these businesses are not significant, lending predominantly to support ICG activities, and are now reported as part of ICG. Similarly, Citi’s remaining indirect investment in Banco de Chile is now reported as part of ICG. The following also reflects certain other regional reclassifications within ICG and certain other immaterial reclassifications. Citi’s consolidated results remain unchanged for all periods presented as a result of the changes discussed above. The following table presents certain information regarding the Company’s continuing operations by segment: Revenues, (1) Provision (benefits) Income (loss) from (2) Identifiable assets Three Months Ended June 30, In millions of dollars, except identifiable assets in billions 2016 2015 2016 2015 2016 2015 June 30, 2016 December 31, 2015 Global Consumer Banking $ 7,733 $ 8,184 $ 681 $ 811 $ 1,323 $ 1,611 $ 402 $ 381 Institutional Clients Group 8,846 8,946 1,289 1,331 2,715 2,860 1,302 1,217 Corporate/Other 126 371 (232 ) (246 ) (89 ) 231 49 52 Total Citicorp $ 16,705 $ 17,501 $ 1,738 $ 1,896 $ 3,949 $ 4,702 $ 1,753 $ 1,650 Citi Holdings 843 1,969 (15 ) 140 98 156 66 81 Total $ 17,548 $ 19,470 $ 1,723 $ 2,036 $ 4,047 $ 4,858 $ 1,819 $ 1,731 Revenues, (1) Provision (benefits) Income (loss) from (2) Six Months Ended June 30, In millions of dollars, except identifiable assets in billions 2016 2015 2016 2015 2016 2015 Global Consumer Banking $ 15,503 $ 16,486 $ 1,327 $ 1,728 $ 2,554 $ 3,323 Institutional Clients Group 16,882 18,023 2,107 2,696 4,674 5,834 Corporate/Other 400 583 (347 ) (557 ) (118 ) 212 Total Citicorp $ 32,785 $ 35,092 $ 3,087 $ 3,867 $ 7,110 $ 9,369 Citi Holdings 2,318 4,114 115 289 445 306 Total $ 35,103 $ 39,206 $ 3,202 $ 4,156 $ 7,555 $ 9,675 (1) Includes Citicorp (excluding Corporate/Other ) total revenues, net of interest expense, in North America of $8.3 billion and $8.3 billion ; in EMEA of $2.6 billion and $2.6 billion ; in Latin America of $2.3 billion and $2.5 billion ; and in Asia of $3.4 billion and $3.7 billion for the three months ended June 30, 2016 and 2015, respectively. Regional numbers exclude Citi Holdings and Corporate/Other , which largely operate within the U.S. Includes Citicorp (excluding Corporate/Other ) total revenues, net of interest expense, in North America of $16.2 billion and $16.8 billion ; in EMEA of $4.8 billion and $5.5 billion ; in Latin America of $4.5 billion and $4.9 billion ; and in Asia of $6.9 billion and $7.3 billion for the six months ended June 30, 2016 and 2015, respectively. (2) Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $1.4 billion and $1.4 billion ; in the ICG results of $82 million and $(87) million ; and in Citi Holdings results of $(0.1) billion and $0.3 billion for the three months ended June 30, 2016 and 2015, respectively. Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $2.9 billion and $2.8 billion ; in the ICG results of $472 million and $(1) million ; and in Citi Holdings results of $0.1 billion and $0.8 billion for the six months ended June 30, 2016 and 2015, respectively. |
INTEREST REVENUE AND EXPENSE
INTEREST REVENUE AND EXPENSE | 6 Months Ended |
Jun. 30, 2016 | |
Interest Revenue (Expense), Net [Abstract] | |
INTEREST REVENUE AND EXPENSE | INTEREST REVENUE AND EXPENSE Interest revenue and Interest expense consisted of the following: Three Months Ended Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Interest revenue Loan interest, including fees $ 9,750 $ 10,529 $ 19,510 $ 21,084 Deposits with banks 237 168 456 351 Federal funds sold and securities borrowed or purchased under agreements to resell 664 664 1,311 1,306 Investments, including dividends 1,937 1,770 3,792 3,481 Trading account assets (1) 1,532 1,620 2,966 3,019 Other interest (2) 236 122 488 232 Total interest revenue $ 14,356 $ 14,873 $ 28,523 $ 29,473 Interest expense Deposits (3) $ 1,306 $ 1,288 $ 2,510 $ 2,613 Federal funds purchased and securities loaned or sold under agreements to repurchase 527 443 1,029 819 Trading account liabilities (1) 96 54 184 101 Short-term borrowings 109 157 210 277 Long-term debt 1,082 1,109 2,127 2,269 Total interest expense $ 3,120 $ 3,051 $ 6,060 $ 6,079 Net interest revenue $ 11,236 $ 11,822 $ 22,463 $ 23,394 Provision for loan losses 1,390 1,515 3,276 3,270 Net interest revenue after provision for loan losses $ 9,846 $ 10,307 $ 19,187 $ 20,124 (1) Interest expense on Trading account liabilities of ICG is reported as a reduction of interest revenue from Trading account assets . (2) During 2015, interest earned related to assets of significant disposals (primarily OneMain Financial) were reclassified into Other interest. (3) Includes deposit insurance fees and charges of $267 million and $289 million for the three months ended June 30, 2016 and 2015, respectively, and $502 million and $585 million for the six months ended June 30, 2016 and 2015, respectively. |
COMMISSIONS AND FEES
COMMISSIONS AND FEES | 6 Months Ended |
Jun. 30, 2016 | |
Fees and Commissions [Abstract] | |
COMMISSIONS AND FEES | COMMISSIONS AND FEES The primary components of Commissions and fees revenue are investment banking fees, trading-related fees, fees related to trade and securities services in ICG and credit card and bank card fees. Investment banking fees are substantially composed of underwriting and advisory revenues and are recognized when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the closing of the transaction. Underwriting revenue is recorded in Commissions and fees , net of both reimbursable and non-reimbursable expenses, consistent with the AICPA Audit and Accounting Guide for Brokers and Dealers in Securities (codified in ASC 940-605-05-1). Expenses associated with advisory transactions are recorded in Other operating expenses, net of client reimbursements. Out-of-pocket expenses are deferred and recognized at the time the related revenue is recognized. In general, expenses incurred related to investment banking transactions that fail to close (are not consummated) are recorded gross in Other operating expenses . Trading-related fees primarily include commissions and fees from the following: executing transactions for clients on exchanges and over-the-counter markets; sale of mutual funds, insurance and other annuity products; and assisting clients in clearing transactions, providing brokerage services and other such activities. Trading-related fees are recognized when earned in Commissions and fees . Gains or losses, if any, on these transactions are included in Principal transactions (see Note 6 to the Consolidated Financial Statements). Credit card and bank card fees are primarily composed of interchange revenue and certain card fees, including annual fees, reduced by reward program costs and certain partner payments. Interchange revenue and fees are recognized when earned. Annual card fees are deferred and amortized on a straight-line basis over a 12 -month period. Reward costs are recognized when points are earned by the customers. The following table presents Commissions and fees revenue: Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Investment banking $ 753 $ 960 $ 1,327 $ 1,898 Trading-related 544 616 1,145 1,250 Trade and securities services 386 448 792 883 Credit cards and bank cards 344 497 615 998 Corporate finance (1) 241 126 364 271 Other consumer (2) 166 182 324 362 Checking-related 104 130 220 246 Loan servicing 68 119 164 214 Other 119 116 237 242 Total commissions and fees $ 2,725 $ 3,194 $ 5,188 $ 6,364 (1) Consists primarily of fees earned from structuring and underwriting loan syndications. (2) Primarily consists of fees for investment fund administration and management, third-party collections, commercial demand deposit accounts and certain credit card services. |
PRINCIPAL TRANSACTIONS
PRINCIPAL TRANSACTIONS | 6 Months Ended |
Jun. 30, 2016 | |
Principal Transactions Revenue, Net [Abstract] | |
PRINCIPAL TRANSACTIONS | 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 which are managed on a portfolio basis characterized by primary risk. Not included in the table below is the impact of net interest revenue related to trading activities, which is an integral part of trading activities’ profitability. See Note 4 to the Consolidated Financial Statements for information about net interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustments on derivatives), FVA (funding valuation adjustments) on over-the-counter derivatives and, prior to 2016, DVA (debt valuation adjustments on issued liabilities for which the fair value option has been elected). These adjustments are discussed further in Note 22 to the Consolidated Financial Statements. The following table presents principal transactions revenue: Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Global Consumer Banking $ 165 $ 144 $ 310 $ 300 Institutional Clients Group 1,911 1,793 3,485 3,990 Corporate/Other (256 ) 182 (146 ) (239 ) Subtotal Citicorp $ 1,820 $ 2,119 $ 3,649 $ 4,051 Citi Holdings (4 ) 54 7 93 Total Citigroup $ 1,816 $ 2,173 $ 3,656 $ 4,144 Interest rate risks (1) $ 1,140 $ 1,393 $ 1,947 $ 2,590 Foreign exchange risks (2) 402 718 1,015 804 Equity risks (3) (55 ) (185 ) (5 ) (71 ) Commodity and other risks (4) 121 117 265 434 Credit products and risks (5) 208 130 434 387 Total $ 1,816 $ 2,173 $ 3,656 $ 4,144 (1) Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities. (2) Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses. (3) Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants. (4) Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades. (5) Includes revenues from structured credit products. |
INCENTIVE PLANS
INCENTIVE PLANS | 6 Months Ended |
Jun. 30, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
INCENTIVE PLANS | INCENTIVE PLANS All equity awards granted since April 19, 2005 have been made pursuant to stockholder-approved stock incentive plans that are administered by the Personnel and Compensation Committee of the Citigroup Board of Directors, which is composed entirely of independent non-employee directors. For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K. |
RETIREMENT BENEFITS
RETIREMENT BENEFITS | 6 Months Ended |
Jun. 30, 2016 | |
Compensation and Retirement Disclosure [Abstract] | |
RETIREMENT BENEFITS | RETIREMENT BENEFITS For additional information on Citi’s retirement benefits, see Note 8 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K. Pension and Postretirement Plans The Company has several non-contributory defined benefit pension plans covering certain U.S. employees and has various defined benefit pension and termination indemnity plans covering employees outside the U.S. The U.S. qualified defined benefit plan was frozen effective January 1, 2008 for most employees. Accordingly, no additional compensation-based contributions have been credited to the cash balance portion of the plan for existing plan participants after 2007. However, certain employees covered under the prior final pay plan formula continue to accrue benefits. The Company also offers postretirement health care and life insurance benefits to certain eligible U.S. retired employees, as well as to certain eligible employees outside the U.S. The Company also sponsors a number of non-contributory, nonqualified pension plans. These plans, which are unfunded, provide supplemental defined pension benefits to certain U.S. employees. With the exception of certain employees covered under the prior final pay plan formula, the benefits under these plans were frozen in prior years. The plan obligations, plan assets and periodic plan expense for the Company’s most significant pension and postretirement benefit plans (Significant Plans) are measured and disclosed quarterly, instead of annually. The Significant Plans captured approximately 90% of the Company’s global pension and postretirement plan obligations as of June 30, 2016. All other plans (All Other Plans) are measured annually with a December 31 measurement date. Net (Benefit) Expense The following tables summarize the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement plans, for Significant Plans and All Other Plans, for the periods indicated. Three Months Ended June 30, Pension plans Postretirement benefit plans U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans In millions of dollars 2016 2015 2016 2015 2016 2015 2016 2015 Qualified plans Benefits earned during the period $ — $ — $ 39 $ 43 $ — $ — $ 3 $ 3 Interest cost on benefit obligation 132 131 73 80 5 8 24 30 Expected return on plan assets (218 ) (223 ) (74 ) (83 ) (3 ) — (22 ) (27 ) Amortization of unrecognized Prior service benefit — (1 ) (1 ) — — — (3 ) (3 ) Net actuarial loss (gain) 39 38 20 18 (1 ) — 8 12 Curtailment loss (1) — 10 — — — — — — Settlement loss (1) — — 3 — — — — — Net qualified plans (benefit) expense $ (47 ) $ (45 ) $ 60 $ 58 $ 1 $ 8 $ 10 $ 15 Nonqualified plans expense 9 10 — — — — — — Total net (benefit) expense $ (38 ) $ (35 ) $ 60 $ 58 $ 1 $ 8 $ 10 $ 15 (1) Losses due to curtailment and settlement relate to repositioning and divestiture activities. Six Months Ended June 30, Pension plans Postretirement benefit plans U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans In millions of dollars 2016 2015 2016 2015 2016 2015 2016 2015 Qualified plans Benefits earned during the period $ 1 $ 2 $ 77 $ 87 $ — $ — $ 6 $ 7 Interest cost on benefit obligation 273 268 146 160 13 16 48 57 Expected return on plan assets (436 ) (445 ) (146 ) (167 ) (5 ) — (43 ) (56 ) Amortization of unrecognized Prior service benefit — (2 ) (1 ) — — — (6 ) (6 ) Net actuarial loss (gain) 75 75 39 39 (1 ) — 16 23 Curtailment loss (gain) (1) — 10 (3 ) — — — — — Settlement loss (1) — — 4 — — — — — Net qualified plans (benefit) expense $ (87 ) $ (92 ) $ 116 $ 119 $ 7 $ 16 $ 21 $ 25 Nonqualified plans expense 19 22 — — — — — — Total net (benefit) expense $ (68 ) $ (70 ) $ 116 $ 119 $ 7 $ 16 $ 21 $ 25 (1) Losses and gains due to curtailment and settlement relate to repositioning and divestiture activities. Funded Status and Accumulated Other Comprehensive Income (AOCI) The following tables summarize the funded status and amounts recognized in the Consolidated Balance Sheet for the Company’s Significant Plans. Net Amount Recognized Six Months Ended June 30, 2016 Pension plans Postretirement benefit plans In millions of dollars U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans Change in projected benefit obligation (PBO) Projected benefit obligation at beginning of year $ 13,943 $ 6,534 $ 817 $ 1,291 Plans measured annually — (1,819 ) — (282 ) Projected benefit obligation at beginning of year—Significant Plans $ 13,943 $ 4,715 $ 817 $ 1,009 First quarter activity 574 199 22 30 Projected benefit obligation at March 31, 2016—Significant Plans $ 14,517 $ 4,914 $ 839 $ 1,039 Benefits earned during the period — 24 — 2 Interest cost on benefit obligation 139 60 5 20 Plan amendments — — — — Actuarial loss (gain) 459 272 (88 ) 29 Benefits paid, net of participants’ contributions (203 ) (55 ) (23 ) (13 ) Foreign exchange impact and other — (207 ) — (70 ) Projected benefit obligation at period end—Significant Plans $ 14,912 $ 5,008 $ 733 $ 1,007 Six Months Ended June 30, 2016 Pension plans Postretirement benefit plans In millions of dollars U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans Change in plan assets Plan assets at fair value at beginning of year $ 12,137 $ 6,104 $ 166 $ 1,133 Plans measured annually — (1,175 ) — (8 ) Plan assets at fair value at beginning of year—Significant Plans $ 12,137 $ 4,929 $ 166 $ 1,125 First quarter activity (72 ) 233 $ — 39 Plan assets at fair value at March 31, 2016 — Significant Plans $ 12,065 $ 5,162 $ 166 $ 1,164 Actual return on plan assets 380 394 5 35 Company contributions 13 13 (3 ) — Plan participants’ contributions — 1 — — Benefits paid, net of government subsidy (203 ) (56 ) (23 ) (13 ) Foreign exchange impact and other — (251 ) — (78 ) Plan assets at fair value at period end—Significant Plans $ 12,255 $ 5,263 $ 145 $ 1,108 Funded status of the Significant plans Qualified plans (1) $ (1,915 ) $ 255 $ (588 ) $ 101 Nonqualified plans (742 ) — — — Funded status of the plans at period end—Significant Plans $ (2,657 ) $ 255 $ (588 ) $ 101 Net amount recognized Benefit asset $ — $ 807 $ — $ 101 Benefit liability (2,657 ) (552 ) (588 ) — Net amount recognized on the balance sheet—Significant Plans $ (2,657 ) $ 255 $ (588 ) $ 101 Amounts recognized in AOCI Prior service benefit — 40 — 100 Net actuarial gain (loss) (7,322 ) (979 ) 63 (456 ) Net amount recognized in equity (pretax)—Significant Plans $ (7,322 ) $ (939 ) $ 63 $ (356 ) Accumulated benefit obligation at period end—Significant Plans $ 14,904 $ 4,691 $ 733 $ 1,007 (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, 2016 and no minimum required funding is expected for 2016. The following table shows the change in AOCI related to the Company’s benefit plans (Significant Plans and All Other Plans) for the periods indicated. In millions of dollars Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 Beginning of period balance, net of tax (1)(2) $ (5,581 ) $ (5,116 ) Actuarial assumptions changes and plan experience (672 ) (1,547 ) Net asset gain due to difference between actual and expected returns 508 671 Net amortization 59 115 Prior service cost (1 ) 29 Curtailment/settlement gain (3) 3 4 Foreign exchange impact and other 72 (30 ) Change in deferred taxes, net 4 266 Change, net of tax $ (27 ) $ (492 ) End of period balance, net of tax (1)(2) $ (5,608 ) $ (5,608 ) (1) See Note 18 to the Consolidated Financial Statements for further discussion of net AOCI balance. (2) Includes net-of-tax amounts for certain profit sharing plans outside the U.S. (3) Gains due to curtailment and settlement relate to repositioning and divestiture activities. P lan Assumptions The Company utilizes a number of assumptions to determine plan obligations and expenses. Changes in one or a combination of these assumptions will have an impact on the Company’s pension and postretirement PBO, funded status and (benefit) expense. Changes in the plans’ funded status resulting from changes in the PBO and fair value of plan assets will have a corresponding impact on AOCI . For the Company’s Significant Plans, the discount rates at the respective period ended in the tables below are utilized to measure the period-end PBO and the net periodic (benefit) expense for the subsequent period. As a result of the quarterly measurement process, the net periodic (benefit) expense for the Significant Plans is calculated at each respective quarter-end based on the preceding quarter-end rates. The discount rates for the non-U.S. pension and postretirement plans relate to the Significant Plans only. The discount rates utilized during the period in determining the pension and postretirement net (benefit) expense for the Significant Plans are as follows: Net benefit (expense) assumed discount rates during the period Three Months Ended Jun. 30, 2016 Mar. 31, 2016 U.S. plans Qualified pension 3.95% 4.40% Nonqualified pension 3.90 4.35 Postretirement 3.75 4.20 Non-U.S. plans Pension 0.35 - 12.30 0.75 to 13.20 Weighted average 5.14 5.37 Postretirement 8.45 8.60 The discount rates utilized at period end in determining the pension and postretirement benefit obligations for the Significant Plans are as follows: Plan obligations assumed discount rates at period ended Jun. 30, 2016 Mar. 31, 2016 Dec. 31, 2015 U.S. plans Qualified pension 3.65% 3.95% 4.40% Nonqualified pension 3.55 3.90 4.35 Postretirement 3.40 3.75 4.20 Non-U.S. plans Pension 0.20-11.85 0.35-12.30 0.75 to 13.20 Weighted average 4.80 5.14 5.37 Postretirement 8.20 8.45 8.60 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, 2016 In millions of dollars One-percentage-point increase One-percentage-point decrease Pension U.S. plans $ 7 $ (11 ) Non-U.S. plans (5 ) 7 Postretirement U.S. plans $ — $ (1 ) Non-U.S. plans (2 ) 2 Since the U.S. plans were frozen, the majority of the prospective service cost has been eliminated and the gain/loss amortization period was changed to the life expectancy for inactive participants. As a result, expense for the U.S. plans is driven more by interest costs than service costs and an increase in the discount rate would increase expense, while a decrease in the discount rate would decrease expense. Contributions The Company’s funding practice for U.S. and non-U.S. pension plans is generally to fund to minimum funding requirements in accordance with applicable local laws and regulations. The Company may increase its contributions above the minimum required contribution, if appropriate. In addition, management has the ability to change its funding practices. For the U.S. pension plans, there were no required minimum cash contributions during the first half of 2016. The following table summarizes the actual Company contributions for the six months ended June 30, 2016 and 2015, as well as estimated expected Company contributions for the remainder of 2016 and the actual contributions made in the third and fourth quarters of 2015. Expected contributions are subject to change since contribution decisions are affected by various factors, such as market performance and regulatory requirements. Summary of Company Contributions Pension plans Postretirement plans U.S. plans (1) Non-U.S. plans U.S. plans Non-U.S. plans In millions of dollars 2016 2015 2016 2015 2016 2015 2016 2015 Company contributions (2) for the six months ended June 30 $ 28 $ 22 $ 58 $ 29 $ 11 $ 32 $ 3 $ 5 Company contributions made or expected to be made during the remainder of the year 26 30 78 105 — 203 5 4 (1) The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans. (2) Company contributions are composed of cash contributions made to the plans and benefits paid directly by the Company. Defined Contribution Plans The Company sponsors defined contribution plans in the U.S. and in certain non-U.S. locations, all of which are administered in accordance with local laws. The most significant defined contribution plan is the Citi Retirement Savings Plan (formerly known as the Citigroup 401(k) Plan) sponsored by the Company in the U.S. Under the Citi Retirement Savings Plan, eligible U.S. employees receive matching contributions of up to 6% of their eligible compensation for 2016 and 2015, subject to statutory limits. Additionally, for eligible employees whose eligible compensation is $100,000 or less, a fixed contribution of up to 2% of eligible compensation is provided. The following table summarizes the actual Company contributions for the three months ended June 30, 2016 and 2015, respectively. Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 U.S. plans $ 97 $ 99 $ 193 $ 200 Non-U.S. plans 72 71 140 145 Postemployment Plans The Company sponsors U.S. postemployment plans that provide income continuation and health and welfare benefits to certain eligible U.S. employees on long-term disability. The following table summarizes the components of net expense recognized in the Consolidated Statement of Income for the Company’s U.S. postemployment plans. Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Service-related expense Interest cost on benefit obligation $ 1 $ 1 $ 2 $ 2 Amortization of unrecognized Prior service benefit (8 ) (8 ) (16 ) (15 ) Net actuarial loss 1 3 2 6 Total service-related benefit $ (6 ) $ (4 ) $ (12 ) $ (7 ) Non-service-related expense (benefit) $ 5 $ (3 ) $ 13 $ 6 Total net expense (benefit) $ (1 ) $ (7 ) $ 1 $ (1 ) |
EARNINGS PER SHARE
EARNINGS PER SHARE | 6 Months Ended |
Jun. 30, 2016 | |
Earnings Per Share [Abstract] | |
EARNINGS PER SHARE | EARNINGS PER SHARE The following is a reconciliation of the income and share data used in the basic and diluted earnings per share (EPS) computations: Three Months Ended Six Months Ended June 30, In millions, except per-share amounts 2016 2015 2016 2015 Income from continuing operations before attribution of noncontrolling interests $ 4,047 $ 4,858 $ 7,555 $ 9,675 Less: Noncontrolling interests from continuing operations 26 18 31 60 Net income from continuing operations (for EPS purposes) $ 4,021 $ 4,840 $ 7,524 $ 9,615 Income (loss) from discontinued operations, net of taxes (23 ) 6 (25 ) 1 Citigroup's net income $ 3,998 $ 4,846 $ 7,499 $ 9,616 Less: Preferred dividends (1) 322 202 532 330 Net income available to common shareholders $ 3,676 $ 4,644 $ 6,967 $ 9,286 Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS 53 64 93 126 Net income allocated to common shareholders for basic EPS $ 3,623 $ 4,580 $ 6,874 $ 9,160 Net income allocated to common shareholders for diluted EPS $ 3,623 $ 4,580 $ 6,874 $ 9,160 Weighted-average common shares outstanding applicable to basic EPS 2,915.8 3,020.0 2,929.4 3,027.1 Effect of dilutive securities (3) Options (2) 0.1 4.9 0.1 4.9 Other employee plans — 0.1 — 0.1 Adjusted weighted-average common shares outstanding applicable to diluted EPS 2,915.9 3,025.0 2,929.5 3,032.1 Basic earnings per share (4) Income from continuing operations $ 1.25 $ 1.51 $ 2.36 $ 3.03 Discontinued operations (0.01 ) — (0.01 ) — Net income $ 1.24 $ 1.52 $ 2.35 $ 3.03 Diluted earnings per share (4) Income from continuing operations $ 1.25 $ 1.51 $ 2.36 $ 3.02 Discontinued operations (0.01 ) — (0.01 ) — Net income $ 1.24 $ 1.51 $ 2.35 $ 3.02 (1) See Note 19 to the Consolidated Financial Statements for the potential future impact of preferred stock dividends. (2) During the second quarters of 2016 and 2015 , weighted-average options to purchase 5.3 million and 0.9 million shares of common stock, respectively, were outstanding but not included in the computation of earnings per share because the weighted-average exercise prices of $75.43 and $201.01 per share, respectively, were anti-dilutive. (3) Warrants issued to the U.S. Treasury as part of the Troubled Asset Relief Program (TARP) and the loss-sharing agreement (all of which were subsequently sold to the public in January 2011), with exercise prices of $178.50 and $106.10 per share for approximately 21.0 million and 25.5 million shares of Citigroup common stock, respectively. Both warrants were not included in the computation of earnings per share in the three and six months ended June 30, 2016 and 2015 because they were anti-dilutive. (4) Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income. |
FEDERAL FUNDS, SECURITIES BORRO
FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS | 6 Months Ended |
Jun. 30, 2016 | |
Federal Funds Purchased and Securities Sold under Agreements to Repurchase [Abstract] | |
FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS | FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS Federal funds sold and securities borrowed or purchased under agreements to resell , at their respective carrying values, consisted of the following: In millions of dollars June 30, December 31, 2015 Federal funds sold $ — $ 25 Securities purchased under agreements to resell 133,019 119,777 Deposits paid for securities borrowed 95,664 99,873 Total $ 228,683 $ 219,675 Federal funds purchased and securities loaned or sold under agreements to repurchase , at their respective carrying values, consisted of the following: In millions of dollars June 30, December 31, 2015 Federal funds purchased $ 547 $ 189 Securities sold under agreements to repurchase 141,056 131,650 Deposits received for securities loaned 16,398 14,657 Total $ 158,001 $ 146,496 The resale and repurchase agreements represent collateralized financing transactions. The Company executes these transactions primarily through its broker-dealer subsidiaries to facilitate customer matched-book activity and to efficiently fund a portion of the Company’s trading inventory. Transactions executed by the Company’s bank subsidiaries primarily facilitate customer financing activity. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral and stipulating financing tenor. Citi manages the risks in its collateralized financing transactions by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. Additionally, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. 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. Collateral typically consists of government and government-agency securities, corporate and municipal bonds, equities, and mortgage-backed and other asset-backed securities. The resale and repurchase agreements are generally documented under industry standard agreements that allow the prompt close-out of all transactions (including the liquidation of securities held) and the offsetting of obligations to return cash or securities by the non-defaulting party, following a payment default or other type of default under the relevant master agreement. Events of default generally include (i) failure to deliver cash or securities as required under the transaction, (ii) failure to provide or return cash or securities as used for margining purposes, (iii) breach of representation, (iv) cross-default to another transaction entered into among the parties, or, in some cases, their affiliates, and (v) a repudiation of obligations under the agreement. The counterparty that receives the securities in these transactions is generally unrestricted in its use of the securities, with the exception of transactions executed on a tri-party basis, where the collateral is maintained by a custodian and operational limitations may restrict its use of the securities. A substantial portion of the resale and repurchase agreements is recorded at fair value, as described in Notes 22 and 23 to the Consolidated Financial Statements. The remaining portion is carried at the amount of cash initially advanced or received, plus accrued interest, as specified in the respective agreements. The securities borrowing and lending agreements also represent collateralized financing transactions similar to the resale and repurchase agreements. Collateral typically consists of government and government-agency securities and corporate debt and equity securities. Similar to the resale and repurchase agreements, securities borrowing and lending agreements are generally documented under industry standard agreements that allow the prompt close-out of all transactions (including the liquidation of securities held) and the offsetting of obligations to return cash or securities by the non-defaulting party, following a payment default or other default by the other party under the relevant master agreement. Events of default and rights to use securities under the securities borrowing and lending agreements are similar to the resale and repurchase agreements referenced above. 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 to the Consolidated Financial Statements. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection. The enforceability of offsetting rights incorporated in the master netting agreements for resale and repurchase agreements and securities borrowing and lending agreements is evidenced to the extent that a supportive legal opinion has been obtained from counsel of recognized standing that provides the requisite level of certainty regarding the enforceability of these agreements, and that the exercise of rights by the non-defaulting party to terminate and close-out transactions on a net basis under these agreements will not be stayed or avoided under applicable law upon an event of default including bankruptcy, insolvency or similar proceeding. A legal opinion may not have been sought or obtained for certain jurisdictions where local law is silent or sufficiently ambiguous to determine the enforceability of offsetting rights or where adverse case law or conflicting regulation may cast doubt on the enforceability of such rights. In some jurisdictions and for some counterparty types, the insolvency law for a particular counterparty type may be nonexistent or unclear as overlapping regimes may exist. For example, this may be the case for certain sovereigns, municipalities, central banks and U.S. pension plans. The following tables present the gross and net resale and repurchase agreements and securities borrowing and lending agreements and the related offsetting amount 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 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, 2016 In millions of dollars Gross amounts Gross amounts (1) Net amounts of (2) Amounts (3) Net (4) Securities purchased under agreements to resell $ 186,000 $ 52,981 $ 133,019 $ 100,605 $ 32,414 Deposits paid for securities borrowed 95,664 — 95,664 14,402 81,262 Total $ 281,664 $ 52,981 $ 228,683 $ 115,007 $ 113,676 In millions of dollars Gross amounts Gross amounts (1) Net amounts of (2) Amounts (3) Net (4) Securities sold under agreements to repurchase $ 194,037 $ 52,981 $ 141,056 $ 74,448 $ 66,608 Deposits received for securities loaned 16,398 — 16,398 1,761 14,637 Total $ 210,435 $ 52,981 $ 157,454 $ 76,209 $ 81,245 As of December 31, 2015 In millions of dollars Gross amounts Gross amounts (1) Net amounts of (2) Amounts (3) Net (4) Securities purchased under agreements to resell $ 176,167 $ 56,390 $ 119,777 $ 92,039 $ 27,738 Deposits paid for securities borrowed 99,873 — 99,873 16,619 83,254 Total $ 276,040 $ 56,390 $ 219,650 $ 108,658 $ 110,992 In millions of dollars Gross amounts Gross amounts (1) Net amounts of (2) Amounts (3) Net (4) Securities sold under agreements to repurchase $ 188,040 $ 56,390 $ 131,650 $ 60,641 $ 71,009 Deposits received for securities loaned 14,657 — 14,657 3,226 11,431 Total $ 202,697 $ 56,390 $ 146,307 $ 63,867 $ 82,440 (1) Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45. (2) The total of this column for each period excludes Federal funds sold/purchased. See tables above. (3) 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. (4) 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 amount of liabilities associated with repurchase agreements and securities lending agreements, by remaining contractual maturity: As of June 30, 2016 In millions of dollars Open and overnight Up to 30 days 31–90 days Greater than 90 days Total Securities sold under agreements to repurchase $ 104,435 $ 45,117 $ 19,486 $ 24,999 $ 194,037 Deposits received for securities loaned 10,877 2,514 1,540 1,467 16,398 Total $ 115,312 $ 47,631 $ 21,026 $ 26,466 $ 210,435 As of December 31, 2015 In millions of dollars Open and overnight Up to 30 days 31–90 days Greater than 90 days Total Securities sold under agreements to repurchase $ 89,732 $ 54,336 $ 21,541 $ 22,431 $ 188,040 Deposits received for securities loaned 9,096 1,823 2,324 1,414 14,657 Total $ 98,828 $ 56,159 $ 23,865 $ 23,845 $ 202,697 The following tables present the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by class of underlying collateral: As of June 30, 2016 In millions of dollars Repurchase agreements Securities lending agreements Total U.S. Treasury and federal agency $ 82,556 $ 29 $ 82,585 State and municipal 356 — 356 Foreign government 60,023 928 60,951 Corporate bonds 17,062 1,033 18,095 Equity securities 8,599 14,365 22,964 Mortgage-backed securities 17,523 — 17,523 Asset-backed securities 4,345 — 4,345 Other 3,573 43 3,616 Total $ 194,037 $ 16,398 $ 210,435 As of December 31, 2015 In millions of dollars Repurchase agreements Securities lending agreements Total U.S. Treasury and federal agency $ 67,005 $ — $ 67,005 State and municipal 403 — 403 Foreign government 66,633 789 67,422 Corporate bonds 15,355 1,085 16,440 Equity securities 10,297 12,484 22,781 Mortgage-backed securities 19,913 — 19,913 Asset-backed securities 4,572 — 4,572 Other 3,862 299 4,161 Total $ 188,040 $ 14,657 $ 202,697 |
BROKERAGE RECEIVABLES AND BROKE
BROKERAGE RECEIVABLES AND BROKERAGE PAYABLES | 6 Months Ended |
Jun. 30, 2016 | |
Brokers and Dealers [Abstract] | |
BROKERAGE RECEIVABLES AND BROKERAGE PAYABLES | 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. The Company is exposed to risk of loss from the inability of brokers, dealers or customers to pay for purchases or to deliver the financial instruments sold, in which case the Company would have to sell or purchase the financial instruments at prevailing market prices. Credit risk is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transaction and replaces the broker, dealer or customer in question. The Company seeks to protect itself from the risks associated with customer activities by requiring customers to maintain margin collateral in compliance with regulatory and internal guidelines. Margin levels are monitored daily, and customers deposit additional collateral as required. Where customers cannot meet collateral requirements, the Company may liquidate sufficient underlying financial instruments to bring the customer into compliance with the required margin level. Exposure to credit risk is impacted by market volatility, which may impair the ability of clients to satisfy their obligations to the Company. Credit limits are established and closely monitored for customers and for brokers and dealers engaged in forwards, futures and other transactions deemed to be credit sensitive. Brokerage receivables and Brokerage payables consisted of the following: In millions of dollars June 30, December 31, 2015 Receivables from customers $ 8,878 $ 10,435 Receivables from brokers, dealers, and clearing organizations 27,973 17,248 Total brokerage receivables (1) $ 36,851 $ 27,683 Payables to customers $ 38,788 $ 35,653 Payables to brokers, dealers, and clearing organizations 23,266 18,069 Total brokerage payables (1) $ 62,054 $ 53,722 (1) Brokerage receivables and payables are accounted for in accordance with the AICPA Audit and Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320. |
TRADING ACCOUNT ASSETS AND LIAB
TRADING ACCOUNT ASSETS AND LIABILITIES | 6 Months Ended |
Jun. 30, 2016 | |
Trading Securities [Abstract] | |
TRADING ACCOUNT ASSETS AND LIABILITIES | TRADING ACCOUNT ASSETS AND LIABILITIES Trading account assets and Trading account liabilities are carried at fair value, other than physical commodities accounted for at the lower of cost or fair value, and consist of the following: In millions of dollars June 30, December 31, 2015 Trading account assets Mortgage-backed securities (1) U.S. government-sponsored agency guaranteed $ 27,562 $ 24,767 Prime 212 803 Alt-A 135 543 Subprime 477 516 Non-U.S. residential 171 523 Commercial 1,536 2,855 Total mortgage-backed securities $ 30,093 $ 30,007 U.S. Treasury and federal agency securities U.S. Treasury $ 23,069 $ 15,791 Agency obligations 2,574 2,005 Total U.S. Treasury and federal agency securities $ 25,643 $ 17,796 State and municipal securities $ 3,179 $ 2,696 Foreign government securities 63,118 56,467 Corporate 15,156 14,579 Derivatives (2) 72,213 56,184 Equity securities 47,007 56,495 Asset-backed securities (1) 3,540 3,956 Other trading assets (3) 11,815 11,776 Total trading account assets $ 271,764 $ 249,956 Trading account liabilities Securities sold, not yet purchased $ 72,003 $ 57,827 Derivatives (2) 63,204 57,592 Other trading liabilities (3) 1,100 2,093 Total trading account liabilities $ 136,307 $ 117,512 (1) The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 20 to the Consolidated Financial Statements. (2) Presented net, pursuant to enforceable master netting agreements. See Note 21 to the Consolidated Financial Statements for a discussion regarding the accounting and reporting for derivatives. (3) Includes positions related to investments in unallocated precious metals, as discussed in Note 23 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products. |
INVESTMENTS
INVESTMENTS | 6 Months Ended |
Jun. 30, 2016 | |
Investments [Abstract] | |
INVESTMENTS | INVESTMENTS Overview The following table presents the Company’s investments by category: June 30, December 31, In millions of dollars Securities available-for-sale (AFS) $ 312,765 $ 299,136 Debt securities held-to-maturity (HTM) (1) 35,903 36,215 Non-marketable equity securities carried at fair value (2) 1,973 2,088 Non-marketable equity securities carried at cost (3) 5,652 5,516 Total investments $ 356,293 $ 342,955 (1) Carried at adjusted amortized cost basis, net of any credit-related impairment. (2) Unrealized gains and losses for non-marketable equity securities carried at fair value are recognized in earnings. (3) Primarily consists of shares issued by the Federal Reserve Bank, Federal Home Loan Banks, foreign central banks and various clearing houses of which Citigroup is a member. The following table presents interest and dividend income on investments: Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Taxable interest $ 1,774 $ 1,598 $ 3,478 $ 3,191 Interest exempt from U.S. federal income tax 118 49 234 72 Dividend income 45 123 80 218 Total interest and dividend income $ 1,937 $ 1,770 $ 3,792 $ 3,481 The following table presents realized gains and losses on the sale of investments. The gross realized investment losses exclude losses from other-than-temporary impairment (OTTI): Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Gross realized investment gains $ 244 $ 357 $ 623 $ 714 Gross realized investment losses (44 ) (174 ) (237 ) (224 ) Net realized gains on sale of investments $ 200 $ 183 $ 386 $ 490 The Company has sold certain debt securities that were classified as HTM. These sales were in response to significant deterioration in the creditworthiness of the issuers or securities or because the Company has collected a substantial portion (at least 85% ) of the principal outstanding at acquisition of the security. In addition, certain other securities were reclassified to AFS investments in response to significant credit deterioration. Because the Company generally intends to sell these reclassified securities, Citi recorded OTTI on the securities. The following table sets forth, for the periods indicated, the carrying value of HTM securities sold and reclassified to AFS, as well as the related gain (loss) or the OTTI losses recorded on these securities. Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Carrying value of HTM securities sold $ 7 $ 22 $ 7 $ 49 Net realized gain (loss) on sale of HTM securities (1 ) 3 (1 ) 5 Carrying value of securities reclassified to AFS 24 — 150 94 OTTI losses on securities reclassified to AFS (1 ) — (6 ) (5 ) Securities Available-for-Sale The amortized cost and fair value of AFS securities were as follows: June 30, 2016 December 31, 2015 In millions of dollars Amortized cost Gross unrealized gains Gross unrealized losses Fair value Amortized cost Gross unrealized gains Gross unrealized losses Fair value Debt securities AFS Mortgage-backed securities (1) U.S. government-sponsored agency guaranteed $ 44,698 $ 864 $ 65 $ 45,497 $ 39,584 $ 367 $ 237 $ 39,714 Prime 5 — — 5 2 — — 2 Alt-A 66 7 — 73 50 5 — 55 Non-U.S. residential 4,986 23 22 4,987 5,909 31 11 5,929 Commercial 361 5 — 366 573 2 4 571 Total mortgage-backed securities $ 50,116 $ 899 $ 87 $ 50,928 $ 46,118 $ 405 $ 252 $ 46,271 U.S. Treasury and federal agency securities U.S. Treasury $ 111,902 $ 2,587 $ 13 $ 114,476 $ 113,096 $ 254 $ 515 $ 112,835 Agency obligations 10,940 157 5 11,092 10,095 22 37 10,080 Total U.S. Treasury and federal agency securities $ 122,842 $ 2,744 $ 18 $ 125,568 $ 123,191 $ 276 $ 552 $ 122,915 State and municipal (2) $ 11,667 $ 255 $ 669 $ 11,253 $ 12,099 $ 132 $ 772 $ 11,459 Foreign government 93,408 657 226 93,839 88,751 402 479 88,674 Corporate 20,505 242 160 20,587 19,492 129 291 19,330 Asset-backed securities (1) 8,121 7 85 8,043 9,261 5 92 9,174 Other debt securities 1,123 — — 1,123 688 — — 688 Total debt securities AFS $ 307,782 $ 4,804 $ 1,245 $ 311,341 $ 299,600 $ 1,349 $ 2,438 $ 298,511 Marketable equity securities AFS $ 1,411 $ 18 $ 5 $ 1,424 $ 602 $ 26 $ 3 $ 625 Total securities AFS $ 309,193 $ 4,822 $ 1,250 $ 312,765 $ 300,202 $ 1,375 $ 2,441 $ 299,136 (1) The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 20 to the Consolidated Financial Statements. (2) The gross unrealized losses on state and municipal debt securities are primarily attributable to the effects of fair value hedge accounting. Specifically, Citi hedges the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged. However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from AOCI to earnings, attributable solely to changes in the LIBOR swap rate, resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities. As discussed in more detail below, the Company conducts periodic reviews of all securities with unrealized losses to evaluate whether the impairment is other-than-temporary. Any credit-related impairment related to debt securities is recorded in earnings as OTTI. Non-credit-related impairment is recognized in AOCI if the Company does not plan to sell and is not likely to be required to sell the security. For other debt securities with OTTI, the entire impairment is recognized in the Consolidated Statement of Income. The table below shows the fair value of AFS securities that have been in an unrealized loss position for less than 12 months or for 12 months or longer: Less than 12 months 12 months or longer Total In millions of dollars Fair value Gross unrealized losses Fair value Gross unrealized losses Fair value Gross unrealized losses June 30, 2016 Securities AFS Mortgage-backed securities U.S. government-sponsored agency guaranteed $ 2,398 $ 9 $ 1,764 $ 56 $ 4,162 $ 65 Prime 4 — 1 — 5 — Alt-A 22 — — — 22 — Non-U.S. residential 365 2 2,214 20 2,579 22 Commercial 29 — 50 — 79 — Total mortgage-backed securities $ 2,818 $ 11 $ 4,029 $ 76 $ 6,847 $ 87 U.S. Treasury and federal agency securities U.S. Treasury $ 3,398 $ 13 $ — $ — $ 3,398 $ 13 Agency obligations 188 — 137 5 325 5 Total U.S. Treasury and federal agency securities $ 3,586 $ 13 $ 137 $ 5 $ 3,723 $ 18 State and municipal $ 226 $ 8 $ 3,751 $ 661 $ 3,977 $ 669 Foreign government 21,672 170 4,086 56 25,758 226 Corporate 3,452 85 1,623 75 5,075 160 Asset-backed securities 2,937 46 3,778 39 6,715 85 Other debt securities 204 — — — 204 — Marketable equity securities AFS 30 5 1 — 31 5 Total securities AFS $ 34,925 $ 338 $ 17,405 $ 912 $ 52,330 $ 1,250 December 31, 2015 Securities AFS Mortgage-backed securities U.S. government-sponsored agency guaranteed $ 17,816 $ 141 $ 2,618 $ 96 $ 20,434 $ 237 Prime — — 1 — 1 — Non-U.S. residential 2,217 7 825 4 3,042 11 Commercial 291 3 55 1 346 4 Total mortgage-backed securities $ 20,324 $ 151 $ 3,499 $ 101 $ 23,823 $ 252 U.S. Treasury and federal agency securities U.S. Treasury $ 59,384 $ 505 $ 1,204 $ 10 $ 60,588 $ 515 Agency obligations 6,716 30 196 7 6,912 37 Total U.S. Treasury and federal agency securities $ 66,100 $ 535 $ 1,400 $ 17 $ 67,500 $ 552 State and municipal $ 635 $ 26 $ 4,450 $ 746 $ 5,085 $ 772 Foreign government 34,053 371 4,021 108 38,074 479 Corporate 7,024 190 1,919 101 8,943 291 Asset-backed securities 5,311 58 2,247 34 7,558 92 Other debt securities 27 — — — 27 — Marketable equity securities AFS 132 3 1 — 133 3 Total securities AFS $ 133,606 $ 1,334 $ 17,537 $ 1,107 $ 151,143 $ 2,441 The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates: June 30, 2016 December 31, 2015 In millions of dollars Amortized cost Fair value Amortized cost Fair value Mortgage-backed securities (1) Due within 1 year $ 171 $ 171 $ 114 $ 114 After 1 but within 5 years 1,218 1,230 1,408 1,411 After 5 but within 10 years 2,260 2,314 1,750 1,751 After 10 years (2) 46,467 47,213 42,846 42,995 Total $ 50,116 $ 50,928 $ 46,118 $ 46,271 U.S. Treasury and federal agency securities Due within 1 year $ 3,903 $ 3,907 $ 3,016 $ 3,014 After 1 but within 5 years 106,077 108,292 107,034 106,878 After 5 but within 10 years 12,764 13,275 12,786 12,684 After 10 years (2) 98 94 355 339 Total $ 122,842 $ 125,568 $ 123,191 $ 122,915 State and municipal Due within 1 year $ 769 $ 763 $ 3,289 $ 3,287 After 1 but within 5 years 4,109 4,118 1,781 1,781 After 5 but within 10 years 322 337 502 516 After 10 years (2) 6,467 6,035 6,527 5,875 Total $ 11,667 $ 11,253 $ 12,099 $ 11,459 Foreign government Due within 1 year $ 25,129 $ 25,129 $ 25,898 $ 25,905 After 1 but within 5 years 50,290 50,457 43,514 43,464 After 5 but within 10 years 15,399 15,563 17,013 16,968 After 10 years (2) 2,590 2,690 2,326 2,337 Total $ 93,408 $ 93,839 $ 88,751 $ 88,674 All other (3) Due within 1 year $ 2,821 $ 2,824 $ 2,354 $ 2,355 After 1 but within 5 years 15,670 15,814 14,035 14,054 After 5 but within 10 years 8,455 8,387 9,789 9,593 After 10 years (2) 2,803 2,728 3,263 3,190 Total $ 29,749 $ 29,753 $ 29,441 $ 29,192 Total debt securities AFS $ 307,782 $ 311,341 $ 299,600 $ 298,511 (1) Includes mortgage-backed securities of U.S. government-sponsored agencies. (2) Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights. (3) Includes corporate, asset-backed and other debt securities. Debt Securities Held-to-Maturity The carrying value and fair value of debt securities HTM were as follows: In millions of dollars Amortized cost basis (1) Net unrealized gains (losses) recognized in AOCI Carrying value (2) Gross unrealized gains Gross unrealized (losses) Fair value June 30, 2016 Debt securities held-to-maturity Mortgage-backed securities (3) U.S. government agency guaranteed $ 17,158 $ 129 $ 17,287 $ 424 $ — $ 17,711 Prime 43 (8 ) 35 4 (1 ) 38 Alt-A 371 (43 ) 328 73 (2 ) 399 Subprime 2 — 2 10 — 12 Non-U.S. residential 1,166 (54 ) 1,112 35 (3 ) 1,144 Total mortgage-backed securities $ 18,740 $ 24 $ 18,764 $ 546 $ (6 ) $ 19,304 State and municipal (4) $ 8,476 $ (403 ) $ 8,073 $ 495 $ (68 ) $ 8,500 Foreign government 2,231 — 2,231 2 (1 ) 2,232 Asset-backed securities (3) 6,842 (7 ) 6,835 15 (37 ) 6,813 Total debt securities held-to-maturity $ 36,289 $ (386 ) $ 35,903 $ 1,058 $ (112 ) $ 36,849 December 31, 2015 Debt securities held-to-maturity Mortgage-backed securities (3) U.S. government agency guaranteed $ 17,648 $ 138 $ 17,786 $ 71 $ (100 ) $ 17,757 Prime 121 (78 ) 43 3 (1 ) 45 Alt-A 433 (1 ) 432 259 (162 ) 529 Subprime 2 — 2 13 — 15 Non-U.S. residential 1,330 (60 ) 1,270 37 — 1,307 Total mortgage-backed securities $ 19,534 $ (1 ) $ 19,533 $ 383 $ (263 ) $ 19,653 State and municipal $ 8,581 $ (438 ) $ 8,143 $ 245 $ (87 ) $ 8,301 Foreign government 4,068 — 4,068 28 (3 ) 4,093 Asset-backed securities (3) 4,485 (14 ) 4,471 34 (41 ) 4,464 Total debt securities held-to-maturity (5) $ 36,668 $ (453 ) $ 36,215 $ 690 $ (394 ) $ 36,511 (1) For securities transferred to HTM from Trading account assets , amortized cost basis is defined as the fair value of the securities at the date of transfer plus any accretion income and less any impairments recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any other-than-temporary impairment recognized in earnings. (2) HTM securities are carried on the Consolidated Balance Sheet at amortized cost basis, plus or minus any unamortized unrealized gains and losses and fair value hedge adjustments recognized in AOCI prior to reclassifying the securities from AFS to HTM. Changes in the values of these securities are not reported in the financial statements, except for the amortization of any difference between the carrying value at the transfer date and par value of the securities, and the recognition of any non-credit fair value adjustments in AOCI in connection with the recognition of any credit impairment in earnings related to securities the Company continues to intend to hold until maturity. (3) The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 20 to the Consolidated Financial Statements. (4) The net unrealized losses recognized in AOCI on state and municipal debt securities are primarily attributable to the effects of fair value hedge accounting applied when these debt securities were classified as AFS. Specifically, Citi hedged the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged. However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from AOCI to earnings attributable solely to changes in the LIBOR swap rate resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities. Upon transfer of these debt securities to HTM, all hedges have been de-designated and hedge accounting has ceased. (5) During the second quarter of 2015, securities with a total fair value of approximately $7.1 billion were transferred from AFS to HTM, consisting of $7.0 billion of U.S. government agency mortgage-backed securities and $0.1 billion of obligations of U.S. states and municipalities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call in order to reduce the impact of price volatility on AOCI and certain capital measures under Basel III. While these securities were transferred to HTM at fair value as of the transfer date, no subsequent changes in value may be recorded, other than in connection with the recognition of any subsequent other-than-temporary impairment and the amortization of differences between the carrying values at the transfer date and the par values of each security as an adjustment of yield over the remaining contractual life of each security. Any net unrealized holding losses within AOCI related to the respective securities at the date of transfer, inclusive of any cumulative fair value hedge adjustments, will be amortized over the remaining contractual life of each security as an adjustment of yield in a manner consistent with the amortization of any premium or discount. The Company has the positive intent and ability to hold these securities to maturity or, where applicable, the exercise of any issuer call options, absent any unforeseen significant changes in circumstances, including deterioration in credit or changes in regulatory capital requirements. The net unrealized losses classified in AOCI primarily relate to debt securities previously classified as AFS that have been transferred to HTM, and include any cumulative fair value hedge adjustments. The net unrealized loss amount also includes any non-credit-related changes in fair value of HTM securities that have suffered credit impairment recorded in earnings. The AOCI balance related to HTM securities is amortized over the remaining contractual life of the related securities as an adjustment of yield in a manner consistent with the accretion of any difference between the carrying value at the transfer date and par value of the same debt securities. The table below shows the fair value of debt securities HTM that have been in an unrecognized loss position for less than 12 months and for 12 months or longer: Less than 12 months 12 months or longer Total In millions of dollars Fair Gross Fair Gross Fair Gross June 30, 2016 Debt securities held-to-maturity Mortgage-backed securities $ 48 $ 3 $ 77 $ 3 $ 125 $ 6 State and municipal 224 8 1,755 60 1,979 68 Foreign government 278 1 — — 278 1 Asset-backed securities 2 — 5,693 37 5,695 37 Total debt securities held-to-maturity $ 552 $ 12 $ 7,525 $ 100 $ 8,077 $ 112 December 31, 2015 Debt securities held-to-maturity Mortgage-backed securities $ 935 $ 1 $ 10,301 $ 262 $ 11,236 $ 263 State and municipal 881 20 1,826 67 2,707 87 Foreign government 180 3 — — 180 3 Asset-backed securities 132 13 3,232 28 3,364 41 Total debt securities held-to-maturity $ 2,128 $ 37 $ 15,359 $ 357 $ 17,487 $ 394 Excluded from the gross unrecognized losses presented in the above table are $(386) million and $(453) million of net unrealized losses recorded in AOCI as of June 30, 2016 and December 31, 2015 , respectively, primarily related to the difference between the amortized cost and carrying value of HTM securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at June 30, 2016 and December 31, 2015 . The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates: June 30, 2016 December 31, 2015 In millions of dollars Carrying value Fair value Carrying value Fair value Mortgage-backed securities Due within 1 year $ — $ — $ — $ — After 1 but within 5 years 456 471 172 172 After 5 but within 10 years 347 360 660 663 After 10 years (1) 17,961 18,473 18,701 18,818 Total $ 18,764 $ 19,304 $ 19,533 $ 19,653 State and municipal Due within 1 year $ 441 $ 434 $ 309 $ 305 After 1 but within 5 years 262 263 336 335 After 5 but within 10 years 216 231 262 270 After 10 years (1) 7,154 7,572 7,236 7,391 Total $ 8,073 $ 8,500 $ 8,143 $ 8,301 Foreign government Due within 1 year $ 1,655 $ 1,657 $ — $ — After 1 but within 5 years 576 575 4,068 4,093 After 5 but within 10 years — — — — After 10 years (1) — — — — Total $ 2,231 $ 2,232 $ 4,068 $ 4,093 All other (2) Due within 1 year $ — $ — $ — $ — After 1 but within 5 years — — — — After 5 but within 10 years 134 134 — — After 10 years (1) 6,701 6,679 4,471 4,464 Total $ 6,835 $ 6,813 $ 4,471 $ 4,464 Total debt securities held-to-maturity $ 35,903 $ 36,849 $ 36,215 $ 36,511 (1) Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights. (2) Includes corporate and asset-backed securities. Evaluating Investments for Other-Than-Temporary Impairment Overview The Company conducts periodic reviews of all securities with unrealized losses to evaluate whether the impairment is other-than-temporary. An unrealized loss exists when the current fair value of an individual security is less than its amortized cost basis. Unrealized losses that are determined to be temporary in nature are recorded, net of tax, in AOCI for AFS securities. Losses related to HTM securities generally are not recorded, as these investments are carried at adjusted amortized cost basis. However, for HTM securities with credit-related losses, the credit loss is recognized in earnings as OTTI and any difference between the cost basis adjusted for the OTTI and fair value is recognized in AOCI and amortized as an adjustment of yield over the remaining contractual life of the security. For securities transferred to HTM from Trading account assets , amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any impairment recognized in earnings. Regardless of the classification of the securities as AFS or HTM, the Company assesses each position with an unrealized loss for OTTI. Factors considered in determining whether a loss is temporary include: • the length of time and the extent to which fair value has been below cost; • the severity of the impairment; • the cause of the impairment and the financial condition and near-term prospects of the issuer; • activity in the market of the issuer that may indicate adverse credit conditions; and • the Company’s ability and intent to hold the investment for a period of time sufficient to allow for any anticipated recovery. The Company’s review for impairment generally entails: • identification and evaluation of impaired investments; • analysis of individual investments that have fair values less than amortized cost, including consideration of the length of time the investment has been in an unrealized loss position and the expected recovery period; • consideration of evidential matter, including an evaluation of factors or triggers that could cause individual investments to qualify as having other-than-temporary impairment and those that would not support other-than-temporary impairment; and • documentation of the results of these analyses, as required under business policies. Debt Securities The entire difference between amortized cost basis and fair value is recognized in earnings as OTTI for impaired debt securities that the Company has an intent to sell or for which the Company believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings and any non-credit-related impairment is recorded in AOCI. For debt securities, credit impairment exists where management does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security. Equity Securities For equity securities, management considers the various factors described above, including its intent and ability to hold the equity security for a period of time sufficient for recovery to cost or whether it is more-likely-than-not that the Company will be required to sell the security prior to recovery of its cost basis. Where management lacks that intent or ability, the security’s decline in fair value is deemed to be other-than-temporary and is recorded in earnings. AFS equity securities deemed to be other-than-temporarily impaired are written down to fair value, with the full difference between fair value and cost recognized in earnings. Management assesses equity method investments that have fair values that are less than their respective carrying values for OTTI. Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 22 to the Consolidated Financial Statements). For impaired equity method investments that Citi plans to sell prior to recovery of value or would likely be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized in earnings as OTTI regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date. For impaired equity method investments that management does not plan to sell and is not likely to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators, regardless of the time and extent of impairment: • the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer; • the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and • the length of time and extent to which fair value has been less than the carrying value. The sections below describe the Company’s process for identifying credit-related impairments for security types that have the most significant unrealized losses as of June 30, 2016 . Mortgage-Backed Securities For U.S. mortgage-backed securities (and in particular for Alt-A and other mortgage-backed securities that have significant unrealized losses as a percentage of amortized cost), credit impairment is assessed using a cash flow model that estimates the principal and interest cash flows on the underlying mortgages using the security-specific collateral and transaction structure. The model distributes the estimated cash flows to the various tranches of securities, considering the transaction structure and any subordination and credit enhancements that exist in that structure. The cash flow model incorporates actual cash flows on the mortgage-backed securities through the current period and then estimates the remaining cash flows using a number of assumptions, including default rates, prepayment rates, recovery rates (on foreclosed properties) and loss severity rates (on non-agency mortgage-backed securities). Management develops specific assumptions using market data, internal estimates and estimates published by rating agencies and other third-party sources. Default rates are projected by considering current underlying mortgage loan performance, generally assuming the default of (i) 10% of current loans, (ii) 25% of 30 – 59 day delinquent loans, (iii) 70% of 60 – 90 day delinquent loans and (iv) 100% of 91 + day delinquent loans. These estimates are extrapolated along a default timing curve to estimate the total lifetime pool default rate. Other assumptions contemplate the actual collateral attributes, including geographic concentrations, rating actions and current market prices. Cash flow projections are developed using different stress test scenarios. Management evaluates the results of those stress tests (including the severity of any cash shortfall indicated and the likelihood of the stress scenarios actually occurring based on the underlying pool’s characteristics and performance) to assess whether management expects to recover the amortized cost basis of the security. If cash flow projections indicate that the Company does not expect to recover its amortized cost basis, the Company recognizes the estimated credit loss in earnings. State and Municipal Securities The process for identifying credit impairments in Citigroup’s AFS and HTM state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. Citigroup monitors the bond issuers and any insurers providing default protection in the form of financial guarantee insurance. The average external credit rating, ignoring any insurance, is Aa3/AA-. In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments. For state and municipal bonds with unrealized losses that Citigroup plans to sell (for AFS only), would be more-likely-than-not required to sell (for AFS only) or will be subject to an issuer call deemed probable of exercise prior to the expected recovery of its amortized cost basis (for AFS and HTM), the full impairment is recognized in earnings. Recognition and Measurement of OTTI The total OTTI recognized in earnings follows: OTTI on Investments and Other Assets Three Months Ended Six Months Ended In millions of dollars AFS (1) HTM Other Assets Total AFS (1)(2) HTM Other Assets (3) Total Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell: Total OTTI losses recognized during the period $ 2 $ 1 $ — $ 3 $ 3 $ 1 $ — $ 4 Less: portion of impairment loss recognized in AOCI (before taxes) — — — — — — — — Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell $ 2 $ 1 $ — $ 3 $ 3 $ 1 $ — $ 4 Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses 28 17 70 115 223 24 332 579 Total impairment losses recognized in earnings $ 30 $ 18 $ 70 $ 118 $ 226 $ 25 $ 332 $ 583 (1) Includes OTTI on non-marketable equity securities. (2) Includes a $160 million impairment related to AFS securities affected by changes in the Venezuela exchange rate during the six months ended June 30, 2016. (3) The impairment charge is related to the carrying value of an equity investment. OTTI on Investments and Other Assets Three Months Ended Six Months Ended In millions of dollars AFS (1) HTM Other Total AFS (1) HTM Other Total Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell: Total OTTI losses recognized during the period $ — $ — $ — $ — $ — $ — $ — $ — Less: portion of impairment loss recognized in AOCI (before taxes) — — — — — — — — Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell $ — $ — $ — $ — $ — $ — $ — $ — Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses 19 19 5 43 88 22 5 115 Total impairment losses recognized in earnings $ 19 $ 19 $ 5 $ 43 $ 88 $ 22 $ 5 $ 115 (1) Includes OTTI on non-marketable equity securities. The following are three-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities held that the Company does not intend to sell nor likely will be required to sell: Cumulative OTTI credit losses recognized in earnings on securities still held In millions of dollars Mar. 31, 2016 balance Credit Credit Reductions due to June 30, 2016 balance AFS debt securities Mortgage-backed securities $ 294 $ 1 $ — $ — $ 295 State and municipal — — — — — Foreign government securities 170 — — — 170 Corporate 110 — 2 (2 ) 110 All other debt securities 166 — — — 166 Total OTTI credit losses recognized for AFS debt securities $ 740 $ 1 $ 2 $ (2 ) $ 741 HTM debt securities Mortgage-backed securities (1) $ 668 $ — $ — $ (24 ) $ 644 State and municipal — 1 — — 1 All other debt securities 132 — — (1 ) 131 Total OTTI credit losses recognized for HTM debt securities $ 800 $ 1 $ — $ (25 ) $ 776 (1) Primarily consists of Alt-A securities. Cumulative OTTI credit losses recognized in earnings on securities still held In millions of dollars Mar. 31, 2015 balance Credit Credit Reductions due to June 30, 2015 balance AFS debt securities Mortgage-backed securities $ 295 $ — $ — $ — $ 295 State and municipal — — — — — Foreign government securities |
LOANS
LOANS | 6 Months Ended |
Jun. 30, 2016 | |
Loans and Leases Receivable Disclosure [Abstract] | |
LOANS | LOANS Citigroup loans are reported in two categories—consumer and corporate. These categories are classified primarily according to the segment and subsegment that manage the loans. Consumer Loans Consumer loans represent loans and leases managed primarily by the GCB businesses in Citicorp and in Citi Holdings. The following table provides information by loan type for the periods indicated: In millions of dollars June 30, December 31, 2015 In U.S. offices Mortgage and real estate (1) $ 77,242 $ 80,281 Installment, revolving credit, and other 3,486 3,480 Cards (2) 120,113 112,800 Commercial and industrial 7,041 6,407 $ 207,882 $ 202,968 In offices outside the U.S. Mortgage and real estate (1) $ 46,049 $ 47,062 Installment, revolving credit, and other 27,830 29,480 Cards 25,844 27,342 Commercial and industrial 17,857 17,741 Lease financing 140 362 $ 117,720 $ 121,987 Total consumer loans $ 325,602 $ 324,955 Net unearned income $ 817 830 Consumer loans, net of unearned income $ 326,419 $ 325,785 (1) Loans secured primarily by real estate. (2) Includes $11.3 billion of loans related to the acquisition of the Costco U.S. co-branded credit card portfolio, completed on June 17, 2016. Citigroup has established a risk management process to monitor, evaluate and manage the principal risks associated with its consumer loan portfolio. Credit quality indicators that are actively monitored include delinquency status, consumer credit scores (FICO), and loan to value (LTV) ratios, each as discussed in more detail below. Included in the loan table above are lending products whose terms may give rise to greater credit issues. Credit cards with below-market introductory interest rates and interest-only loans are examples of such products. These products are closely managed using credit techniques that are intended to mitigate their higher inherent risk. During the three and six months ended June 30, 2016 and 2015 , the Company sold and/or reclassified to held-for-sale $2.1 billion and $4.7 billion , and $1.5 billion and $14.8 billion respectively, of consumer loans. Delinquency Status Delinquency status is monitored and considered a key indicator of credit quality of consumer loans. Principally, the U.S. residential first mortgage loans use the Mortgage Bankers Association (MBA) method of reporting delinquencies, which considers a loan delinquent if a monthly payment has not been received by the end of the day immediately preceding the loan’s next due date. All other loans use a method of reporting delinquencies that considers a loan delinquent if a monthly payment has not been received by the close of business on the loan’s next due date. As a general policy, residential first mortgages, home equity loans and installment loans are classified as non-accrual when loan payments are 90 days contractually past due. Credit cards and unsecured revolving loans generally accrue interest until payments are 180 days past due. Home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage is 90 days or more past due. Mortgage loans in regulated bank entities discharged through Chapter 7 bankruptcy, other than Federal Housing Administration (FHA)-insured loans, are classified as non-accrual. Commercial market loans are placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due. The policy for re-aging modified U.S. consumer loans to current status varies by product. Generally, one of the conditions to qualify for these modifications is that a minimum number of payments (typically ranging from one to three ) be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open-ended consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended consumer loans subject to FFIEC guidelines, one of the conditions for a loan to be re-aged to current status is that at least three consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years). Furthermore, FHA and Department of Veterans Affairs (VA) loans are modified under those respective agencies’ guidelines and payments are not always required in order to re-age a modified loan to current. The following tables provide details on Citigroup’s consumer loan delinquency and non-accrual loans: Consumer Loan Delinquency and Non-Accrual Details at June 30, 2016 In millions of dollars Total current (1)(2) 30–89 days past due (3) ≥ 90 days past due (3) Past due government guaranteed (4) Total loans (2) Total non-accrual 90 days past due and accruing In North America offices Residential first mortgages $ 53,014 $ 583 $ 350 $ 1,885 $ 55,832 $ 1,281 $ 1,600 Home equity loans (5) 20,391 252 433 — 21,076 740 — Credit cards 118,460 1,219 1,129 — 120,808 — 1,128 Installment and other 4,695 62 36 — 4,793 64 — Commercial banking loans 8,731 15 69 — 8,815 433 11 Total $ 205,291 $ 2,131 $ 2,017 $ 1,885 $ 211,324 $ 2,518 $ 2,739 In offices outside North America Residential first mortgages $ 38,849 $ 235 $ 161 $ — $ 39,245 $ 399 $ — Credit cards 24,276 434 396 — 25,106 282 256 Installment and other 25,611 357 138 — 26,106 308 — Commercial banking loans 24,473 19 131 — 24,623 195 — Total $ 113,209 $ 1,045 $ 826 $ — $ 115,080 $ 1,184 $ 256 Total GCB and Citi Holdings consumer $ 318,500 $ 3,176 $ 2,843 $ 1,885 $ 326,404 $ 3,702 $ 2,995 Other (6) 14 1 — — 15 3 — Total Citigroup $ 318,514 $ 3,177 $ 2,843 $ 1,885 $ 326,419 $ 3,705 $ 2,995 (1) Loans less than 30 days past due are presented as current. (2) Includes $32 million of residential first mortgages recorded at fair value. (3) Excludes loans guaranteed by U.S. government-sponsored entities. (4) Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.3 billion and 90 days or more past due of $1.6 billion . (5) Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions. (6) Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Citi Holdings consumer credit metrics. Consumer Loan Delinquency and Non-Accrual Details at December 31, 2015 In millions of dollars Total current (1)(2) 30–89 days past due (3) ≥ 90 days past due (3) Past due government guaranteed (4) Total loans (2) Total non-accrual 90 days past due and accruing In North America offices Residential first mortgages $ 53,146 $ 846 $ 564 $ 2,318 $ 56,874 $ 1,216 $ 1,997 Home equity loans (5) 22,335 136 277 — 22,748 1,017 — Credit cards 110,814 1,296 1,243 — 113,353 — 1,243 Installment and other 4,576 80 33 — 4,689 56 2 Commercial banking loans 8,241 16 61 — 8,318 222 17 Total $ 199,112 $ 2,374 $ 2,178 $ 2,318 $ 205,982 $ 2,511 $ 3,259 In offices outside North America Residential first mortgages $ 39,551 $ 240 $ 175 $ — $ 39,966 $ 388 $ — Credit cards 25,698 477 442 — 26,617 261 278 Installment and other 27,664 317 220 — 28,201 226 — Commercial banking loans 24,764 46 31 — 24,841 247 — Total $ 117,677 $ 1,080 $ 868 $ — $ 119,625 $ 1,122 $ 278 Total GCB and Citi Holdings $ 316,789 $ 3,454 $ 3,046 $ 2,318 $ 325,607 $ 3,633 $ 3,537 Other (6) 164 7 7 — 178 25 — Total Citigroup $ 316,953 $ 3,461 $ 3,053 $ 2,318 $ 325,785 $ 3,658 $ 3,537 (1) Loans less than 30 days past due are presented as current. (2) Includes $34 million of residential first mortgages recorded at fair value. (3) Excludes loans guaranteed by U.S. government-sponsored entities. (4) Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.3 billion and 90 days or more past due of $2.0 billion . (5) Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions. (6) Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Citi Holdings consumer credit metrics. Consumer Credit Scores (FICO) In the U.S., independent credit agencies rate an individual’s risk for assuming debt based on the individual’s credit history and assign every consumer a “FICO” (Fair Isaac Corporation) credit score. These scores are continually updated by the agencies based upon an individual’s credit actions (e.g., taking out a loan or missed or late payments). The following tables provide details on the FICO scores attributable to Citi’s U.S. consumer loan portfolio (commercial market loans are not included in the table since they are business based and FICO scores are not a primary driver in their credit evaluation). FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio. FICO score distribution in U.S. portfolio (1)(2) June 30, 2016 In millions of dollars Less than 620 ≥ 620 but less than 660 Equal to or greater than 660 Residential first mortgages $ 2,978 $ 2,742 $ 45,580 Home equity loans 1,884 1,584 16,360 Credit cards 7,332 10,234 100,186 Installment and other 310 265 2,643 Total $ 12,504 $ 14,825 $ 164,769 (1) Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (LTSCs) with U.S. government-sponsored entities and loans recorded at fair value. (2) Excludes balances where FICO was not available. Such amounts are not material. FICO score distribution in U.S. portfolio (1)(2) December 31, 2015 In millions of dollars Less than 620 ≥ 620 but less than 660 Equal to or greater than 660 Residential first mortgages $ 3,483 $ 3,036 $ 45,047 Home equity loans 2,067 1,782 17,837 Credit cards 7,341 10,072 93,194 Installment and other 337 270 2,662 Total $ 13,228 $ 15,160 $ 158,740 (1) Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value. (2) Excludes balances where FICO was not available. Such amounts are not material. Loan to Value (LTV) Ratios 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 attributable to Citi’s U.S. consumer mortgage portfolios. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices. LTV distribution in U.S. portfolio (1)(2) June 30, 2016 In millions of dollars Less than or equal to 80% > 80% but less than or equal to 100% Greater than 100% Residential first mortgages $ 46,838 $ 4,032 $ 502 Home equity loans 13,283 4,341 2,104 Total $ 60,121 $ 8,373 $ 2,606 (1) Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value. (2) Excludes balances where LTV was not available. Such amounts are not material. LTV distribution in U.S. portfolio (1)(2) December 31, 2015 In millions of dollars Less than or equal to 80% > 80% but less than or equal to 100% Greater than 100% Residential first mortgages $ 46,559 $ 4,478 $ 626 Home equity loans 13,904 5,147 2,527 Total $ 60,463 $ 9,625 $ 3,153 (1) Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value. (2) Excludes balances where LTV was not available. Such amounts are not material. Impaired Consumer Loans Impaired loans are those loans where Citigroup believes it is probable all amounts due according to the original contractual terms of the loan will not be collected. Impaired consumer loans include non-accrual commercial market loans, as well as smaller-balance homogeneous loans whose terms have been modified due to the borrower’s financial difficulties and where Citigroup has granted a concession to the borrower. These modifications may include interest rate reductions and/or principal forgiveness. Impaired consumer loans exclude smaller-balance homogeneous loans that have not been modified and are carried on a non-accrual basis. The following tables present information about total impaired consumer loans and interest income recognized on impaired consumer loans: Three months ended June 30, Six months ended June 30, Balance at June 30, 2016 2016 2015 2016 2015 In millions of dollars Recorded investment (1)(2) Unpaid principal balance Related specific allowance (3) Average carrying value (4) Interest income (5) Interest income (5) Interest income recognized (5) Interest income recognized (5) Mortgage and real estate Residential first mortgages $ 4,732 $ 5,183 $ 532 $ 6,366 $ 43 $ 111 $ 104 $ 252 Home equity loans 1,329 1,858 311 1,483 9 17 18 34 Credit cards 1,849 1,884 581 1,924 39 45 80 89 Installment and other Individual installment and other 468 552 226 469 7 8 14 39 Commercial banking loans 587 945 125 442 2 3 4 6 Total $ 8,965 $ 10,422 $ 1,775 $ 10,684 $ 100 $ 184 $ 220 $ 420 (1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans. (2) $1,081 million of residential first mortgages, $439 million of home equity loans and $128 million of commercial market loans do not have a specific allowance. (3) Included in the Allowance for loan losses . (4) Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance. (5) Includes amounts recognized on both an accrual and cash basis. Balance, December 31, 2015 In millions of dollars Recorded investment (1)(2) Unpaid principal balance Related specific allowance (3) Average carrying value (4) Mortgage and real estate Residential first mortgages $ 6,038 $ 6,610 $ 739 $ 8,932 Home equity loans 1,399 1,972 406 1,778 Credit cards 1,950 1,986 604 2,079 Installment and other Individual installment and other 464 519 197 449 Commercial banking loans 341 572 100 361 Total $ 10,192 $ 11,659 $ 2,046 $ 13,599 (1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans. (2) $1,151 million of residential first mortgages, $459 million of home equity loans and $86 million of commercial market loans do not have a specific allowance. (3) Included in the Allowance for loan losses . (4) Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance. Consumer Troubled Debt Restructurings The following tables present consumer TDRs occurring: At and for the three months ended June 30, 2016 In millions of dollars except number of loans modified Number of Post- (1)(2) Deferred (3) Contingent (4) Principal (5) Average North America Residential first mortgages 1,346 $ 205 $ 1 $ — $ 1 1 % Home equity loans 814 30 — — — 3 Credit cards 42,792 164 — — — 17 Installment and other revolving 1,381 12 — — — 14 Commercial markets (6) 41 6 — — — — Total (8) 46,374 $ 417 $ 1 $ — $ 1 International Residential first mortgages 613 23 — — — 1 % Credit cards 28,628 90 — — 2 12 Installment and other revolving 11,198 58 — — 2 7 Commercial markets (6) 42 20 — — — — Total (8) 40,481 $ 191 $ — $ — $ 4 At and for the three months ended June 30, 2015 In millions of dollars except number of loans modified Number of loans modified Post- modification recorded investment (1)(7) Deferred principal (3) Contingent principal forgiveness (4) Principal forgiveness (5) Average interest rate reduction North America Residential first mortgages 2,709 $ 366 $ 2 $ 1 $ 8 1 % Home equity loans 1,292 45 — — 1 2 Credit cards 44,848 184 — — — 16 Installment and other revolving 1,092 9 — — — 14 Commercial markets (6) 99 17 — — — — Total (8) 50,040 $ 621 $ 2 $ 1 $ 9 International Residential first mortgages 758 25 — — — — % Credit cards 37,587 103 — — 2 12 Installment and other revolving 13,167 61 — — 2 6 Commercial markets (6) 48 22 — — — 1 Total (8) 51,560 $ 211 $ — $ — $ 4 (1) Post-modification balances include past due amounts that are capitalized at the modification date. (2) Post-modification balances in North America include $ 21 million of residential first mortgages and $ 4 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended June 30, 2016. These amounts include $ 13 million of residential first mortgages and $ 4 million of home equity loans that were newly classified as TDRs in the three months ended June 30, 2016, based on previously received OCC guidance. (3) Represents portion of contractual loan principal that is non-interest bearing but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value. (4) Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness. (5) Represents portion of contractual loan principal that was forgiven at the time of permanent modification. (6) Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest. (7) Post-modification balances in North America include $ 62 million of residential first mortgages and $ 15 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended June 30, 2015 . These amounts include $ 35 million of residential first mortgages and $ 12 million of home equity loans that were newly classified as TDRs in the three months ended June 30, 2015 , based on previously received OCC guidance. (8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs. At and for the six months ended June 30, 2016 In millions of dollars except number of loans modified Number of loans modified Post- modification recorded investment (1)(2) Deferred principal (3) Contingent principal forgiveness (4) Principal forgiveness (5) Average interest rate reduction North America Residential first mortgages 2,814 $ 417 $ 3 $ — $ 2 1 % Home equity loans 1,672 60 — — — 3 Credit cards 91,901 353 — — — 17 Installment and other revolving 2,766 24 — — — 14 Commercial banking (6) 64 11 — — — — Total (8) 99,217 $ 865 $ 3 $ — $ 2 International Residential first mortgages 1,032 $ 38 $ — $ — $ — 1 % Credit cards 80,835 213 — — 4 12 Installment and other revolving 32,842 140 — — 4 7 Commercial banking (6) 73 52 — — — — Total (8) 114,782 $ 443 $ — $ — $ 8 At and for the six months ended June 30, 2015 In millions of dollars except number of loans modified Number of loans modified Post- modification recorded investment (1)(7) Deferred principal (3) Contingent principal forgiveness (4) Principal forgiveness (5) Average interest rate reduction North America Residential first mortgages 5,802 $ 773 $ 6 $ 3 $ 17 1 % Home equity loans 2,550 90 1 — 2 2 Credit cards 95,158 396 — — — 16 Installment and other revolving 2,076 18 — — — 13 Commercial banking (6) 156 28 — — — — Total (8) 105,742 $ 1,305 $ 7 $ 3 $ 19 International Residential first mortgages 1,641 $ 49 $ — $ — $ — — % Credit cards 78,018 201 — — 4 13 Installment and other revolving 29,114 131 — — 4 5 Commercial banking (6) 125 49 — — — 1 Total (8) 108,898 $ 430 $ — $ — $ 8 (1) Post-modification balances include past due amounts that are capitalized at the modification date. (2) Post-modification balances in North America include $ 41 million of residential first mortgages and $ 9 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2016. These amounts include $ 27 million of residential first mortgages and $ 9 million of home equity loans that were newly classified as TDRs in the six months ended June 30, 2016, based on previously received OCC guidance. (3) Represents portion of contractual loan principal that is non-interest bearing but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value. (4) Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness. (5) Represents portion of contractual loan principal that was forgiven at the time of permanent modification. (6) Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest. (7) Post-modification balances in North America include $ 127 million of residential first mortgages and $ 29 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2015 . These amounts include $ 73 million of residential first mortgages and $ 24 million of home equity loans that were newly classified as TDRs in the six months ended June 30, 2015 , based on previously received OCC guidance. (8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs. The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due. Three Months Ended Six Months Ended In millions of dollars 2016 2015 2016 2015 North America Residential first mortgages $ 52 $ 117 $ 139 $ 227 Home equity loans 6 10 14 21 Credit cards 46 49 95 92 Installment and other revolving 2 2 4 3 Commercial banking 1 1 2 3 Total $ 107 $ 179 $ 254 $ 346 International Residential first mortgages $ 3 $ 6 $ 6 $ 12 Credit cards 37 36 73 71 Installment and other revolving 24 23 47 46 Commercial banking 6 7 15 15 Total $ 70 $ 72 $ 141 $ 144 Corporate Loans Corporate loans represent loans and leases managed by ICG . The following table presents information by corporate loan type: In millions of dollars June 30, December 31, In U.S. offices Commercial and industrial $ 50,286 $ 41,147 Financial institutions 32,001 36,396 Mortgage and real estate (1) 40,175 37,565 Installment, revolving credit and other 32,491 33,374 Lease financing 1,546 1,780 $ 156,499 $ 150,262 In offices outside the U.S. Commercial and industrial $ 87,125 $ 82,358 Financial institutions 27,856 28,704 Mortgage and real estate (1) 5,455 5,106 Installment, revolving credit and other 24,825 20,853 Lease financing 255 303 Governments and official institutions 5,757 4,911 $ 151,273 $ 142,235 Total corporate loans $ 307,772 $ 292,497 Net unearned income (676 ) (665 ) Corporate loans, net of unearned income $ 307,096 $ 291,832 (1) Loans secured primarily by real estate. The Company sold and/or reclassified to held-for-sale $0.8 billion and $1.3 billion of corporate loans during the three and six months ended June 30, 2016 , respectively and $0.5 billion and $1.1 billion during the three and six months ended June 30, 2015, 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, 2016 or 2015 . Delinquency Status Citi generally does not manage corporate loans on a delinquency basis. Corporate loans are identified as impaired and placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due, except when the loan is well collateralized and in the process of collection. Any interest accrued on impaired corporate loans and leases is reversed at 90 days past due and charged against current earnings, and interest is thereafter included in earnings only to the extent actually received in cash. When there is doubt regarding the ultimate collectability of principal, all cash receipts are thereafter applied to reduce the recorded investment in the loan. While corporate loans are generally managed based on their internally assigned risk rating (see further discussion below), the following tables present delinquency information by corporate loan type. Corporate Loan Delinquency and Non-Accrual Details at June 30, 2016 In millions of dollars 30–89 days past due and accruing (1) ≥ 90 days past due and accruing (1) Total past due and accruing Total non-accrual (2) Total current (3) Total loans (4) Commercial and industrial $ 44 $ — $ 44 $ 1,962 $ 132,551 $ 134,557 Financial institutions 51 — 51 194 59,147 59,392 Mortgage and real estate 325 — 325 183 44,940 45,448 Leases 35 9 44 60 1,697 1,801 Other 65 71 136 61 61,599 61,796 Loans at fair value 4,102 Purchased distressed loans — Total $ 520 $ 80 $ 600 $ 2,460 $ 299,934 $ 307,096 Corporate Loan Delinquency and Non-Accrual Details at December 31, 2015 In millions of dollars 30–89 days past due and accruing (1) ≥ 90 days past due and accruing (1) Total past due and accruing Total non-accrual (2) Total current (3) Total loans (4) Commercial and industrial $ 87 $ 4 $ 91 $ 1,071 $ 118,465 $ 119,627 Financial institutions 16 — 16 173 64,128 64,317 Mortgage and real estate 137 7 144 232 42,095 42,471 Leases — — — 76 2,006 2,082 Other 29 — 29 44 58,286 58,359 Loans at fair value 4,971 Purchased distressed loans 5 Total $ 269 $ 11 $ 280 $ 1,596 $ 284,980 $ 291,832 (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 past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful. (3) Corporate loans are past due when principal or interest is contractually due but unpaid. Loans less than 30 days past due are presented as current. (4) Total loans include loans at fair value, which are not included in the various delinquency columns. Citigroup has a risk management process to monitor, evaluate and manage the principal risks associated with its corporate loan portfolio. As part of its risk management process, Citi assigns numeric risk ratings to its corporate loan facilities based on quantitative and qualitative assessments of the obligor and facility. These risk ratings are reviewed at least annually or more often if material events related to the obligor or facility warrant. Factors considered in assigning the risk ratings include financial condition of the obligor, qualitative assessment of management and strategy, amount and sources of repayment, amount and type of collateral and guarantee arrangements, amount and type of any contingencies associated with the obligor, and the obligor’s industry and geography. The obligor risk ratings are defined by ranges of default probabilities. The facility risk ratings are defined by ranges of loss norms, which are the product of the probability of default and the loss given default. The investment grade rating categories are similar to the category BBB-/Baa3 and above as defined by S&P and Moody’s. Loans classified according to the bank regulatory definitions as special mention, substandard and doubtful will have risk ratings within the non-investment grade categories. Corporate Loans Credit Quality Indicators Recorded investment in loans (1) In millions of dollars June 30, December 31, Investment grade (2) Commercial and industrial $ 92,775 $ 85,828 Financial institutions 50,507 53,522 Mortgage and real estate 21,066 18,869 Leases 1,289 1,725 Other 55,129 51,449 Total investment grade $ 220,766 $ 211,393 Non-investment grade (2) Accrual Commercial and industrial $ 39,819 $ 32,726 Financial institutions 8,691 10,622 Mortgage and real estate 2,263 2,800 Leases 452 282 Other 6,607 6,867 Non-accrual Commercial and industrial 1,962 1,071 Financial institutions 194 173 Mortgage and real estate 183 232 Leases 60 76 Other 61 44 Total non-investment grade $ 60,292 $ 54,893 Private bank loans managed on a delinquency basis (2) $ 21,936 $ 20,575 Loans at fair value 4,102 4,971 Corporate loans, net of unearned income $ 307,096 $ 291,832 (1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs. (2) Held-for-investment loans are accounted for on an amortized cost basis. Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying collateral and there are no other available and reliable sources of repayment, are written down to the lower of cost or collateral value, less cost to sell. Cash-basis loans are returned to an accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance, generally six months , in accordance with the contractual terms of the loan. The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans: Non-Accrual Corporate Loans June 30, 2016 Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 In millions of dollars Recorded investment (1) Unpaid principal balance Related specific allowance Average carrying value (2) Interest income recognized (3) Interest income recognized (3) Non-accrual corporate loans Commercial and industrial $ 1,962 $ 2,343 $ 417 $ 1,490 $ 7 $ 17 Financial institutions 194 203 9 174 1 3 Mortgage and real estate 183 304 11 214 1 2 Lease financing 60 60 1 53 — — Other 61 117 47 60 3 3 Total non-accrual corporate loans $ 2,460 $ 3,027 $ 485 $ 1,991 $ 12 $ 25 December 31, 2015 In millions of dollars Recorded investment (1) Unpaid principal balance Related specific allowance Average carrying value (2) Non-accrual corporate loans Commercial and industrial $ 1,071 $ 1,224 $ 246 $ 859 Financial institutions 173 196 10 194 Mortgage and real estate 232 336 21 240 Lease financing 76 76 54 62 Other 44 114 32 39 Total non-accrual corporate loans $ 1,596 $ 1,946 $ 363 $ 1,394 June 30, 2016 December 31, 2015 In millions of dollars Recorded investment (1) Related specific allowance Recorded investment (1) Related specific allowance Non-accrual corporate loans with valuation allowances Commercial and industrial $ 941 $ 417 $ 571 $ 246 Financial institutions 14 9 18 10 Mortgage and real estate 34 11 60 21 Lease financing 59 1 75 54 Other 55 47 40 32 Total non-accrual corporate loans with specific allowance $ 1,103 $ 485 $ 764 $ 363 Non-accrual corporate loans without specific allowance Commercial and industrial $ 1,021 $ 500 Financial institutions 180 155 Mortgage and real estate 149 172 Lease financing 1 1 Other 6 4 Total non-accrual corporate loans without specific allowance $ 1,357 N/A $ 832 N/A (1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs. (2) Average carrying value represents the average recorded investment balance and does not include related specific allowance. (3) Interest income recognized for the three- and six-month periods ended June 30, 2015 was $4 million and $5 million , respectively. Corporate Troubled Debt Restructurings The following table presents corporate TDR activity at and for the three months ended June 30, 2016 : In millions of dollars Carrying Value TDRs involving changes in the amount and/or timing of principal payments (1) TDRs involving changes in the amount and/or timing of interest payments (2) TDRs involving changes in the amount and/or timing of both principal and interest payments Commercial and industrial $ 105 $ 73 $ 32 $ — Mortgage and |
ALLOWANCE FOR CREDIT LOSSES
ALLOWANCE FOR CREDIT LOSSES | 6 Months Ended |
Jun. 30, 2016 | |
Loans and Leases Receivable Disclosure [Abstract] | |
ALLOWANCE FOR CREDIT LOSSES | ALLOWANCE FOR CREDIT LOSSES Three Months Ended June 30, Six Months Ended In millions of dollars 2016 2015 2016 2015 Allowance for loan losses at beginning of period $ 12,712 $ 14,598 $ 12,626 $ 15,994 Gross credit losses (2,048 ) (2,335 ) (4,191 ) (4,793 ) Gross recoveries (1) 432 415 851 916 Net credit losses (NCLs) (2) $ (1,616 ) $ (1,920 ) $ (3,340 ) $ (3,877 ) NCLs $ 1,616 $ 1,920 $ 3,340 $ 3,877 Net reserve releases (90 ) (199 ) (48 ) (290 ) Net specific reserve releases (136 ) (206 ) (16 ) (317 ) Total provision for loan losses $ 1,390 $ 1,515 $ 3,276 $ 3,270 Other, net (3) (182 ) (118 ) (258 ) (1,312 ) Allowance for loan losses at end of period $ 12,304 $ 14,075 $ 12,304 $ 14,075 Allowance for credit losses on unfunded lending commitments at beginning of period $ 1,473 $ 1,023 $ 1,402 $ 1,063 Provision (release) for unfunded lending commitments (30 ) (48 ) 41 (85 ) Other, net (11 ) (2 ) (11 ) (5 ) Allowance for credit losses on unfunded lending commitments at end of period (4) $ 1,432 $ 973 $ 1,432 $ 973 Total allowance for loans, leases, and unfunded lending commitments $ 13,736 $ 15,048 $ 13,736 $ 15,048 (1) Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful. (2) As a result of the entry into an agreement in March 2015 to sell OneMain Financial (OneMain), OneMain was classified as held-for-sale (HFS) at the end of the first quarter of 2015. As a result of HFS accounting treatment, approximately $160 million of net credit losses were recorded as a reduction in revenue (Other revenue) during the second quarter of 2015. (3) The second quarter of 2016 includes a reduction of approximately $101 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $24 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes a reduction of approximately $75 million related to FX translation. The first quarter of 2016 includes a reduction of approximately $148 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $29 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the first quarter of 2016 includes an increase of approximately $63 million related to FX translation. The second quarter of 2015 includes a reduction of approximately $88 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $34 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the second quarter of 2015 includes a reduction of approximately $39 million related to FX translation. The first quarter of 2015 includes a reduction of approximately $1.0 billion related to the sale or transfer to HFS of various loan portfolios, including a reduction of $281 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the first quarter of 2015 includes a reduction of approximately $145 million related to FX translation. (4) Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet. Allowance for Credit Losses and Investment in Loans Three Months Ended June 30, 2016 June 30, 2015 In millions of dollars Corporate Consumer Total Corporate Consumer Total Allowance for loan losses at beginning of period $ 2,905 $ 9,807 $ 12,712 $ 2,546 $ 12,052 $ 14,598 Charge-offs (158 ) (1,890 ) (2,048 ) (126 ) (2,209 ) (2,335 ) Recoveries 16 416 432 19 396 415 Replenishment of net charge-offs 142 1,474 1,616 107 1,813 1,920 Net reserve releases (16 ) (74 ) (90 ) (32 ) (167 ) (199 ) Net specific reserve releases (11 ) (125 ) (136 ) (119 ) (87 ) (206 ) Other (6 ) (176 ) (182 ) 11 (129 ) (118 ) Ending balance $ 2,872 $ 9,432 $ 12,304 $ 2,406 $ 11,669 $ 14,075 Six Months Ended June 30, 2016 June 30, 2015 In millions of dollars Corporate Consumer Total Corporate Consumer Total Allowance for loan losses at beginning of period $ 2,791 $ 9,835 $ 12,626 $ 2,447 $ 13,547 $ 15,994 Charge-offs (382 ) (3,809 ) (4,191 ) (152 ) (4,641 ) (4,793 ) Recoveries 29 822 851 52 864 916 Replenishment of net charge-offs 353 2,987 3,340 100 3,777 3,877 Net reserve releases (12 ) (36 ) (48 ) 80 (370 ) (290 ) Net specific reserve builds (releases) 90 (106 ) (16 ) (116 ) (201 ) (317 ) Other 3 (261 ) (258 ) (5 ) (1,307 ) (1,312 ) Ending balance $ 2,872 $ 9,432 $ 12,304 $ 2,406 $ 11,669 $ 14,075 June 30, 2016 December 31, 2015 In millions of dollars Corporate Consumer Total Corporate Consumer Total Allowance for loan losses Determined in accordance with ASC 450 $ 2,386 $ 7,650 $ 10,036 $ 2,408 $ 7,776 $ 10,184 Determined in accordance with ASC 310-10-35 486 1,775 2,261 380 2,046 2,426 Determined in accordance with ASC 310-30 — 7 7 3 13 16 Total allowance for loan losses $ 2,872 $ 9,432 $ 12,304 $ 2,791 $ 9,835 $ 12,626 Loans, net of unearned income Loans collectively evaluated for impairment in accordance with ASC 450 $ 300,328 $ 317,210 $ 617,538 $ 285,053 $ 315,314 $ 600,367 Loans individually evaluated for impairment in accordance with ASC 310-10-35 2,666 8,965 11,631 1,803 10,192 11,995 Loans acquired with deteriorated credit quality in accordance with ASC 310-30 — 212 212 5 245 250 Loans held at fair value 4,102 32 4,134 4,971 34 5,005 Total loans, net of unearned income $ 307,096 $ 326,419 $ 633,515 $ 291,832 $ 325,785 $ 617,617 |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS | 6 Months Ended |
Jun. 30, 2016 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
GOODWILL AND INTANGIBLE ASSETS | GOODWILL AND INTANGIBLE ASSETS Goodwill The changes in Goodwill were as follows: In millions of dollars Balance, December 31, 2015 $ 22,349 Foreign exchange translation and other 239 Divestitures (13 ) Balance at March 31, 2016 $ 22,575 Foreign exchange translation and other (79 ) Balance at June 30, 2016 $ 22,496 The goodwill impairment testing process, including the methodology and assumptions used to estimate the fair value of the reporting units, is disclosed in more detail in Note 1 of Citigroup’s 2015 Annual Report on Form 10-K. During the first quarter of 2016, Citigroup announced its intention to exit its consumer businesses in Argentina, Brazil and Colombia. These businesses, which previously had been reported as part of Latin America GCB , are reported as part of Citi Holdings— Consumer Latin America beginning in the first quarter of 2016. In addition, the other component businesses of Latin America GCB , except the Mexico consumer business, were either transferred to the ICG reporting units (Banking and Markets) or North America GCB reporting unit (International Personal Banking). Furthermore, the remaining businesses in EMEA GCB , except for the commercial business which was transferred to the ICG —Banking reporting unit, are reported under Asia GCB . Goodwill balances associated with the transfers were allocated to each of the component businesses based on their relative fair values to the legacy reporting units. An interim goodwill impairment test was performed as of January 1, 2016 for the impacted reporting units resulting in no impairment under the legacy and current reporting unit structures. There were no other triggering events during the first quarter of 2016. During the second quarter of 2016, there were no triggering events that would more-likely-than-not reduce the fair value of a reporting unit below its carrying value for all reporting units with goodwill balances. The fair values of the Company’s reporting units substantially exceeded their carrying values and did not indicate a risk of impairment based on current valuations. The following table shows reporting units with goodwill balances as of June 30, 2016. In millions of dollars Reporting unit (1)(2) Goodwill North America Global Consumer Banking $ 6,766 Asia Global Consumer Banking (3) 5,002 Latin America Global Consumer Banking (4) 1,176 ICG— Banking 2,892 ICG— Markets and Securities Services 6,580 Citi Holdings — Consumer Latin America 80 Total $ 22,496 (1) Citi Holdings —Other and Citi Holdings —ICG are excluded from the table as there is no goodwill allocated to them. (2) Citi Holdings —Consumer EMEA, is excluded from the table as the entire reporting unit, together with allocated goodwill, is classified as held-for-sale as of June 30, 2016. (3) Asia Global Consumer Banking includes the consumer businesses in UK, Russia, Poland, UAE and Bahrain beginning the first quarter of 2016. (4) Latin America Global Consumer Banking contains only the consumer business in Mexico beginning the first quarter of 2016. Intangible Assets The components of intangible assets were as follows: June 30, 2016 December 31, 2015 In millions of dollars Gross carrying amount Accumulated amortization Net carrying amount Gross carrying amount Accumulated amortization Net carrying amount Purchased credit card relationships $ 8,394 $ 6,543 $ 1,851 $ 7,606 $ 6,520 $ 1,086 Core deposit intangibles 869 818 51 1,050 969 81 Other customer relationships 530 289 241 471 252 219 Present value of future profits 35 30 5 37 31 6 Indefinite-lived intangible assets 238 — 238 284 — 284 Other (1) 5,764 2,629 3,135 4,659 2,614 2,045 Intangible assets (excluding MSRs) $ 15,830 $ 10,309 $ 5,521 $ 14,107 $ 10,386 $ 3,721 Mortgage servicing rights (MSRs) 1,324 — 1,324 1,781 — 1,781 Total intangible assets $ 17,154 $ 10,309 $ 6,845 $ 15,888 $ 10,386 $ 5,502 (1) Includes contract-related intangible assets. The changes in intangible assets were as follows: Net carrying Net carrying amount at In millions of dollars December 31, 2015 Acquisitions/ divestitures (1) Amortization FX translation and other June 30, Purchased credit card relationships $ 1,086 $ 848 $ (98 ) $ 15 $ 1,851 Core deposit intangibles 81 (13 ) (15 ) (2 ) 51 Other customer relationships 219 — (12 ) 34 241 Present value of future profits 6 — — (1 ) 5 Indefinite-lived intangible assets 284 (18 ) — (28 ) 238 Other 2,045 1,205 (133 ) 18 3,135 Intangible assets (excluding MSRs) $ 3,721 $ 2,022 $ (258 ) $ 36 $ 5,521 Mortgage servicing rights (MSRs) (2) 1,781 1,324 Total intangible assets $ 5,502 $ 6,845 (1) Reflects the recognition during the second quarter of 2016 of additional purchased credit card relationships and contract-related intangible assets as a result of the acquisition of the Costco cards portfolio, as well as the renewal and extension of the co-branded credit card program agreement with American Airlines. (2) For additional information on Citi’s MSRs, including the rollforward for the six months ended June 30, 2016, see Note 20 to the Consolidated Financial Statements. |
DEBT
DEBT | 6 Months Ended |
Jun. 30, 2016 | |
Debt Disclosure [Abstract] | |
DEBT | DEBT Short-Term Borrowings In millions of dollars June 30, December 31, Balance Balance Commercial paper $ 9,982 $ 9,995 Other borrowings 8,426 11,084 Total $ 18,408 $ 21,079 Borrowings under bank lines of credit may be at interest rates based on LIBOR, CD rates, the prime rate or bids submitted by the banks. Citigroup pays commitment fees for its lines of credit. Some of Citigroup’s non-bank subsidiaries have credit facilities with Citigroup’s subsidiary depository institutions, including Citibank. Borrowings under these facilities are secured in accordance with Section 23A of the Federal Reserve Act. Citigroup Global Markets Holdings Inc. (CGMHI) has borrowing agreements consisting of facilities that CGMHI has been advised are available, but where no contractual lending obligation exists. These arrangements are reviewed on an ongoing basis to ensure flexibility in meeting CGMHI’s short-term requirements. Long-Term Debt In millions of dollars June 30, December 31, 2015 Citigroup Inc. (1) $ 148,686 $ 142,157 Bank (2) 52,627 55,131 Broker-dealer (3) 6,135 3,987 Total $ 207,448 $ 201,275 (1) Parent holding company, Citigroup Inc. (2) Represents Citibank entities as well as other bank entities. At June 30, 2016 and December 31, 2015 , collateralized long-term advances from the Federal Home Loan Banks were $19.6 billion and $17.8 billion , respectively. (3) Represents broker-dealer subsidiaries that are consolidated into Citigroup Inc., the parent holding company. Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.7 billion at both June 30, 2016 and December 31, 2015 . The following table summarizes the Company’s outstanding trust preferred securities at June 30, 2016 : Junior subordinated debentures owned by trust Trust Issuance date Securities issued Liquidation value (1) Coupon rate (2) Common shares issued to parent Amount Maturity Redeemable by issuer beginning In millions of dollars, except share amounts Citigroup Capital III Dec. 1996 194,053 $ 194 7.625 % 6,003 $ 200 Dec. 1, 2036 Not redeemable Citigroup Capital XIII Sept. 2010 89,840,000 2,246 3 mo LIBOR + 637 bps 1,000 2,246 Oct. 30, 2040 Oct. 30, 2015 Citigroup Capital XVIII June 2007 99,901 134 6.829 50 134 June 28, 2067 June 28, 2017 Total obligated $ 2,574 $ 2,580 Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and Citigroup Capital XVIII and quarterly for Citigroup Capital XIII. (1) Represents the notional value received by investors from the trusts at the time of issuance. (2) In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities. |
CHANGES IN ACCUMULATED OTHER CO
CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) | 6 Months Ended |
Jun. 30, 2016 | |
Comprehensive Income (Loss), Net of Tax, Attributable to Parent [Abstract] | |
CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) | CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows: Three Months Ended June 30, 2016 In millions of dollars Net Debt valuation adjustment (DVA) (1) Cash flow hedges (2) Benefit plans (3) Foreign (4) Accumulated Balance, March 31, 2016 $ 1,127 $ 178 $ (300 ) $ (5,581 ) $ (22,050 ) $ (26,626 ) Other comprehensive income before reclassifications 1,025 16 115 (66 ) (552 ) 538 Increase (decrease) due to amounts reclassified from AOCI (98 ) (4 ) 36 39 — (27 ) Change, net of taxes $ 927 $ 12 $ 151 $ (27 ) $ (552 ) $ 511 Balance at June 30, 2016 $ 2,054 $ 190 $ (149 ) $ (5,608 ) $ (22,602 ) $ (26,115 ) Six Months Ended June 30, 2016 : Balance, December 31, 2015 $ (907 ) $ — $ (617 ) $ (5,116 ) $ (22,704 ) $ (29,344 ) Adjustment to opening balance, net of taxes (1) — (15 ) — — — (15 ) Adjusted balance, beginning of period $ (907 ) $ (15 ) $ (617 ) $ (5,116 ) $ (22,704 ) $ (29,359 ) Other comprehensive income before reclassifications 3,051 208 406 (566 ) 102 3,201 Increase (decrease) due to amounts reclassified from AOCI (90 ) (3 ) 62 74 — 43 Change, net of taxes $ 2,961 $ 205 $ 468 $ (492 ) $ 102 $ 3,244 Balance at June 30, 2016 $ 2,054 $ 190 $ (149 ) $ (5,608 ) $ (22,602 ) $ (26,115 ) Three Months Ended June 30, 2015 In millions of dollars Net Cash flow hedges (2) Benefit plans (3) Foreign (4) Accumulated Balance, March 31, 2015 $ 648 $ (823 ) $ (5,249 ) $ (19,267 ) $ (24,691 ) Other comprehensive income before reclassifications (844 ) 22 539 (148 ) (431 ) Increase (decrease) due to amounts reclassified from AOCI (91 ) 70 39 — 18 Change, net of taxes $ (935 ) $ 92 $ 578 $ (148 ) $ (413 ) Balance, June 30, 2015 $ (287 ) $ (731 ) $ (4,671 ) $ (19,415 ) $ (25,104 ) Six Months Ended June 30, 2015 : Balance, December 31, 2014 $ 57 $ (909 ) $ (5,159 ) $ (17,205 ) $ (23,216 ) Other comprehensive income before reclassifications (103 ) 54 408 (2,210 ) (1,851 ) Increase (decrease) due to amounts reclassified from AOCI (241 ) 124 80 — (37 ) Change, net of taxes $ (344 ) $ 178 $ 488 $ (2,210 ) $ (1,888 ) Balance, June 30, 2015 $ (287 ) $ (731 ) $ (4,671 ) $ (19,415 ) $ (25,104 ) (1) Beginning in the first quarter of 2016, changes in DVA are reflected as a component of AOCI, pursuant to the adoption of only the provisions of ASU 2016-01 relating to the presentation of DVA on fair value option liabilities. See Note 1 to the Consolidated Financial Statements for further information regarding this change. (2) Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities. (3) Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans, and amortization of amounts previously recognized in other comprehensive income. (4) Primarily reflects the movements in (by order of impact) the Mexican peso, Japanese yen, euro, and Brazilian real against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended June 30, 2016 . Primarily reflects the movements in (by order of impact) the Japanese yen, euro, Brazilian real and Chilean peso against the U.S. dollar, and changes in related tax effects and hedges for quarter ended March 31, 2016 . Primarily reflects the movements in (by order of impact) the Mexican peso, British pound, Korean won and euro against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended June 30, 2015. Primarily reflects the movements in (by order of impact) the euro, Mexican peso, British pound, and Brazilian real against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended March 31, 2015. The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows: Three Months Ended June 30, 2016 In millions of dollars Pretax Tax effect After-tax Balance, March 31, 2016 $ (34,668 ) $ 8,042 $ (26,626 ) Change in net unrealized gains (losses) on investment securities 1,482 (555 ) 927 Debt valuation adjustment (DVA) 20 (8 ) 12 Cash flow hedges 257 (106 ) 151 Benefit plans (31 ) 4 (27 ) Foreign currency translation adjustment (774 ) 222 (552 ) Change $ 954 $ (443 ) $ 511 Balance, June 30, 2016 $ (33,714 ) $ 7,599 $ (26,115 ) Six Months Ended June 30, 2016 In millions of dollars Pretax Tax effect After-tax Balance, December 31, 2015 $ (38,440 ) $ 9,096 $ (29,344 ) Adjustment to opening balance (1) (26 ) 11 (15 ) Adjusted balance, beginning of period $ (38,466 ) $ 9,107 $ (29,359 ) Change in net unrealized gains (losses) on investment securities 4,706 (1,745 ) 2,961 Debt valuation adjustment (DVA) 327 (122 ) 205 Cash flow hedges 739 (271 ) 468 Benefit plans (758 ) 266 (492 ) Foreign currency translation adjustment (262 ) 364 102 Change $ 4,752 $ (1,508 ) $ 3,244 Balance, June 30, 2016 $ (33,714 ) $ 7,599 $ (26,115 ) (1) Represents the ($15) million adjustment related to the initial adoption of ASU 2016-01. See Note 1 to the Consolidated Financial Statements. Three Months Ended June 30, 2015 In millions of dollars Pretax Tax effect After-tax Balance, March 31, 2015 $ (32,279 ) $ 7,588 $ (24,691 ) Change in net unrealized gains (losses) on investment securities (1,517 ) 582 (935 ) Cash flow hedges 118 (26 ) 92 Benefit plans 810 (232 ) 578 Foreign currency translation adjustment (280 ) 132 (148 ) Change $ (869 ) $ 456 $ (413 ) Balance, June 30, 2015 $ (33,148 ) $ 8,044 $ (25,104 ) Six Months Ended June 30, 2015 In millions of dollars Pretax Tax effect After-tax Balance, December 31, 2014 $ (31,060 ) $ 7,844 $ (23,216 ) Change in net unrealized gains (losses) on investment securities (468 ) 124 (344 ) Cash flow hedges 274 (96 ) 178 Benefit plans 689 (201 ) 488 Foreign currency translation adjustment (2,583 ) 373 (2,210 ) Change $ (2,088 ) $ 200 $ (1,888 ) Balance, June 30, 2015 $ (33,148 ) $ 8,044 $ (25,104 ) During the three and six months ended June 30, 2016 , the Company recognized pretax gain of $39 million ( $27 million net of tax) and pretax loss of $ 75 million ($ 43 million net of tax), respectively, related to amounts reclassified out of AOCI into 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, In millions of dollars 2016 2016 Realized (gains) losses on sales of investments $ (200 ) $ (386 ) OTTI gross impairment losses 48 251 Subtotal, pretax $ (152 ) $ (135 ) Tax effect 54 45 Net realized (gains) losses on investment securities, after-tax (1) $ (98 ) $ (90 ) Realized DVA (gains) losses on fair value option liabilities $ (6 ) $ (5 ) Subtotal, pretax $ (6 ) $ (5 ) Tax effect 2 2 Net realized debt valuation adjustment, after-tax $ (4 ) $ (3 ) Interest rate contracts $ 41 $ 57 Foreign exchange contracts 17 43 Subtotal, pretax $ 58 $ 100 Tax effect (22 ) (38 ) Amortization of cash flow hedges, after-tax (2) $ 36 $ 62 Amortization of unrecognized Prior service cost (benefit) $ (11 ) $ (21 ) Net actuarial loss 69 135 Curtailment/settlement impact (3) 3 1 Subtotal, pretax $ 61 $ 115 Tax effect (22 ) (41 ) Amortization of benefit plans, after-tax (3) $ 39 $ 74 Foreign currency translation adjustment $ — $ — Total amounts reclassified out of AOCI, pretax $ (39 ) $ 75 Total tax effect 12 (32 ) Total amounts reclassified out of AOCI, after-tax $ (27 ) $ 43 (1) The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 13 to the Consolidated Financial Statements for additional details. (2) See Note 21 to the Consolidated Financial Statements for additional details. (3) See Note 8 to the Consolidated Financial Statements for additional details. During the three and six months ended June 30, 2015 , the Company recognized pretax loss of $ 43 million ($ 18 million net of tax) and pretax gain of $ 42 million ($ 37 million net of tax), respectively, related to amounts reclassified out of AOCI into 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, In millions of dollars 2015 2015 Realized (gains) losses on sales of investments $ (183 ) $ (490 ) OTTI gross impairment losses 43 115 Subtotal, pretax $ (140 ) $ (375 ) Tax effect 49 134 Net realized (gains) losses on investment securities, after-tax (1) $ (91 ) $ (241 ) Interest rate contracts $ 74 $ 120 Foreign exchange contracts 37 77 Subtotal, pretax $ 111 $ 197 Tax effect (41 ) (73 ) Amortization of cash flow hedges, after-tax (2) $ 70 $ 124 Amortization of unrecognized Prior service cost (benefit) $ (10 ) $ (21 ) Net actuarial loss 72 147 Curtailment/settlement impact (3) 10 10 Subtotal, pretax $ 72 $ 136 Tax effect (33 ) (56 ) Amortization of benefit plans, after-tax (3) $ 39 $ 80 Foreign currency translation adjustment $ — $ — Total amounts reclassified out of AOCI, pretax $ 43 $ (42 ) Total tax effect (25 ) 5 Total amounts reclassified out of AOCI, after-tax $ 18 $ (37 ) (1) The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 13 to the Consolidated Financial Statements for additional details. (2) See Note 21 to the Consolidated Financial Statements for additional details. (3) See Note 8 to the Consolidated Financial Statements for additional details. |
PREFERRED STOCK
PREFERRED STOCK | 6 Months Ended |
Jun. 30, 2016 | |
Stockholders' Equity Note [Abstract] | |
PREFERRED STOCK | PREFERRED STOCK The following table summarizes the Company’s preferred stock outstanding: Redemption depositary Carrying value in millions of dollars Issuance date Redeemable by issuer beginning Dividend Number June 30, December 31, Series AA (1) January 25, 2008 February 15, 2018 8.125 % $ 25 3,870,330 $ 97 $ 97 Series E (2) April 28, 2008 April 30, 2018 8.400 1,000 121,254 121 121 Series A (3) October 29, 2012 January 30, 2023 5.950 1,000 1,500,000 1,500 1,500 Series B (4) December 13, 2012 February 15, 2023 5.900 1,000 750,000 750 750 Series C (5) March 26, 2013 April 22, 2018 5.800 25 23,000,000 575 575 Series D (6) April 30, 2013 May 15, 2023 5.350 1,000 1,250,000 1,250 1,250 Series J (7) September 19, 2013 September 30, 2023 7.125 25 38,000,000 950 950 Series K (8) October 31, 2013 November 15, 2023 6.875 25 59,800,000 1,495 1,495 Series L (9) February 12, 2014 February 12, 2019 6.875 25 19,200,000 480 480 Series M (10) April 30, 2014 May 15, 2024 6.300 1,000 1,750,000 1,750 1,750 Series N (11) October 29, 2014 November 15, 2019 5.800 1,000 1,500,000 1,500 1,500 Series O (12) March 20, 2015 March 27, 2020 5.875 1,000 1,500,000 1,500 1,500 Series P (13) April 24, 2015 May 15, 2025 5.950 1,000 2,000,000 2,000 2,000 Series Q (14) August 12, 2015 August 15, 2020 5.950 1,000 1,250,000 1,250 1,250 Series R (15) November 13, 2015 November 15, 2020 6.125 1,000 1,500,000 1,500 1,500 Series S (16) February 2, 2016 February 12, 2021 6.300 25 41,400,000 1,035 $ — Series T (17) April 25, 2016 August 15, 2026 6.250 1,000 1,500,000 1,500 $ — $ 19,253 $ 16,718 (1) Issued as depositary shares, each representing a 1/1,000 th 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, in each case when, as and if declared by the Citi Board of Directors. (2) Issued as depositary shares, each representing a 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on April 30 and October 30 at a fixed rate until April 30, 2018, 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. (3) Issued as depositary shares, each representing a 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on January 30 and July 30 at a fixed rate until January 30, 2023, 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. (4) Issued as depositary shares, each representing a 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on February 15 and August 15 at a fixed rate until February 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. (5) Issued as depositary shares, each representing a 1/1,000 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on January 22, April 22, July 22 and October 22 when, as and if declared by the Citi Board of Directors. (6) Issued as depositary shares, each representing a 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on May 15 and November 15 at a fixed rate until 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. (7) Issued as depositary shares, each representing a 1/1,000 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on March 30, June 30, September 30 and December 30 at a fixed rate until 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. (8) Issued as depositary shares, each representing a 1/1,000 th 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 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. (9) Issued as depositary shares, each representing a 1/1,000 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 12, May 12, August 12 and November 12 at a fixed rate, in each case when, as and if declared by the Citi Board of Directors. (10) Issued as depositary shares, each representing a 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on May 15 and November 15 at a fixed rate until 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. (11) Issued as depositary shares, each representing a 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on May 15 and November 15 at a fixed rate until, but excluding, November 15, 2019, 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. (12) Issued as depositary shares, each representing a 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on March 27 and September 27 at a fixed rate until, but excluding, March 27, 2020, and thereafter payable quarterly on March 27, June 27, September 27 and December 27 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 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually 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. (14) Issued as depository shares, each representing 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on February 15 and August 15 at a fixed rate until, but excluding, August 15, 2020, 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. (15) Issued as depository shares, each representing 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on May 15 and November 15 at a fixed rate until, but excluding, November 15, 2020, 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. (16) Issued as depository shares, each representing 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 12, May 12, August 12, and November 12 at a fixed rate, in each case when, as and if declared by the Citi Board of Directors. (17) Issued as depository shares, each representing 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on February 15 and August 15 at a fixed rate until 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. During the second quarter of 2016 , Citi distributed $322 million in dividends on its outstanding preferred stock. As of June 30, 2016, Citi estimates it will distribute preferred dividends of approximately $ 546 million during the remainder of 2016, in each case assuming such dividends are declared by the Citi Board of Directors. |
SECURITIZATIONS AND VARIABLE IN
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES | 6 Months Ended |
Jun. 30, 2016 | |
Securitizations and Variable Interest Entities [Abstract] | |
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES | SECURITIZATIONS AND VARIABLE INTEREST ENTITIES Uses of Special Purpose Entities A special purpose entity (SPE) is an entity designed to fulfill a specific limited need of the company that organized it. The principal uses of SPEs by Citi are to obtain liquidity and favorable capital treatment by securitizing certain financial assets, to assist clients in securitizing their financial assets and to create investment products for clients. SPEs may be organized in various legal forms, including trusts, partnerships or corporations. In a securitization, the company transferring assets to an SPE converts all (or a portion) of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt and equity instruments, certificates, commercial paper or other notes of indebtedness. These issuances are recorded on the balance sheet of the SPE, which may or may not be consolidated onto the balance sheet of the company that organized the SPE. Investors usually have recourse only to the assets in the SPE, but may also benefit from other credit enhancements, such as a collateral account, a line of credit or a liquidity facility, such as a liquidity put option or asset purchase agreement. Because of these enhancements, the SPE issuances typically obtain a more favorable credit rating than the transferor could obtain for its own debt issuances. This results in less expensive financing costs than unsecured debt. The SPE may also enter into derivative contracts in order to convert the yield or currency of the underlying assets to match the needs of the SPE investors or to limit or change the credit risk of the SPE. Citigroup may be the provider of certain credit enhancements as well as the counterparty to any related derivative contracts. Most of Citigroup’s SPEs are variable interest entities (VIEs), as described below. Variable Interest Entities VIEs are entities that have either a total equity investment that is insufficient to permit the entity to finance its activities without additional subordinated financial support, or whose equity investors lack the characteristics of a controlling financial interest (i.e., ability to make significant decisions through voting rights or similar rights, and a right to receive the expected residual returns of the entity or an obligation to absorb the expected losses of the entity). Investors that finance the VIE through debt or equity interests or other counterparties providing other forms of support, such as guarantees, certain fee arrangements or certain types of derivative contracts are variable interest holders in the entity. The variable interest holder, if any, that has a controlling financial interest in a VIE is deemed to be the primary beneficiary and must consolidate the VIE. Citigroup would be deemed to have a controlling financial interest and be the primary beneficiary if it has both of the following characteristics: • power to direct the activities of the VIE that most significantly impact the entity’s economic performance; and • an obligation to absorb losses of the entity that could potentially be significant to the VIE, or a right to receive benefits from the entity that could potentially be significant to the VIE. The Company must evaluate each VIE to understand the purpose and design of the entity, the role the Company had in the entity’s design and its involvement in the VIE’s ongoing activities. The Company then must evaluate which activities most significantly impact the economic performance of the VIE and who has the power to direct such activities. For those VIEs where the Company determines that it has the power to direct the activities that most significantly impact the VIE’s economic performance, the Company must then evaluate its economic interests, if any, and determine whether it could absorb losses or receive benefits that could potentially be significant to the VIE. When evaluating whether the Company has an obligation to absorb losses that could potentially be significant, it considers the maximum exposure to such loss without consideration of probability. Such obligations could be in various forms, including, but not limited to, debt and equity investments, guarantees, liquidity agreements and certain derivative contracts. In various other transactions, the Company may: (i) act as a derivative counterparty (for example, interest rate swap, cross-currency swap, or 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); (ii) act as underwriter or placement agent; (iii) provide administrative, trustee or other services; or (iv) make a market in debt securities or other instruments issued by VIEs. The Company generally considers such involvement, by itself, not to be variable interests and thus not an indicator of power or potentially significant benefits or losses. 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, 2016 Maximum exposure to loss in significant unconsolidated VIEs (1) Funded exposures (2) Unfunded exposures In millions of dollars Total involvement with SPE assets Consolidated VIE / SPE assets Significant unconsolidated VIE assets (3) Debt investments Equity investments Funding commitments Guarantees and derivatives Total Credit card securitizations $ 51,457 $ 51,457 $ — $ — $ — $ — $ — $ — Mortgage securitizations (4) U.S. agency-sponsored 230,600 — 230,600 4,177 — — 87 4,264 Non-agency-sponsored 16,563 1,391 15,172 295 35 — 1 331 Citi-administered asset-backed commercial paper conduits (ABCP) 21,245 21,245 — — — — — — Collateralized loan obligations (CLOs) 15,743 — 15,743 3,708 — — 83 3,791 Asset-based financing 57,543 1,228 56,315 20,045 413 5,051 363 25,872 Municipal securities tender option bond trusts (TOBs) 7,379 2,819 4,560 113 — 2,831 — 2,944 Municipal investments 18,304 36 18,268 2,392 2,946 2,451 — 7,789 Client intermediation 408 179 229 54 — — — 54 Investment funds 2,710 789 1,921 31 156 68 — 255 Other 4,402 592 3,810 210 550 77 47 884 Total (5) $ 426,354 $ 79,736 $ 346,618 $ 31,025 $ 4,100 $ 10,478 $ 581 $ 46,184 As of December 31, 2015 Maximum exposure to loss in significant unconsolidated VIEs (1) Funded exposures (2) Unfunded exposures In millions of dollars Total involvement with SPE assets Consolidated VIE / SPE assets Significant unconsolidated VIE assets (3) Debt investments Equity investments Funding commitments Guarantees and derivatives Total Credit card securitizations $ 54,916 $ 54,916 $ — $ — $ — $ — $ — $ — Mortgage securitizations (4) U.S. agency-sponsored 217,291 — 217,291 3,571 — — 95 3,666 Non-agency-sponsored 13,036 1,586 11,450 527 — — 1 528 Citi-administered asset-backed commercial paper conduits (ABCP) 21,280 21,280 — — — — — — Collateralized loan obligations (CLOs) 16,719 — 16,719 3,150 — — 86 3,236 Asset-based financing 58,862 1,364 57,498 21,270 269 3,616 436 25,591 Municipal securities tender option bond trusts (TOBs) 8,572 3,830 4,742 2 — 3,100 — 3,102 Municipal investments 20,290 44 20,246 2,196 2,487 2,335 — 7,018 Client intermediation 434 335 99 49 — — — 49 Investment funds 1,730 842 888 13 138 102 — 253 Other 4,915 597 4,318 292 554 — 52 898 Total (5) $ 418,045 $ 84,794 $ 333,251 $ 31,070 $ 3,448 $ 9,153 $ 670 $ 44,341 Note: Certain adjustments have been made to the December 31, 2015 information to conform to the current period’s presentation. (1) The definition of maximum exposure to loss is included in the text that follows this table. (2) Included on Citigroup’s June 30, 2016 and December 31, 2015 Consolidated Balance Sheet. (3) A significant unconsolidated VIE is an entity where 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) Citi’s total involvement with Citicorp SPE assets was $398.2 billion and $383.2 billion as of June 30, 2016 and December 31, 2015 , respectively, with the remainder related to Citi Holdings. The previous tables do not include: • certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC 946); • certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services; • certain VIEs structured by third parties where the Company holds securities in inventory, as these investments are made on arm’s-length terms; • certain positions in mortgage-backed and asset-backed securities held by the Company, which are classified as Trading account assets or Investments , where the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 12 and 13 to the Consolidated Financial Statements); • certain representations and warranties exposures in legacy ICG -sponsored mortgage-backed and asset-backed securitizations, where the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 where the Company has no variable interest or continuing involvement as servicer was approximately $11 billion and $12 billion at June 30, 2016 and December 31, 2015 , respectively; • certain representations and warranties exposures in Citigroup residential mortgage securitizations, where the original mortgage loan balances are no longer outstanding; and • VIEs such as trust preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts. The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., loan or security) and the Company’s standard accounting policies for the asset type and line of business. The asset balances for unconsolidated VIEs where 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. For VIEs that obtain asset exposures synthetically through derivative instruments, the tables generally include the full original notional amount of the derivative as an asset balance. The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company, or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps, or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts. Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above: June 30, 2016 December 31, 2015 In millions of dollars Liquidity facilities Loan / equity commitments Liquidity facilities Loan / equity commitments Asset-based financing $ 5 $ 5,046 $ 5 $ 3,611 Municipal securities tender option bond trusts (TOBs) 2,831 — 3,100 — Municipal investments — 2,451 — 2,335 Investment funds — 68 — 102 Other — 77 — — Total funding commitments $ 2,836 $ 7,642 $ 3,105 $ 6,048 Consolidated VIEs The Company engages in on-balance sheet securitizations, which are securitizations that do not qualify for sales treatment; thus, the assets remain on the Company’s Consolidated Balance Sheet, and any proceeds received are recognized as secured liabilities. The consolidated VIEs included in the tables below represent hundreds of separate entities with which the Company is involved. In general, the third-party investors in the obligations of consolidated VIEs have legal recourse only to the assets of the respective VIEs and do not have such recourse to the Company, except where the Company has provided a guarantee to the investors or is the counterparty to certain derivative transactions involving the VIE. Thus, the Company’s maximum legal exposure to loss related to consolidated VIEs is significantly less than the carrying value of the consolidated VIE assets due to outstanding third-party financing. Intercompany assets and liabilities are excluded from the table. All VIE assets are restricted from being sold or pledged as collateral. The cash flows from these assets are the only source used to pay down the associated liabilities, which are non-recourse to the Company’s general assets. The following table presents the carrying amounts and classifications of consolidated assets that are collateral for consolidated VIE obligations: In billions of dollars June 30, 2016 December 31, 2015 Cash $ 0.1 $ 0.2 Trading account assets 0.4 0.6 Investments 4.8 5.3 Total loans, net of allowance 74.3 78.6 Other 0.1 0.1 Total assets $ 79.7 $ 84.8 Short-term borrowings $ 13.0 $ 14.0 Long-term debt 27.7 31.3 Other liabilities 2.1 2.1 Total liabilities (1) $ 42.8 $ 47.4 (1) The total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citi were $40.8 billion and $45.3 billion as of June 30, 2016 and December 31, 2015 , respectively. Liabilities of consolidated VIEs for which creditors or beneficial interest holders have recourse to the general credit of Citi comprise two items included in the above table: (i) credit enhancements provided to consolidated Citi-administered commercial paper conduits in the form of letters of credit of $1.9 billion at June 30, 2016 and December 31, 2015 ; and (ii) credit guarantees provided by Citi to certain consolidated municipal tender option bond trusts of $82 million at June 30, 2016 and December 31, 2015 . Significant Interests in Unconsolidated VIEs—Balance Sheet Classification The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs: In billions of dollars June 30, 2016 December 31, 2015 Cash $ 0.1 $ 0.1 Trading account assets 7.6 6.2 Investments 3.7 3.0 Total loans, net of allowance 22.5 23.6 Other 1.3 1.7 Total assets $ 35.2 $ 34.6 Credit Card Securitizations The Company securitizes credit card receivables through trusts established to purchase the receivables. Citigroup transfers receivables into the trusts on a non-recourse basis. Credit card securitizations are revolving securitizations; as customers pay their credit card balances, the cash proceeds are used to purchase new receivables and replenish the receivables in the trust. Substantially all of the Company’s credit card securitization activity is through two trusts—Citibank Credit Card Master Trust (Master Trust) and the Citibank Omni Master Trust (Omni Trust), with the substantial majority through the Master Trust. These trusts are consolidated entities because, as servicer, Citigroup has the power to direct the activities that most significantly impact the economic performance of the trusts, Citigroup holds a seller’s interest and certain securities issued by the trusts, and also provides liquidity facilities to the trusts, which could result in exposure to potentially significant losses or benefits from the trusts. Accordingly, the transferred credit card receivables remain on Citi’s Consolidated Balance Sheet with no gain or loss recognized. The debt issued by the trusts to third parties is included on Citi’s Consolidated Balance Sheet. The Company utilizes securitizations as one of the sources of funding for its business in North America . The following table reflects amounts related to the Company’s securitized credit card receivables: In billions of dollars June 30, 2016 December 31, 2015 Ownership interests in principal amount of trust credit card receivables Sold to investors via trust-issued securities $ 26.2 $ 29.7 Retained by Citigroup as trust-issued securities 7.9 9.4 Retained by Citigroup via non-certificated interests 17.0 16.5 Total $ 51.1 $ 55.6 The following tables summarize selected cash flow information related to Citigroup’s credit card securitizations: Three months ended June 30, In billions of dollars 2016 2015 Proceeds from new securitizations $ — $ — Pay down of maturing notes (1.3 ) (3.1 ) Six months ended June 30, In billions of dollars 2016 2015 Proceeds from new securitizations $ — $ — Pay down of maturing notes (3.5 ) (5.8 ) Managed Loans After securitization of credit card receivables, the Company continues to maintain credit card customer account relationships and provides servicing for receivables transferred to the trusts. As a result, the Company considers the securitized credit card receivables to be part of the business it manages. As Citigroup consolidates the credit card trusts, all managed securitized card receivables are on-balance sheet. Funding, Liquidity Facilities and Subordinated Interests As noted above, Citigroup securitizes credit card receivables through two securitization trusts—Master Trust, which is part of Citicorp, and Omni Trust, substantially all of which is also part of Citicorp. The liabilities of the trusts are included in the Consolidated Balance Sheet, excluding those retained by Citigroup. The Master Trust issues fixed- and floating-rate term notes. Some of the term notes are issued to multi-seller commercial paper conduits. The weighted average maturity of the term notes issued by the Master Trust was 2.2 years as of June 30, 2016 and 2.4 years as of December 31, 2015 . Master Trust Liabilities (at Par Value) In billions of dollars June 30, 2016 Dec. 31, 2015 Term notes issued to third parties $ 25.0 $ 28.4 Term notes retained by Citigroup affiliates 6.1 7.5 Total Master Trust liabilities $ 31.1 $ 35.9 The Omni Trust issues fixed- and floating-rate term notes, some of which are purchased by multi-seller commercial paper conduits. The weighted average maturity of the third-party term notes issued by the Omni Trust was 0.4 years as of June 30, 2016 and 0.9 years as of December 31, 2015 . Omni Trust Liabilities (at Par Value) In billions of dollars June 30, 2016 Dec. 31, 2015 Term notes issued to third parties $ 1.3 $ 1.3 Term notes retained by Citigroup affiliates 1.9 1.9 Total Omni Trust liabilities $ 3.2 $ 3.2 Mortgage Securitizations The Company provides a wide range of mortgage loan products to a diverse customer base. Once originated, the Company often securitizes these loans through the use of VIEs. These VIEs are funded through the issuance of trust certificates backed solely by the transferred assets. These certificates have the same life as the transferred assets. In addition to providing a source of liquidity and less expensive funding, securitizing these assets also reduces the Company’s credit exposure to the borrowers. These mortgage loan securitizations are primarily non-recourse, thereby effectively transferring the risk of future credit losses to the purchasers of the securities issued by the trust. However, the Company’s U.S. consumer mortgage business generally retains the servicing rights and in certain instances retains investment securities, interest-only strips and residual interests in future cash flows from the trusts and also provides servicing for a limited number of ICG securitizations. The Company securitizes mortgage loans generally through either a government-sponsored agency, such as Ginnie Mae, Fannie Mae or Freddie Mac (U.S. agency-sponsored mortgages), or private-label (non-agency-sponsored mortgages) securitization. The Company is not the primary beneficiary of its U.S. agency-sponsored mortgage securitizations because Citigroup does not have the power to direct the activities of the VIE that most significantly impact the entity’s economic performance. Therefore, Citi does not consolidate these U.S. agency-sponsored mortgage securitizations. The Company does not consolidate certain non-agency-sponsored mortgage securitizations because Citi is either not the servicer with the power to direct the significant activities of the entity or Citi is the servicer but the servicing relationship is deemed to be a fiduciary relationship; therefore, Citi is not deemed to be the primary beneficiary of the entity. In certain instances, the Company has (i) the power to direct the activities and (ii) the obligation to either absorb losses or the right to receive benefits that could be potentially significant to its non-agency-sponsored mortgage securitizations and, therefore, is the primary beneficiary and thus consolidates the VIE. The following tables summarize selected cash flow information related to Citigroup mortgage securitizations: Three months ended June 30, 2016 2015 In billions of dollars U.S. agency- Non-agency- U.S. agency- Non-agency- Proceeds from new securitizations $ 10.3 $ 2.3 $ 10.1 $ 2.5 Contractual servicing fees received 0.1 — 0.1 — Six months ended June 30, 2016 2015 In billions of dollars U.S. agency- Non-agency- U.S. agency- Non-agency- Proceeds from new securitizations (1) $ 20.9 $ 6.5 $ 18.5 $ 6.1 Contractual servicing fees received 0.2 — 0.2 — (1) The proceeds from new securitizations in 2016 include $0.5 billion related to personal loan securitizations. Gains recognized on the securitization of U.S. agency-sponsored mortgages were $20 million and $45 million for the three and six months ended June 30, 2016 , respectively. For the three and six months ended June 30, 2016 , gains recognized on the securitization of non-agency sponsored mortgages were $19 million and $28 million , respectively. Gains recognized on the securitization of U.S. agency-sponsored mortgages were $47 million and $90 million for the three and six months ended June 30, 2015 , respectively. For the three and six months ended June 30, 2015 , gains recognized on the securitization of non-agency sponsored mortgages were $15 million and $31 million , respectively. Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows: Three months ended June 30, 2016 Non-agency-sponsored mortgages (1) U.S. agency- sponsored mortgages Senior interests Subordinated interests Discount rate 0.8% to 11.5% — — Weighted average discount rate 9.1 % — — Constant prepayment rate 8.6% to 26.8% — — Weighted average constant prepayment rate 13.3 % — — Anticipated net credit losses (2) NM — — Weighted average anticipated net credit losses NM — — Weighted average life 0.5 to 11.4 years — — Note: Citi held no retained interests in non-agency-sponsored mortgages securitized during the second quarter of 2016 . Three months ended June 30, 2015 Non-agency-sponsored mortgages (1) U.S. agency- Senior Subordinated Discount rate 0.0% to 8.2% — 11.2% to 12.1% Weighted average discount rate 5.3 % — 11.6 % Constant prepayment rate 5.7% to 15.5% — 3.5% to 8.0% Weighted average constant prepayment rate 9.5 % — 5.6 % Anticipated net credit losses (2) NM — 38.1% to 52.1% Weighted average anticipated net credit losses NM — 45.7 % Weighted average life 3.5 to 12.8 years — 8.9 to 12.9 years Six months ended June 30, 2016 Non-agency-sponsored mortgages (1) U.S. agency- Senior Subordinated Discount rate 0.8% to 11.5% — — Weighted average discount rate 8.7 % — — Constant prepayment rate 8.6% to 26.8% — — Weighted average constant prepayment rate 12.5 % — — Anticipated net credit losses (2) NM — — Weighted average anticipated net credit losses NM — — Weighted average life 0.5 to 17.5 years — — Note: Citi held no retained interests in non-agency-sponsored mortgages securitized during 2016 . Six months ended June 30, 2015 Non-agency-sponsored mortgages (1) U.S. agency- Senior Subordinated Discount rate 0.0% to 8.2% 2.8 % 4.4% to 12.1% Weighted average discount rate 5.6 % 2.8 % 7.2 % Constant prepayment rate 5.7% to 34.9% — 3.3% to 8.0% Weighted average constant prepayment rate 12.9 % — 4.2 % Anticipated net credit losses (2) NM 40.0 % 38.1% to 55.9% Weighted average anticipated net credit losses NM 40.0 % 52.0 % Weighted average life 3.5 to 12.8 years 9.7 years 0.0 to 12.9 years (1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization. (2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations. NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees. The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests. The key assumptions used to value retained interests, and the sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions, are set forth in the tables below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below. June 30, 2016 Non-agency-sponsored mortgages (1) U.S. agency- sponsored mortgages Senior interests Subordinated interests Discount rate 0.3% to 27.0% 0.3% to 8.5% 1.6% to 30.1% Weighted average discount rate 5.4 % 5.2 % 12.3 % Constant prepayment rate 10.0% to 46.5% 4.7% to 19.7% 0.5% to 42.0% Weighted average constant prepayment rate 20.0 % 5.2 % 8.7 % Anticipated net credit losses (2) NM 0.5% to 90.2% 2.8% to 93.0% Weighted average anticipated net credit losses NM 83.8 % 48.3 % Weighted average life 0.5 to 18.5 years 4.3 to 14.8 years 1.5 to 11.3 years December 31, 2015 Non-agency-sponsored mortgages (1) U.S. agency- sponsored mortgages Senior interests Subordinated interests Discount rate 0.0% to 27.0% 1.6% to 67.6% 2.0% to 24.9% Weighted average discount rate 4.9 % 7.6 % 8.4 % Constant prepayment rate 5.7% to 27.8% 4.2% to 100.0% 0.5% to 20.8% Weighted average constant prepayment rate 12.3 % 14.0 % 7.5 % Anticipated net credit losses (2) NM 0.2% to 89.1% 3.8% to 92.0% Weighted average anticipated net credit losses NM 48.9 % 54.4 % Weighted average life 1.3 to 21.0 years 0.3 to 18.1 years 0.9 to 19.0 years (1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization. (2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations. NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees. June 30, 2016 Non-agency-sponsored mortgages (1) In millions of dollars U.S. agency- sponsored mortgages Senior interests Subordinated interests Carrying value of retained interests $ 2,555 $ 33 $ 190 Discount rates Adverse change of 10% $ (45 ) $ (7 ) $ (11 ) Adverse change of 20% (90 ) (13 ) (20 ) Constant prepayment rate Adverse change of 10% (104 ) (2 ) (5 ) Adverse change of 20% (204 ) (3 ) (10 ) Anticipated net credit losses Adverse change of 10% NM (10 ) (2 ) Adverse change of 20% NM (18 ) (4 ) December 31, 2015 Non-agency-sponsored mortgages (1) In millions of dollars U.S. agency- sponsored mortgages Senior interests Subordinated interests Carrying value of retained interests $ 3,546 $ 179 $ 533 Discount rates Adverse change of 10% $ (79 ) $ (8 ) $ (25 ) Adverse change of 20% (155 ) (15 ) (49 ) Constant prepayment rate Adverse change of 10% (111 ) (3 ) (9 ) Adverse change of 20% (213 ) (6 ) (18 ) Anticipated net credit losses Adverse change of 10% NM (6 ) (7 ) Adverse change of 20% NM (11 ) (14 ) Note: There were no subordinated interests in mortgage securitizations in Citi Holdings as of June 30, 2016 and December 31, 2015 . (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. NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees. Mortgage Servicing Rights In connection with the securitization of mortgage loans, the Company’s U.S. consumer mortgage business generally retains the servicing rights, which entitle the Company to a future stream of cash flows based on the outstanding principal balances of the loans and the contractual servicing fee. Failure to service the loans in accordance with contractual requirements may lead to a termination of the servicing rights and the loss of future servicing fees. These transactions create an intangible asset referred to as mortgage servicing rights (MSRs), which are recorded at fair value on Citi’s Consolidated Balance Sheet. The fair value of Citi’s capitalized MSRs was $1.3 billion and $1.9 billion at June 30, 2016 and 2015 , respectively. The MSRs correspond to principal loan balances of $186 billion and $209 billion as of June 30, 2016 and 2015 , respectively. The following tables summarize the changes in capitalized MSRs: Three months ended June 30, In millions of dollars 2016 2015 Balance, as of March 31 $ 1,524 $ 1,685 Originations 35 68 Changes in fair value of MSRs due to changes in inputs and assumptions (137 ) 262 Other changes (1) (98 ) (82 ) Sale of MSRs — (9 ) Balance, as of June 30 $ 1,324 $ 1,924 Six months ended June 30, In millions of dollars 2016 2015 Balance, beginning of year $ 1,781 $ 1,845 Originations 68 111 Changes in fair value of MSRs due to changes in inputs and assumptions (362 ) 191 Other changes (1) (177 ) (182 ) Sale of MSRs (2) 14 (41 ) Balance, as of June 30 $ 1,324 $ 1,924 (1) Represents changes due to customer payments and passage of time. (2) Current period’s amount is related to a sale of credit challenged MSRs for which Citi paid the new servicer. 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, the Company 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, In millions of dollars 2016 2015 2016 2015 Servicing fees $ 126 $ 141 $ 254 $ 281 Late fees 4 4 8 8 Ancillary fees 4 15 9 22 Total MSR fees $ 134 $ 160 $ 271 $ 311 In the Consolidated Statement of Income these fees are primarily classified as Commissions and fees, and changes in MSR |
DERIVATIVES ACTIVITIES
DERIVATIVES ACTIVITIES | 6 Months Ended |
Jun. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVES ACTIVITIES | DERIVATIVES ACTIVITIES In the ordinary course of business, Citigroup enters into various types of derivative transactions. These derivative transactions include: • Futures and forward contracts, which are commitments to buy or sell at a future date a financial instrument, commodity or currency at a contracted price and may be settled in cash or through delivery. • Swap contracts, which are commitments to settle in cash at a future date or dates that may range from a few days to a number of years, based on differentials between specified indices or financial instruments, as applied to a notional principal amount. • Option contracts, which give the purchaser, for a premium, the right, but not the obligation, to buy or sell within a specified time a financial instrument, commodity or currency at a contracted price that may also be settled in cash, based on differentials between specified indices or prices. Swaps and forwards and some option contracts are over-the-counter (OTC) derivatives that are bilaterally negotiated with counterparties and settled with those counterparties, except for swap contracts that are novated and "cleared" through central counterparties (CCPs). Futures contracts and other option contracts are standardized contracts that are traded on an exchange with a CCP as the counterparty from the inception of the transaction. Citigroup enters into these derivative contracts relating to interest rate, foreign currency, commodity and other market/credit risks for the following reasons: • Trading Purposes: Citigroup trades derivatives as an active market maker. Citigroup offers its customers derivatives in connection with their risk management actions to transfer, modify or reduce their interest rate, foreign exchange and other market/credit risks or for their own trading purposes. Citigroup also manages its derivative risk positions through offsetting trade activities, controls focused on price verification, and daily reporting of positions to senior managers. • Hedging : Citigroup uses derivatives in connection with its risk management activities to hedge certain risks or reposition the risk profile of the Company. For example, Citigroup issues fixed-rate long-term debt and then enters into a receive-fixed, pay-variable-rate interest rate swap with the same tenor and notional amount to convert the interest payments to a net variable-rate basis. This strategy is the most common form of an interest rate hedge, as it minimizes net interest cost in certain yield curve environments. Derivatives are also used to manage risks inherent in specific groups of on-balance sheet assets and liabilities, including AFS securities, commodities and borrowings, as well as other interest-sensitive assets and liabilities. In addition, foreign-exchange contracts are used to hedge non-U.S.-dollar-denominated debt, foreign-currency-denominated AFS securities and net investment exposures. Derivatives may expose Citigroup to market, credit or liquidity risks in excess of the amounts recorded on the Consolidated Balance Sheet. Market risk on a derivative product is the exposure created by potential fluctuations in interest rates, market prices, foreign-exchange rates and other factors and is a function of the type of product, the volume of transactions, the tenor and terms of the agreement and the underlying volatility. Credit risk is the exposure to loss in the event of nonperformance by the other party to satisfy a derivative liability where the value of any collateral held by Citi is not adequate to cover such losses. The recognition in earnings of unrealized gains on these transactions is subject to management’s assessment of the probability of counterparty default. Liquidity risk is the potential exposure that arises when the size of a derivative position may not be able to be monetized in a reasonable period of time and at a reasonable cost in periods of high volatility and financial stress. Derivative transactions are customarily documented under industry standard master netting agreements that provide that, following an uncured payment default or other event of default, the non-defaulting party may promptly terminate all transactions between the parties and determine the net amount due to be paid to, or by, the defaulting party. Events of default include: (i) failure to make a payment on a derivatives transaction that remains uncured following applicable notice and grace periods, (ii) breach of agreement that remains uncured after applicable notice and grace periods, (iii) breach of a representation, (iv) cross default, either to third-party debt or to other derivative transactions entered into between the parties, or, in some cases, their affiliates, (v) the occurrence of a merger or consolidation which results in a party’s becoming a materially weaker credit, and (vi) the cessation or repudiation of any applicable guarantee or other credit support document. Obligations under master netting agreements are often secured by collateral posted under an industry standard credit support annex to the master netting agreement. An event of default may also occur under a credit support annex if a party fails to make a collateral delivery that remains uncured following applicable notice and grace periods. The netting and collateral rights incorporated in the master netting agreements are considered to be legally enforceable if a supportive legal opinion has been obtained from counsel of recognized standing that provides the requisite level of certainty regarding enforceability and that the exercise of rights by the non-defaulting party to terminate and close-out transactions on a net basis under these agreements will not be stayed or avoided under applicable law upon an event of default including bankruptcy, insolvency or similar proceeding. A legal opinion may not be sought for certain jurisdictions where local law is silent or unclear as to the enforceability of such rights or where adverse case law or conflicting regulation may cast doubt on the enforceability of such rights. In some jurisdictions and for some counterparty types, the insolvency law may not provide the requisite level of certainty. For example, this may be the case for certain sovereigns, municipalities, central banks and U.S. pension plans. Exposure to credit risk on derivatives is affected by market volatility, which may impair the ability of counterparties to satisfy their obligations to the Company. Credit limits are established and closely monitored for customers engaged in derivatives transactions. Citi considers the level of legal certainty regarding enforceability of its offsetting rights under master netting agreements and credit support annexes to be an important factor in its risk management process. Specifically, Citi generally transacts much lower volumes of derivatives under master netting agreements where Citi does not have the requisite level of legal certainty regarding enforceability, because such derivatives consume greater amounts of single counterparty credit limits than those executed under enforceable master netting agreements. Cash collateral and security collateral in the form of G10 government debt securities is often posted by a party to a master netting agreement to secure the net open exposure of the other party; the receiving party is free to commingle/rehypothecate such collateral in the ordinary course of its business. Nonstandard collateral such as corporate bonds, municipal bonds, U.S. agency securities and/or MBS may also be pledged as collateral for derivative transactions. Security collateral posted to open and maintain a master netting agreement with a counterparty, in the form of cash and/or securities, may from time to time be segregated in an account at a third-party custodian pursuant to a tri-party account control agreement. Information pertaining to Citigroup’s derivative activity, 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 and accurate measure of Citi’s exposure to derivative transactions. Rather, as discussed above, Citi’s derivative exposure arises primarily from market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades (also as discussed above). For example, if Citi enters into an interest rate swap with $100 million notional, and offsets this risk with an identical but opposite position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk. Aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors. Derivative Notionals Hedging instruments under ASC 815 (1)(2) Other derivative instruments Trading derivatives Management hedges (3) In millions of dollars June 30, December 31, June 30, December 31, June 30, December 31, Interest rate contracts Swaps $ 190,434 $ 166,576 $ 22,790,256 $ 22,208,794 $ 34,575 $ 28,969 Futures and forwards — — 5,944,024 6,868,340 33,385 38,421 Written options — — 3,197,007 3,033,617 5,616 2,606 Purchased options — — 2,941,662 2,887,605 5,450 4,575 Total interest rate contract notionals $ 190,434 $ 166,576 $ 34,872,949 $ 34,998,356 $ 79,026 $ 74,571 Foreign exchange contracts Swaps $ 21,384 $ 23,007 $ 5,576,865 $ 4,765,687 $ 23,098 $ 23,960 Futures, forwards and spot 71,422 72,124 3,510,377 2,563,649 4,472 3,034 Written options — 448 1,449,764 1,125,664 — — Purchased options — 819 1,485,184 1,131,816 — — Total foreign exchange contract notionals $ 92,806 $ 96,398 $ 12,022,190 $ 9,586,816 $ 27,570 $ 26,994 Equity contracts Swaps $ — $ — $ 171,361 $ 180,963 $ — $ — Futures and forwards — — 29,938 33,735 — — Written options — — 376,780 298,876 — — Purchased options — — 341,476 265,062 — — Total equity contract notionals $ — $ — $ 919,555 $ 778,636 $ — $ — Commodity and other contracts Swaps $ — $ — $ 71,194 $ 70,561 $ — $ — Futures and forwards 783 789 135,979 106,474 — — Written options — — 79,109 72,648 — — Purchased options — — 73,843 66,051 — — Total commodity and other contract notionals $ 783 $ 789 $ 360,125 $ 315,734 $ — $ — Credit derivatives (4) Protection sold $ — $ — $ 1,071,410 $ 950,922 $ — $ — Protection purchased — — 1,108,387 981,586 26,901 23,628 Total credit derivatives $ — $ — $ 2,179,797 $ 1,932,508 $ 26,901 $ 23,628 Total derivative notionals $ 284,023 $ 263,763 $ 50,354,616 $ 47,612,050 $ 133,497 $ 125,193 (1) The notional amounts presented in this table do not include hedge accounting relationships under ASC 815 where Citigroup is hedging the foreign currency risk of a net investment in a foreign operation by issuing a foreign-currency-denominated debt instrument. The notional amount of such debt was $2,150 million and $2,102 million at June 30, 2016 and December 31, 2015 , respectively. (2) Derivatives in hedge accounting relationships accounted for under ASC 815 are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities on the Consolidated Balance Sheet. (3) Management hedges represent derivative instruments used to mitigate certain economic risks, but for which hedge accounting is not applied. These derivatives are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities on the Consolidated Balance Sheet. (4) Credit derivatives are arrangements designed to allow one party (protection buyer) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk. The following tables present the gross and net fair values of the Company’s derivative transactions, and the related offsetting amounts permitted under ASC 210-20-45 and ASC 815-10-45, as of June 30, 2016 and December 31, 2015 . Under ASC 210-20-45, 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 enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral. The tables also include amounts that are not permitted to be offset under ASC 210-20-45 and ASC 815-10-45, such as security collateral posted or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained. Derivative Mark-to-Market (MTM) Receivables/Payables In millions of dollars at June 30, 2016 Derivatives classified in Trading account assets / liabilities (1)(2)(3) Derivatives classified in Other assets / liabilities (2)(3) Derivatives instruments designated as ASC 815 hedges Assets Liabilities Assets Liabilities Over-the-counter $ 914 $ 168 $ 2,553 $ 86 Cleared 7,596 1,945 — 185 Interest rate contracts $ 8,510 $ 2,113 $ 2,553 $ 271 Over-the-counter $ 1,849 $ 1,175 $ 142 $ 1,335 Cleared — 4 — — Foreign exchange contracts $ 1,849 $ 1,179 $ 142 $ 1,335 Total derivative instruments designated as ASC 815 hedges $ 10,359 $ 3,292 $ 2,695 $ 1,606 Derivatives instruments not designated as ASC 815 hedges Over-the-counter $ 358,279 $ 336,680 $ 200 $ 17 Cleared 199,439 204,020 673 694 Exchange traded 109 75 — — Interest rate contracts $ 557,827 $ 540,775 $ 873 $ 711 Over-the-counter $ 173,386 $ 169,489 $ — $ 54 Cleared 266 230 — — Exchange traded 52 22 — — Foreign exchange contracts $ 173,704 $ 169,741 $ — $ 54 Over-the-counter $ 16,150 $ 21,209 $ — $ — Cleared 987 67 — — Exchange traded 8,378 8,378 — — Equity contracts $ 25,515 $ 29,654 $ — $ — Over-the-counter $ 11,411 $ 13,356 $ — $ — Exchange traded 1,006 1,399 — — Commodity and other contracts $ 12,417 $ 14,755 $ — $ — Over-the-counter $ 29,440 $ 30,066 $ 394 $ 229 Cleared 3,492 3,169 118 302 Credit derivatives (4) $ 32,932 $ 33,235 $ 512 $ 531 Total derivatives instruments not designated as ASC 815 hedges $ 802,395 $ 788,160 $ 1,385 $ 1,296 Total derivatives $ 812,754 $ 791,452 $ 4,080 $ 2,902 Cash collateral paid/received (5)(6) $ 9,292 $ 16,592 $ 7 $ — Less: Netting agreements (7) (690,888 ) (690,888 ) — — Less: Netting cash collateral received/paid (8) (58,945 ) (53,952 ) (1,793 ) (40 ) Net receivables/payables included on the consolidated balance sheet (9) $ 72,213 $ 63,204 $ 2,294 $ 2,862 Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet Less: Cash collateral received/paid $ (1,236 ) $ (24 ) $ — $ — Less: Non-cash collateral received/paid (14,754 ) (7,696 ) (758 ) — Total net receivables/payables (9) $ 56,223 $ 55,484 $ 1,536 $ 2,862 (1) The trading derivatives fair values are presented in Note 12 to the Consolidated Financial Statements. (2) Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities . (3) 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. (4) The credit derivatives trading assets comprise $16,313 million related to protection purchased and $16,619 million related to protection sold as of June 30, 2016 . The credit derivatives trading liabilities comprise $17,435 million related to protection purchased and $15,800 million related to protection sold as of June 30, 2016 . (5) For the trading account assets/liabilities, reflects the net amount of the $63,244 million and $75,537 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $53,952 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $58,945 million was used to offset trading derivative assets. (6) For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $47 million of gross cash collateral paid, of which $40 million is netted against non-trading derivative positions within Other liabilities . For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of $1,793 million of gross cash collateral received, of which $1,793 million is netted against OTC non-trading derivative positions within Other assets . (7) Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $478 billion , $204 billion and $9 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively. (8) Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively. (9) The net receivables/payables include approximately $9 billion of derivative asset and $9 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively. In millions of dollars at December 31, 2015 Derivatives classified in Trading account assets / liabilities (1)(2)(3) Derivatives classified in Other assets / liabilities (2)(3) Derivatives instruments designated as ASC 815 hedges Assets Liabilities Assets Liabilities Over-the-counter $ 262 $ 105 $ 2,328 $ 106 Cleared 4,607 1,471 5 — Interest rate contracts $ 4,869 $ 1,576 $ 2,333 $ 106 Over-the-counter $ 2,688 $ 364 $ 95 $ 677 Cleared — — — — Foreign exchange contracts $ 2,688 $ 364 $ 95 $ 677 Total derivative instruments designated as ASC 815 hedges $ 7,557 $ 1,940 $ 2,428 $ 783 Derivatives instruments not designated as ASC 815 hedges Over-the-counter $ 289,124 $ 267,761 $ 182 $ 12 Cleared 120,848 126,532 244 216 Exchange traded 53 35 — — Interest rate contracts $ 410,025 $ 394,328 $ 426 $ 228 Over-the-counter $ 126,474 $ 133,361 $ — $ 66 Cleared 134 152 — — Exchange traded 21 36 — — Foreign exchange contracts $ 126,629 $ 133,549 $ — $ 66 Over-the-counter $ 14,560 $ 20,107 $ — $ — Cleared 28 3 — — Exchange traded 7,297 6,406 — — Equity contracts $ 21,885 $ 26,516 $ — $ — Over-the-counter $ 16,794 $ 18,641 $ — $ — Exchange traded 1,216 1,912 — — Commodity and other contracts $ 18,010 $ 20,553 $ — $ — Over-the-counter $ 31,072 $ 30,608 $ 711 $ 245 Cleared 3,803 3,560 131 318 Credit derivatives (4) $ 34,875 $ 34,168 $ 842 $ 563 Total derivatives instruments not designated as ASC 815 hedges $ 611,424 $ 609,114 $ 1,268 $ 857 Total derivatives $ 618,981 $ 611,054 $ 3,696 $ 1,640 Cash collateral paid/received (5)(6) $ 4,911 $ 13,628 $ 8 $ 37 Less: Netting agreements (7) (524,481 ) (524,481 ) — — Less: Netting cash collateral received/paid (8) (43,227 ) (42,609 ) (1,949 ) (53 ) Net receivables/payables included on the Consolidated Balance Sheet (9) $ 56,184 $ 57,592 $ 1,755 $ 1,624 Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet Less: Cash collateral received/paid $ (779 ) $ (2 ) $ — $ — Less: Non-cash collateral received/paid (9,855 ) (5,131 ) (270 ) — Total net receivables/payables (9) $ 45,550 $ 52,459 $ 1,485 $ 1,624 (1) The trading derivatives fair values are presented in Note 12 to the Consolidated Financial Statements. (2) Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities . (3) Over-the-counter (OTC) derivatives include 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. (4) The credit derivatives trading assets comprise $17,957 million related to protection purchased and $16,918 million related to protection sold as of December 31, 2015 . The credit derivatives trading liabilities comprise $16,968 million related to protection purchased and $17,200 million related to protection sold as of December 31, 2015 . (5) For the trading account assets/liabilities, reflects the net amount of the $47,520 million and $56,855 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $42,609 million was used to offset derivative liabilities and, of the gross cash collateral received, $43,227 million was used to offset derivative assets. (6) For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $61 million of the gross cash collateral received, of which $53 million is netted against non-trading derivative positions within Other liabilities . For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of $1,986 million of gross cash collateral received, of which $1,949 million is netted against non-trading derivative positions within Other assets . (7) Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $391 billion , $126 billion and $7 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively. (8) Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively. (9) The net receivables/payables include approximately $10 billion of derivative asset and $10 billion of liability fair values not subject to enforceable master netting agreements, respectively. For the three and six months ended June 30, 2016 and 2015 , the amounts recognized in Principal transactions in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship, as well as the underlying non-derivative instruments, are presented in Note 6 to the Consolidated Financial Statements. 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 the way these portfolios are risk managed. The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains/losses on the economically hedged items to the extent such amounts are also recorded in Other revenue . Gains (losses) included in Other revenue Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Interest rate contracts $ 11 $ (51 ) $ 26 $ (36 ) Foreign exchange 11 (31 ) 15 (46 ) Credit derivatives (348 ) 61 (562 ) 71 Total Citigroup $ (326 ) $ (21 ) $ (521 ) $ (11 ) Accounting for Derivative Hedging Citigroup accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging . As a general rule, hedge accounting is permitted where the Company is exposed to a particular risk, such as interest-rate or foreign-exchange risk, that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or a forecasted transaction that may affect earnings. Derivative contracts hedging the risks associated with changes in fair value are referred to as fair value hedges, while contracts hedging the variability of expected future cash flows are cash flow hedges. Hedges that utilize derivatives or debt instruments to manage the foreign exchange risk associated with equity investments in non-U.S.-dollar-functional-currency foreign subsidiaries (net investment in a foreign operation) are net investment hedges. If certain hedging criteria specified in ASC 815 are met, including documentation requirements and assessing hedge effectiveness, hedge accounting may be applied. The hedge effectiveness assessment methodologies for similar hedges are performed in a similar manner and are used consistently throughout the hedging relationships. For fair value hedges, changes in the value of the hedging derivative, as well as changes in the value of the related hedged item due to the risk being hedged, are reflected in current earnings. For cash flow hedges and net investment hedges, changes in the value of the hedging derivative are reflected in Accumulated other comprehensive income (loss) in Citigroup’s stockholders’ equity to the extent the hedge is highly effective. Hedge ineffectiveness, in either case, is reflected in current earnings. For asset/liability management hedging, fixed-rate long-term debt is recorded at amortized cost under GAAP. However, by designating an interest rate swap contract as a hedging instrument and electing to apply ASC 815 fair value hedge accounting, the carrying value of the debt is adjusted for changes in the benchmark interest rate, with such changes in value recorded in current earnings. The related interest-rate swap also is recorded on the balance sheet at fair value, with any changes in fair value also reflected in earnings. Thus, any ineffectiveness resulting from the hedging relationship is captured in current earnings. Alternatively, for management hedges that do not meet the ASC 815 hedging criteria, the derivative is recorded at fair value on the balance sheet, with the associated changes in fair value recorded in earnings, while the debt continues to be carried at amortized cost. Therefore, current earnings are affected only by the interest rate shifts and other factors that cause a change in the swap’s value. This type of hedge is undertaken when hedging requirements cannot be achieved or management decides not to apply ASC 815 hedge accounting. Another alternative is to elect to account for the debt at fair value under the fair value option. Once the irrevocable election is made upon issuance of the debt, the full change in fair value of the debt is reported in earnings. The changes in fair value of the related interest rate swap are also reflected in earnings, which provides a natural offset to the debt’s fair value change. To the extent the two offsets are not exactly equal because the full change in the fair value of the debt includes risks not offset by the interest rate swap, the difference is captured in current earnings. The key requirements to achieve ASC 815 hedge accounting are documentation of a hedging strategy and specific hedge relationships at hedge inception and substantiating hedge effectiveness on an ongoing basis. A derivative must be highly effective in accomplishing the hedge objective of offsetting either changes in the fair value or cash flows of the hedged item for the risk being hedged. Any ineffectiveness in the hedge relationship is recognized in current earnings. The assessment of effectiveness may exclude changes in the value of the hedged item that are unrelated to the risks being hedged. Similarly, the assessment of effectiveness may exclude changes in the fair value of a derivative related to time value that, if excluded, are recognized in current earnings. Fair Value Hedges Hedging of Benchmark Interest Rate Risk Citigroup hedges exposure to changes in the fair value of outstanding fixed-rate issued debt. These hedges are designated as fair value hedges of the benchmark interest rate risk associated with the currency of the hedged liability. The fixed cash flows of the hedged items are converted to benchmark variable-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. These fair value hedge relationships use either regression or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis. Citigroup also hedges exposure to changes in the fair value of fixed-rate assets due to changes in benchmark interest rates, including available-for-sale debt securities and loans. The hedging instruments used are receive-variable, pay-fixed interest rate swaps. These fair value hedging relationships use either regression or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis. Hedging of Foreign Exchange Risk Citigroup hedges the change in fair value attributable to foreign-exchange rate movements in available-for-sale securities that are denominated in currencies other than the functional currency of the entity holding the securities, which may be within or outside the U.S. The hedging instrument employed is generally a forward foreign-exchange contract. In this hedge, the change in fair value of the hedged available-for-sale security attributable to the portion of foreign exchange risk hedged is reported in earnings, and not AOCI—which serves to offset the change in fair value of the forward contract that is also reflected in earnings. Citigroup considers the premium associated with forward contracts (i.e., the differential between spot and contractual forward rates) as the cost of hedging; this is excluded from the assessment of hedge effectiveness and reflected directly in earnings. The dollar-offset method is used to assess hedge effectiveness. Since that assessment is based on changes in fair value attributable to changes in spot rates on both the available-for-sale securities and the forward contracts for the portion of the relationship hedged, the amount of hedge ineffectiveness is not significant. Hedging of Commodity Price Risk Citigroup hedges the change in fair value attributable to price movements in physical commodities inventory. The hedging instrument employed is a futures contract to sell the underlying commodity. In this hedge, the change in value of the hedged inventory is reflected in earnings, which serves to offset the change in fair value of the futures contract that is also reflected in earnings. Citigroup excludes the differential between spot and the contractual forward rates under the futures contract from the assessment of hedge effectiveness. Since the assessment is based on changes in fair value attributable to change in spot prices on both the physical commodity and the futures contract, the amount of hedge ineffectiveness is not significant. 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, In millions of dollars 2016 2015 2016 2015 Gain (loss) on the derivatives in designated and qualifying fair value hedges Interest rate contracts $ 1,082 $ (1,680 ) $ 3,197 $ (1,039 ) Foreign exchange contracts (397 ) 16 (1,758 ) 1,404 Commodity contracts 89 (75 ) 438 41 Total gain (loss) on the derivatives in designated and qualifying fair value hedges $ 7 |
FAIR VALUE MEASUREMENT
FAIR VALUE MEASUREMENT | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE MEASUREMENT | FAIR VALUE MEASUREMENT ASC 820-10 Fair Value Measurement , defines fair value, establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Among other things, the standard requires the Company to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. Under ASC 820-10, the probability of default of a counterparty is factored into the valuation of derivative and other positions as well as the impact of Citigroup’s own credit risk on derivatives and other liabilities measured at fair value. Fair Value Hierarchy ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy: • Level 1: Quoted prices for identical instruments in active markets. • Level 2: Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. • Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable . As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible. The frequency of transactions, the size of the bid-ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the liquidity of markets and the relevance of observed prices in those markets. The Company’s policy with respect to transfers between levels of the fair value hierarchy is to recognize transfers into and out of each level as of the end of the reporting period. Determination of Fair Value For assets and liabilities carried at fair value, the Company measures fair value using the procedures set out below, irrespective of whether the assets and liabilities are measured at fair value as a result of an election or whether they are required to be measured at fair value. When available, the Company uses quoted market prices to determine fair value and classifies such items as Level 1. In some cases where a market price is available, the Company will make use of acceptable practical expedients (such as matrix pricing) to calculate fair value, in which case the items are classified as Level 2. The Company may also apply a price-based methodology, which utilizes, where available, quoted prices or other market information obtained from recent trading activity in positions with the same or similar characteristics to the position being valued. The market activity and the amount of the bid-ask spread are among the factors considered in determining the liquidity of markets and the observability of prices from those markets. If relevant and observable prices are available, those valuations may be classified as Level 2. When less liquidity exists for a security or loan, a quoted price is stale, a significant adjustment to the price of a similar security is necessary to reflect differences in the terms of the actual security or loan being valued, or prices from independent sources are insufficient to corroborate the valuation, the “price” inputs are considered unobservable and the fair value measurements are classified as Level 3. If quoted market prices are not available, fair value is based upon internally developed valuation techniques that use, where possible, current market-based parameters, such as interest rates, currency rates and option volatilities. 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 as Level 3 even though there may be some significant inputs that are readily observable. Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors or brokers. Vendors’ and brokers’ valuations may be based on a variety of inputs ranging from observed prices to proprietary valuation models. The following section describes the valuation methodologies used by the Company to measure various financial instruments at fair value, including an indication of the level in the fair value hierarchy in which each instrument is generally classified. Where appropriate, the description includes details of the valuation models, the key inputs to those models and any significant assumptions. Market Valuation Adjustments Generally, the unit of account for a financial instrument is the individual financial instrument. The Company applies market valuation adjustments that are consistent with the unit of account, which does not include adjustment due to the size of the Company’s position, except as follows. ASC 820-10 permits an exception, through an accounting policy election, to measure the fair value of a portfolio of financial assets and financial liabilities on the basis of the net open risk position when certain criteria are met. Citi has elected to measure certain portfolios of financial instruments, such as derivatives, that meet those criteria on the basis of the net open risk position. The Company applies market valuation adjustments, including adjustments to account for the size of the net open risk position, consistent with market participant assumptions and in accordance with the unit of account. Liquidity adjustments are applied to items in Level 2 or Level 3 of the fair-value hierarchy in an effort to ensure that the fair value reflects the price at which the position could be liquidated. The liquidity adjustment is based on the bid/offer spread for an instrument. When Citi has elected to measure certain portfolios of financial investments, such as derivatives, on the basis of the net open risk position, the liquidity adjustment may be adjusted to take into account the size of the position. Credit valuation adjustments (CVA) and funding valuation adjustments (FVA) are applied to over-the-counter (OTC) derivative instruments in which the base valuation generally discounts expected cash flows using the relevant base interest rate curve for the currency of the derivative (e.g., LIBOR for uncollateralized U.S.-dollar derivatives). As not all counterparties have the same credit risk as that implied by the relevant base curve, a CVA is necessary to incorporate the market view of both counterparty credit risk and Citi’s own credit risk in the valuation. FVA reflects a market funding risk premium inherent in the uncollateralized portion of derivative portfolios and in collateralized derivatives where the terms of the agreement do not permit the reuse of the collateral received. Citi’s CVA and FVA methodology is composed of two steps. • First, the exposure profile for each counterparty is determined using the terms of all individual derivative positions and a Monte Carlo simulation or other quantitative analysis to generate a series of expected cash flows at future points in time. The calculation of this exposure profile considers the effect of credit risk mitigants and sources of funding, including pledged cash or other collateral and any legal right of offset that exists with a counterparty through arrangements such as netting agreements. Individual derivative contracts that are subject to an enforceable master netting agreement with a counterparty are aggregated as a netting set for this purpose, since it is those aggregate net cash flows that are subject to nonperformance risk. This process identifies specific, point-in-time future cash flows that are subject to nonperformance risk and unsecured funding, rather than using the current recognized net asset or liability as a basis to measure the CVA and FVA. • Second, for CVA, market-based views of default probabilities derived from observed credit spreads in the credit default swap (CDS) market are applied to the expected future cash flows determined in step one. Citi’s own-credit CVA is determined using Citi-specific CDS spreads for the relevant tenor. Generally, counterparty CVA is determined using CDS spread indices for each credit rating and tenor. For certain identified netting sets where individual analysis is practicable (e.g., exposures to counterparties with liquid CDSs), counterparty-specific CDS spreads are used. For FVA, a term structure of future liquidity spreads is applied to the expected future funding requirement. The CVA and FVA are designed to incorporate a market view of the credit and funding risk, respectively, inherent in the derivative portfolio. However, most unsecured derivative instruments are negotiated bilateral contracts and are not commonly transferred to third parties. Derivative instruments are normally settled contractually or, if terminated early, are terminated at a value negotiated bilaterally between the counterparties. Thus, the CVA and FVA may not be realized upon a settlement or termination in the normal course of business. In addition, all or a portion of these adjustments may be reversed or otherwise adjusted in future periods in the event of changes in the credit or funding risk associated with the derivative instruments. The table below summarizes the CVA and FVA applied to the fair value of derivative instruments at June 30, 2016 and December 31, 2015: Credit and funding valuation adjustments contra-liability (contra-asset) In millions of dollars June 30, December 31, Counterparty CVA $ (2,015 ) $ (1,470 ) Asset FVA (679 ) (584 ) Citigroup (own-credit) CVA 603 471 Liability FVA 154 106 Total CVA—derivative instruments (1) $ (1,937 ) $ (1,477 ) (1) FVA is included with CVA for presentation purposes. The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated: Credit/funding/debt valuation adjustments gain (loss) Three Months Ended June 30, Six Months Ended In millions of dollars 2016 2015 2016 2015 Counterparty CVA $ 14 $ (20 ) $ (93 ) $ (159 ) Asset FVA (15 ) 94 (95 ) 52 Own-credit CVA (13 ) 20 121 (16 ) Liability FVA 18 (12 ) 48 45 Total CVA—derivative instruments (1) $ 4 $ 82 $ (19 ) $ (78 ) DVA related to own FVO liabilities (2) $ 20 $ 230 $ 327 $ 318 (1) FVA is included with CVA for presentation purposes. (2) Effective January 1, 2016, Citigroup early adopted on a prospective basis only the provisions of ASU No. 2016-01, Financial Instruments - Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, related to the presentation of DVA on fair value option liabilities. Accordingly, beginning in the first quarter 2016, the portion of the change in fair value of these liabilities related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI; previously these amounts were recognized in Citigroup’s revenues and net income. DVA amounts in AOCI will be recognized in revenue and net income if realized upon the settlement of the related liability. Valuation Process for Fair Value Measurements Price verification procedures and related internal control procedures are governed by the Citigroup Pricing and Price Verification Policy and Standards , which is jointly owned by Finance and Risk Management. For fair value measurements of substantially all assets and liabilities held by the Company, individual business units are responsible for valuing the trading account assets and liabilities, and Product Control within Finance performs independent price verification procedures to evaluate those fair value measurements. Product Control is independent of the individual business units and reports to the Global Head of Product Control. It has authority over the valuation of financial assets and liabilities. Fair value measurements of assets and liabilities are determined using various techniques, including, but not limited to, discounted cash flows and internal models, such as option and correlation models. Based on the observability of inputs used, Product Control classifies the inventory as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a position involves one or more significant inputs that are not directly observable, price verification procedures are performed that may include reviewing relevant historical data, analyzing profit and loss, valuing each component of a structured trade individually, and benchmarking, among others. Reports of inventory that is classified within Level 3 of the fair value hierarchy are distributed to senior management in Finance, Risk and the business. This inventory is also discussed in Risk Committees and in monthly meetings with senior trading management. As deemed necessary, reports may go to the Audit Committee of the Board of Directors or to the full Board of Directors. Whenever an adjustment is needed to bring the price of an asset or liability to its exit price, Product Control reports it to management along with other price verification results. In addition, the pricing models used in measuring fair value are governed by an independent control framework. Although the models are developed and tested by the individual business units, they are independently validated by the Model Validation Group within Risk Management and reviewed by Finance with respect to their impact on the price verification procedures. The purpose of this independent control framework is to assess model risk arising from models’ theoretical soundness, calibration techniques where needed, and the appropriateness of the model for a specific product in a defined market. To ensure their continued applicability, models are independently reviewed annually. In addition, Risk Management approves and maintains a list of products permitted to be valued under each approved model for a given business. Securities Purchased Under Agreements to Resell and Securities Sold Under Agreements to Repurchase No quoted prices exist for these instruments, so fair value is determined using a discounted cash-flow technique. Cash flows are estimated based on the terms of the contract, taking into account any embedded derivative or other features. These cash flows are discounted using interest rates appropriate to the maturity of the instrument as well as the nature of the underlying collateral. Generally, when such instruments are recorded at fair value, they are classified within Level 2 of the fair value hierarchy, as the inputs used in the valuation are readily observable. However, certain long-dated positions are classified within Level 3 of the fair value hierarchy. Trading Account Assets and Liabilities—Trading Securities and Trading Loans When available, the Company uses quoted market prices in active markets to determine the fair value of trading securities; such items are classified as Level 1 of the fair value hierarchy. Examples include government securities and exchange-traded equity securities. For bonds and secondary market loans traded over the counter, the Company generally determines fair value utilizing valuation techniques, including discounted cash flows, price-based and internal models, such as Black-Scholes and Monte Carlo simulation. Fair value estimates from these internal valuation techniques are verified, where possible, to prices obtained from independent sources, including third-party vendors. Vendors compile prices from various sources and may apply matrix pricing for similar bonds or loans where no price is observable. A price-based methodology utilizes, where available, quoted prices or other market information obtained from recent trading activity of assets with similar characteristics to the bond or loan being valued. The yields used in discounted cash flow models are derived from the same price information. Trading securities and loans priced using such methods are generally classified as Level 2. However, when less liquidity exists for a security or loan, a quoted price is stale, a significant adjustment to the price of a similar security or loan is necessary to reflect differences in the terms of the actual security or loan being valued, or prices from independent sources are insufficient to corroborate valuation, a loan or security is generally classified as Level 3. The price input used in a price-based methodology may be zero for a security, such as a subprime CDO, that is not receiving any principal or interest and is currently written down to zero. When the Company’s principal market for a portfolio of loans is the securitization market, the Company uses the securitization price to determine the fair value of the portfolio. The securitization price is determined from the assumed proceeds of a hypothetical securitization in the current market, adjusted for transformation costs (i.e., direct costs other than transaction costs) and securitization uncertainties such as market conditions and liquidity. As a result of the severe reduction in the level of activity in certain securitization markets since the second half of 2007, observable securitization prices for certain directly comparable portfolios of loans have not been readily available. Therefore, such portfolios of loans are generally classified as Level 3 of the fair value hierarchy. However, for other loan securitization markets, such as commercial real estate loans, price verification of the hypothetical securitizations has been possible, since these markets have remained active. Accordingly, this loan portfolio is classified as Level 2 of the fair value hierarchy. For most of the lending and structured direct subprime exposures, fair value is determined utilizing observable transactions where available, other market data for similar assets in markets that are not active and other internal valuation techniques. The valuation of certain asset-backed security (ABS) CDO positions utilizes prices based on the underlying assets of the ABS CDO. Trading Account Assets and Liabilities—Derivatives Exchange-traded derivatives, measured at fair value using quoted (i.e., exchange) prices in active markets, where available, are classified as Level 1 of the fair value hierarchy. Derivatives without a quoted price in an active market and derivatives executed over the counter are valued using internal valuation techniques. These derivative instruments are classified as either Level 2 or Level 3 depending upon the observability of the significant inputs to the model. The valuation techniques and inputs depend on the type of derivative and the nature of the underlying instrument. The principal techniques used to value these instruments are discounted cash flows and internal models, including Black-Scholes and Monte Carlo simulation. The key inputs depend upon the type of derivative and the nature of the underlying instrument and include interest rate yield curves, foreign-exchange rates, volatilities and correlation. The Company uses overnight indexed swap (OIS) curves as fair value measurement inputs for the valuation of certain collateralized derivatives. Citi uses the relevant benchmark curve for the currency of the derivative (e.g., the London Interbank Offered Rate for U.S. dollar derivatives) as the discount rate for uncollateralized derivatives. Citi’s FVA methodology leverages the existing CVA methodology to estimate a funding exposure profile. The calculation of this exposure profile considers collateral agreements where the terms do not permit the firm to reuse the collateral received, including where counterparties post collateral to third-party custodians. Investments The investments category includes available-for-sale debt and marketable equity securities whose fair values are generally determined by utilizing similar procedures described for trading securities above or, in some cases, using vendor pricing as the primary source. Also included in investments are nonpublic investments in private equity and real estate entities. Determining the fair value of nonpublic securities involves a significant degree of management judgment, as no quoted prices exist and such securities are generally thinly traded. In addition, there may be transfer restrictions on private equity securities. The Company’s process for determining the fair value of such securities utilizes commonly accepted valuation techniques, including comparables analysis. In determining the fair value of nonpublic securities, the Company also considers events such as a proposed sale of the investee company, initial public offerings, equity issuances or other observable transactions. Private equity securities are generally classified as Level 3 of the fair value hierarchy. In addition, the Company holds investments in certain alternative investment funds that calculate NAV per share, including hedge funds, private equity funds and real estate funds. Investments in funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV per share of the Company’s ownership interest in the funds where it is not probable that the investment will be realized at a price other than the NAV. Consistent with the provisions of ASU No. 2015-07 these investments have not been categorized within the fair value hierarchy and are not included in the tables below. See Note 13 to the Consolidated Financial Statements for additional information. Short-Term Borrowings and Long-Term Debt Where fair value accounting has been elected, the fair value of non-structured liabilities is determined by utilizing internal models using the appropriate discount rate for the applicable maturity. Such instruments are generally classified as Level 2 of the fair value hierarchy when all significant inputs are readily observable. The Company determines the fair value of hybrid financial instruments, including structured liabilities, using the appropriate derivative valuation methodology (described above in “Trading account assets and liabilities—derivatives”) given the nature of the embedded risk profile. Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model. Alt-A Mortgage Securities The Company classifies its Alt-A mortgage securities as held-to-maturity, available-for-sale or trading investments. The securities classified as trading and available-for-sale are recorded at fair value with changes in fair value reported in current earnings and AOCI, respectively. For these purposes, Citi defines Alt-A mortgage securities as non-agency residential mortgage-backed securities (RMBS) where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) for instances where FICO scores are greater than 720, RMBS have 30% or less of the underlying collateral composed of full documentation loans. Similar to the valuation methodologies used for other trading securities and trading loans, the Company generally determines the fair values of Alt-A mortgage securities utilizing internal valuation techniques. Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors. Consensus data providers compile prices from various sources. Where available, the Company may also make use of quoted prices for recent trading activity in securities with the same or similar characteristics to the security being valued. The valuation techniques used for Alt-A mortgage securities, as with other mortgage exposures, are price-based and yield analysis. The primary market-derived input is yield. Cash flows are based on current collateral performance with prepayment rates and loss projections reflective of current economic conditions of housing price change, unemployment rates, interest rates, borrower attributes and other market indicators. Alt-A mortgage securities that are valued using these methods are generally classified as Level 2. However, Alt-A mortgage securities backed by Alt-A mortgages of lower quality or subordinated tranches in the capital structure are mostly classified as Level 3 due to the reduced liquidity that exists for such positions, which reduces the reliability of prices available from independent sources. 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, 2016 and December 31, 2015 . The Company’s hedging of positions that have been classified in the Level 3 category is not limited to other financial instruments (hedging instruments) that have been classified as Level 3, but also instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables: Fair Value Levels In millions of dollars at June 30, 2016 Level 1 (1) Level 2 (1) Level 3 Gross Netting (2) Net Assets Federal funds sold and securities borrowed or purchased under agreements to resell $ — $ 171,688 $ 1,819 $ 173,507 $ (28,691 ) $ 144,816 Trading non-derivative assets Trading mortgage-backed securities U.S. government-sponsored agency guaranteed — 26,832 730 27,562 — 27,562 Residential — 194 801 995 — 995 Commercial — 1,146 390 1,536 — 1,536 Total trading mortgage-backed securities $ — $ 28,172 $ 1,921 $ 30,093 $ — $ 30,093 U.S. Treasury and federal agency securities $ 21,287 $ 4,353 $ 3 $ 25,643 $ — $ 25,643 State and municipal — 3,062 117 3,179 — 3,179 Foreign government 43,274 19,763 81 63,118 — 63,118 Corporate 553 14,198 405 15,156 — 15,156 Equity securities 41,219 1,818 3,970 47,007 — 47,007 Asset-backed securities — 870 2,670 3,540 — 3,540 Other trading assets 3 8,973 2,839 11,815 — 11,815 Total trading non-derivative assets $ 106,336 $ 81,209 $ 12,006 $ 199,551 $ — $ 199,551 Trading derivatives Interest rate contracts $ 48 $ 562,908 $ 3,381 $ 566,337 Foreign exchange contracts 58 174,695 800 175,553 Equity contracts 2,672 21,520 1,323 25,515 Commodity contracts 175 11,290 952 12,417 Credit derivatives — 29,847 3,085 32,932 Total trading derivatives $ 2,953 $ 800,260 $ 9,541 $ 812,754 Cash collateral paid (3) $ 9,292 Netting agreements $ (690,888 ) Netting of cash collateral received (58,945 ) Total trading derivatives $ 2,953 $ 800,260 $ 9,541 $ 822,046 $ (749,833 ) $ 72,213 Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed $ — $ 45,403 $ 94 $ 45,497 $ — $ 45,497 Residential — 5,040 25 5,065 — 5,065 Commercial — 361 5 366 — 366 Total investment mortgage-backed securities $ — $ 50,804 $ 124 $ 50,928 $ — $ 50,928 U.S. Treasury and federal agency securities $ 113,604 $ 11,961 $ 3 $ 125,568 $ — $ 125,568 State and municipal — 9,237 2,016 11,253 — 11,253 Foreign government 44,585 49,113 141 93,839 — 93,839 Corporate 4,607 15,520 460 20,587 — 20,587 Equity securities 1,251 45 128 1,424 — 1,424 Asset-backed securities — 7,446 597 8,043 — 8,043 Other debt securities — 1,118 5 1,123 — 1,123 Non-marketable equity securities (4) — 47 1,139 1,186 — 1,186 Total investments $ 164,047 $ 145,291 $ 4,613 $ 313,951 $ — $ 313,951 In millions of dollars at June 30, 2016 Level 1 (1) Level 2 (1) Level 3 Gross Netting (2) Net Loans (5) $ — $ 2,900 $ 1,234 $ 4,134 $ — $ 4,134 Mortgage servicing rights — — 1,324 1,324 — 1,324 Non-trading derivatives and other financial assets measured on a recurring basis, gross $ — $ 9,107 $ 111 $ 9,218 Cash collateral paid (6) 7 Netting of cash collateral received $ (1,793 ) Non-trading derivatives and other financial assets measured on a recurring basis $ — $ 9,107 $ 111 $ 9,225 $ (1,793 ) $ 7,432 Total assets $ 273,336 $ 1,210,455 $ 30,648 $ 1,523,738 $ (780,317 ) $ 743,421 Total as a percentage of gross assets (7) 18.0 % 79.9 % 2.0 % Liabilities Interest-bearing deposits $ — $ 1,038 $ 433 $ 1,471 $ — $ 1,471 Federal funds purchased and securities loaned or sold under agreements to repurchase — 73,728 1,107 74,835 (28,691 ) 46,144 Trading account liabilities Securities sold, not yet purchased 62,396 9,595 12 72,003 — 72,003 Other trading liabilities — 1,100 — 1,100 — 1,100 Total trading liabilities $ 62,396 $ 10,695 $ 12 $ 73,103 $ — $ 73,103 Trading derivatives Interest rate contracts $ 20 $ 539,113 $ 3,755 $ 542,888 Foreign exchange contracts 10 170,081 829 170,920 Equity contracts 2,503 24,757 2,394 29,654 Commodity contracts 209 11,577 2,969 14,755 Credit derivatives — 29,396 3,839 33,235 Total trading derivatives $ 2,742 $ 774,924 $ 13,786 $ 791,452 Cash collateral received (8) $ 16,592 Netting agreements $ (690,888 ) Netting of cash collateral paid (53,952 ) Total trading derivatives $ 2,742 $ 774,924 $ 13,786 $ 808,044 $ (744,840 ) $ 63,204 Short-term borrowings $ — $ 1,797 $ 53 $ 1,850 $ — $ 1,850 Long-term debt — 16,793 9,138 25,931 — 25,931 Non-trading derivatives and other financial liabilities measured on a recurring basis, gross $ — $ 2,897 $ 5 $ 2,902 Cash collateral received (9) — Netting of cash collateral paid $ (40 ) Total non-trading derivatives and other financial liabilities measured on a recurring basis $ — $ 2,897 $ 5 $ 2,902 $ (40 ) $ 2,862 Total liabilities $ 65,138 $ 881,872 $ 24,534 $ 988,136 $ (773,571 ) $ 214,565 Total as a percentage of gross liabilities (7) 6.7 % 90.8 % 2.5 % (1) For the three and six months ended June 30, 2016 , the Company transferred assets of approximately $0.7 billion and $0.9 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities and equity securities not traded in active markets. During the three and six months ended June 30, 2016, the Company transferred assets of approximately $1.0 billion and $2.3 billion from Level 2 to Level 1, respectively, primarily related to foreign government bonds traded with sufficient frequency to constitute an active market. During the three and six months ended June 30, 2016 , there were no material transfers of liabilities from Level 1 to Level 2 or from Level 2 to Level 1. (2) 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. (3) Reflects the net amount of $63,244 million of gross cash collateral paid, of which $53,952 million was used to offset trading derivative liabilities. (4) Amounts exclude $0.8 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). (5) There is no allowance for loan losses recorded for loans reported at fair value. (6) Reflects the net amount of $47 million of gross cash collateral paid, of which $ 40 million was used to offset non-trading derivative liabilities. (7) 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. (8) Reflects the net amount of $75,537 million of gross cash collateral received, of which $58,945 million was used to offset trading derivative assets. (9) Reflects the net amount of $1,793 million of gross cash collateral received, of which $1,793 million was used to offset non-trading derivative assets. Fair Value Levels In millions of dollars at December 31, 2015 Level 1 (1) Level 2 (1) Level 3 Gross Netting (2) Net Assets Federal funds sold and securities borrowed or purchased under agreements to resell $ — $ 177,538 $ 1,337 $ 178,875 $ (40,911 ) $ 137,964 Trading non-derivative assets Trading mortgage-backed securities U.S. government-sponsored agency guaranteed — 24,023 744 24,767 — 24,767 Residential — 1,059 1,326 2,385 — 2,385 Commercial — 2,338 517 2,855 — 2,855 Total trading mortgage-backed securities $ — $ 27,420 $ 2,587 $ 30,007 $ — $ 30,007 U.S. Treasury and federal age |
FAIR VALUE ELECTIONS
FAIR VALUE ELECTIONS | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value, Option, Aggregate Differences [Abstract] | |
FAIR VALUE ELECTIONS | 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 be revoked once made. The changes in fair value are recorded in current earnings, other than DVA, which from January 1, 2016 is reported in AOCI. Additional discussion regarding the applicable areas in which fair value elections were made is presented in Note 22 to the Consolidated Financial Statements. The Company has elected fair value accounting for its mortgage servicing rights. See Note 20 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting of MSRs. The following table presents the changes in fair value of those items for which the fair value option has been elected: Changes in fair value gains (losses) for the Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Assets Federal funds sold and securities borrowed or purchased under agreements to resell selected portfolios of securities purchased under agreements to resell and securities borrowed $ 19 $ (95 ) $ 47 $ (93 ) Trading account assets (320 ) 136 (62 ) 227 Investments (22 ) 4 (21 ) 49 Loans Certain corporate loans (1) 36 40 60 (9 ) Certain consumer loans (1) — — (1 ) 2 Total loans $ 36 $ 40 $ 59 $ (7 ) Other assets MSRs (137 ) 262 $ (362 ) $ 191 Certain mortgage loans held for sale (2) 91 70 171 172 Other assets — — 370 — Total other assets $ (46 ) $ 332 $ 179 $ 363 Total assets $ (333 ) $ 417 $ 202 $ 539 Liabilities Interest-bearing deposits $ (18 ) $ 23 $ (68 ) $ 33 Federal funds purchased and securities loaned or sold under agreements to repurchase selected portfolios of securities sold under agreements to repurchase and securities loaned (2 ) — (8 ) 2 Trading account liabilities 3 (44 ) 97 (15 ) Short-term borrowings (114 ) (67 ) (34 ) (68 ) Long-term debt (117 ) 707 (540 ) 896 Total liabilities $ (248 ) $ 619 $ (553 ) $ 848 (1) Includes mortgage loans held by mortgage loan securitization VIEs consolidated upon the adoption of ASC 810, Consolidation (SFAS 167), on January 1, 2010. (2) Includes gains (losses) associated with interest rate lock-commitments for those loans that have been originated and elected under the fair value option. Own Debt Valuation Adjustments (DVA) Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected by reference to Citi’s credit spreads observed in the bond market. Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads. The estimated change in the fair value of these liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) were gains of $ 20 million and $ 231 million for the three months ended June 30, 2016 and 2015 , and gains of $ 327 million and $ 318 million for the six months ended June 30, 2016 and 2015 , 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. Effective January 1, 2016, changes in fair value of fair value option liabilities related to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI; previously these amounts were recognized in Citigroup’s Revenues and Net income along with all other changes in fair value. See Note 1 to the Consolidated Financial Statements for additional information. The Fair Value Option for Financial Assets and Financial Liabilities Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain Non-Collateralized Short-Term Borrowings The Company elected the fair value option for certain portfolios of fixed-income securities purchased under agreements to resell and fixed-income securities sold under agreements to repurchase, securities borrowed, securities loaned, and certain non-collateralized short-term borrowings held primarily by broker-dealer entities in the United States, United Kingdom and Japan. In each case, the election was made because the related interest-rate risk is managed on a portfolio basis, primarily with offsetting derivative instruments that are accounted for at fair value through earnings. Changes in fair value for transactions in these portfolios are recorded in Principal transactions . The related interest revenue and interest expense are measured based on the contractual rates specified in the transactions and are reported as interest revenue and 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, 2016 December 31, 2015 In millions of dollars Trading assets Loans Trading assets Loans Carrying amount reported on the Consolidated Balance Sheet $ 9,321 $ 4,134 $ 9,314 $ 5,005 Aggregate unpaid principal balance in excess of fair value 744 84 980 280 Balance of non-accrual loans or loans more than 90 days past due 4 2 5 2 Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due 9 1 13 1 In addition to the amounts reported above, $ 1,855 million and $ 2,113 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of June 30, 2016 and December 31, 2015 , respectively. Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in the Company’s Consolidated Statement of Income. Related interest revenue is measured based on the contractual interest rates and reported as Interest revenue on Trading account assets or loan interest depending on the balance sheet classifications of the credit products. The changes in fair value for the six months ended June 30, 2016 and 2015 due to instrument-specific credit risk totaled to a gain of $ 56 million and loss of $ 27 million , respectively. Certain Investments in Unallocated Precious Metals Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $ 0.8 billion and $ 0.6 billion at June 30, 2016 and December 31, 2015 , respectively. The amounts are expected to fluctuate based on trading activity in future periods. As part of its commodity and foreign currency trading activities, Citi trades unallocated precious metals investments and executes forward purchase and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of June 30, 2016 , there were approximately $ 18.1 billion and $ 11.4 billion notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively. Certain Investments in Private Equity and Real Estate Ventures and Certain Equity Method and Other Investments Citigroup invests in private equity and real estate ventures for the purpose of earning investment returns and for capital appreciation. The Company has elected the fair value option for certain of these ventures, because such investments are considered similar to many private equity or hedge fund activities in Citi’s investment companies, which are reported at fair value. The fair value option brings consistency in the accounting and evaluation of these investments. All investments (debt and equity) in such private equity and real estate entities are accounted for at fair value. These investments are classified as Investments on Citigroup’s Consolidated Balance Sheet. Changes in the fair values of these investments are classified in Other revenue in the Company’s Consolidated Statement of Income. Citigroup also elects the fair value option for certain non-marketable equity securities whose risk is managed with derivative instruments that are accounted for at fair value through earnings. These securities are classified as Trading account assets on Citigroup’s Consolidated Balance Sheet. Changes in the fair value of these securities and the related derivative instruments are recorded in Principal transactions . Certain Mortgage Loans Held for Sale (HFS) Citigroup has elected the fair value option for certain purchased and originated prime fixed-rate and conforming adjustable-rate first mortgage loans HFS. These loans are intended for sale or securitization and are hedged with derivative instruments. The Company has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. The following table provides information about certain mortgage loans HFS carried at fair value: In millions of dollars June 30, December 31, 2015 Carrying amount reported on the Consolidated Balance Sheet $ 1,122 $ 745 Aggregate fair value in excess of unpaid principal balance 49 20 Balance of non-accrual loans or loans more than 90 days past due — — Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due — — The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the six months ended June 30, 2016 and 2015 due to instrument-specific credit risk. Related interest income continues to be measured based on the contractual interest rates and reported as Interest revenue in the Consolidated Statement of Income. Certain Structured Liabilities The Company has elected the fair value option for certain structured liabilities whose performance is linked to structured interest rates, inflation, currency, equity, referenced credit or commodity risks. The Company elected the fair value option, because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives ( Trading account liabilities ) on the Company’s Consolidated Balance Sheet according to their legal form. The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument: In billions of dollars June 30, 2016 December 31, 2015 Interest rate linked $ 10.3 $ 9.6 Foreign exchange linked 0.2 0.3 Equity linked 11.1 9.9 Commodity linked 1.1 1.4 Credit linked 1.0 1.6 Total $ 23.7 $ 22.8 Prior to 2016, the total change in the fair value of these structured liabilities was reported in Principal transactions in the Company’s Consolidated Statement of Income. Beginning in the first quarter of 2016, the portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions . Changes in the fair value of these structured liabilities include accrued interest, which is also included in the change in fair value reported in Principal transactions . Certain Non-Structured Liabilities The Company has elected the fair value option for certain non-structured liabilities with fixed and floating interest rates. The Company has elected the fair value option where the interest-rate risk of such liabilities may be economically hedged with derivative contracts or the proceeds are used to purchase financial assets that will also be accounted for at fair value through earnings. The elections have been made to mitigate accounting mismatches and to achieve operational simplifications. These positions are reported in Short-term borrowings and Long-term debt on the Company’s Consolidated Balance Sheet. Prior to 2016, the total change in the fair value of these non-structured liabilities was reported in Principal transactions in the Company’s Consolidated Statement of Income. Beginning in the first quarter of 2016, the portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions . Interest expense on non-structured liabilities is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income. The following table provides information about long-term debt carried at fair value: In millions of dollars June 30, 2016 December 31, 2015 Carrying amount reported on the Consolidated Balance Sheet $ 25,931 $ 25,293 Aggregate unpaid principal balance in excess of fair value 564 1,569 The following table provides information about short-term borrowings carried at fair value: In millions of dollars June 30, 2016 December 31, 2015 Carrying amount reported on the Consolidated Balance Sheet $ 1,850 $ 1,207 Aggregate unpaid principal balance in excess of fair value 6 130 |
GUARANTEES AND COMMITMENTS
GUARANTEES AND COMMITMENTS | 6 Months Ended |
Jun. 30, 2016 | |
Pledged Assets, Collateral, Guarantees and Commitments [Abstract] | |
GUARANTEES AND COMMITMENTS | GUARANTEES AND COMMITMENTS Citi provides a variety of guarantees and indemnifications to its customers to enhance their credit standing and enable them to complete a wide variety of business transactions. For certain contracts meeting the definition of a guarantee, the guarantor must recognize, at inception, a liability for the fair value of the obligation undertaken in issuing the guarantee. In addition, the guarantor must disclose the maximum potential amount of future payments that the guarantor could be required to make under the guarantee, if there were a total default by the guaranteed parties. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees. The following tables present information about Citi’s guarantees at June 30, 2016 and December 31, 2015 : Maximum potential amount of future payments In billions of dollars at June 30, 2016 except carrying value in millions Expire within 1 year Expire after 1 year Total amount outstanding Carrying value (in millions of dollars) Financial standby letters of credit $ 25.5 $ 69.9 $ 95.4 $ 146 Performance guarantees 7.7 3.8 11.5 21 Derivative instruments considered to be guarantees 4.6 73.9 78.5 1,113 Loans sold with recourse — 0.2 0.2 14 Securities lending indemnifications (1) 83.2 — 83.2 — Credit card merchant processing (1) 81.1 — 81.1 — Credit card arrangements with partners — 1.5 1.5 206 Custody indemnifications and other 0.3 46.6 46.9 58 Total $ 202.4 $ 195.9 $ 398.3 $ 1,558 Maximum potential amount of future payments In billions of dollars at December 31, 2015 except carrying value in millions Expire within 1 year Expire after 1 year Total amount outstanding Carrying value ( in millions of dollars) Financial standby letters of credit $ 23.8 $ 73.0 $ 96.8 $ 152 Performance guarantees 7.4 4.1 11.5 23 Derivative instruments considered to be guarantees 3.6 74.9 78.5 1,779 Loans sold with recourse — 0.2 0.2 17 Securities lending indemnifications (1) 79.0 — 79.0 — Credit card merchant processing (1) 84.2 — 84.2 — Custody indemnifications and other — 51.7 51.7 56 Total $ 198.0 $ 203.9 $ 401.9 $ 2,027 (1) The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal. Financial standby letters of credit Citi issues standby letters of credit, which substitute its own credit for that of the borrower. If a letter of credit is drawn down, the borrower is obligated to repay Citi. Standby letters of credit protect a third party from defaults on contractual obligations. Financial standby letters of credit include: (i) guarantees of payment of insurance premiums and reinsurance risks that support industrial revenue bond underwriting; (ii) settlement of payment obligations to clearing houses, including futures and over-the-counter derivatives clearing (see further discussion below); (iii) support options and purchases of securities in lieu of escrow deposit accounts; and (iv) letters of credit that backstop loans, credit facilities, promissory notes and trade acceptances. Performance guarantees Performance guarantees and letters of credit are issued to guarantee a customer’s tender bid on a construction or systems-installation project or to guarantee completion of such projects in accordance with contract terms. They are also issued to support a customer’s obligation to supply specified products, commodities, or maintenance or warranty services to a third party. Derivative instruments considered to be guarantees Derivatives are financial instruments whose cash flows are based on a notional amount and an underlying instrument, reference credit or index, where there is little or no initial investment, and whose terms require or permit net settlement. For a discussion of Citi’s derivatives activities, see Note 21 to the Consolidated Financial Statements. Derivative instruments considered to be guarantees include only those instruments that require Citi to make payments to the counterparty based on changes in an underlying instrument that is related to an asset, a liability or an equity security held by the guaranteed party. More specifically, derivative instruments considered to be guarantees include certain over-the-counter written put options where the counterparty is not a bank, hedge fund or broker-dealer (such counterparties are considered to be dealers in these markets and may, therefore, not hold the underlying instruments). Credit derivatives sold by Citi are excluded from the tables above, as they are disclosed separately in Note 21 to the Consolidated Financial Statements. In instances where Citi’s maximum potential future payment is unlimited, the notional amount of the contract is disclosed. Loans sold with recourse Loans sold with recourse represent Citi’s obligations to reimburse the buyers for loan losses under certain circumstances. Recourse refers to the clause in a sales agreement under which a seller/lender will fully reimburse the buyer/investor for any losses resulting from the purchased loans. This may be accomplished by the seller taking back any loans that become delinquent. In addition to the amounts shown in the tables above, Citi has recorded a repurchase reserve for its potential repurchases or make-whole liability regarding residential mortgage representation and warranty claims related to its whole loan sales to the U.S. government-sponsored enterprises (GSEs) and, to a lesser extent, private investors. The repurchase reserve was approximately $121 million and $152 million at June 30, 2016 and December 31, 2015 , respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet. Securities lending indemnifications Owners of securities frequently lend those securities for a fee to other parties who may sell them short or deliver them to another party to satisfy some other obligation. Banks may administer such securities lending programs for their clients. Securities lending indemnifications are issued by the bank to guarantee that a securities lending customer will be made whole in the event that the security borrower does not return the security subject to the lending agreement and collateral held is insufficient to cover the market value of the security. Credit card merchant processing Credit card merchant processing guarantees represent the Company’s indirect obligations in connection with: (i) providing transaction processing services to various merchants with respect to its private-label cards; and (ii) potential liability for bank card transaction processing services. The nature of the liability in either case arises as a result of a billing dispute between a merchant and a cardholder that is ultimately resolved in the cardholder’s favor. The merchant is liable to refund the amount to the cardholder. In general, if the credit card processing company is unable to collect this amount from the merchant, the credit card processing company bears the loss for the amount of the credit or refund paid to the cardholder. With regard to (i) above, Citi has the primary contingent liability with respect to its portfolio of private-label merchants. The risk of loss is mitigated as the cash flows between Citi and the merchant are settled on a net basis and Citi has the right to offset any payments with cash flows otherwise due to the merchant. To further mitigate this risk, Citi may delay settlement, require a merchant to make an escrow deposit, include event triggers to provide Citi with more financial and operational control in the event of the financial deterioration of the merchant or require various credit enhancements (including letters of credit and bank guarantees). In the unlikely event that a private-label merchant is unable to deliver products, services or a refund to its private-label cardholders, Citi is contingently liable to credit or refund cardholders. With regard to (ii) above, Citi has a potential liability for bank card transactions where Citi provides the transaction processing services as well as those where a third party provides the services and Citi acts as a secondary guarantor, should that processor fail to perform. Citi’s maximum potential contingent liability related to both bank card and private-label merchant processing services is estimated to be the total volume of credit card transactions that meet the requirements to be valid charge-back transactions at any given time. At June 30, 2016 and December 31, 2015 , this maximum potential exposure was estimated to be $81 billion and $84 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. Citi assesses the probability and amount of its contingent liability related to merchant processing based on the financial strength of the primary guarantor, the extent and nature of unresolved charge-backs and its historical loss experience. At June 30, 2016 and December 31, 2015 , the losses incurred and the carrying amounts of Citi’s contingent obligations related to merchant processing activities were immaterial. Credit card arrangements with partners Citi, in certain of its credit card partner arrangements, provides guarantees to the partner regarding the volume of certain customer originations during the term of the agreement. To the extent 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. Custody indemnifications Custody indemnifications are issued to guarantee that custody clients will be made whole in the event that a third-party subcustodian or depository institution fails to safeguard clients’ assets. 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, 2016 and December 31, 2015 , the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were immaterial. Other Representation and Warranty Indemnifications In the normal course of business, Citi provides standard representations and warranties to counterparties in contracts in connection with numerous transactions and also provides indemnifications, including indemnifications that protect the counterparties to the contracts in the event that additional taxes are owed due either to a change in the tax law or an adverse interpretation of the tax law. Counterparties to these transactions provide Citi with comparable indemnifications. While such representations, warranties and indemnifications are essential components of many contractual relationships, they do not represent the underlying business purpose for the transactions. The indemnification clauses are often standard contractual terms related to Citi’s own performance under the terms of a contract and are entered into in the normal course of business based on an assessment that the risk of loss is remote. Often these clauses are intended to ensure that terms of a contract are met at inception. No compensation is received for these standard representations and warranties, and it is not possible to determine their fair value because they rarely, if ever, result in a payment. In many cases, there are no stated or notional amounts included in the indemnification clauses, and the contingencies potentially triggering the obligation to indemnify have not occurred and are not expected to occur. As a result, these indemnifications are not included in the tables above. Value-Transfer Networks Citi is a member of, or shareholder in, hundreds of value-transfer networks (VTNs) (payment, clearing and settlement systems as well as exchanges) around the world. As a condition of membership, many of these VTNs require that members stand ready to pay a pro rata share of the losses incurred by the organization due to another member’s default on its obligations. Citi’s potential obligations may be limited to its membership interests in the VTNs, contributions to the VTN’s funds, or, in limited cases, the obligation may be unlimited. The maximum exposure cannot be estimated as this would require an assessment of future claims that have not yet occurred. Citi believes the risk of loss is remote given historical experience with the VTNs. Accordingly, Citi’s participation in VTNs is not reported in the guarantees tables above, and there are no amounts reflected on the Consolidated Balance Sheet as of June 30, 2016 or December 31, 2015 for potential obligations that could arise from Citi’s involvement with VTN associations. Long-Term Care Insurance Indemnification In the sale of an insurance subsidiary, the Company provided an indemnification to an insurance company for policyholder claims and other liabilities relating to a book of long-term care (LTC) business (for the entire term of the LTC policies) that is fully reinsured by another insurance company. The reinsurer has funded two trusts with securities whose fair value (approximately $7.3 billion at June 30, 2016 , compared to $6.3 billion at December 31, 2015 ) is designed to cover the insurance company’s statutory liabilities for the LTC policies. The assets in these trusts are evaluated and adjusted periodically to ensure that the fair value of the assets continues to cover the estimated statutory liabilities related to the LTC policies, as those statutory liabilities change over time. If the reinsurer fails to perform under the reinsurance agreement for any reason, including insolvency, and the assets in the two trusts are insufficient or unavailable to the ceding insurance company, then Citi must indemnify the ceding insurance company for any losses actually incurred in connection with the LTC policies. Since both events would have to occur before Citi would become responsible for any payment to the ceding insurance company pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is no liability reflected in the Consolidated Balance Sheet as of June 30, 2016 and December 31, 2015 related to this indemnification. Citi continues to closely monitor its potential exposure under this indemnification obligation. Futures and over-the-counter derivatives clearing Citi provides clearing services for clients executing exchange-traded futures and over-the-counter (OTC) derivatives contracts with central counterparties (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 futures 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. There are two types of margin: initial margin and variation margin. 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 is reflected within Brokerage Payables (payables to customers) and Brokerage Receivables (receivables from brokers, dealers and clearing organizations), respectively. However, for OTC derivatives contracts where Citi has contractually agreed with the client that (a) Citi will pass through to the client all interest paid by the CCP on cash initial margin; (b) Citi will not utilize its right as a clearing member to transform cash margin into other assets; and (c) Citi does not guarantee and is not liable to the client for the performance of the CCP, cash initial margin collected from clients and remitted to the CCP is not reflected on Citi’s Consolidated Balance Sheet. The total amount of cash initial margin collected and remitted in this manner was approximately $4.5 billion and $4.3 billion as of June 30, 2016 and December 31, 2015 , 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, 2016 and December 31, 2015 , the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to approximately $1.6 billion and $2.0 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 billion and $52 billion at June 30, 2016 and December 31, 2015 , respectively. Securities and other marketable assets held as collateral amounted to $36 billion and $33 billion at June 30, 2016 and December 31, 2015 , respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. Additionally, letters of credit in favor of Citi held as collateral amounted to $4.0 billion and $4.2 billion at June 30, 2016 and December 31, 2015 , respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined. Performance risk Citi evaluates the performance risk of its guarantees based on the assigned referenced counterparty internal or external ratings. Where external ratings are used, investment-grade ratings are considered to be Baa/BBB and above, while anything below is considered non-investment grade. Citi’s internal ratings are in line with the related external rating system. On certain underlying referenced assets or entities, ratings are not available. Such referenced assets are included in the “not rated” category. The maximum potential amount of the future payments related to the outstanding guarantees is determined to be the notional amount of these contracts, which is the par amount of the assets guaranteed. Presented in the tables below are the maximum potential amounts of future payments that are classified based upon internal and external credit ratings as of June 30, 2016 and December 31, 2015 . As previously mentioned, 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 June 30, 2016 Investment grade Non-investment grade Not rated Total Financial standby letters of credit $ 63.8 $ 18.9 $ 12.7 $ 95.4 Performance guarantees 6.4 4.3 0.8 11.5 Derivative instruments deemed to be guarantees — — 78.5 78.5 Loans sold with recourse — — 0.2 0.2 Securities lending indemnifications — — 83.2 83.2 Credit card merchant processing — — 81.1 81.1 Credit card arrangements with partners — — 1.5 1.5 Custody indemnifications and other 46.8 0.1 — 46.9 Total $ 117.0 $ 23.3 $ 258.0 $ 398.3 Maximum potential amount of future payments In billions of dollars at December 31, 2015 Investment grade Non-investment grade Not rated Total Financial standby letters of credit $ 69.2 $ 15.4 $ 12.2 $ 96.8 Performance guarantees 6.6 4.1 0.8 11.5 Derivative instruments deemed to be guarantees — — 78.5 78.5 Loans sold with recourse — — 0.2 0.2 Securities lending indemnifications — — 79.0 79.0 Credit card merchant processing — — 84.2 84.2 Custody indemnifications and other 51.6 0.1 — 51.7 Total $ 127.4 $ 19.6 $ 254.9 $ 401.9 Credit Commitments and Lines of Credit The table below summarizes Citigroup’s credit commitments as of June 30, 2016 and December 31, 2015: In millions of dollars U.S. Outside of U.S. June 30, December 31, 2015 Commercial and similar letters of credit $ 1,204 $ 4,121 $ 5,325 $ 6,102 One- to four-family residential mortgages 1,604 1,807 3,411 3,196 Revolving open-end loans secured by one- to four-family residential properties 12,361 2,088 14,449 14,726 Commercial real estate, construction and land development 7,940 1,280 9,220 10,522 Credit card lines 571,146 98,243 669,389 573,057 Commercial and other consumer loan commitments 167,467 89,125 256,592 271,076 Other commitments and contingencies 2,838 6,888 9,726 9,982 Total $ 764,560 $ 203,552 $ 968,112 $ 888,661 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. Commercial and similar letters of credit A commercial letter of credit is an instrument by which Citigroup substitutes its credit for that of a customer to enable the customer to finance the purchase of goods or to incur other commitments. Citigroup issues a letter on behalf of its client to a supplier and agrees to pay the supplier upon presentation of documentary evidence that the supplier has performed in accordance with the terms of the letter of credit. When a letter of credit is drawn, the customer is then required to reimburse Citigroup. One- to four-family residential mortgages A one- to four-family residential mortgage commitment is a written confirmation from Citigroup to a seller of a property that the bank will advance the specified sums enabling the buyer to complete the purchase. Revolving open-end loans secured by one- to four-family residential properties Revolving open-end loans secured by one- to four-family residential properties are essentially home equity lines of credit. A home equity line of credit is a loan secured by a primary residence or second home to the extent of the excess of fair market value over the debt outstanding for the first mortgage. Commercial real estate, construction and land development Commercial real estate, construction and land development include unused portions of commitments to extend credit for the purpose of financing commercial and multifamily residential properties as well as land development projects. Both secured-by-real-estate and unsecured commitments are included in this line, as well as undistributed loan proceeds, where there is an obligation to advance for construction progress payments. However, this line only includes those extensions of credit that, once funded, will be classified as Total loans, net on the Consolidated Balance Sheet. Credit card lines Citigroup provides credit to customers by issuing credit cards. The credit card lines are cancellable by providing notice to the cardholder or without such notice as permitted by local law. Commercial and other consumer loan commitments Commercial and other consumer loan commitments include overdraft and liquidity facilities, as well as commercial commitments to make or purchase loans, to purchase third-party receivables, to provide note issuance or revolving underwriting facilities and to invest in the form of equity. Other commitments and contingencies Other commitments and contingencies include committed or unsettled regular-way reverse repurchase agreements and all other transactions related to commitments and contingencies not reported on the lines above. |
CONTINGENCIES
CONTINGENCIES | 6 Months Ended |
Jun. 30, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
CONTINGENCIES | CONTINGENCIES The following information supplements and amends, as applicable, the disclosures in Note 28 to the Consolidated Financial Statements of Citigroup’s 2015 Annual Report on Form 10-K and Note 25 to the Consolidated Financial Statements of Citigroup’s First Quarter of 2016 Form 10-Q. For purposes of this Note, Citigroup, its affiliates and subsidiaries and current and former officers, directors and employees, are sometimes collectively referred to as Citigroup and Related Parties. In accordance with ASC 450, Citigroup establishes accruals for contingencies, including the litigation and regulatory matters disclosed herein, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters. If Citigroup has not accrued for a matter because the matter does not meet the criteria for accrual (as set forth above), or Citigroup believes an exposure to loss exists in excess of the amount accrued for a particular matter, in each case assuming a material loss is reasonably possible, Citigroup discloses the matter. In addition, for such matters, Citigroup discloses an estimate of the aggregate reasonably possible loss or range of loss in excess of the amounts accrued for those matters as to which an estimate can be made. At June 30, 2016, Citigroup’s estimate was materially unchanged from its estimate of approximately $3.0 billion in the aggregate as of March 31, 2016. 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 disclosure involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation and regulatory proceedings are subject to particular uncertainties. For example, at the time of making an estimate, Citigroup may have only preliminary, incomplete or inaccurate information about the facts underlying the claim; its assumptions about the future rulings of the court or other tribunal on significant issues, or the behavior and incentives of adverse parties or regulators, may prove to be wrong; and the outcomes it is attempting to predict are often not amenable to the use of statistical or other quantitative analytical tools. In addition, from time to time an outcome may occur that Citigroup had not accounted for in its estimates because it had deemed such an outcome to be remote. For all these reasons, the amount of loss in excess of accruals ultimately incurred for the matters as to which an estimate has been made could be substantially higher or lower than the range of loss included in the estimate. Subject to the foregoing, it is the opinion of Citigroup's management, based on current knowledge and after taking into account its current legal accruals, that the eventual outcome of all matters described in this Note would not be likely to have a material adverse effect on the consolidated financial condition of Citigroup. Nonetheless, given the substantial or indeterminate amounts sought in certain of these matters and the inherent unpredictability of such matters, an adverse outcome in certain of these matters could, from time to time, have a material adverse effect on Citigroup’s consolidated results of operations or cash flows in particular quarterly or annual periods. For further information on ASC 450 and Citigroup's accounting and disclosure framework for contingencies, including for litigation and regulatory matters disclosed herein, see Note 28 to the Consolidated Financial Statements of Citigroup’s 2015 Annual Report on Form 10-K. Credit Crisis-Related Litigation and Other Matters Mortgage-Related Litigation and Other Matters Derivative Actions and Related Proceedings : On June 7, 2016, defendants moved to dismiss plaintiff’s derivative complaint in IRA FOR THE BENEFIT OF VICTORIA SHAEV v. CORBAT, ET AL. Additional information concerning this action is publicly available in court filings under the docket number 652066/2016 (N.Y. Sup. Ct.) (Bransten, J.). Lehman Brothers Bankruptcy Proceedings On June 6, 2016, a motion for approval of the settlement in LEHMAN BROTHERS FINANCE AG v. CITIBANK, N.A., ET AL. was filed with the bankruptcy court. Additional information concerning this action is publicly available in court filings under the docket numbers 14-02050 and 09-10583 (Bankr. S.D.N.Y.) (Chapman, J.). Terra Firma Litigation On June 15, 2016, by consent of the parties, the English High Court of Justice dismissed Terra Firma’s lawsuit against Citigroup Global Markets Limited (CGML), Citibank and Citigroup with prejudice and ordered Terra Firma to pay the Citigroup defendants’ costs associated with defending the lawsuit. Additional information concerning this action is publicly available in court filings under the claim reference Terra Firma Investments (GP) 2 Ltd. & Ors v Citigroup Global Markets Ltd. & Ors (CL-2013-000293). Interest Rate Swaps Matters Numerous interest rate swap (IRS) market participants, including Citigroup, Citibank, Citigroup Global Markets Inc. and CGML, were named as defendants in industry-wide putative class actions filed in the United States District Courts for the Southern District of New York and the Northern District of Illinois. These actions have been consolidated before Judge Paul A. Engelmayer in the United States District Court for the Southern District of New York under the caption IN RE INTEREST RATE SWAPS ANTITRUST LITIGATION. Plaintiffs in these actions allege that defendants colluded to prevent the development of exchange-like trading for IRS, thereby causing the putative classes to suffer losses in connection with their IRS investments. Plaintiffs assert federal antitrust claims and claims for unjust enrichment. Also consolidated under the same caption are two individual actions filed by swap execution facilities, asserting federal and state antitrust claims as well as claims for unjust enrichment and tortious interference with business relations. Plaintiffs in all of these actions seek treble damages, fees, costs and injunctive relief. Additional information concerning these actions is publicly available in court filings under the docket numbers 16-MD-2704 (S.D.N.Y.) (Engelmayer, J.), 15-cv-09319 (S.D.N.Y.) (Engelmayer, J.), 16-cv-02858 (S.D.N.Y.) (Engelmayer, J.), 16-cv-03542 (S.D.N.Y.) (Engelmayer, J.), 16-cv-04005 (S.D.N.Y.) (Engelmayer, J.), 16-cv-04089 (S.D.N.Y.) (Engelmayer, J.), 16-cv-04239 (S.D.N.Y.) (Engelmayer, J.), 16-cv-02382 (Lefkow, J.) (N.D. Ill.), 16-cv-04561 (S.D.N.Y.) (Engelmayer, J.), 16-cv-04950 (N.D. Ill.) (Dow, J.); 16-cv-04566 (S.D.N.Y.) (Engelmayer, J.), 16-cv-05409 (N.D. Ill.) (Ellis, J.) and 16-cv-04563 (S.D.N.Y.) (Engelmayer, J.). Foreign Exchange Matters Antitrust and Other Litigation: On June 8, 2016, in NYPL v. JPMORGAN CHASE & CO., ET AL., the court denied defendants’ motion to stay and granted defendants’ motion to consolidate the case for discovery purposes with the consolidated proceeding captioned IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION. Additional information concerning this action is publicly available in court filings under the docket numbers 13 Civ. 7789 (S.D.N.Y.) (Schofield, J.) and 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.). On April 15, 2016, in ALLEN v. BANK OF AMERICA CORPORATION, ET AL., the settling defendants in IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION moved to enjoin the ALLEN action pending final settlement approval in IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION. On June 1, 2016, the court granted the motion in part as to claims based on collusive conduct and directed plaintiffs to file a separate pleading for claims based exclusively on non-collusive conduct. The plaintiffs filed a third amended complaint on July 15, 2016. Additional information concerning this action is publicly available in court filings under the docket numbers 13 Civ. 7789 (S.D.N.Y.) (Schofield, J.) and 15 Civ. 4285 (S.D.N.Y.) (Schofield, J.). On May 19, 2016, in NEGRETE v. CITIBANK, N.A., the court granted Citibank’s motion to dismiss and denied plaintiffs’ cross-motion for summary judgment, while granting leave for plaintiffs to replead. On June 20, 2016, plaintiffs filed an amended complaint, and, on July 27, 2016, Citibank filed a motion to dismiss the amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 7250 (S.D.N.Y.) (Sweet, J.). On March 10, 2016, Citibank, Citigroup and various other banks were joined as defendants in a pro se action captioned WAH ET AL. v. HSBC NORTH AMERICA HOLDINGS INC. ET AL. pending in the United States District Court for the Southern District of New York. The complaint asserts claims based on alleged FX market collusion in violation of the Sherman Act and Commodity Exchange Act. On March 31, 2016, plaintiffs filed an amended complaint. On April 29, 2016, Citi and the other newly-joined defendants joined a previously filed motion to dismiss or stay the action. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 08974 (S.D.N.Y.) (Schofield, J.). Derivative Actions and Related Proceedings : On April 19, 2016, plaintiffs in OKLAHOMA FIREFIGHTERS PENSION & RETIREMENT SYSTEM, ET AL. v. CORBAT, ET AL. filed a supplemental complaint. On June 30, 2016, defendants moved to dismiss the supplemental complaint. Additional information concerning this action is publicly available in court filings under the docket number C.A. No. 12151-VCG (Del. Ch.) (Glasscock, Ch.). Interbank Offered Rates-Related Litigation and Other Matters Regulatory Actions : On May 25, 2016, Citibank, Citigroup Global Markets Japan Inc. and Citibank Japan Limited entered into a civil settlement with the CFTC, concluding the CFTC’s investigation into U.S. Dollar LIBOR, yen LIBOR and Euroyen TIBOR. As part of the settlement, Citigroup agreed to pay a civil monetary penalty in the amount of $175 million and to enhance further the control framework governing its rate submissions. Antitrust and Other Litigation: On May 23, 2016, United States Court of Appeals for the Second Circuit reversed the district court’s dismissal of antitrust claims in the action captioned IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION and remanded “efficient enforcer” issues to the district court. Additional information concerning these actions is publicly available in court filings under the docket number 11 MD 2262 (S.D.N.Y.) (Buchwald, J.). On July 1, 2016, a putative class action captioned FRONTPOINT ASIAN EVENT DRIVEN FUND, LTD. ET AL v. CITIBANK, N.A. ET AL. was filed in the United States District Court for the Southern District of New York against Citibank, Citigroup and various other banks. Plaintiffs assert claims for violation of the Sherman Act, Clayton Act and RICO Act, as well as state law claims for alleged manipulation of the Singapore Interbank Offered Rate and Singapore Swap Offer Rate. Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 05263 (S.D.N.Y.) (Hellerstein, J.). Interchange Fees Litigation On June 30, 2016, the United States Court of Appeals for the Second Circuit reversed the district court’s approval of the class settlement and remanded for further proceedings. Additional information concerning these consolidated actions is publicly available in court filings under the docket number MDL 05-1720 (E.D.N.Y.) (Brodie, J.) and 12-4671 (2d Cir.). ISDAFIX-Related Litigation and Other Matters Regulatory Actions : On May 25, 2016, Citibank entered into a civil settlement with the CFTC, concluding the CFTC’s ISDAFIX investigation. As part of the settlement, Citibank agreed to pay a civil monetary penalty in the amount of $250 million and to enhance further the control framework governing interest-rate swap benchmarks. Antitrust and Other Litigation : On May 11, 2016, the court granted plaintiffs’ motion for preliminary approval of settlement with Citigroup and six other banks. Additional information concerning these actions is publicly available in court filings under the consolidated lead docket number 14 Civ. 7126 (S.D.N.Y.) (Furman, J.). Money Laundering Inquiries Derivative Actions and Related Proceedings : As described above in Foreign Exchange Matters, on April 19, 2016, plaintiffs in OKLAHOMA FIREFIGHTERS PENSION & RETIREMENT SYSTEM, ET AL. v. CORBAT, ET AL. filed a supplemental complaint. On June 30, 2016, defendants moved to dismiss the supplemental complaint. Additional information concerning this action is publicly available in court filings under the docket number C.A. No. 12151-VCG (Del. Ch.) (Glasscock, Ch.). Oceanografia Fraud and Related Matters On May 9, 2016, Citigroup filed a motion to dismiss the complaint brought by 39 plaintiffs alleging that Citigroup conspired with Oceanografia, S.A. de C.V. (OSA) and others with respect to receivable financings and other financing arrangements related to OSA in a manner that injured bondholders and other creditors of OSA. Additional information concerning this action is publicly available in court filings under the docket number 16-20725 (S.D. Fla.) (Gayles, J.). Settlement Payments Payments required in settlement agreements described above have been made or are covered by existing litigation accruals. |
CONDENSED CONSOLIDATING FINANCI
CONDENSED CONSOLIDATING FINANCIAL STATEMENTS | 6 Months Ended |
Jun. 30, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
CONDENSED CONSOLIDATING FINANCIAL STATEMENTS | CONDENSED CONSOLIDATING FINANCIAL STATEMENTS Citigroup amended its Registration Statement on Form S-3 on file with the SEC (File No. 33-192302) to add its wholly owned subsidiary, Citigroup Global Markets Holdings Inc. (CGMHI), as a co-registrant. Any securities issued by CGMHI under the Form S-3 will be fully and unconditionally guaranteed by Citigroup. The following are the Condensed Consolidating Statements of Income and Comprehensive Income for the three and six months ended June 30, 2016 and 2015 , Condensed Consolidating Balance Sheet as of June 30, 2016 and December 31, 2015 and Condensed Consolidating Statement of Cash Flows for the six months ended June 30, 2016 and 2015 for Citigroup Inc., the parent holding company (Citigroup parent company), CGMHI, other Citigroup subsidiaries and eliminations and total consolidating adjustments. “Other Citigroup subsidiaries and eliminations” includes all other subsidiaries of Citigroup, intercompany eliminations and income (loss) from discontinued operations. “Consolidating adjustments” includes Citigroup parent company elimination of distributed and undistributed income of subsidiaries and investment in subsidiaries. These Condensed Consolidating Financial Statements have been prepared and presented in accordance with SEC Regulation S-X Rule 3-10, “Financial Statements of Guarantors and Issuers of Guaranteed Securities Registered or Being Registered.” These Condensed Consolidating Financial Statements schedules are presented for purposes of additional analysis, but should be considered in relation to the Consolidated Financial Statements of Citigroup taken as a whole. Condensed Consolidating Statements of Income and Comprehensive Income Three Months Ended June 30, 2016 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Revenues Dividends from subsidiaries $ 2,900 $ — $ — $ (2,900 ) $ — Interest revenue 1 1,251 13,104 — 14,356 Interest revenue—intercompany 668 139 (807 ) — — Interest expense 1,094 401 1,625 — 3,120 Interest expense—intercompany 38 416 (454 ) — — Net interest revenue $ (463 ) $ 573 $ 11,126 $ — $ 11,236 Commissions and fees $ — $ 1,119 $ 1,606 $ — $ 2,725 Commissions and fees—intercompany (17 ) (24 ) 41 — — Principal transactions (186 ) 2,394 (392 ) — 1,816 Principal transactions—intercompany (217 ) (1,791 ) 2,008 — — Other income (585 ) 51 2,305 — 1,771 Other income—intercompany 736 339 (1,075 ) — — Total non-interest revenues $ (269 ) $ 2,088 $ 4,493 $ — $ 6,312 Total revenues, net of interest expense $ 2,168 $ 2,661 $ 15,619 $ (2,900 ) $ 17,548 Provisions for credit losses and for benefits and claims $ — $ — $ 1,409 $ — $ 1,409 Operating expenses Compensation and benefits $ (16 ) $ 1,202 $ 4,043 $ — $ 5,229 Compensation and benefits—intercompany 23 — (23 ) — — Other operating 213 412 4,515 — 5,140 Other operating—intercompany 79 322 (401 ) — — Total operating expenses $ 299 $ 1,936 $ 8,134 $ — $ 10,369 Income (loss) before income taxes and equity in undistributed income of subsidiaries $ 1,869 $ 725 $ 6,076 $ (2,900 ) $ 5,770 Provision (benefit) for income taxes (420 ) 157 1,986 — 1,723 Equity in undistributed income of subsidiaries 1,709 — — (1,709 ) — Income (loss) from continuing operations $ 3,998 $ 568 $ 4,090 $ (4,609 ) $ 4,047 Loss from discontinued operations, net of taxes — — (23 ) — (23 ) Net income (loss) before attribution of noncontrolling interests $ 3,998 $ 568 $ 4,067 $ (4,609 ) $ 4,024 Net income (loss) attributable to noncontrolling interests — (3 ) 29 — 26 Net income (loss) after attribution of noncontrolling interests $ 3,998 $ 571 $ 4,038 $ (4,609 ) $ 3,998 Comprehensive income Other comprehensive income (loss) $ 511 $ 58 $ 569 $ (627 ) $ 511 Comprehensive income $ 4,509 $ 629 $ 4,607 $ (5,236 ) $ 4,509 Condensed Consolidating Statements of Income and Comprehensive Income Three Months Ended June 30, 2015 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Revenues Dividends from subsidiaries $ 3,500 $ — $ — $ (3,500 ) $ — Interest revenue 2 1,240 13,631 — 14,873 Interest revenue—intercompany 711 67 (778 ) — — Interest expense 1,154 277 1,620 — 3,051 Interest expense—intercompany (155 ) 304 (149 ) — — Net interest revenue $ (286 ) $ 726 $ 11,382 $ — $ 11,822 Commissions and fees $ — $ 1,319 $ 1,875 $ — $ 3,194 Commissions and fees—intercompany — 44 (44 ) — — Principal transactions 790 873 510 — 2,173 Principal transactions—intercompany (340 ) (575 ) 915 — — Other income 1,161 (71 ) 1,191 — 2,281 Other income—intercompany (1,194 ) 47 1,147 — — Total non-interest revenues $ 417 $ 1,637 $ 5,594 $ — $ 7,648 Total revenues, net of interest expense $ 3,631 $ 2,363 $ 16,976 $ (3,500 ) $ 19,470 Provisions for credit losses and for benefits and claims $ — $ — $ 1,648 $ — $ 1,648 Operating expenses Compensation and benefits $ 13 $ 1,243 $ 4,227 $ — $ 5,483 Compensation and benefits—intercompany 23 — (23 ) — — Other operating (189 ) 491 5,143 — 5,445 Other operating—intercompany 73 200 (273 ) — — Total operating expenses $ (80 ) $ 1,934 $ 9,074 $ — $ 10,928 Income (loss) before income taxes and equity in undistributed income of subsidiaries $ 3,711 $ 429 $ 6,254 $ (3,500 ) $ 6,894 Provision (benefit) for income taxes (97 ) (255 ) 2,388 — 2,036 Equity in undistributed income of subsidiaries 1,038 — — (1,038 ) — Income (loss) from continuing operations $ 4,846 $ 684 $ 3,866 $ (4,538 ) $ 4,858 Income from discontinued operations, net of taxes — — 6 — 6 Net income (loss) before attribution of noncontrolling interests $ 4,846 $ 684 $ 3,872 $ (4,538 ) $ 4,864 Net income (loss) attributable to noncontrolling interests — (1 ) 19 — 18 Net income (loss) after attribution of noncontrolling interests $ 4,846 $ 685 $ 3,853 $ (4,538 ) $ 4,846 Comprehensive income Other comprehensive income (loss) $ (413 ) $ (48 ) $ (711 ) $ 759 $ (413 ) Comprehensive income $ 4,433 $ 637 $ 3,142 $ (3,779 ) $ 4,433 Condensed Consolidating Statements of Income and Comprehensive Income Six Months Ended June 30, 2016 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Revenues Dividends from subsidiaries $ 5,700 $ — $ — $ (5,700 ) $ — Interest revenue 3 2,397 26,123 — 28,523 Interest revenue—intercompany 1,540 275 (1,815 ) — — Interest expense 2,164 765 3,131 — 6,060 Interest expense—intercompany 79 845 (924 ) — — Net interest revenue $ (700 ) $ 1,062 $ 22,101 $ — $ 22,463 Commissions and fees $ — $ 2,079 $ 3,109 $ — $ 5,188 Commissions and fees—intercompany (19 ) (30 ) 49 — — Principal transactions (395 ) 2,257 1,794 — 3,656 Principal transactions—intercompany 41 (1,043 ) 1,002 — — Other income (3,679 ) 127 7,348 — 3,796 Other income—intercompany 3,996 199 (4,195 ) — — Total non-interest revenues $ (56 ) $ 3,589 $ 9,107 $ — $ 12,640 Total revenues, net of interest expense $ 4,944 $ 4,651 $ 31,208 $ (5,700 ) $ 35,103 Provisions for credit losses and for benefits and claims $ — $ — $ 3,454 $ — $ 3,454 Operating expenses Compensation and benefits $ (8 ) $ 2,491 $ 8,302 $ — $ 10,785 Compensation and benefits—intercompany 26 — (26 ) — — Other operating 480 798 8,829 — 10,107 Other operating—intercompany 80 629 (709 ) — — Total operating expenses $ 578 $ 3,918 $ 16,396 $ — $ 20,892 Income (loss) before income taxes and equity in undistributed income of subsidiaries $ 4,366 $ 733 $ 11,358 $ (5,700 ) $ 10,757 Provision (benefit) for income taxes (480 ) 194 3,488 — 3,202 Equity in undistributed income of subsidiaries 2,653 — — (2,653 ) — Income (loss) from continuing operations $ 7,499 $ 539 $ 7,870 $ (8,353 ) $ 7,555 Loss from discontinued operations, net of taxes — — (25 ) — (25 ) Net income (loss) before attribution of noncontrolling interests $ 7,499 $ 539 $ 7,845 $ (8,353 ) $ 7,530 Net income (loss) attributable to noncontrolling interests — (1 ) 32 — 31 Net income (loss) after attribution of noncontrolling interests $ 7,499 $ 540 $ 7,813 $ (8,353 ) $ 7,499 Comprehensive income Other comprehensive income (loss) $ 3,244 $ 105 $ 3,608 $ (3,713 ) $ 3,244 Comprehensive income $ 10,743 $ 645 $ 11,421 $ (12,066 ) $ 10,743 Condensed Consolidating Statements of Income and Comprehensive Income Six Months Ended June 30, 2015 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Revenues Dividends from subsidiaries $ 4,600 $ — $ — $ (4,600 ) $ — Interest revenue 5 2,247 27,221 — 29,473 Interest revenue—intercompany 1,383 120 (1,503 ) — — Interest expense 2,309 505 3,265 — 6,079 Interest expense—intercompany (331 ) 601 (270 ) — — Net interest revenue $ (590 ) $ 1,261 $ 22,723 $ — $ 23,394 Commissions and fees $ — $ 2,664 $ 3,700 $ — $ 6,364 Commissions and fees—intercompany — 103 (103 ) — — Principal transactions 457 2,189 1,498 — 4,144 Principal transactions—intercompany (669 ) (834 ) 1,503 — — Other income 3,176 27 2,101 — 5,304 Other income—intercompany (2,614 ) 540 2,074 — — Total non-interest revenues $ 350 $ 4,689 $ 10,773 $ — $ 15,812 Total revenues, net of interest expense $ 4,360 $ 5,950 $ 33,496 $ (4,600 ) $ 39,206 Provisions for credit losses and for benefits and claims $ — $ — $ 3,563 $ — $ 3,563 Operating expenses Compensation and benefits $ 48 $ 2,511 $ 8,444 $ — $ 11,003 Compensation and benefits—intercompany 30 — (30 ) — — Other operating (40 ) 948 9,901 — 10,809 Other operating—intercompany 130 605 (735 ) — — Total operating expenses $ 168 $ 4,064 $ 17,580 $ — $ 21,812 Income (loss) before income taxes and equity in undistributed income of subsidiaries $ 4,192 $ 1,886 $ 12,353 $ (4,600 ) $ 13,831 Provision (benefit) for income taxes (726 ) 269 4,613 — 4,156 Equity in undistributed income of subsidiaries 4,698 — — (4,698 ) — Income (loss) from continuing operations $ 9,616 $ 1,617 $ 7,740 $ (9,298 ) $ 9,675 Income from discontinued operations, net of taxes — — 1 — 1 Net income (loss) before attribution of noncontrolling interests $ 9,616 $ 1,617 $ 7,741 $ (9,298 ) $ 9,676 Net income (loss) attributable to noncontrolling interests — (3 ) 63 — 60 Net income (loss) after attribution of noncontrolling interests $ 9,616 $ 1,620 $ 7,678 $ (9,298 ) $ 9,616 Comprehensive income Other comprehensive income (loss) $ (1,888 ) $ (86 ) $ (2,297 ) $ 2,383 $ (1,888 ) Comprehensive income $ 7,728 $ 1,534 $ 5,381 $ (6,915 ) $ 7,728 Condensed Consolidating Balance Sheet June 30, 2016 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Assets Cash and due from banks $ — $ 348 $ 21,792 $ — $ 22,140 Cash and due from banks—intercompany 133 2,644 (2,777 ) — — Federal funds sold and resale agreements — 188,567 40,116 — 228,683 Federal funds sold and resale agreements—intercompany — 8,901 (8,901 ) — — Trading account assets 20 136,124 135,620 — 271,764 Trading account assets—intercompany 801 3,676 (4,477 ) — — Investments 438 357 355,498 — 356,293 Loans, net of unearned income — 845 632,670 — 633,515 Loans, net of unearned income—intercompany — — — — — Allowance for loan losses — — (12,304 ) — (12,304 ) Total loans, net $ — $ 845 $ 620,366 $ — $ 621,211 Advances to subsidiaries $ 117,175 $ — $ (117,175 ) $ — $ — Investments in subsidiaries 232,490 — — (232,490 ) — Other assets (1) 27,200 42,046 249,434 — 318,680 Other assets—intercompany 55,579 40,706 (96,285 ) — — Total assets $ 433,836 $ 424,214 $ 1,193,211 $ (232,490 ) $ 1,818,771 Liabilities and equity Deposits $ — $ — $ 937,852 $ — $ 937,852 Deposits—intercompany — — — — — Federal funds purchased and securities loaned or sold — 137,985 20,016 — 158,001 Federal funds purchased and securities loaned or sold—intercompany 185 20,066 (20,251 ) — — Trading account liabilities — 78,093 58,214 — 136,307 Trading account liabilities—intercompany 612 2,973 (3,585 ) — — Short-term borrowings 4 771 17,633 — 18,408 Short-term borrowings—intercompany — 36,771 (36,771 ) — — Long-term debt 148,431 5,094 53,923 — 207,448 Long-term debt—intercompany — 40,990 (40,990 ) — — Advances from subsidiaries 39,579 — (39,579 ) — — Other liabilities 3,766 59,368 64,600 — 127,734 Other liabilities—intercompany 9,371 9,974 (19,345 ) — — Stockholders’ equity 231,888 32,129 201,494 (232,490 ) 233,021 Total liabilities and equity $ 433,836 $ 424,214 $ 1,193,211 $ (232,490 ) $ 1,818,771 (1) Other assets for Citigroup parent company at June 30, 2016 included $ 17.4 billion of placements to Citibank and its branches, of which $ 9.5 billion had a remaining term of less than 30 days. Condensed Consolidating Balance Sheet December 31, 2015 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Assets Cash and due from banks $ — $ 592 $ 20,308 $ — $ 20,900 Cash and due from banks—intercompany 124 1,403 (1,527 ) — — Federal funds sold and resale agreements — 178,178 41,497 — 219,675 Federal funds sold and resale agreements—intercompany — 15,035 (15,035 ) — — Trading account assets (8 ) 124,731 125,233 — 249,956 Trading account assets—intercompany 1,032 1,765 (2,797 ) — — Investments 484 402 342,069 — 342,955 Loans, net of unearned income — 1,068 616,549 — 617,617 Loans, net of unearned income—intercompany — — — — — Allowance for loan losses — (3 ) (12,623 ) — (12,626 ) Total loans, net $ — $ 1,065 $ 603,926 $ — $ 604,991 Advances to subsidiaries $ 104,405 $ — $ (104,405 ) $ — $ — Investments in subsidiaries 221,362 — — (221,362 ) — Other assets (1) 25,819 36,860 230,054 — 292,733 Other assets—intercompany 58,207 30,737 (88,944 ) — — Total assets $ 411,425 $ 390,768 $ 1,150,379 $ (221,362 ) $ 1,731,210 Liabilities and equity Deposits $ — $ — $ 907,887 $ — $ 907,887 Deposits—intercompany — — — — — Federal funds purchased and securities loaned or sold — 122,459 24,037 — 146,496 Federal funds purchased and securities loaned or sold—intercompany 185 22,042 (22,227 ) — — Trading account liabilities — 62,386 55,126 — 117,512 Trading account liabilities—intercompany 1,036 2,045 (3,081 ) — — Short-term borrowings 146 188 20,745 — 21,079 Short-term borrowings—intercompany — 34,916 (34,916 ) — — Long-term debt 141,914 2,530 56,831 — 201,275 Long-term debt—intercompany — 51,171 (51,171 ) — — Advances from subsidiaries 36,453 — (36,453 ) — — Other liabilities 3,560 55,482 54,827 — 113,869 Other liabilities—intercompany 6,274 10,967 (17,241 ) — — Stockholders’ equity 221,857 26,582 196,015 (221,362 ) 223,092 Total liabilities and equity $ 411,425 $ 390,768 $ 1,150,379 $ (221,362 ) $ 1,731,210 (1) Other assets for Citigroup parent company at December 31, 2015 included $21.8 billion of placements to Citibank and its branches, of which $13.9 billion had a remaining term of less than 30 days. Condensed Consolidating Statement of Cash Flows Six Months Ended June 30, 2016 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Net cash provided by operating activities of continuing operations $ 13,794 $ 2,380 $ 4,893 $ — $ 21,067 Cash flows from investing activities of continuing operations Purchases of investments $ — $ — $ (108,359 ) $ — $ (108,359 ) Proceeds from sales of investments — — 66,138 — 66,138 Proceeds from maturities of investments 46 — 33,337 — 33,383 Change in deposits with banks — (5,390 ) (10,406 ) — (15,796 ) Change in loans — — (30,170 ) — (30,170 ) Proceeds from sales and securitizations of loans — — 7,021 — 7,021 Proceeds from significant disposals — — 265 — 265 Change in federal funds sold and resales — (4,256 ) (4,752 ) — (9,008 ) Changes in investments and advances—intercompany (16,412 ) (5,125 ) 21,537 — — Other investing activities — — (987 ) — (987 ) Net cash used in investing activities of continuing operations $ (16,366 ) $ (14,771 ) $ (26,376 ) $ — $ (57,513 ) Cash flows from financing activities of continuing operations Dividends paid $ (828 ) $ — $ — $ — $ (828 ) Issuance of preferred stock 2,498 — — — 2,498 Treasury stock acquired (2,634 ) — — — (2,634 ) Proceeds (repayments) from issuance of long-term debt, net 890 2,512 (3,115 ) — 287 Proceeds (repayments) from issuance of long-term debt—intercompany, net — (10,112 ) 10,112 — — Change in deposits — — 29,965 — 29,965 Change in federal funds purchased and repos — 13,550 (2,045 ) — 11,505 Change in short-term borrowings (160 ) 583 (3,094 ) — (2,671 ) Net change in short-term borrowings and other advances—intercompany 3,127 1,855 (4,982 ) — — Capital contributions from parent — 5,000 (5,000 ) — — Other financing activities (312 ) — — — (312 ) Net cash provided by financing activities of continuing operations $ 2,581 $ 13,388 $ 21,841 $ — $ 37,810 Effect of exchange rate changes on cash and due from banks $ — $ — $ (124 ) $ — $ (124 ) Change in cash and due from banks $ 9 $ 997 $ 234 $ — $ 1,240 Cash and due from banks at beginning of period 124 1,995 18,781 — 20,900 Cash and due from banks at end of period $ 133 $ 2,992 $ 19,015 $ — $ 22,140 Supplemental disclosure of cash flow information for continuing operations Cash paid (refund) during the year for income taxes $ (323 ) $ 40 $ 2,328 $ — $ 2,045 Cash paid during the year for interest 2,040 1,666 2,020 — 5,726 Non-cash investing activities Transfers to loans HFS from loans — — 6,000 — 6,000 Transfers to OREO and other repossessed assets — — 97 — 97 Condensed Consolidating Statement of Cash Flows Six Months Ended June 30, 2015 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Net cash provided by (used in) operating activities of continuing operations $ 16,287 $ (9,008 ) $ 11,067 $ — $ 18,346 Cash flows from investing activities of continuing operations Purchases of investments $ — $ (4 ) $ (140,941 ) $ — $ (140,945 ) Proceeds from sales of investments — 53 89,654 — 89,707 Proceeds from maturities of investments 181 — 44,551 — 44,732 Change in deposits with banks — (10,181 ) 7,270 — (2,911 ) Change in loans — — (9,945 ) — (9,945 ) Proceeds from sales and securitizations of loans — — 6,377 — 6,377 Change in federal funds sold and resales — 2,883 2,633 — 5,516 Changes in investments and advances—intercompany (20,724 ) 2,602 18,122 — — Other investing activities 1 (43 ) (1,101 ) — (1,143 ) Net cash provided by (used in) investing activities of continuing operations $ (20,542 ) $ (4,690 ) $ 16,620 $ — $ (8,612 ) Cash flows from financing activities of continuing operations Dividends paid $ (514 ) $ — $ — $ — $ (514 ) Issuance of preferred stock 3,486 — — — 3,486 Treasury stock acquired (1,850 ) — — — (1,850 ) Proceeds (repayments) from issuance of long-term debt, net 7,046 12,514 (18,436 ) — 1,124 Proceeds (repayments) from issuance of long-term debt—intercompany, net — (232 ) 232 — — Change in deposits — — 8,705 — 8,705 Change in federal funds purchased and repos — 4,511 (937 ) — 3,574 Change in short-term borrowings (349 ) (1,212 ) (30,867 ) — (32,428 ) Net change in short-term borrowings and other advances—intercompany (3,126 ) (1,144 ) 4,270 — — Other financing activities (423 ) — — — (423 ) Net cash provided by (used in) financing activities of continuing operations $ 4,270 $ 14,437 $ (37,033 ) $ — $ (18,326 ) Effect of exchange rate changes on cash and due from banks $ — $ — $ (103 ) $ — $ (103 ) Change in cash and due from banks $ 15 $ 739 $ (9,449 ) $ — $ (8,695 ) Cash and due from banks at beginning of period 125 1,751 30,232 — 32,108 Cash and due from banks at end of period $ 140 $ 2,490 $ 20,783 $ — $ 23,413 Supplemental disclosure of cash flow information for continuing operations Cash paid (refund) during the year for income taxes $ (248 ) $ 348 $ 2,763 $ — $ 2,863 Cash paid during the year for interest 2,332 1,101 2,045 — 5,478 Non-cash investing activities Decrease in net loans associated with significant disposals reclassified to HFS $ — $ — $ (8,874 ) $ — $ (8,874 ) Decrease in investments associated with significant disposals reclassified to HFS — — (1,444 ) — (1,444 ) Transfers to loans HFS from loans — — 15,900 — 15,900 Transfers to OREO and other repossessed assets — — 158 — 158 Non-cash financing activities Decrease in long-term debt associated with significant disposals reclassified to HFS $ — $ — $ (5,923 ) $ — $ (5,923 ) |
BASIS OF PRESENTATION AND ACC35
BASIS OF PRESENTATION AND ACCOUNTING CHANGES (Policies) | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Accounting Changes | ACCOUNTING CHANGES Recognition and Measurement of Financial Assets and Financial Liabilities In January 2016, the FASB issued Accounting Standards Update (ASU) No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities , which addresses certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. This ASU requires entities to present separately in OCI the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. It will also require equity investments (except those accounted for under the equity method of accounting or those that result in consolidation of the investee) to be measured at fair value with changes in fair value recognized in net income, thus eliminating eligibility for the current available-for-sale category. However, Federal Reserve Bank and Federal Home Loan Bank stock as well as exchange seats will continue to be presented at cost. Citi early-adopted only the provisions of this ASU related to presentation of DVA in OCI effective January 1, 2016, as permitted by the ASU. Accordingly, beginning in the first quarter 2016, the portion of the change in fair value of liabilities for which the fair value option was elected related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of Accumulated other comprehensive income (AOCI), whereas, these amounts were previously recognized in Citigroup’s revenues and net income. The impact of adopting this amendment resulted in a cumulative catch-up reclassification from retained earnings to AOCI of an accumulated after tax loss of approximately $15 million at January 1, 2016. Financial statements for periods prior to 2016 were not subject to restatement under the provisions of this ASU. For additional information, see Note 18, Note 22 and Note 23 to the Consolidated Financial Statements. The Company is evaluating the effect that the other provisions of ASU 2016-01 will have on its Consolidated Financial Statements and related disclosures. Accounting for Investments in Tax Credit Partnerships In January 2014, the FASB issued ASU No. 2014-01, Investments—Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Qualified Affordable Housing Projects . Any transition adjustment is reflected as an adjustment to retained earnings in the earliest period presented (retrospective application). The ASU is applicable to Citi’s portfolio of low income housing tax credit (LIHTC) partnership interests. The new standard widens the scope of investments eligible to elect to apply a new alternative method, the proportional amortization method, under which the cost of the investment is amortized to tax expense in proportion to the amount of tax credits and other tax benefits received. Citi qualifies to elect the proportional amortization method under the ASU for its entire LIHTC portfolio. These investments were previously accounted for under the equity method, which resulted in losses (due to amortization of the investment) being recognized in Other revenue and tax credits and benefits being recognized in the Income tax expense line. In contrast, the proportional amortization method combines the amortization of the investment and receipt of the tax credits/benefits into one line, Income tax expense . Citi adopted ASU 2014-01 in the first quarter of 2015. The adoption of this ASU was applied retrospectively and cumulatively reduced Retained earnings by approximately $349 million , Other assets by approximately $178 million , and deferred tax assets by approximately $171 million . Consolidation In February 2015, the FASB issued ASU No. 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis , which intended to improve certain areas of consolidation guidance for legal entities such as limited partnerships, limited liability companies, and securitization structures. The ASU reduced the number of consolidation models and became effective on January 1, 2016. Adoption of ASU 2015-02 did not have a material impact on the Company’s Consolidated Financial Statements. Consolidation-Collateralized Financing Entities In August 2014, the FASB issued ASU No. 2014-13, Consolidation (Topic 810): Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity , which provides an alternative measurement method for consolidated collateralized financing VIEs to elect: (i) to measure their financial assets and liabilities separately under existing U.S. GAAP for fair value measurement with any differences in such fair values reflected in earnings; or (ii) to measure both their financial assets and liabilities using the more observable of the fair value of the financial assets or the fair value of the financial liabilities. The ASU became effective on January 1, 2016. Adoption of ASU 2014-13 did not have a material impact on the Company’s Consolidated Financial Statements. FUTURE APPLICATION OF ACCOUNTING STANDARDS Accounting for Financial Instruments-Credit Losses In June 2016, the FASB issued ASU 2016-13, Financial Instruments-Credit Losses (Topic 326) . The ASU introduces a new accounting model, the Current Expected Credit Losses model (CECL), which requires earlier recognition of credit losses, while also providing additional transparency about credit risk. The FASB’s CECL model utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity securities and other receivables at the time the financial asset is originated or acquired. The expected credit losses are adjusted each period for changes in expected lifetime credit losses. For available-for-sale securities where fair value is less than cost, credit-related impairment, if any, will be recognized in an allowance for credit losses and adjusted each period for changes in expected credit risk. This model replaces the multiple existing impairment models in current GAAP, which generally require that a loss be incurred before it is recognized. The CECL model represents a significant departure from existing GAAP, and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The ASU will be effective for Citi as of January 1, 2020. Early application is permitted for annual periods beginning January 1, 2019. Recognition of Breakage for Certain Prepaid Stored-Value Products In March 2016, the FASB issued ASU No. 2016-04, Liabilities—Extinguishment of Liabilities (Subtopic 405-20): Recognition of Breakage for Certain Prepaid Stored-Value Products , which was intended to address potential diversity in entities’ practices related to the derecognition of the financial liability that is recorded when an entity issues a prepaid stored-value product. Typically, when the holder of a prepaid stored-value product redeems that product to make a purchase of goods or services, the issuing entity settles the transaction with the selling merchant, and the liability to the product holder is extinguished. However, in some cases, a prepaid stored-value product may be wholly or partially unused for an indefinite time period. The ASU provides authoritative guidance describing the narrow circumstances in which an entity’s liability for an unredeemed prepaid stored-value product may be extinguished. The amendment is effective on January 1, 2018; early adoption is permitted. Adoption of the ASU is not expected to have a material impact on the Company’s Consolidated Financial Statements. Revenue Recognition In May 2014, the FASB issued ASU No. 2014-09, Revenue from Contracts with Customers , which requires an entity to recognize the amount of revenue to which it expects to be entitled for the transfer of promised goods or services to customers. The ASU will replace most existing revenue recognition guidance in GAAP when it becomes effective on January 1, 2018. Early application is permitted for annual periods beginning after December 15, 2016. The ASU is not applicable to financial instruments and, therefore, is not expected to impact a majority of the Company’s revenue, including net interest income. The Company is evaluating the effect that ASU 2014-09 will have on its Consolidated Financial Statements and related disclosures. Lease Accounting In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842), which is intended to increase transparency and comparability of accounting for lease transactions. The ASU will require lessees to recognize all leases on the balance sheet as lease assets and lease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessor accounting is largely unchanged. The guidance is effective beginning January 1, 2019 with an option to early adopt. The Company is evaluating whether to early adopt and the effect that ASU 2016-02 will have on its Consolidated Financial Statements, regulatory capital and related disclosures. |
DISCONTINUED OPERATIONS AND S36
DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Discontinued operations | |
Summarized financial information disposal groups including discontinued operations | The following is summarized financial information for previous Discontinued operations for which Citi continues to have minimal residual costs associated with the sales: Three Months Ended Six Months Ended In millions of dollars 2016 2015 2016 2015 Total revenues, net of interest expense (1) $ — $ — $ — $ — Income (loss) from discontinued operations $ (36 ) $ 9 $ (39 ) $ 1 Provision (benefit) for income taxes (13 ) 3 (14 ) — Income (loss), from discontinued operations, net of taxes $ (23 ) $ 6 $ (25 ) $ 1 (1) Total revenues include gain or loss on sale, if applicable. |
Novation of 80% Primerica Coinsurance Agreement | |
Discontinued operations | |
Summarized financial information disposal groups including discontinued operations | Income before taxes, excluding the revenue upon novation, was as follows: Three Months Ended Six Months Ended In millions of dollars 2016 2015 2016 2015 Income before taxes $ — $ 42 $ — $ 77 |
OneMain Financial Business | |
Discontinued operations | |
Summarized financial information disposal groups including discontinued operations | Income before taxes was as follows: Three Months Ended Six Months Ended In millions of dollars 2016 2015 2016 2015 Income before taxes $ — $ 177 $ — $ 354 |
BUSINESS SEGMENTS (Tables)
BUSINESS SEGMENTS (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Segment Reporting [Abstract] | |
Information regarding the Company's operations by segment | The following table presents certain information regarding the Company’s continuing operations by segment: Revenues, (1) Provision (benefits) Income (loss) from (2) Identifiable assets Three Months Ended June 30, In millions of dollars, except identifiable assets in billions 2016 2015 2016 2015 2016 2015 June 30, 2016 December 31, 2015 Global Consumer Banking $ 7,733 $ 8,184 $ 681 $ 811 $ 1,323 $ 1,611 $ 402 $ 381 Institutional Clients Group 8,846 8,946 1,289 1,331 2,715 2,860 1,302 1,217 Corporate/Other 126 371 (232 ) (246 ) (89 ) 231 49 52 Total Citicorp $ 16,705 $ 17,501 $ 1,738 $ 1,896 $ 3,949 $ 4,702 $ 1,753 $ 1,650 Citi Holdings 843 1,969 (15 ) 140 98 156 66 81 Total $ 17,548 $ 19,470 $ 1,723 $ 2,036 $ 4,047 $ 4,858 $ 1,819 $ 1,731 Revenues, (1) Provision (benefits) Income (loss) from (2) Six Months Ended June 30, In millions of dollars, except identifiable assets in billions 2016 2015 2016 2015 2016 2015 Global Consumer Banking $ 15,503 $ 16,486 $ 1,327 $ 1,728 $ 2,554 $ 3,323 Institutional Clients Group 16,882 18,023 2,107 2,696 4,674 5,834 Corporate/Other 400 583 (347 ) (557 ) (118 ) 212 Total Citicorp $ 32,785 $ 35,092 $ 3,087 $ 3,867 $ 7,110 $ 9,369 Citi Holdings 2,318 4,114 115 289 445 306 Total $ 35,103 $ 39,206 $ 3,202 $ 4,156 $ 7,555 $ 9,675 (1) Includes Citicorp (excluding Corporate/Other ) total revenues, net of interest expense, in North America of $8.3 billion and $8.3 billion ; in EMEA of $2.6 billion and $2.6 billion ; in Latin America of $2.3 billion and $2.5 billion ; and in Asia of $3.4 billion and $3.7 billion for the three months ended June 30, 2016 and 2015, respectively. Regional numbers exclude Citi Holdings and Corporate/Other , which largely operate within the U.S. Includes Citicorp (excluding Corporate/Other ) total revenues, net of interest expense, in North America of $16.2 billion and $16.8 billion ; in EMEA of $4.8 billion and $5.5 billion ; in Latin America of $4.5 billion and $4.9 billion ; and in Asia of $6.9 billion and $7.3 billion for the six months ended June 30, 2016 and 2015, respectively. (2) Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $1.4 billion and $1.4 billion ; in the ICG results of $82 million and $(87) million ; and in Citi Holdings results of $(0.1) billion and $0.3 billion for the three months ended June 30, 2016 and 2015, respectively. Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $2.9 billion and $2.8 billion ; in the ICG results of $472 million and $(1) million ; and in Citi Holdings results of $0.1 billion and $0.8 billion for the six months ended June 30, 2016 and 2015, respectively. |
INTEREST REVENUE AND EXPENSE (T
INTEREST REVENUE AND EXPENSE (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Interest Revenue (Expense), Net [Abstract] | |
Interest revenue and expense | Interest revenue and Interest expense consisted of the following: Three Months Ended Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Interest revenue Loan interest, including fees $ 9,750 $ 10,529 $ 19,510 $ 21,084 Deposits with banks 237 168 456 351 Federal funds sold and securities borrowed or purchased under agreements to resell 664 664 1,311 1,306 Investments, including dividends 1,937 1,770 3,792 3,481 Trading account assets (1) 1,532 1,620 2,966 3,019 Other interest (2) 236 122 488 232 Total interest revenue $ 14,356 $ 14,873 $ 28,523 $ 29,473 Interest expense Deposits (3) $ 1,306 $ 1,288 $ 2,510 $ 2,613 Federal funds purchased and securities loaned or sold under agreements to repurchase 527 443 1,029 819 Trading account liabilities (1) 96 54 184 101 Short-term borrowings 109 157 210 277 Long-term debt 1,082 1,109 2,127 2,269 Total interest expense $ 3,120 $ 3,051 $ 6,060 $ 6,079 Net interest revenue $ 11,236 $ 11,822 $ 22,463 $ 23,394 Provision for loan losses 1,390 1,515 3,276 3,270 Net interest revenue after provision for loan losses $ 9,846 $ 10,307 $ 19,187 $ 20,124 (1) Interest expense on Trading account liabilities of ICG is reported as a reduction of interest revenue from Trading account assets . (2) During 2015, interest earned related to assets of significant disposals (primarily OneMain Financial) were reclassified into Other interest. (3) Includes deposit insurance fees and charges of $267 million and $289 million for the three months ended June 30, 2016 and 2015, respectively, and $502 million and $585 million for the six months ended June 30, 2016 and 2015, respectively. |
COMMISSIONS AND FEES (Tables)
COMMISSIONS AND FEES (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Fees and Commissions [Abstract] | |
Commissions and fees revenues | The following table presents Commissions and fees revenue: Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Investment banking $ 753 $ 960 $ 1,327 $ 1,898 Trading-related 544 616 1,145 1,250 Trade and securities services 386 448 792 883 Credit cards and bank cards 344 497 615 998 Corporate finance (1) 241 126 364 271 Other consumer (2) 166 182 324 362 Checking-related 104 130 220 246 Loan servicing 68 119 164 214 Other 119 116 237 242 Total commissions and fees $ 2,725 $ 3,194 $ 5,188 $ 6,364 (1) Consists primarily of fees earned from structuring and underwriting loan syndications. (2) Primarily consists of fees for investment fund administration and management, third-party collections, commercial demand deposit accounts and certain credit card services. |
PRINCIPAL TRANSACTIONS (Tables)
PRINCIPAL TRANSACTIONS (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Principal Transactions Revenue, Net [Abstract] | |
Principal transactions revenue | The following table presents principal transactions revenue: Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Global Consumer Banking $ 165 $ 144 $ 310 $ 300 Institutional Clients Group 1,911 1,793 3,485 3,990 Corporate/Other (256 ) 182 (146 ) (239 ) Subtotal Citicorp $ 1,820 $ 2,119 $ 3,649 $ 4,051 Citi Holdings (4 ) 54 7 93 Total Citigroup $ 1,816 $ 2,173 $ 3,656 $ 4,144 Interest rate risks (1) $ 1,140 $ 1,393 $ 1,947 $ 2,590 Foreign exchange risks (2) 402 718 1,015 804 Equity risks (3) (55 ) (185 ) (5 ) (71 ) Commodity and other risks (4) 121 117 265 434 Credit products and risks (5) 208 130 434 387 Total $ 1,816 $ 2,173 $ 3,656 $ 4,144 (1) Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities. (2) Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses. (3) Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants. (4) Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades. (5) Includes revenues from structured credit products. |
RETIREMENT BENEFITS (Tables)
RETIREMENT BENEFITS (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Compensation and Retirement Disclosure [Abstract] | |
Components of net (benefit) expense | The following tables summarize the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement plans, for Significant Plans and All Other Plans, for the periods indicated. Three Months Ended June 30, Pension plans Postretirement benefit plans U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans In millions of dollars 2016 2015 2016 2015 2016 2015 2016 2015 Qualified plans Benefits earned during the period $ — $ — $ 39 $ 43 $ — $ — $ 3 $ 3 Interest cost on benefit obligation 132 131 73 80 5 8 24 30 Expected return on plan assets (218 ) (223 ) (74 ) (83 ) (3 ) — (22 ) (27 ) Amortization of unrecognized Prior service benefit — (1 ) (1 ) — — — (3 ) (3 ) Net actuarial loss (gain) 39 38 20 18 (1 ) — 8 12 Curtailment loss (1) — 10 — — — — — — Settlement loss (1) — — 3 — — — — — Net qualified plans (benefit) expense $ (47 ) $ (45 ) $ 60 $ 58 $ 1 $ 8 $ 10 $ 15 Nonqualified plans expense 9 10 — — — — — — Total net (benefit) expense $ (38 ) $ (35 ) $ 60 $ 58 $ 1 $ 8 $ 10 $ 15 (1) Losses due to curtailment and settlement relate to repositioning and divestiture activities. Six Months Ended June 30, Pension plans Postretirement benefit plans U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans In millions of dollars 2016 2015 2016 2015 2016 2015 2016 2015 Qualified plans Benefits earned during the period $ 1 $ 2 $ 77 $ 87 $ — $ — $ 6 $ 7 Interest cost on benefit obligation 273 268 146 160 13 16 48 57 Expected return on plan assets (436 ) (445 ) (146 ) (167 ) (5 ) — (43 ) (56 ) Amortization of unrecognized Prior service benefit — (2 ) (1 ) — — — (6 ) (6 ) Net actuarial loss (gain) 75 75 39 39 (1 ) — 16 23 Curtailment loss (gain) (1) — 10 (3 ) — — — — — Settlement loss (1) — — 4 — — — — — Net qualified plans (benefit) expense $ (87 ) $ (92 ) $ 116 $ 119 $ 7 $ 16 $ 21 $ 25 Nonqualified plans expense 19 22 — — — — — — Total net (benefit) expense $ (68 ) $ (70 ) $ 116 $ 119 $ 7 $ 16 $ 21 $ 25 (1) Losses and gains due to curtailment and settlement relate to repositioning and divestiture activities. The following table summarizes the components of net expense recognized in the Consolidated Statement of Income for the Company’s U.S. postemployment plans. Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Service-related expense Interest cost on benefit obligation $ 1 $ 1 $ 2 $ 2 Amortization of unrecognized Prior service benefit (8 ) (8 ) (16 ) (15 ) Net actuarial loss 1 3 2 6 Total service-related benefit $ (6 ) $ (4 ) $ (12 ) $ (7 ) Non-service-related expense (benefit) $ 5 $ (3 ) $ 13 $ 6 Total net expense (benefit) $ (1 ) $ (7 ) $ 1 $ (1 ) |
Summary of the funded status and amounts recognized in the Consolidated Balance Sheet for the Company's U.S. qualified, non-qualified plans and plans outside the U.S. | The following tables summarize the funded status and amounts recognized in the Consolidated Balance Sheet for the Company’s Significant Plans. Net Amount Recognized Six Months Ended June 30, 2016 Pension plans Postretirement benefit plans In millions of dollars U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans Change in projected benefit obligation (PBO) Projected benefit obligation at beginning of year $ 13,943 $ 6,534 $ 817 $ 1,291 Plans measured annually — (1,819 ) — (282 ) Projected benefit obligation at beginning of year—Significant Plans $ 13,943 $ 4,715 $ 817 $ 1,009 First quarter activity 574 199 22 30 Projected benefit obligation at March 31, 2016—Significant Plans $ 14,517 $ 4,914 $ 839 $ 1,039 Benefits earned during the period — 24 — 2 Interest cost on benefit obligation 139 60 5 20 Plan amendments — — — — Actuarial loss (gain) 459 272 (88 ) 29 Benefits paid, net of participants’ contributions (203 ) (55 ) (23 ) (13 ) Foreign exchange impact and other — (207 ) — (70 ) Projected benefit obligation at period end—Significant Plans $ 14,912 $ 5,008 $ 733 $ 1,007 Six Months Ended June 30, 2016 Pension plans Postretirement benefit plans In millions of dollars U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans Change in plan assets Plan assets at fair value at beginning of year $ 12,137 $ 6,104 $ 166 $ 1,133 Plans measured annually — (1,175 ) — (8 ) Plan assets at fair value at beginning of year—Significant Plans $ 12,137 $ 4,929 $ 166 $ 1,125 First quarter activity (72 ) 233 $ — 39 Plan assets at fair value at March 31, 2016 — Significant Plans $ 12,065 $ 5,162 $ 166 $ 1,164 Actual return on plan assets 380 394 5 35 Company contributions 13 13 (3 ) — Plan participants’ contributions — 1 — — Benefits paid, net of government subsidy (203 ) (56 ) (23 ) (13 ) Foreign exchange impact and other — (251 ) — (78 ) Plan assets at fair value at period end—Significant Plans $ 12,255 $ 5,263 $ 145 $ 1,108 Funded status of the Significant plans Qualified plans (1) $ (1,915 ) $ 255 $ (588 ) $ 101 Nonqualified plans (742 ) — — — Funded status of the plans at period end—Significant Plans $ (2,657 ) $ 255 $ (588 ) $ 101 Net amount recognized Benefit asset $ — $ 807 $ — $ 101 Benefit liability (2,657 ) (552 ) (588 ) — Net amount recognized on the balance sheet—Significant Plans $ (2,657 ) $ 255 $ (588 ) $ 101 Amounts recognized in AOCI Prior service benefit — 40 — 100 Net actuarial gain (loss) (7,322 ) (979 ) 63 (456 ) Net amount recognized in equity (pretax)—Significant Plans $ (7,322 ) $ (939 ) $ 63 $ (356 ) Accumulated benefit obligation at period end—Significant Plans $ 14,904 $ 4,691 $ 733 $ 1,007 (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, 2016 and no minimum required funding is expected for 2016. |
Change in accumulated other comprehensive income (loss) | The following table shows the change in AOCI related to the Company’s benefit plans (Significant Plans and All Other Plans) for the periods indicated. In millions of dollars Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 Beginning of period balance, net of tax (1)(2) $ (5,581 ) $ (5,116 ) Actuarial assumptions changes and plan experience (672 ) (1,547 ) Net asset gain due to difference between actual and expected returns 508 671 Net amortization 59 115 Prior service cost (1 ) 29 Curtailment/settlement gain (3) 3 4 Foreign exchange impact and other 72 (30 ) Change in deferred taxes, net 4 266 Change, net of tax $ (27 ) $ (492 ) End of period balance, net of tax (1)(2) $ (5,608 ) $ (5,608 ) (1) See Note 18 to the Consolidated Financial Statements for further discussion of net AOCI balance. (2) Includes net-of-tax amounts for certain profit sharing plans outside the U.S. (3) Gains due to curtailment and settlement relate to repositioning and divestiture activities. |
Assumptions used in determining benefit obligations and net benefit expense | The discount rates utilized during the period in determining the pension and postretirement net (benefit) expense for the Significant Plans are as follows: Net benefit (expense) assumed discount rates during the period Three Months Ended Jun. 30, 2016 Mar. 31, 2016 U.S. plans Qualified pension 3.95% 4.40% Nonqualified pension 3.90 4.35 Postretirement 3.75 4.20 Non-U.S. plans Pension 0.35 - 12.30 0.75 to 13.20 Weighted average 5.14 5.37 Postretirement 8.45 8.60 The discount rates utilized at period end in determining the pension and postretirement benefit obligations for the Significant Plans are as follows: Plan obligations assumed discount rates at period ended Jun. 30, 2016 Mar. 31, 2016 Dec. 31, 2015 U.S. plans Qualified pension 3.65% 3.95% 4.40% Nonqualified pension 3.55 3.90 4.35 Postretirement 3.40 3.75 4.20 Non-U.S. plans Pension 0.20-11.85 0.35-12.30 0.75 to 13.20 Weighted average 4.80 5.14 5.37 Postretirement 8.20 8.45 8.60 |
Effect of one-percentage-point change in the discount rates on pension expense | 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, 2016 In millions of dollars One-percentage-point increase One-percentage-point decrease Pension U.S. plans $ 7 $ (11 ) Non-U.S. plans (5 ) 7 Postretirement U.S. plans $ — $ (1 ) Non-U.S. plans (2 ) 2 |
Schedule of company contributions | Pension plans Postretirement plans U.S. plans (1) Non-U.S. plans U.S. plans Non-U.S. plans In millions of dollars 2016 2015 2016 2015 2016 2015 2016 2015 Company contributions (2) for the six months ended June 30 $ 28 $ 22 $ 58 $ 29 $ 11 $ 32 $ 3 $ 5 Company contributions made or expected to be made during the remainder of the year 26 30 78 105 — 203 5 4 (1) The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans. (2) Company contributions are composed of cash contributions made to the plans and benefits paid directly by the Company. |
Defined contribution plans | The following table summarizes the actual Company contributions for the three months ended June 30, 2016 and 2015, respectively. Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 U.S. plans $ 97 $ 99 $ 193 $ 200 Non-U.S. plans 72 71 140 145 |
EARNINGS PER SHARE (Tables)
EARNINGS PER SHARE (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Earnings Per Share [Abstract] | |
Reconciliation of the income and share data used in the basic and diluted earnings per share computations | The following is a reconciliation of the income and share data used in the basic and diluted earnings per share (EPS) computations: Three Months Ended Six Months Ended June 30, In millions, except per-share amounts 2016 2015 2016 2015 Income from continuing operations before attribution of noncontrolling interests $ 4,047 $ 4,858 $ 7,555 $ 9,675 Less: Noncontrolling interests from continuing operations 26 18 31 60 Net income from continuing operations (for EPS purposes) $ 4,021 $ 4,840 $ 7,524 $ 9,615 Income (loss) from discontinued operations, net of taxes (23 ) 6 (25 ) 1 Citigroup's net income $ 3,998 $ 4,846 $ 7,499 $ 9,616 Less: Preferred dividends (1) 322 202 532 330 Net income available to common shareholders $ 3,676 $ 4,644 $ 6,967 $ 9,286 Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS 53 64 93 126 Net income allocated to common shareholders for basic EPS $ 3,623 $ 4,580 $ 6,874 $ 9,160 Net income allocated to common shareholders for diluted EPS $ 3,623 $ 4,580 $ 6,874 $ 9,160 Weighted-average common shares outstanding applicable to basic EPS 2,915.8 3,020.0 2,929.4 3,027.1 Effect of dilutive securities (3) Options (2) 0.1 4.9 0.1 4.9 Other employee plans — 0.1 — 0.1 Adjusted weighted-average common shares outstanding applicable to diluted EPS 2,915.9 3,025.0 2,929.5 3,032.1 Basic earnings per share (4) Income from continuing operations $ 1.25 $ 1.51 $ 2.36 $ 3.03 Discontinued operations (0.01 ) — (0.01 ) — Net income $ 1.24 $ 1.52 $ 2.35 $ 3.03 Diluted earnings per share (4) Income from continuing operations $ 1.25 $ 1.51 $ 2.36 $ 3.02 Discontinued operations (0.01 ) — (0.01 ) — Net income $ 1.24 $ 1.51 $ 2.35 $ 3.02 (1) See Note 19 to the Consolidated Financial Statements for the potential future impact of preferred stock dividends. (2) During the second quarters of 2016 and 2015 , weighted-average options to purchase 5.3 million and 0.9 million shares of common stock, respectively, were outstanding but not included in the computation of earnings per share because the weighted-average exercise prices of $75.43 and $201.01 per share, respectively, were anti-dilutive. (3) Warrants issued to the U.S. Treasury as part of the Troubled Asset Relief Program (TARP) and the loss-sharing agreement (all of which were subsequently sold to the public in January 2011), with exercise prices of $178.50 and $106.10 per share for approximately 21.0 million and 25.5 million shares of Citigroup common stock, respectively. Both warrants were not included in the computation of earnings per share in the three and six months ended June 30, 2016 and 2015 because they were anti-dilutive. (4) Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income. |
FEDERAL FUNDS, SECURITIES BOR43
FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Federal Funds Purchased and Securities Sold under Agreements to Repurchase [Abstract] | |
Federal funds sold and securities borrowed or purchased under agreements to resell | Federal funds sold and securities borrowed or purchased under agreements to resell , at their respective carrying values, consisted of the following: In millions of dollars June 30, December 31, 2015 Federal funds sold $ — $ 25 Securities purchased under agreements to resell 133,019 119,777 Deposits paid for securities borrowed 95,664 99,873 Total $ 228,683 $ 219,675 |
Federal funds purchased and securities loaned or sold under agreements to repurchase | Federal funds purchased and securities loaned or sold under agreements to repurchase , at their respective carrying values, consisted of the following: In millions of dollars June 30, December 31, 2015 Federal funds purchased $ 547 $ 189 Securities sold under agreements to repurchase 141,056 131,650 Deposits received for securities loaned 16,398 14,657 Total $ 158,001 $ 146,496 |
Schedule of gross and net resale agreements and securities borrowing agreements and the related offsetting amount permitted as well as not permitted under ASC 210-20-45 | The following tables present the gross and net resale and repurchase agreements and securities borrowing and lending agreements and the related offsetting amount 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 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, 2016 In millions of dollars Gross amounts Gross amounts (1) Net amounts of (2) Amounts (3) Net (4) Securities purchased under agreements to resell $ 186,000 $ 52,981 $ 133,019 $ 100,605 $ 32,414 Deposits paid for securities borrowed 95,664 — 95,664 14,402 81,262 Total $ 281,664 $ 52,981 $ 228,683 $ 115,007 $ 113,676 In millions of dollars Gross amounts Gross amounts (1) Net amounts of (2) Amounts (3) Net (4) Securities sold under agreements to repurchase $ 194,037 $ 52,981 $ 141,056 $ 74,448 $ 66,608 Deposits received for securities loaned 16,398 — 16,398 1,761 14,637 Total $ 210,435 $ 52,981 $ 157,454 $ 76,209 $ 81,245 As of December 31, 2015 In millions of dollars Gross amounts Gross amounts (1) Net amounts of (2) Amounts (3) Net (4) Securities purchased under agreements to resell $ 176,167 $ 56,390 $ 119,777 $ 92,039 $ 27,738 Deposits paid for securities borrowed 99,873 — 99,873 16,619 83,254 Total $ 276,040 $ 56,390 $ 219,650 $ 108,658 $ 110,992 In millions of dollars Gross amounts Gross amounts (1) Net amounts of (2) Amounts (3) Net (4) Securities sold under agreements to repurchase $ 188,040 $ 56,390 $ 131,650 $ 60,641 $ 71,009 Deposits received for securities loaned 14,657 — 14,657 3,226 11,431 Total $ 202,697 $ 56,390 $ 146,307 $ 63,867 $ 82,440 (1) Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45. (2) The total of this column for each period excludes Federal funds sold/purchased. See tables above. (3) 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. (4) 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. |
Schedule of gross and net repurchase agreements and securities lending agreements and the related offsetting amount permitted as well as not permitted under ASC 210-20-45 | The following tables present the gross and net resale and repurchase agreements and securities borrowing and lending agreements and the related offsetting amount 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 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, 2016 In millions of dollars Gross amounts Gross amounts (1) Net amounts of (2) Amounts (3) Net (4) Securities purchased under agreements to resell $ 186,000 $ 52,981 $ 133,019 $ 100,605 $ 32,414 Deposits paid for securities borrowed 95,664 — 95,664 14,402 81,262 Total $ 281,664 $ 52,981 $ 228,683 $ 115,007 $ 113,676 In millions of dollars Gross amounts Gross amounts (1) Net amounts of (2) Amounts (3) Net (4) Securities sold under agreements to repurchase $ 194,037 $ 52,981 $ 141,056 $ 74,448 $ 66,608 Deposits received for securities loaned 16,398 — 16,398 1,761 14,637 Total $ 210,435 $ 52,981 $ 157,454 $ 76,209 $ 81,245 As of December 31, 2015 In millions of dollars Gross amounts Gross amounts (1) Net amounts of (2) Amounts (3) Net (4) Securities purchased under agreements to resell $ 176,167 $ 56,390 $ 119,777 $ 92,039 $ 27,738 Deposits paid for securities borrowed 99,873 — 99,873 16,619 83,254 Total $ 276,040 $ 56,390 $ 219,650 $ 108,658 $ 110,992 In millions of dollars Gross amounts Gross amounts (1) Net amounts of (2) Amounts (3) Net (4) Securities sold under agreements to repurchase $ 188,040 $ 56,390 $ 131,650 $ 60,641 $ 71,009 Deposits received for securities loaned 14,657 — 14,657 3,226 11,431 Total $ 202,697 $ 56,390 $ 146,307 $ 63,867 $ 82,440 (1) Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45. (2) The total of this column for each period excludes Federal funds sold/purchased. See tables above. (3) 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. (4) 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. |
Gross amount of liabilities associated with repurchase agreements and securities lending agreements | The following tables present the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by remaining contractual maturity: As of June 30, 2016 In millions of dollars Open and overnight Up to 30 days 31–90 days Greater than 90 days Total Securities sold under agreements to repurchase $ 104,435 $ 45,117 $ 19,486 $ 24,999 $ 194,037 Deposits received for securities loaned 10,877 2,514 1,540 1,467 16,398 Total $ 115,312 $ 47,631 $ 21,026 $ 26,466 $ 210,435 As of December 31, 2015 In millions of dollars Open and overnight Up to 30 days 31–90 days Greater than 90 days Total Securities sold under agreements to repurchase $ 89,732 $ 54,336 $ 21,541 $ 22,431 $ 188,040 Deposits received for securities loaned 9,096 1,823 2,324 1,414 14,657 Total $ 98,828 $ 56,159 $ 23,865 $ 23,845 $ 202,697 The following tables present the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by class of underlying collateral: As of June 30, 2016 In millions of dollars Repurchase agreements Securities lending agreements Total U.S. Treasury and federal agency $ 82,556 $ 29 $ 82,585 State and municipal 356 — 356 Foreign government 60,023 928 60,951 Corporate bonds 17,062 1,033 18,095 Equity securities 8,599 14,365 22,964 Mortgage-backed securities 17,523 — 17,523 Asset-backed securities 4,345 — 4,345 Other 3,573 43 3,616 Total $ 194,037 $ 16,398 $ 210,435 As of December 31, 2015 In millions of dollars Repurchase agreements Securities lending agreements Total U.S. Treasury and federal agency $ 67,005 $ — $ 67,005 State and municipal 403 — 403 Foreign government 66,633 789 67,422 Corporate bonds 15,355 1,085 16,440 Equity securities 10,297 12,484 22,781 Mortgage-backed securities 19,913 — 19,913 Asset-backed securities 4,572 — 4,572 Other 3,862 299 4,161 Total $ 188,040 $ 14,657 $ 202,697 |
BROKERAGE RECEIVABLES AND BRO44
BROKERAGE RECEIVABLES AND BROKERAGE PAYABLES (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Brokers and Dealers [Abstract] | |
Brokerage receivables and Brokerage payables | Brokerage receivables and Brokerage payables consisted of the following: In millions of dollars June 30, December 31, 2015 Receivables from customers $ 8,878 $ 10,435 Receivables from brokers, dealers, and clearing organizations 27,973 17,248 Total brokerage receivables (1) $ 36,851 $ 27,683 Payables to customers $ 38,788 $ 35,653 Payables to brokers, dealers, and clearing organizations 23,266 18,069 Total brokerage payables (1) $ 62,054 $ 53,722 (1) Brokerage receivables and payables are accounted for in accordance with the AICPA Audit and Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320. |
TRADING ACCOUNT ASSETS AND LI45
TRADING ACCOUNT ASSETS AND LIABILITIES (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Trading Securities [Abstract] | |
Trading account assets and liabilities | Trading account assets and Trading account liabilities are carried at fair value, other than physical commodities accounted for at the lower of cost or fair value, and consist of the following: In millions of dollars June 30, December 31, 2015 Trading account assets Mortgage-backed securities (1) U.S. government-sponsored agency guaranteed $ 27,562 $ 24,767 Prime 212 803 Alt-A 135 543 Subprime 477 516 Non-U.S. residential 171 523 Commercial 1,536 2,855 Total mortgage-backed securities $ 30,093 $ 30,007 U.S. Treasury and federal agency securities U.S. Treasury $ 23,069 $ 15,791 Agency obligations 2,574 2,005 Total U.S. Treasury and federal agency securities $ 25,643 $ 17,796 State and municipal securities $ 3,179 $ 2,696 Foreign government securities 63,118 56,467 Corporate 15,156 14,579 Derivatives (2) 72,213 56,184 Equity securities 47,007 56,495 Asset-backed securities (1) 3,540 3,956 Other trading assets (3) 11,815 11,776 Total trading account assets $ 271,764 $ 249,956 Trading account liabilities Securities sold, not yet purchased $ 72,003 $ 57,827 Derivatives (2) 63,204 57,592 Other trading liabilities (3) 1,100 2,093 Total trading account liabilities $ 136,307 $ 117,512 (1) The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 20 to the Consolidated Financial Statements. (2) Presented net, pursuant to enforceable master netting agreements. See Note 21 to the Consolidated Financial Statements for a discussion regarding the accounting and reporting for derivatives. (3) Includes positions related to investments in unallocated precious metals, as discussed in Note 23 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products. |
INVESTMENTS (Tables)
INVESTMENTS (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Investments [Abstract] | |
Schedule of investments | The following table presents the Company’s investments by category: June 30, December 31, In millions of dollars Securities available-for-sale (AFS) $ 312,765 $ 299,136 Debt securities held-to-maturity (HTM) (1) 35,903 36,215 Non-marketable equity securities carried at fair value (2) 1,973 2,088 Non-marketable equity securities carried at cost (3) 5,652 5,516 Total investments $ 356,293 $ 342,955 (1) Carried at adjusted amortized cost basis, net of any credit-related impairment. (2) Unrealized gains and losses for non-marketable equity securities carried at fair value are recognized in earnings. (3) Primarily consists of shares issued by the Federal Reserve Bank, Federal Home Loan Banks, foreign central banks and various clearing houses of which Citigroup is a member. |
Interest and dividends on investments | The following table presents interest and dividend income on investments: Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Taxable interest $ 1,774 $ 1,598 $ 3,478 $ 3,191 Interest exempt from U.S. federal income tax 118 49 234 72 Dividend income 45 123 80 218 Total interest and dividend income $ 1,937 $ 1,770 $ 3,792 $ 3,481 |
Realized gains and losses on investments | The following table presents realized gains and losses on the sale of investments. The gross realized investment losses exclude losses from other-than-temporary impairment (OTTI): Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Gross realized investment gains $ 244 $ 357 $ 623 $ 714 Gross realized investment losses (44 ) (174 ) (237 ) (224 ) Net realized gains on sale of investments $ 200 $ 183 $ 386 $ 490 |
Schedule of gain (loss) on HTM securities sold, securities reclassified to AFS and OTTI recorded on AFS securities reclassified | The following table sets forth, for the periods indicated, the carrying value of HTM securities sold and reclassified to AFS, as well as the related gain (loss) or the OTTI losses recorded on these securities. Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Carrying value of HTM securities sold $ 7 $ 22 $ 7 $ 49 Net realized gain (loss) on sale of HTM securities (1 ) 3 (1 ) 5 Carrying value of securities reclassified to AFS 24 — 150 94 OTTI losses on securities reclassified to AFS (1 ) — (6 ) (5 ) |
Amortized cost and fair value of AFS | The amortized cost and fair value of AFS securities were as follows: June 30, 2016 December 31, 2015 In millions of dollars Amortized cost Gross unrealized gains Gross unrealized losses Fair value Amortized cost Gross unrealized gains Gross unrealized losses Fair value Debt securities AFS Mortgage-backed securities (1) U.S. government-sponsored agency guaranteed $ 44,698 $ 864 $ 65 $ 45,497 $ 39,584 $ 367 $ 237 $ 39,714 Prime 5 — — 5 2 — — 2 Alt-A 66 7 — 73 50 5 — 55 Non-U.S. residential 4,986 23 22 4,987 5,909 31 11 5,929 Commercial 361 5 — 366 573 2 4 571 Total mortgage-backed securities $ 50,116 $ 899 $ 87 $ 50,928 $ 46,118 $ 405 $ 252 $ 46,271 U.S. Treasury and federal agency securities U.S. Treasury $ 111,902 $ 2,587 $ 13 $ 114,476 $ 113,096 $ 254 $ 515 $ 112,835 Agency obligations 10,940 157 5 11,092 10,095 22 37 10,080 Total U.S. Treasury and federal agency securities $ 122,842 $ 2,744 $ 18 $ 125,568 $ 123,191 $ 276 $ 552 $ 122,915 State and municipal (2) $ 11,667 $ 255 $ 669 $ 11,253 $ 12,099 $ 132 $ 772 $ 11,459 Foreign government 93,408 657 226 93,839 88,751 402 479 88,674 Corporate 20,505 242 160 20,587 19,492 129 291 19,330 Asset-backed securities (1) 8,121 7 85 8,043 9,261 5 92 9,174 Other debt securities 1,123 — — 1,123 688 — — 688 Total debt securities AFS $ 307,782 $ 4,804 $ 1,245 $ 311,341 $ 299,600 $ 1,349 $ 2,438 $ 298,511 Marketable equity securities AFS $ 1,411 $ 18 $ 5 $ 1,424 $ 602 $ 26 $ 3 $ 625 Total securities AFS $ 309,193 $ 4,822 $ 1,250 $ 312,765 $ 300,202 $ 1,375 $ 2,441 $ 299,136 (1) The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 20 to the Consolidated Financial Statements. (2) The gross unrealized losses on state and municipal debt securities are primarily attributable to the effects of fair value hedge accounting. Specifically, Citi hedges the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged. However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from AOCI to earnings, attributable solely to changes in the LIBOR swap rate, resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities. |
Fair value of securities in unrealized loss position | The table below shows the fair value of debt securities HTM that have been in an unrecognized loss position for less than 12 months and for 12 months or longer: Less than 12 months 12 months or longer Total In millions of dollars Fair Gross Fair Gross Fair Gross June 30, 2016 Debt securities held-to-maturity Mortgage-backed securities $ 48 $ 3 $ 77 $ 3 $ 125 $ 6 State and municipal 224 8 1,755 60 1,979 68 Foreign government 278 1 — — 278 1 Asset-backed securities 2 — 5,693 37 5,695 37 Total debt securities held-to-maturity $ 552 $ 12 $ 7,525 $ 100 $ 8,077 $ 112 December 31, 2015 Debt securities held-to-maturity Mortgage-backed securities $ 935 $ 1 $ 10,301 $ 262 $ 11,236 $ 263 State and municipal 881 20 1,826 67 2,707 87 Foreign government 180 3 — — 180 3 Asset-backed securities 132 13 3,232 28 3,364 41 Total debt securities held-to-maturity $ 2,128 $ 37 $ 15,359 $ 357 $ 17,487 $ 394 The table below shows the fair value of AFS securities that have been in an unrealized loss position for less than 12 months or for 12 months or longer: Less than 12 months 12 months or longer Total In millions of dollars Fair value Gross unrealized losses Fair value Gross unrealized losses Fair value Gross unrealized losses June 30, 2016 Securities AFS Mortgage-backed securities U.S. government-sponsored agency guaranteed $ 2,398 $ 9 $ 1,764 $ 56 $ 4,162 $ 65 Prime 4 — 1 — 5 — Alt-A 22 — — — 22 — Non-U.S. residential 365 2 2,214 20 2,579 22 Commercial 29 — 50 — 79 — Total mortgage-backed securities $ 2,818 $ 11 $ 4,029 $ 76 $ 6,847 $ 87 U.S. Treasury and federal agency securities U.S. Treasury $ 3,398 $ 13 $ — $ — $ 3,398 $ 13 Agency obligations 188 — 137 5 325 5 Total U.S. Treasury and federal agency securities $ 3,586 $ 13 $ 137 $ 5 $ 3,723 $ 18 State and municipal $ 226 $ 8 $ 3,751 $ 661 $ 3,977 $ 669 Foreign government 21,672 170 4,086 56 25,758 226 Corporate 3,452 85 1,623 75 5,075 160 Asset-backed securities 2,937 46 3,778 39 6,715 85 Other debt securities 204 — — — 204 — Marketable equity securities AFS 30 5 1 — 31 5 Total securities AFS $ 34,925 $ 338 $ 17,405 $ 912 $ 52,330 $ 1,250 December 31, 2015 Securities AFS Mortgage-backed securities U.S. government-sponsored agency guaranteed $ 17,816 $ 141 $ 2,618 $ 96 $ 20,434 $ 237 Prime — — 1 — 1 — Non-U.S. residential 2,217 7 825 4 3,042 11 Commercial 291 3 55 1 346 4 Total mortgage-backed securities $ 20,324 $ 151 $ 3,499 $ 101 $ 23,823 $ 252 U.S. Treasury and federal agency securities U.S. Treasury $ 59,384 $ 505 $ 1,204 $ 10 $ 60,588 $ 515 Agency obligations 6,716 30 196 7 6,912 37 Total U.S. Treasury and federal agency securities $ 66,100 $ 535 $ 1,400 $ 17 $ 67,500 $ 552 State and municipal $ 635 $ 26 $ 4,450 $ 746 $ 5,085 $ 772 Foreign government 34,053 371 4,021 108 38,074 479 Corporate 7,024 190 1,919 101 8,943 291 Asset-backed securities 5,311 58 2,247 34 7,558 92 Other debt securities 27 — — — 27 — Marketable equity securities AFS 132 3 1 — 133 3 Total securities AFS $ 133,606 $ 1,334 $ 17,537 $ 1,107 $ 151,143 $ 2,441 |
Amortized cost and fair value of debt securities by contractual maturity dates | The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates: June 30, 2016 December 31, 2015 In millions of dollars Amortized cost Fair value Amortized cost Fair value Mortgage-backed securities (1) Due within 1 year $ 171 $ 171 $ 114 $ 114 After 1 but within 5 years 1,218 1,230 1,408 1,411 After 5 but within 10 years 2,260 2,314 1,750 1,751 After 10 years (2) 46,467 47,213 42,846 42,995 Total $ 50,116 $ 50,928 $ 46,118 $ 46,271 U.S. Treasury and federal agency securities Due within 1 year $ 3,903 $ 3,907 $ 3,016 $ 3,014 After 1 but within 5 years 106,077 108,292 107,034 106,878 After 5 but within 10 years 12,764 13,275 12,786 12,684 After 10 years (2) 98 94 355 339 Total $ 122,842 $ 125,568 $ 123,191 $ 122,915 State and municipal Due within 1 year $ 769 $ 763 $ 3,289 $ 3,287 After 1 but within 5 years 4,109 4,118 1,781 1,781 After 5 but within 10 years 322 337 502 516 After 10 years (2) 6,467 6,035 6,527 5,875 Total $ 11,667 $ 11,253 $ 12,099 $ 11,459 Foreign government Due within 1 year $ 25,129 $ 25,129 $ 25,898 $ 25,905 After 1 but within 5 years 50,290 50,457 43,514 43,464 After 5 but within 10 years 15,399 15,563 17,013 16,968 After 10 years (2) 2,590 2,690 2,326 2,337 Total $ 93,408 $ 93,839 $ 88,751 $ 88,674 All other (3) Due within 1 year $ 2,821 $ 2,824 $ 2,354 $ 2,355 After 1 but within 5 years 15,670 15,814 14,035 14,054 After 5 but within 10 years 8,455 8,387 9,789 9,593 After 10 years (2) 2,803 2,728 3,263 3,190 Total $ 29,749 $ 29,753 $ 29,441 $ 29,192 Total debt securities AFS $ 307,782 $ 311,341 $ 299,600 $ 298,511 (1) Includes mortgage-backed securities of U.S. government-sponsored agencies. (2) Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights. (3) Includes corporate, asset-backed and other debt securities. The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates: June 30, 2016 December 31, 2015 In millions of dollars Carrying value Fair value Carrying value Fair value Mortgage-backed securities Due within 1 year $ — $ — $ — $ — After 1 but within 5 years 456 471 172 172 After 5 but within 10 years 347 360 660 663 After 10 years (1) 17,961 18,473 18,701 18,818 Total $ 18,764 $ 19,304 $ 19,533 $ 19,653 State and municipal Due within 1 year $ 441 $ 434 $ 309 $ 305 After 1 but within 5 years 262 263 336 335 After 5 but within 10 years 216 231 262 270 After 10 years (1) 7,154 7,572 7,236 7,391 Total $ 8,073 $ 8,500 $ 8,143 $ 8,301 Foreign government Due within 1 year $ 1,655 $ 1,657 $ — $ — After 1 but within 5 years 576 575 4,068 4,093 After 5 but within 10 years — — — — After 10 years (1) — — — — Total $ 2,231 $ 2,232 $ 4,068 $ 4,093 All other (2) Due within 1 year $ — $ — $ — $ — After 1 but within 5 years — — — — After 5 but within 10 years 134 134 — — After 10 years (1) 6,701 6,679 4,471 4,464 Total $ 6,835 $ 6,813 $ 4,471 $ 4,464 Total debt securities held-to-maturity $ 35,903 $ 36,849 $ 36,215 $ 36,511 (1) Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights. (2) Includes corporate and asset-backed securities. |
Carrying value and fair value of debt securities HTM | The carrying value and fair value of debt securities HTM were as follows: In millions of dollars Amortized cost basis (1) Net unrealized gains (losses) recognized in AOCI Carrying value (2) Gross unrealized gains Gross unrealized (losses) Fair value June 30, 2016 Debt securities held-to-maturity Mortgage-backed securities (3) U.S. government agency guaranteed $ 17,158 $ 129 $ 17,287 $ 424 $ — $ 17,711 Prime 43 (8 ) 35 4 (1 ) 38 Alt-A 371 (43 ) 328 73 (2 ) 399 Subprime 2 — 2 10 — 12 Non-U.S. residential 1,166 (54 ) 1,112 35 (3 ) 1,144 Total mortgage-backed securities $ 18,740 $ 24 $ 18,764 $ 546 $ (6 ) $ 19,304 State and municipal (4) $ 8,476 $ (403 ) $ 8,073 $ 495 $ (68 ) $ 8,500 Foreign government 2,231 — 2,231 2 (1 ) 2,232 Asset-backed securities (3) 6,842 (7 ) 6,835 15 (37 ) 6,813 Total debt securities held-to-maturity $ 36,289 $ (386 ) $ 35,903 $ 1,058 $ (112 ) $ 36,849 December 31, 2015 Debt securities held-to-maturity Mortgage-backed securities (3) U.S. government agency guaranteed $ 17,648 $ 138 $ 17,786 $ 71 $ (100 ) $ 17,757 Prime 121 (78 ) 43 3 (1 ) 45 Alt-A 433 (1 ) 432 259 (162 ) 529 Subprime 2 — 2 13 — 15 Non-U.S. residential 1,330 (60 ) 1,270 37 — 1,307 Total mortgage-backed securities $ 19,534 $ (1 ) $ 19,533 $ 383 $ (263 ) $ 19,653 State and municipal $ 8,581 $ (438 ) $ 8,143 $ 245 $ (87 ) $ 8,301 Foreign government 4,068 — 4,068 28 (3 ) 4,093 Asset-backed securities (3) 4,485 (14 ) 4,471 34 (41 ) 4,464 Total debt securities held-to-maturity (5) $ 36,668 $ (453 ) $ 36,215 $ 690 $ (394 ) $ 36,511 (1) For securities transferred to HTM from Trading account assets , amortized cost basis is defined as the fair value of the securities at the date of transfer plus any accretion income and less any impairments recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any other-than-temporary impairment recognized in earnings. (2) HTM securities are carried on the Consolidated Balance Sheet at amortized cost basis, plus or minus any unamortized unrealized gains and losses and fair value hedge adjustments recognized in AOCI prior to reclassifying the securities from AFS to HTM. Changes in the values of these securities are not reported in the financial statements, except for the amortization of any difference between the carrying value at the transfer date and par value of the securities, and the recognition of any non-credit fair value adjustments in AOCI in connection with the recognition of any credit impairment in earnings related to securities the Company continues to intend to hold until maturity. (3) The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 20 to the Consolidated Financial Statements. (4) The net unrealized losses recognized in AOCI on state and municipal debt securities are primarily attributable to the effects of fair value hedge accounting applied when these debt securities were classified as AFS. Specifically, Citi hedged the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged. However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from AOCI to earnings attributable solely to changes in the LIBOR swap rate resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities. Upon transfer of these debt securities to HTM, all hedges have been de-designated and hedge accounting has ceased. (5) During the second quarter of 2015, securities with a total fair value of approximately $7.1 billion were transferred from AFS to HTM, consisting of $7.0 billion of U.S. government agency mortgage-backed securities and $0.1 billion of obligations of U.S. states and municipalities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call in order to reduce the impact of price volatility on AOCI and certain capital measures under Basel III. While these securities were transferred to HTM at fair value as of the transfer date, no subsequent changes in value may be recorded, other than in connection with the recognition of any subsequent other-than-temporary impairment and the amortization of differences between the carrying values at the transfer date and the par values of each security as an adjustment of yield over the remaining contractual life of each security. Any net unrealized holding losses within AOCI related to the respective securities at the date of transfer, inclusive of any cumulative fair value hedge adjustments, will be amortized over the remaining contractual life of each security as an adjustment of yield in a manner consistent with the amortization of any premium or discount. |
Total other-than-temporary impairments recognized | The total OTTI recognized in earnings follows: OTTI on Investments and Other Assets Three Months Ended Six Months Ended In millions of dollars AFS (1) HTM Other Assets Total AFS (1)(2) HTM Other Assets (3) Total Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell: Total OTTI losses recognized during the period $ 2 $ 1 $ — $ 3 $ 3 $ 1 $ — $ 4 Less: portion of impairment loss recognized in AOCI (before taxes) — — — — — — — — Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell $ 2 $ 1 $ — $ 3 $ 3 $ 1 $ — $ 4 Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses 28 17 70 115 223 24 332 579 Total impairment losses recognized in earnings $ 30 $ 18 $ 70 $ 118 $ 226 $ 25 $ 332 $ 583 (1) Includes OTTI on non-marketable equity securities. (2) Includes a $160 million impairment related to AFS securities affected by changes in the Venezuela exchange rate during the six months ended June 30, 2016. (3) The impairment charge is related to the carrying value of an equity investment. OTTI on Investments and Other Assets Three Months Ended Six Months Ended In millions of dollars AFS (1) HTM Other Total AFS (1) HTM Other Total Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell: Total OTTI losses recognized during the period $ — $ — $ — $ — $ — $ — $ — $ — Less: portion of impairment loss recognized in AOCI (before taxes) — — — — — — — — Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell $ — $ — $ — $ — $ — $ — $ — $ — Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses 19 19 5 43 88 22 5 115 Total impairment losses recognized in earnings $ 19 $ 19 $ 5 $ 43 $ 88 $ 22 $ 5 $ 115 (1) Includes OTTI on non-marketable equity securities. |
Cumulative other-than-temporary impairment credit losses recognized in earnings | The following are three-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities held that the Company does not intend to sell nor likely will be required to sell: Cumulative OTTI credit losses recognized in earnings on securities still held In millions of dollars Mar. 31, 2016 balance Credit Credit Reductions due to June 30, 2016 balance AFS debt securities Mortgage-backed securities $ 294 $ 1 $ — $ — $ 295 State and municipal — — — — — Foreign government securities 170 — — — 170 Corporate 110 — 2 (2 ) 110 All other debt securities 166 — — — 166 Total OTTI credit losses recognized for AFS debt securities $ 740 $ 1 $ 2 $ (2 ) $ 741 HTM debt securities Mortgage-backed securities (1) $ 668 $ — $ — $ (24 ) $ 644 State and municipal — 1 — — 1 All other debt securities 132 — — (1 ) 131 Total OTTI credit losses recognized for HTM debt securities $ 800 $ 1 $ — $ (25 ) $ 776 (1) Primarily consists of Alt-A securities. Cumulative OTTI credit losses recognized in earnings on securities still held In millions of dollars Mar. 31, 2015 balance Credit Credit Reductions due to June 30, 2015 balance AFS debt securities Mortgage-backed securities $ 295 $ — $ — $ — $ 295 State and municipal — — — — — Foreign government securities 170 — — — 170 Corporate 112 — — — 112 All other debt securities 149 — — — 149 Total OTTI credit losses recognized for AFS debt securities $ 726 $ — $ — $ — $ 726 HTM debt securities Mortgage-backed securities (1) $ 668 $ — $ — $ — $ 668 All other debt securities 133 — — — 133 Total OTTI credit losses recognized for HTM debt securities $ 801 $ — $ — $ — $ 801 (1) Primarily consists of Alt-A securities. The following are six-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities held that the Company does not intend to sell nor likely will be required to sell: Cumulative OTTI credit losses recognized in earnings on securities still held In millions of dollars Dec. 31, 2015 balance Credit Credit Reductions due to June 30, 2016 balance AFS debt securities Mortgage-backed securities $ 294 $ 1 $ — $ — $ 295 State and municipal 8 — — (8 ) — Foreign government securities 170 — — — 170 Corporate 112 1 2 (5 ) 110 All other debt securities 170 — — (4 ) 166 Total OTTI credit losses recognized for AFS debt securities $ 754 $ 2 $ 2 $ (17 ) $ 741 HTM debt securities Mortgage-backed securities (1) $ 668 $ — $ — $ (24 ) $ 644 State and municipal — 1 — — 1 All other debt securities 132 — — (1 ) 131 Total OTTI credit losses recognized for HTM debt securities $ 800 $ 1 $ — $ (25 ) $ 776 (1) Primarily consists of Alt-A securities. Cumulative OTTI credit losses recognized in earnings on securities still held In millions of dollars Dec. 31, 2014 balance Credit Credit Reductions due to June 30, 2015 balance AFS debt securities Mortgage-backed securities $ 295 $ — $ — $ — $ 295 Foreign government securities 171 — — (1 ) 170 Corporate 118 — — (6 ) 112 All other debt securities 149 — — — 149 Total OTTI credit losses recognized for AFS debt securities $ 733 $ — $ — $ (7 ) $ 726 HTM debt securities Mortgage-backed securities (1) $ 670 $ — $ — $ (2 ) $ 668 All other debt securities 133 — — — 133 Total OTTI credit losses recognized for HTM debt securities $ 803 $ — $ — $ (2 ) $ 801 (1) Primarily consists of Alt-A securities. |
Investments in Alternative Investment Funds | Fair value Unfunded Redemption frequency (if currently eligible) monthly, quarterly, annually Redemption notice period In millions of dollars June 30, December 31, 2015 June 30, December 31, 2015 Hedge funds $ 2 $ 3 $ — $ — Generally quarterly 10–95 days Private equity funds (1)(2) 714 762 136 173 — — Real estate funds (2)(3) 71 130 22 21 — — Total (4) $ 787 $ 895 $ 158 $ 194 — — (1) Private equity funds include funds that invest in infrastructure, leveraged buyout transactions, emerging markets and venture capital. (2) With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld. (3) Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia. (4) Included in the total fair value of investments above are $0.8 billion and $0.9 billion of fund assets that are valued using NAVs provided by third-party asset managers as of June 30, 2016 and December 31, 2015 , respectively. |
LOANS (Tables)
LOANS (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Consumer | |
Loans receivable | |
Schedule of loans | The following table provides information by loan type for the periods indicated: In millions of dollars June 30, December 31, 2015 In U.S. offices Mortgage and real estate (1) $ 77,242 $ 80,281 Installment, revolving credit, and other 3,486 3,480 Cards (2) 120,113 112,800 Commercial and industrial 7,041 6,407 $ 207,882 $ 202,968 In offices outside the U.S. Mortgage and real estate (1) $ 46,049 $ 47,062 Installment, revolving credit, and other 27,830 29,480 Cards 25,844 27,342 Commercial and industrial 17,857 17,741 Lease financing 140 362 $ 117,720 $ 121,987 Total consumer loans $ 325,602 $ 324,955 Net unearned income $ 817 830 Consumer loans, net of unearned income $ 326,419 $ 325,785 (1) Loans secured primarily by real estate. (2) Includes $11.3 billion of loans related to the acquisition of the Costco U.S. co-branded credit card portfolio, completed on June 17, 2016. |
Schedule of loan delinquency and non-accrual details | The following tables provide details on Citigroup’s consumer loan delinquency and non-accrual loans: Consumer Loan Delinquency and Non-Accrual Details at June 30, 2016 In millions of dollars Total current (1)(2) 30–89 days past due (3) ≥ 90 days past due (3) Past due government guaranteed (4) Total loans (2) Total non-accrual 90 days past due and accruing In North America offices Residential first mortgages $ 53,014 $ 583 $ 350 $ 1,885 $ 55,832 $ 1,281 $ 1,600 Home equity loans (5) 20,391 252 433 — 21,076 740 — Credit cards 118,460 1,219 1,129 — 120,808 — 1,128 Installment and other 4,695 62 36 — 4,793 64 — Commercial banking loans 8,731 15 69 — 8,815 433 11 Total $ 205,291 $ 2,131 $ 2,017 $ 1,885 $ 211,324 $ 2,518 $ 2,739 In offices outside North America Residential first mortgages $ 38,849 $ 235 $ 161 $ — $ 39,245 $ 399 $ — Credit cards 24,276 434 396 — 25,106 282 256 Installment and other 25,611 357 138 — 26,106 308 — Commercial banking loans 24,473 19 131 — 24,623 195 — Total $ 113,209 $ 1,045 $ 826 $ — $ 115,080 $ 1,184 $ 256 Total GCB and Citi Holdings consumer $ 318,500 $ 3,176 $ 2,843 $ 1,885 $ 326,404 $ 3,702 $ 2,995 Other (6) 14 1 — — 15 3 — Total Citigroup $ 318,514 $ 3,177 $ 2,843 $ 1,885 $ 326,419 $ 3,705 $ 2,995 (1) Loans less than 30 days past due are presented as current. (2) Includes $32 million of residential first mortgages recorded at fair value. (3) Excludes loans guaranteed by U.S. government-sponsored entities. (4) Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.3 billion and 90 days or more past due of $1.6 billion . (5) Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions. (6) Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Citi Holdings consumer credit metrics. Consumer Loan Delinquency and Non-Accrual Details at December 31, 2015 In millions of dollars Total current (1)(2) 30–89 days past due (3) ≥ 90 days past due (3) Past due government guaranteed (4) Total loans (2) Total non-accrual 90 days past due and accruing In North America offices Residential first mortgages $ 53,146 $ 846 $ 564 $ 2,318 $ 56,874 $ 1,216 $ 1,997 Home equity loans (5) 22,335 136 277 — 22,748 1,017 — Credit cards 110,814 1,296 1,243 — 113,353 — 1,243 Installment and other 4,576 80 33 — 4,689 56 2 Commercial banking loans 8,241 16 61 — 8,318 222 17 Total $ 199,112 $ 2,374 $ 2,178 $ 2,318 $ 205,982 $ 2,511 $ 3,259 In offices outside North America Residential first mortgages $ 39,551 $ 240 $ 175 $ — $ 39,966 $ 388 $ — Credit cards 25,698 477 442 — 26,617 261 278 Installment and other 27,664 317 220 — 28,201 226 — Commercial banking loans 24,764 46 31 — 24,841 247 — Total $ 117,677 $ 1,080 $ 868 $ — $ 119,625 $ 1,122 $ 278 Total GCB and Citi Holdings $ 316,789 $ 3,454 $ 3,046 $ 2,318 $ 325,607 $ 3,633 $ 3,537 Other (6) 164 7 7 — 178 25 — Total Citigroup $ 316,953 $ 3,461 $ 3,053 $ 2,318 $ 325,785 $ 3,658 $ 3,537 (1) Loans less than 30 days past due are presented as current. (2) Includes $34 million of residential first mortgages recorded at fair value. (3) Excludes loans guaranteed by U.S. government-sponsored entities. (4) Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.3 billion and 90 days or more past due of $2.0 billion . (5) Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions. (6) Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Citi Holdings consumer credit metrics. |
Schedule of loans credit quality indicators | The following tables provide details on the LTV ratios attributable to Citi’s U.S. consumer mortgage portfolios. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices. LTV distribution in U.S. portfolio (1)(2) June 30, 2016 In millions of dollars Less than or equal to 80% > 80% but less than or equal to 100% Greater than 100% Residential first mortgages $ 46,838 $ 4,032 $ 502 Home equity loans 13,283 4,341 2,104 Total $ 60,121 $ 8,373 $ 2,606 (1) Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value. (2) Excludes balances where LTV was not available. Such amounts are not material. LTV distribution in U.S. portfolio (1)(2) December 31, 2015 In millions of dollars Less than or equal to 80% > 80% but less than or equal to 100% Greater than 100% Residential first mortgages $ 46,559 $ 4,478 $ 626 Home equity loans 13,904 5,147 2,527 Total $ 60,463 $ 9,625 $ 3,153 (1) Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value. (2) Excludes balances where LTV was not available. Such amounts are not material. The following tables provide details on the FICO scores attributable to Citi’s U.S. consumer loan portfolio (commercial market loans are not included in the table since they are business based and FICO scores are not a primary driver in their credit evaluation). FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio. FICO score distribution in U.S. portfolio (1)(2) June 30, 2016 In millions of dollars Less than 620 ≥ 620 but less than 660 Equal to or greater than 660 Residential first mortgages $ 2,978 $ 2,742 $ 45,580 Home equity loans 1,884 1,584 16,360 Credit cards 7,332 10,234 100,186 Installment and other 310 265 2,643 Total $ 12,504 $ 14,825 $ 164,769 (1) Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (LTSCs) with U.S. government-sponsored entities and loans recorded at fair value. (2) Excludes balances where FICO was not available. Such amounts are not material. FICO score distribution in U.S. portfolio (1)(2) December 31, 2015 In millions of dollars Less than 620 ≥ 620 but less than 660 Equal to or greater than 660 Residential first mortgages $ 3,483 $ 3,036 $ 45,047 Home equity loans 2,067 1,782 17,837 Credit cards 7,341 10,072 93,194 Installment and other 337 270 2,662 Total $ 13,228 $ 15,160 $ 158,740 (1) Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value. (2) Excludes balances where FICO was not available. Such amounts are not material. |
Schedule of impaired loans | The following tables present information about total impaired consumer loans and interest income recognized on impaired consumer loans: Three months ended June 30, Six months ended June 30, Balance at June 30, 2016 2016 2015 2016 2015 In millions of dollars Recorded investment (1)(2) Unpaid principal balance Related specific allowance (3) Average carrying value (4) Interest income (5) Interest income (5) Interest income recognized (5) Interest income recognized (5) Mortgage and real estate Residential first mortgages $ 4,732 $ 5,183 $ 532 $ 6,366 $ 43 $ 111 $ 104 $ 252 Home equity loans 1,329 1,858 311 1,483 9 17 18 34 Credit cards 1,849 1,884 581 1,924 39 45 80 89 Installment and other Individual installment and other 468 552 226 469 7 8 14 39 Commercial banking loans 587 945 125 442 2 3 4 6 Total $ 8,965 $ 10,422 $ 1,775 $ 10,684 $ 100 $ 184 $ 220 $ 420 (1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans. (2) $1,081 million of residential first mortgages, $439 million of home equity loans and $128 million of commercial market loans do not have a specific allowance. (3) Included in the Allowance for loan losses . (4) Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance. (5) Includes amounts recognized on both an accrual and cash basis. Balance, December 31, 2015 In millions of dollars Recorded investment (1)(2) Unpaid principal balance Related specific allowance (3) Average carrying value (4) Mortgage and real estate Residential first mortgages $ 6,038 $ 6,610 $ 739 $ 8,932 Home equity loans 1,399 1,972 406 1,778 Credit cards 1,950 1,986 604 2,079 Installment and other Individual installment and other 464 519 197 449 Commercial banking loans 341 572 100 361 Total $ 10,192 $ 11,659 $ 2,046 $ 13,599 (1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans. (2) $1,151 million of residential first mortgages, $459 million of home equity loans and $86 million of commercial market loans do not have a specific allowance. (3) Included in the Allowance for loan losses . (4) Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance. |
Schedule of troubled debt restructurings | The following tables present consumer TDRs occurring: At and for the three months ended June 30, 2016 In millions of dollars except number of loans modified Number of Post- (1)(2) Deferred (3) Contingent (4) Principal (5) Average North America Residential first mortgages 1,346 $ 205 $ 1 $ — $ 1 1 % Home equity loans 814 30 — — — 3 Credit cards 42,792 164 — — — 17 Installment and other revolving 1,381 12 — — — 14 Commercial markets (6) 41 6 — — — — Total (8) 46,374 $ 417 $ 1 $ — $ 1 International Residential first mortgages 613 23 — — — 1 % Credit cards 28,628 90 — — 2 12 Installment and other revolving 11,198 58 — — 2 7 Commercial markets (6) 42 20 — — — — Total (8) 40,481 $ 191 $ — $ — $ 4 At and for the three months ended June 30, 2015 In millions of dollars except number of loans modified Number of loans modified Post- modification recorded investment (1)(7) Deferred principal (3) Contingent principal forgiveness (4) Principal forgiveness (5) Average interest rate reduction North America Residential first mortgages 2,709 $ 366 $ 2 $ 1 $ 8 1 % Home equity loans 1,292 45 — — 1 2 Credit cards 44,848 184 — — — 16 Installment and other revolving 1,092 9 — — — 14 Commercial markets (6) 99 17 — — — — Total (8) 50,040 $ 621 $ 2 $ 1 $ 9 International Residential first mortgages 758 25 — — — — % Credit cards 37,587 103 — — 2 12 Installment and other revolving 13,167 61 — — 2 6 Commercial markets (6) 48 22 — — — 1 Total (8) 51,560 $ 211 $ — $ — $ 4 (1) Post-modification balances include past due amounts that are capitalized at the modification date. (2) Post-modification balances in North America include $ 21 million of residential first mortgages and $ 4 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended June 30, 2016. These amounts include $ 13 million of residential first mortgages and $ 4 million of home equity loans that were newly classified as TDRs in the three months ended June 30, 2016, based on previously received OCC guidance. (3) Represents portion of contractual loan principal that is non-interest bearing but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value. (4) Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness. (5) Represents portion of contractual loan principal that was forgiven at the time of permanent modification. (6) Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest. (7) Post-modification balances in North America include $ 62 million of residential first mortgages and $ 15 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended June 30, 2015 . These amounts include $ 35 million of residential first mortgages and $ 12 million of home equity loans that were newly classified as TDRs in the three months ended June 30, 2015 , based on previously received OCC guidance. (8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs. At and for the six months ended June 30, 2016 In millions of dollars except number of loans modified Number of loans modified Post- modification recorded investment (1)(2) Deferred principal (3) Contingent principal forgiveness (4) Principal forgiveness (5) Average interest rate reduction North America Residential first mortgages 2,814 $ 417 $ 3 $ — $ 2 1 % Home equity loans 1,672 60 — — — 3 Credit cards 91,901 353 — — — 17 Installment and other revolving 2,766 24 — — — 14 Commercial banking (6) 64 11 — — — — Total (8) 99,217 $ 865 $ 3 $ — $ 2 International Residential first mortgages 1,032 $ 38 $ — $ — $ — 1 % Credit cards 80,835 213 — — 4 12 Installment and other revolving 32,842 140 — — 4 7 Commercial banking (6) 73 52 — — — — Total (8) 114,782 $ 443 $ — $ — $ 8 At and for the six months ended June 30, 2015 In millions of dollars except number of loans modified Number of loans modified Post- modification recorded investment (1)(7) Deferred principal (3) Contingent principal forgiveness (4) Principal forgiveness (5) Average interest rate reduction North America Residential first mortgages 5,802 $ 773 $ 6 $ 3 $ 17 1 % Home equity loans 2,550 90 1 — 2 2 Credit cards 95,158 396 — — — 16 Installment and other revolving 2,076 18 — — — 13 Commercial banking (6) 156 28 — — — — Total (8) 105,742 $ 1,305 $ 7 $ 3 $ 19 International Residential first mortgages 1,641 $ 49 $ — $ — $ — — % Credit cards 78,018 201 — — 4 13 Installment and other revolving 29,114 131 — — 4 5 Commercial banking (6) 125 49 — — — 1 Total (8) 108,898 $ 430 $ — $ — $ 8 (1) Post-modification balances include past due amounts that are capitalized at the modification date. (2) Post-modification balances in North America include $ 41 million of residential first mortgages and $ 9 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2016. These amounts include $ 27 million of residential first mortgages and $ 9 million of home equity loans that were newly classified as TDRs in the six months ended June 30, 2016, based on previously received OCC guidance. (3) Represents portion of contractual loan principal that is non-interest bearing but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value. (4) Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness. (5) Represents portion of contractual loan principal that was forgiven at the time of permanent modification. (6) Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest. (7) Post-modification balances in North America include $ 127 million of residential first mortgages and $ 29 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2015 . These amounts include $ 73 million of residential first mortgages and $ 24 million of home equity loans that were newly classified as TDRs in the six months ended June 30, 2015 , based on previously received OCC guidance. (8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs. |
Schedule of troubled debt restructuring loans that defaulted | The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due. Three Months Ended Six Months Ended In millions of dollars 2016 2015 2016 2015 North America Residential first mortgages $ 52 $ 117 $ 139 $ 227 Home equity loans 6 10 14 21 Credit cards 46 49 95 92 Installment and other revolving 2 2 4 3 Commercial banking 1 1 2 3 Total $ 107 $ 179 $ 254 $ 346 International Residential first mortgages $ 3 $ 6 $ 6 $ 12 Credit cards 37 36 73 71 Installment and other revolving 24 23 47 46 Commercial banking 6 7 15 15 Total $ 70 $ 72 $ 141 $ 144 |
Corporate | |
Loans receivable | |
Schedule of loans | The following table presents information by corporate loan type: In millions of dollars June 30, December 31, In U.S. offices Commercial and industrial $ 50,286 $ 41,147 Financial institutions 32,001 36,396 Mortgage and real estate (1) 40,175 37,565 Installment, revolving credit and other 32,491 33,374 Lease financing 1,546 1,780 $ 156,499 $ 150,262 In offices outside the U.S. Commercial and industrial $ 87,125 $ 82,358 Financial institutions 27,856 28,704 Mortgage and real estate (1) 5,455 5,106 Installment, revolving credit and other 24,825 20,853 Lease financing 255 303 Governments and official institutions 5,757 4,911 $ 151,273 $ 142,235 Total corporate loans $ 307,772 $ 292,497 Net unearned income (676 ) (665 ) Corporate loans, net of unearned income $ 307,096 $ 291,832 (1) Loans secured primarily by real estate. |
Schedule of loan delinquency and non-accrual details | Corporate Loan Delinquency and Non-Accrual Details at June 30, 2016 In millions of dollars 30–89 days past due and accruing (1) ≥ 90 days past due and accruing (1) Total past due and accruing Total non-accrual (2) Total current (3) Total loans (4) Commercial and industrial $ 44 $ — $ 44 $ 1,962 $ 132,551 $ 134,557 Financial institutions 51 — 51 194 59,147 59,392 Mortgage and real estate 325 — 325 183 44,940 45,448 Leases 35 9 44 60 1,697 1,801 Other 65 71 136 61 61,599 61,796 Loans at fair value 4,102 Purchased distressed loans — Total $ 520 $ 80 $ 600 $ 2,460 $ 299,934 $ 307,096 Corporate Loan Delinquency and Non-Accrual Details at December 31, 2015 In millions of dollars 30–89 days past due and accruing (1) ≥ 90 days past due and accruing (1) Total past due and accruing Total non-accrual (2) Total current (3) Total loans (4) Commercial and industrial $ 87 $ 4 $ 91 $ 1,071 $ 118,465 $ 119,627 Financial institutions 16 — 16 173 64,128 64,317 Mortgage and real estate 137 7 144 232 42,095 42,471 Leases — — — 76 2,006 2,082 Other 29 — 29 44 58,286 58,359 Loans at fair value 4,971 Purchased distressed loans 5 Total $ 269 $ 11 $ 280 $ 1,596 $ 284,980 $ 291,832 (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 past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful. (3) Corporate loans are past due when principal or interest is contractually due but unpaid. Loans less than 30 days past due are presented as current. (4) Total loans include loans at fair value, which are not included in the various delinquency columns. |
Schedule of loans credit quality indicators | Recorded investment in loans (1) In millions of dollars June 30, December 31, Investment grade (2) Commercial and industrial $ 92,775 $ 85,828 Financial institutions 50,507 53,522 Mortgage and real estate 21,066 18,869 Leases 1,289 1,725 Other 55,129 51,449 Total investment grade $ 220,766 $ 211,393 Non-investment grade (2) Accrual Commercial and industrial $ 39,819 $ 32,726 Financial institutions 8,691 10,622 Mortgage and real estate 2,263 2,800 Leases 452 282 Other 6,607 6,867 Non-accrual Commercial and industrial 1,962 1,071 Financial institutions 194 173 Mortgage and real estate 183 232 Leases 60 76 Other 61 44 Total non-investment grade $ 60,292 $ 54,893 Private bank loans managed on a delinquency basis (2) $ 21,936 $ 20,575 Loans at fair value 4,102 4,971 Corporate loans, net of unearned income $ 307,096 $ 291,832 (1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs. (2) Held-for-investment loans are accounted for on an amortized cost basis. |
Schedule of impaired loans | The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans: Non-Accrual Corporate Loans June 30, 2016 Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 In millions of dollars Recorded investment (1) Unpaid principal balance Related specific allowance Average carrying value (2) Interest income recognized (3) Interest income recognized (3) Non-accrual corporate loans Commercial and industrial $ 1,962 $ 2,343 $ 417 $ 1,490 $ 7 $ 17 Financial institutions 194 203 9 174 1 3 Mortgage and real estate 183 304 11 214 1 2 Lease financing 60 60 1 53 — — Other 61 117 47 60 3 3 Total non-accrual corporate loans $ 2,460 $ 3,027 $ 485 $ 1,991 $ 12 $ 25 December 31, 2015 In millions of dollars Recorded investment (1) Unpaid principal balance Related specific allowance Average carrying value (2) Non-accrual corporate loans Commercial and industrial $ 1,071 $ 1,224 $ 246 $ 859 Financial institutions 173 196 10 194 Mortgage and real estate 232 336 21 240 Lease financing 76 76 54 62 Other 44 114 32 39 Total non-accrual corporate loans $ 1,596 $ 1,946 $ 363 $ 1,394 June 30, 2016 December 31, 2015 In millions of dollars Recorded investment (1) Related specific allowance Recorded investment (1) Related specific allowance Non-accrual corporate loans with valuation allowances Commercial and industrial $ 941 $ 417 $ 571 $ 246 Financial institutions 14 9 18 10 Mortgage and real estate 34 11 60 21 Lease financing 59 1 75 54 Other 55 47 40 32 Total non-accrual corporate loans with specific allowance $ 1,103 $ 485 $ 764 $ 363 Non-accrual corporate loans without specific allowance Commercial and industrial $ 1,021 $ 500 Financial institutions 180 155 Mortgage and real estate 149 172 Lease financing 1 1 Other 6 4 Total non-accrual corporate loans without specific allowance $ 1,357 N/A $ 832 N/A (1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs. (2) Average carrying value represents the average recorded investment balance and does not include related specific allowance. (3) Interest income recognized for the three- and six-month periods ended June 30, 2015 was $4 million and $5 million , respectively. |
Schedule of troubled debt restructurings | The following table presents corporate TDR activity at and for the three months ended June 30, 2016 : In millions of dollars Carrying Value TDRs involving changes in the amount and/or timing of principal payments (1) TDRs involving changes in the amount and/or timing of interest payments (2) TDRs involving changes in the amount and/or timing of both principal and interest payments Commercial and industrial $ 105 $ 73 $ 32 $ — Mortgage and real estate 1 — — 1 Other 142 — 142 — Total $ 248 $ 73 $ 174 $ 1 (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 commercial loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification. (2) TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate. The following table presents corporate TDR activity at and for the three months ended June 30, 2015 : In millions of dollars Carrying Value TDRs involving changes in the amount and/or timing of principal payments (1) TDRs involving changes in the amount and/or timing of interest payments (2) TDRs involving changes in the amount and/or timing of both principal and interest payments Commercial and industrial $ 66 $ 33 $ — $ 33 Mortgage and real estate 11 1 — 10 Total $ 77 $ 34 $ — $ 43 (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 commercial loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification. (2) TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate. The following table presents corporate TDR activity at and for the six months ended June 30, 2016 : In millions of dollars Carrying Value TDRs involving changes in the amount and/or timing of principal payments (1) TDRs involving changes in the amount and/or timing of interest payments (2) TDRs involving changes in the amount and/or timing of both principal and interest payments Commercial and industrial $ 203 $ 73 $ 32 $ 98 Mortgage and real estate 5 — — 5 Other 142 — 142 — Total $ 350 $ 73 $ 174 $ 103 (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 commercial loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification. (2) TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate. The following table presents corporate TDR activity at and for the six months ended June 30, 2015 : In millions of dollars Carrying Value TDRs involving changes in the amount and/or timing of principal payments (1) TDRs involving changes in the amount and/or timing of interest payments (2) TDRs involving changes in the amount and/or timing of both principal and interest payments Commercial and industrial $ 66 $ 33 $ — $ 33 Mortgage and real estate 12 2 — 10 Total $ 78 $ 35 $ — $ 43 (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 commercial loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification. (2) TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate. |
Schedule of troubled debt restructuring loans that defaulted | The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due. In millions of dollars TDR balances at June 30, 2016 TDR loans in payment default during the three months ended June 30, 2016 TDR loans in payment default six months ended June 30, 2016 TDR balances at June 30, 2015 TDR loans in payment default during the three months ended June 30, 2015 TDR loans in payment default six months ended Commercial and industrial $ 323 $ 7 $ 7 $ 118 $ — $ — Loans to financial institutions — — — 1 1 1 Mortgage and real estate 130 — — 113 — — Other 288 — — 326 — — Total (1) $ 741 $ 7 $ 7 $ 558 $ 1 $ 1 (1) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs. |
ALLOWANCE FOR CREDIT LOSSES (Ta
ALLOWANCE FOR CREDIT LOSSES (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Loans and Leases Receivable Disclosure [Abstract] | |
Allowance for credit losses | Three Months Ended June 30, Six Months Ended In millions of dollars 2016 2015 2016 2015 Allowance for loan losses at beginning of period $ 12,712 $ 14,598 $ 12,626 $ 15,994 Gross credit losses (2,048 ) (2,335 ) (4,191 ) (4,793 ) Gross recoveries (1) 432 415 851 916 Net credit losses (NCLs) (2) $ (1,616 ) $ (1,920 ) $ (3,340 ) $ (3,877 ) NCLs $ 1,616 $ 1,920 $ 3,340 $ 3,877 Net reserve releases (90 ) (199 ) (48 ) (290 ) Net specific reserve releases (136 ) (206 ) (16 ) (317 ) Total provision for loan losses $ 1,390 $ 1,515 $ 3,276 $ 3,270 Other, net (3) (182 ) (118 ) (258 ) (1,312 ) Allowance for loan losses at end of period $ 12,304 $ 14,075 $ 12,304 $ 14,075 Allowance for credit losses on unfunded lending commitments at beginning of period $ 1,473 $ 1,023 $ 1,402 $ 1,063 Provision (release) for unfunded lending commitments (30 ) (48 ) 41 (85 ) Other, net (11 ) (2 ) (11 ) (5 ) Allowance for credit losses on unfunded lending commitments at end of period (4) $ 1,432 $ 973 $ 1,432 $ 973 Total allowance for loans, leases, and unfunded lending commitments $ 13,736 $ 15,048 $ 13,736 $ 15,048 (1) Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful. (2) As a result of the entry into an agreement in March 2015 to sell OneMain Financial (OneMain), OneMain was classified as held-for-sale (HFS) at the end of the first quarter of 2015. As a result of HFS accounting treatment, approximately $160 million of net credit losses were recorded as a reduction in revenue (Other revenue) during the second quarter of 2015. (3) The second quarter of 2016 includes a reduction of approximately $101 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $24 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes a reduction of approximately $75 million related to FX translation. The first quarter of 2016 includes a reduction of approximately $148 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $29 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the first quarter of 2016 includes an increase of approximately $63 million related to FX translation. The second quarter of 2015 includes a reduction of approximately $88 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $34 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the second quarter of 2015 includes a reduction of approximately $39 million related to FX translation. The first quarter of 2015 includes a reduction of approximately $1.0 billion related to the sale or transfer to HFS of various loan portfolios, including a reduction of $281 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the first quarter of 2015 includes a reduction of approximately $145 million related to FX translation. (4) Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet. |
Schedule of allowance for credit losses and investment in loans by portfolio segment | Three Months Ended June 30, 2016 June 30, 2015 In millions of dollars Corporate Consumer Total Corporate Consumer Total Allowance for loan losses at beginning of period $ 2,905 $ 9,807 $ 12,712 $ 2,546 $ 12,052 $ 14,598 Charge-offs (158 ) (1,890 ) (2,048 ) (126 ) (2,209 ) (2,335 ) Recoveries 16 416 432 19 396 415 Replenishment of net charge-offs 142 1,474 1,616 107 1,813 1,920 Net reserve releases (16 ) (74 ) (90 ) (32 ) (167 ) (199 ) Net specific reserve releases (11 ) (125 ) (136 ) (119 ) (87 ) (206 ) Other (6 ) (176 ) (182 ) 11 (129 ) (118 ) Ending balance $ 2,872 $ 9,432 $ 12,304 $ 2,406 $ 11,669 $ 14,075 Six Months Ended June 30, 2016 June 30, 2015 In millions of dollars Corporate Consumer Total Corporate Consumer Total Allowance for loan losses at beginning of period $ 2,791 $ 9,835 $ 12,626 $ 2,447 $ 13,547 $ 15,994 Charge-offs (382 ) (3,809 ) (4,191 ) (152 ) (4,641 ) (4,793 ) Recoveries 29 822 851 52 864 916 Replenishment of net charge-offs 353 2,987 3,340 100 3,777 3,877 Net reserve releases (12 ) (36 ) (48 ) 80 (370 ) (290 ) Net specific reserve builds (releases) 90 (106 ) (16 ) (116 ) (201 ) (317 ) Other 3 (261 ) (258 ) (5 ) (1,307 ) (1,312 ) Ending balance $ 2,872 $ 9,432 $ 12,304 $ 2,406 $ 11,669 $ 14,075 June 30, 2016 December 31, 2015 In millions of dollars Corporate Consumer Total Corporate Consumer Total Allowance for loan losses Determined in accordance with ASC 450 $ 2,386 $ 7,650 $ 10,036 $ 2,408 $ 7,776 $ 10,184 Determined in accordance with ASC 310-10-35 486 1,775 2,261 380 2,046 2,426 Determined in accordance with ASC 310-30 — 7 7 3 13 16 Total allowance for loan losses $ 2,872 $ 9,432 $ 12,304 $ 2,791 $ 9,835 $ 12,626 Loans, net of unearned income Loans collectively evaluated for impairment in accordance with ASC 450 $ 300,328 $ 317,210 $ 617,538 $ 285,053 $ 315,314 $ 600,367 Loans individually evaluated for impairment in accordance with ASC 310-10-35 2,666 8,965 11,631 1,803 10,192 11,995 Loans acquired with deteriorated credit quality in accordance with ASC 310-30 — 212 212 5 245 250 Loans held at fair value 4,102 32 4,134 4,971 34 5,005 Total loans, net of unearned income $ 307,096 $ 326,419 $ 633,515 $ 291,832 $ 325,785 $ 617,617 |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
Schedule of goodwill | The following table shows reporting units with goodwill balances as of June 30, 2016. In millions of dollars Reporting unit (1)(2) Goodwill North America Global Consumer Banking $ 6,766 Asia Global Consumer Banking (3) 5,002 Latin America Global Consumer Banking (4) 1,176 ICG— Banking 2,892 ICG— Markets and Securities Services 6,580 Citi Holdings — Consumer Latin America 80 Total $ 22,496 (1) Citi Holdings —Other and Citi Holdings —ICG are excluded from the table as there is no goodwill allocated to them. (2) Citi Holdings —Consumer EMEA, is excluded from the table as the entire reporting unit, together with allocated goodwill, is classified as held-for-sale as of June 30, 2016. (3) Asia Global Consumer Banking includes the consumer businesses in UK, Russia, Poland, UAE and Bahrain beginning the first quarter of 2016. (4) Latin America Global Consumer Banking contains only the consumer business in Mexico beginning the first quarter of 2016. The changes in Goodwill were as follows: In millions of dollars Balance, December 31, 2015 $ 22,349 Foreign exchange translation and other 239 Divestitures (13 ) Balance at March 31, 2016 $ 22,575 Foreign exchange translation and other (79 ) Balance at June 30, 2016 $ 22,496 |
Components of intangible assets, finite-lived | The components of intangible assets were as follows: June 30, 2016 December 31, 2015 In millions of dollars Gross carrying amount Accumulated amortization Net carrying amount Gross carrying amount Accumulated amortization Net carrying amount Purchased credit card relationships $ 8,394 $ 6,543 $ 1,851 $ 7,606 $ 6,520 $ 1,086 Core deposit intangibles 869 818 51 1,050 969 81 Other customer relationships 530 289 241 471 252 219 Present value of future profits 35 30 5 37 31 6 Indefinite-lived intangible assets 238 — 238 284 — 284 Other (1) 5,764 2,629 3,135 4,659 2,614 2,045 Intangible assets (excluding MSRs) $ 15,830 $ 10,309 $ 5,521 $ 14,107 $ 10,386 $ 3,721 Mortgage servicing rights (MSRs) 1,324 — 1,324 1,781 — 1,781 Total intangible assets $ 17,154 $ 10,309 $ 6,845 $ 15,888 $ 10,386 $ 5,502 (1) Includes contract-related intangible assets. |
Components of intangible assets, indefinite-lived | The components of intangible assets were as follows: June 30, 2016 December 31, 2015 In millions of dollars Gross carrying amount Accumulated amortization Net carrying amount Gross carrying amount Accumulated amortization Net carrying amount Purchased credit card relationships $ 8,394 $ 6,543 $ 1,851 $ 7,606 $ 6,520 $ 1,086 Core deposit intangibles 869 818 51 1,050 969 81 Other customer relationships 530 289 241 471 252 219 Present value of future profits 35 30 5 37 31 6 Indefinite-lived intangible assets 238 — 238 284 — 284 Other (1) 5,764 2,629 3,135 4,659 2,614 2,045 Intangible assets (excluding MSRs) $ 15,830 $ 10,309 $ 5,521 $ 14,107 $ 10,386 $ 3,721 Mortgage servicing rights (MSRs) 1,324 — 1,324 1,781 — 1,781 Total intangible assets $ 17,154 $ 10,309 $ 6,845 $ 15,888 $ 10,386 $ 5,502 (1) Includes contract-related intangible assets. |
Changes in intangible assets | The changes in intangible assets were as follows: Net carrying Net carrying amount at In millions of dollars December 31, 2015 Acquisitions/ divestitures (1) Amortization FX translation and other June 30, Purchased credit card relationships $ 1,086 $ 848 $ (98 ) $ 15 $ 1,851 Core deposit intangibles 81 (13 ) (15 ) (2 ) 51 Other customer relationships 219 — (12 ) 34 241 Present value of future profits 6 — — (1 ) 5 Indefinite-lived intangible assets 284 (18 ) — (28 ) 238 Other 2,045 1,205 (133 ) 18 3,135 Intangible assets (excluding MSRs) $ 3,721 $ 2,022 $ (258 ) $ 36 $ 5,521 Mortgage servicing rights (MSRs) (2) 1,781 1,324 Total intangible assets $ 5,502 $ 6,845 (1) Reflects the recognition during the second quarter of 2016 of additional purchased credit card relationships and contract-related intangible assets as a result of the acquisition of the Costco cards portfolio, as well as the renewal and extension of the co-branded credit card program agreement with American Airlines. (2) For additional information on Citi’s MSRs, including the rollforward for the six months ended June 30, 2016, see Note 20 to the Consolidated Financial Statements. |
DEBT (Tables)
DEBT (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Debt Disclosure [Abstract] | |
Schedule of short-term borrowings | In millions of dollars June 30, December 31, Balance Balance Commercial paper $ 9,982 $ 9,995 Other borrowings 8,426 11,084 Total $ 18,408 $ 21,079 |
Schedule of long-term debt | In millions of dollars June 30, December 31, 2015 Citigroup Inc. (1) $ 148,686 $ 142,157 Bank (2) 52,627 55,131 Broker-dealer (3) 6,135 3,987 Total $ 207,448 $ 201,275 (1) Parent holding company, Citigroup Inc. (2) Represents Citibank entities as well as other bank entities. At June 30, 2016 and December 31, 2015 , collateralized long-term advances from the Federal Home Loan Banks were $19.6 billion and $17.8 billion , respectively. (3) Represents broker-dealer subsidiaries that are consolidated into Citigroup Inc., the parent holding company. |
Summary of outstanding trust preferred securities | The following table summarizes the Company’s outstanding trust preferred securities at June 30, 2016 : Junior subordinated debentures owned by trust Trust Issuance date Securities issued Liquidation value (1) Coupon rate (2) Common shares issued to parent Amount Maturity Redeemable by issuer beginning In millions of dollars, except share amounts Citigroup Capital III Dec. 1996 194,053 $ 194 7.625 % 6,003 $ 200 Dec. 1, 2036 Not redeemable Citigroup Capital XIII Sept. 2010 89,840,000 2,246 3 mo LIBOR + 637 bps 1,000 2,246 Oct. 30, 2040 Oct. 30, 2015 Citigroup Capital XVIII June 2007 99,901 134 6.829 50 134 June 28, 2067 June 28, 2017 Total obligated $ 2,574 $ 2,580 Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and Citigroup Capital XVIII and quarterly for Citigroup Capital XIII. (1) Represents the notional value received by investors from the trusts at the time of issuance. (2) In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities. |
CHANGES IN ACCUMULATED OTHER 51
CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Comprehensive Income (Loss), Net of Tax, Attributable to Parent [Abstract] | |
Changes in each component of Accumulated Other Comprehensive Income (Loss) | Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows: Three Months Ended June 30, 2016 In millions of dollars Net Debt valuation adjustment (DVA) (1) Cash flow hedges (2) Benefit plans (3) Foreign (4) Accumulated Balance, March 31, 2016 $ 1,127 $ 178 $ (300 ) $ (5,581 ) $ (22,050 ) $ (26,626 ) Other comprehensive income before reclassifications 1,025 16 115 (66 ) (552 ) 538 Increase (decrease) due to amounts reclassified from AOCI (98 ) (4 ) 36 39 — (27 ) Change, net of taxes $ 927 $ 12 $ 151 $ (27 ) $ (552 ) $ 511 Balance at June 30, 2016 $ 2,054 $ 190 $ (149 ) $ (5,608 ) $ (22,602 ) $ (26,115 ) Six Months Ended June 30, 2016 : Balance, December 31, 2015 $ (907 ) $ — $ (617 ) $ (5,116 ) $ (22,704 ) $ (29,344 ) Adjustment to opening balance, net of taxes (1) — (15 ) — — — (15 ) Adjusted balance, beginning of period $ (907 ) $ (15 ) $ (617 ) $ (5,116 ) $ (22,704 ) $ (29,359 ) Other comprehensive income before reclassifications 3,051 208 406 (566 ) 102 3,201 Increase (decrease) due to amounts reclassified from AOCI (90 ) (3 ) 62 74 — 43 Change, net of taxes $ 2,961 $ 205 $ 468 $ (492 ) $ 102 $ 3,244 Balance at June 30, 2016 $ 2,054 $ 190 $ (149 ) $ (5,608 ) $ (22,602 ) $ (26,115 ) Three Months Ended June 30, 2015 In millions of dollars Net Cash flow hedges (2) Benefit plans (3) Foreign (4) Accumulated Balance, March 31, 2015 $ 648 $ (823 ) $ (5,249 ) $ (19,267 ) $ (24,691 ) Other comprehensive income before reclassifications (844 ) 22 539 (148 ) (431 ) Increase (decrease) due to amounts reclassified from AOCI (91 ) 70 39 — 18 Change, net of taxes $ (935 ) $ 92 $ 578 $ (148 ) $ (413 ) Balance, June 30, 2015 $ (287 ) $ (731 ) $ (4,671 ) $ (19,415 ) $ (25,104 ) Six Months Ended June 30, 2015 : Balance, December 31, 2014 $ 57 $ (909 ) $ (5,159 ) $ (17,205 ) $ (23,216 ) Other comprehensive income before reclassifications (103 ) 54 408 (2,210 ) (1,851 ) Increase (decrease) due to amounts reclassified from AOCI (241 ) 124 80 — (37 ) Change, net of taxes $ (344 ) $ 178 $ 488 $ (2,210 ) $ (1,888 ) Balance, June 30, 2015 $ (287 ) $ (731 ) $ (4,671 ) $ (19,415 ) $ (25,104 ) (1) Beginning in the first quarter of 2016, changes in DVA are reflected as a component of AOCI, pursuant to the adoption of only the provisions of ASU 2016-01 relating to the presentation of DVA on fair value option liabilities. See Note 1 to the Consolidated Financial Statements for further information regarding this change. (2) Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities. (3) Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans, and amortization of amounts previously recognized in other comprehensive income. (4) Primarily reflects the movements in (by order of impact) the Mexican peso, Japanese yen, euro, and Brazilian real against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended June 30, 2016 . Primarily reflects the movements in (by order of impact) the Japanese yen, euro, Brazilian real and Chilean peso against the U.S. dollar, and changes in related tax effects and hedges for quarter ended March 31, 2016 . Primarily reflects the movements in (by order of impact) the Mexican peso, British pound, Korean won and euro against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended June 30, 2015. Primarily reflects the movements in (by order of impact) the euro, Mexican peso, British pound, and Brazilian real against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended March 31, 2015. |
Schedule of pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) | The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows: Three Months Ended June 30, 2016 In millions of dollars Pretax Tax effect After-tax Balance, March 31, 2016 $ (34,668 ) $ 8,042 $ (26,626 ) Change in net unrealized gains (losses) on investment securities 1,482 (555 ) 927 Debt valuation adjustment (DVA) 20 (8 ) 12 Cash flow hedges 257 (106 ) 151 Benefit plans (31 ) 4 (27 ) Foreign currency translation adjustment (774 ) 222 (552 ) Change $ 954 $ (443 ) $ 511 Balance, June 30, 2016 $ (33,714 ) $ 7,599 $ (26,115 ) Six Months Ended June 30, 2016 In millions of dollars Pretax Tax effect After-tax Balance, December 31, 2015 $ (38,440 ) $ 9,096 $ (29,344 ) Adjustment to opening balance (1) (26 ) 11 (15 ) Adjusted balance, beginning of period $ (38,466 ) $ 9,107 $ (29,359 ) Change in net unrealized gains (losses) on investment securities 4,706 (1,745 ) 2,961 Debt valuation adjustment (DVA) 327 (122 ) 205 Cash flow hedges 739 (271 ) 468 Benefit plans (758 ) 266 (492 ) Foreign currency translation adjustment (262 ) 364 102 Change $ 4,752 $ (1,508 ) $ 3,244 Balance, June 30, 2016 $ (33,714 ) $ 7,599 $ (26,115 ) (1) Represents the ($15) million adjustment related to the initial adoption of ASU 2016-01. See Note 1 to the Consolidated Financial Statements. Three Months Ended June 30, 2015 In millions of dollars Pretax Tax effect After-tax Balance, March 31, 2015 $ (32,279 ) $ 7,588 $ (24,691 ) Change in net unrealized gains (losses) on investment securities (1,517 ) 582 (935 ) Cash flow hedges 118 (26 ) 92 Benefit plans 810 (232 ) 578 Foreign currency translation adjustment (280 ) 132 (148 ) Change $ (869 ) $ 456 $ (413 ) Balance, June 30, 2015 $ (33,148 ) $ 8,044 $ (25,104 ) Six Months Ended June 30, 2015 In millions of dollars Pretax Tax effect After-tax Balance, December 31, 2014 $ (31,060 ) $ 7,844 $ (23,216 ) Change in net unrealized gains (losses) on investment securities (468 ) 124 (344 ) Cash flow hedges 274 (96 ) 178 Benefit plans 689 (201 ) 488 Foreign currency translation adjustment (2,583 ) 373 (2,210 ) Change $ (2,088 ) $ 200 $ (1,888 ) Balance, June 30, 2015 $ (33,148 ) $ 8,044 $ (25,104 ) |
Summary of amounts reclassified out of Accumulated other comprehensive income (loss) into the Consolidated Statement of income | During the three and six months ended June 30, 2016 , the Company recognized pretax gain of $39 million ( $27 million net of tax) and pretax loss of $ 75 million ($ 43 million net of tax), respectively, related to amounts reclassified out of AOCI into 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, In millions of dollars 2016 2016 Realized (gains) losses on sales of investments $ (200 ) $ (386 ) OTTI gross impairment losses 48 251 Subtotal, pretax $ (152 ) $ (135 ) Tax effect 54 45 Net realized (gains) losses on investment securities, after-tax (1) $ (98 ) $ (90 ) Realized DVA (gains) losses on fair value option liabilities $ (6 ) $ (5 ) Subtotal, pretax $ (6 ) $ (5 ) Tax effect 2 2 Net realized debt valuation adjustment, after-tax $ (4 ) $ (3 ) Interest rate contracts $ 41 $ 57 Foreign exchange contracts 17 43 Subtotal, pretax $ 58 $ 100 Tax effect (22 ) (38 ) Amortization of cash flow hedges, after-tax (2) $ 36 $ 62 Amortization of unrecognized Prior service cost (benefit) $ (11 ) $ (21 ) Net actuarial loss 69 135 Curtailment/settlement impact (3) 3 1 Subtotal, pretax $ 61 $ 115 Tax effect (22 ) (41 ) Amortization of benefit plans, after-tax (3) $ 39 $ 74 Foreign currency translation adjustment $ — $ — Total amounts reclassified out of AOCI, pretax $ (39 ) $ 75 Total tax effect 12 (32 ) Total amounts reclassified out of AOCI, after-tax $ (27 ) $ 43 (1) The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 13 to the Consolidated Financial Statements for additional details. (2) See Note 21 to the Consolidated Financial Statements for additional details. (3) See Note 8 to the Consolidated Financial Statements for additional details. During the three and six months ended June 30, 2015 , the Company recognized pretax loss of $ 43 million ($ 18 million net of tax) and pretax gain of $ 42 million ($ 37 million net of tax), respectively, related to amounts reclassified out of AOCI into 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, In millions of dollars 2015 2015 Realized (gains) losses on sales of investments $ (183 ) $ (490 ) OTTI gross impairment losses 43 115 Subtotal, pretax $ (140 ) $ (375 ) Tax effect 49 134 Net realized (gains) losses on investment securities, after-tax (1) $ (91 ) $ (241 ) Interest rate contracts $ 74 $ 120 Foreign exchange contracts 37 77 Subtotal, pretax $ 111 $ 197 Tax effect (41 ) (73 ) Amortization of cash flow hedges, after-tax (2) $ 70 $ 124 Amortization of unrecognized Prior service cost (benefit) $ (10 ) $ (21 ) Net actuarial loss 72 147 Curtailment/settlement impact (3) 10 10 Subtotal, pretax $ 72 $ 136 Tax effect (33 ) (56 ) Amortization of benefit plans, after-tax (3) $ 39 $ 80 Foreign currency translation adjustment $ — $ — Total amounts reclassified out of AOCI, pretax $ 43 $ (42 ) Total tax effect (25 ) 5 Total amounts reclassified out of AOCI, after-tax $ 18 $ (37 ) (1) The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 13 to the Consolidated Financial Statements for additional details. (2) See Note 21 to the Consolidated Financial Statements for additional details. (3) See Note 8 to the Consolidated Financial Statements for additional details. |
PREFERRED STOCK (Tables)
PREFERRED STOCK (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Stockholders' Equity Note [Abstract] | |
Summary of preferred stock outstanding | The following table summarizes the Company’s preferred stock outstanding: Redemption depositary Carrying value in millions of dollars Issuance date Redeemable by issuer beginning Dividend Number June 30, December 31, Series AA (1) January 25, 2008 February 15, 2018 8.125 % $ 25 3,870,330 $ 97 $ 97 Series E (2) April 28, 2008 April 30, 2018 8.400 1,000 121,254 121 121 Series A (3) October 29, 2012 January 30, 2023 5.950 1,000 1,500,000 1,500 1,500 Series B (4) December 13, 2012 February 15, 2023 5.900 1,000 750,000 750 750 Series C (5) March 26, 2013 April 22, 2018 5.800 25 23,000,000 575 575 Series D (6) April 30, 2013 May 15, 2023 5.350 1,000 1,250,000 1,250 1,250 Series J (7) September 19, 2013 September 30, 2023 7.125 25 38,000,000 950 950 Series K (8) October 31, 2013 November 15, 2023 6.875 25 59,800,000 1,495 1,495 Series L (9) February 12, 2014 February 12, 2019 6.875 25 19,200,000 480 480 Series M (10) April 30, 2014 May 15, 2024 6.300 1,000 1,750,000 1,750 1,750 Series N (11) October 29, 2014 November 15, 2019 5.800 1,000 1,500,000 1,500 1,500 Series O (12) March 20, 2015 March 27, 2020 5.875 1,000 1,500,000 1,500 1,500 Series P (13) April 24, 2015 May 15, 2025 5.950 1,000 2,000,000 2,000 2,000 Series Q (14) August 12, 2015 August 15, 2020 5.950 1,000 1,250,000 1,250 1,250 Series R (15) November 13, 2015 November 15, 2020 6.125 1,000 1,500,000 1,500 1,500 Series S (16) February 2, 2016 February 12, 2021 6.300 25 41,400,000 1,035 $ — Series T (17) April 25, 2016 August 15, 2026 6.250 1,000 1,500,000 1,500 $ — $ 19,253 $ 16,718 (1) Issued as depositary shares, each representing a 1/1,000 th 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, in each case when, as and if declared by the Citi Board of Directors. (2) Issued as depositary shares, each representing a 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on April 30 and October 30 at a fixed rate until April 30, 2018, 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. (3) Issued as depositary shares, each representing a 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on January 30 and July 30 at a fixed rate until January 30, 2023, 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. (4) Issued as depositary shares, each representing a 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on February 15 and August 15 at a fixed rate until February 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. (5) Issued as depositary shares, each representing a 1/1,000 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on January 22, April 22, July 22 and October 22 when, as and if declared by the Citi Board of Directors. (6) Issued as depositary shares, each representing a 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on May 15 and November 15 at a fixed rate until 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. (7) Issued as depositary shares, each representing a 1/1,000 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on March 30, June 30, September 30 and December 30 at a fixed rate until 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. (8) Issued as depositary shares, each representing a 1/1,000 th 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 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. (9) Issued as depositary shares, each representing a 1/1,000 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 12, May 12, August 12 and November 12 at a fixed rate, in each case when, as and if declared by the Citi Board of Directors. (10) Issued as depositary shares, each representing a 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on May 15 and November 15 at a fixed rate until 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. (11) Issued as depositary shares, each representing a 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on May 15 and November 15 at a fixed rate until, but excluding, November 15, 2019, 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. (12) Issued as depositary shares, each representing a 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on March 27 and September 27 at a fixed rate until, but excluding, March 27, 2020, and thereafter payable quarterly on March 27, June 27, September 27 and December 27 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 1/25 th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually 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. (14) Issued as depository shares, each representing 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on February 15 and August 15 at a fixed rate until, but excluding, August 15, 2020, 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. (15) Issued as depository shares, each representing 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on May 15 and November 15 at a fixed rate until, but excluding, November 15, 2020, 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. (16) Issued as depository shares, each representing 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 12, May 12, August 12, and November 12 at a fixed rate, in each case when, as and if declared by the Citi Board of Directors. (17) Issued as depository shares, each representing 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on February 15 and August 15 at a fixed rate until 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. |
SECURITIZATIONS AND VARIABLE 53
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Securitizations and Variable Interest Entities [Abstract] | |
Schedule of consolidated and unconsolidated VIEs with which the Company holds significant variable interests | 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, 2016 Maximum exposure to loss in significant unconsolidated VIEs (1) Funded exposures (2) Unfunded exposures In millions of dollars Total involvement with SPE assets Consolidated VIE / SPE assets Significant unconsolidated VIE assets (3) Debt investments Equity investments Funding commitments Guarantees and derivatives Total Credit card securitizations $ 51,457 $ 51,457 $ — $ — $ — $ — $ — $ — Mortgage securitizations (4) U.S. agency-sponsored 230,600 — 230,600 4,177 — — 87 4,264 Non-agency-sponsored 16,563 1,391 15,172 295 35 — 1 331 Citi-administered asset-backed commercial paper conduits (ABCP) 21,245 21,245 — — — — — — Collateralized loan obligations (CLOs) 15,743 — 15,743 3,708 — — 83 3,791 Asset-based financing 57,543 1,228 56,315 20,045 413 5,051 363 25,872 Municipal securities tender option bond trusts (TOBs) 7,379 2,819 4,560 113 — 2,831 — 2,944 Municipal investments 18,304 36 18,268 2,392 2,946 2,451 — 7,789 Client intermediation 408 179 229 54 — — — 54 Investment funds 2,710 789 1,921 31 156 68 — 255 Other 4,402 592 3,810 210 550 77 47 884 Total (5) $ 426,354 $ 79,736 $ 346,618 $ 31,025 $ 4,100 $ 10,478 $ 581 $ 46,184 As of December 31, 2015 Maximum exposure to loss in significant unconsolidated VIEs (1) Funded exposures (2) Unfunded exposures In millions of dollars Total involvement with SPE assets Consolidated VIE / SPE assets Significant unconsolidated VIE assets (3) Debt investments Equity investments Funding commitments Guarantees and derivatives Total Credit card securitizations $ 54,916 $ 54,916 $ — $ — $ — $ — $ — $ — Mortgage securitizations (4) U.S. agency-sponsored 217,291 — 217,291 3,571 — — 95 3,666 Non-agency-sponsored 13,036 1,586 11,450 527 — — 1 528 Citi-administered asset-backed commercial paper conduits (ABCP) 21,280 21,280 — — — — — — Collateralized loan obligations (CLOs) 16,719 — 16,719 3,150 — — 86 3,236 Asset-based financing 58,862 1,364 57,498 21,270 269 3,616 436 25,591 Municipal securities tender option bond trusts (TOBs) 8,572 3,830 4,742 2 — 3,100 — 3,102 Municipal investments 20,290 44 20,246 2,196 2,487 2,335 — 7,018 Client intermediation 434 335 99 49 — — — 49 Investment funds 1,730 842 888 13 138 102 — 253 Other 4,915 597 4,318 292 554 — 52 898 Total (5) $ 418,045 $ 84,794 $ 333,251 $ 31,070 $ 3,448 $ 9,153 $ 670 $ 44,341 Note: Certain adjustments have been made to the December 31, 2015 information to conform to the current period’s presentation. (1) The definition of maximum exposure to loss is included in the text that follows this table. (2) Included on Citigroup’s June 30, 2016 and December 31, 2015 Consolidated Balance Sheet. (3) A significant unconsolidated VIE is an entity where 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) Citi’s total involvement with Citicorp SPE assets was $398.2 billion and $383.2 billion as of June 30, 2016 and December 31, 2015 , respectively, with the remainder related to Citi Holdings. |
Schedule of funding commitments of unconsolidated Variable Interest Entities | 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, 2016 December 31, 2015 In millions of dollars Liquidity facilities Loan / equity commitments Liquidity facilities Loan / equity commitments Asset-based financing $ 5 $ 5,046 $ 5 $ 3,611 Municipal securities tender option bond trusts (TOBs) 2,831 — 3,100 — Municipal investments — 2,451 — 2,335 Investment funds — 68 — 102 Other — 77 — — Total funding commitments $ 2,836 $ 7,642 $ 3,105 $ 6,048 |
Schedule of carrying amounts and classifications of consolidated assets that are collateral for consolidated VIE and SPE obligations | The following table presents the carrying amounts and classifications of consolidated assets that are collateral for consolidated VIE obligations: In billions of dollars June 30, 2016 December 31, 2015 Cash $ 0.1 $ 0.2 Trading account assets 0.4 0.6 Investments 4.8 5.3 Total loans, net of allowance 74.3 78.6 Other 0.1 0.1 Total assets $ 79.7 $ 84.8 Short-term borrowings $ 13.0 $ 14.0 Long-term debt 27.7 31.3 Other liabilities 2.1 2.1 Total liabilities (1) $ 42.8 $ 47.4 (1) The total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citi were $40.8 billion and $45.3 billion as of June 30, 2016 and December 31, 2015 , respectively. Liabilities of consolidated VIEs for which creditors or beneficial interest holders have recourse to the general credit of Citi comprise two items included in the above table: (i) credit enhancements provided to consolidated Citi-administered commercial paper conduits in the form of letters of credit of $1.9 billion at June 30, 2016 and December 31, 2015 ; and (ii) credit guarantees provided by Citi to certain consolidated municipal tender option bond trusts of $82 million at June 30, 2016 and December 31, 2015 . |
Schedule of significant interests in unconsolidated VIEs - balance sheet classification | The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs: In billions of dollars June 30, 2016 December 31, 2015 Cash $ 0.1 $ 0.1 Trading account assets 7.6 6.2 Investments 3.7 3.0 Total loans, net of allowance 22.5 23.6 Other 1.3 1.7 Total assets $ 35.2 $ 34.6 |
Schedule of securitized credit card receivables | The following table reflects amounts related to the Company’s securitized credit card receivables: In billions of dollars June 30, 2016 December 31, 2015 Ownership interests in principal amount of trust credit card receivables Sold to investors via trust-issued securities $ 26.2 $ 29.7 Retained by Citigroup as trust-issued securities 7.9 9.4 Retained by Citigroup via non-certificated interests 17.0 16.5 Total $ 51.1 $ 55.6 The following tables summarize selected cash flow information related to Citigroup’s credit card securitizations: Three months ended June 30, In billions of dollars 2016 2015 Proceeds from new securitizations $ — $ — Pay down of maturing notes (1.3 ) (3.1 ) Six months ended June 30, In billions of dollars 2016 2015 Proceeds from new securitizations $ — $ — Pay down of maturing notes (3.5 ) (5.8 ) |
Schedule of Master Trust liabilities (at par value) | Master Trust Liabilities (at Par Value) In billions of dollars June 30, 2016 Dec. 31, 2015 Term notes issued to third parties $ 25.0 $ 28.4 Term notes retained by Citigroup affiliates 6.1 7.5 Total Master Trust liabilities $ 31.1 $ 35.9 |
Schedule of Omni Trust liabilities (at par value) | Omni Trust Liabilities (at Par Value) In billions of dollars June 30, 2016 Dec. 31, 2015 Term notes issued to third parties $ 1.3 $ 1.3 Term notes retained by Citigroup affiliates 1.9 1.9 Total Omni Trust liabilities $ 3.2 $ 3.2 |
Schedule of cash flow information, mortgage securitizations | The following tables summarize selected cash flow information related to Citigroup mortgage securitizations: Three months ended June 30, 2016 2015 In billions of dollars U.S. agency- Non-agency- U.S. agency- Non-agency- Proceeds from new securitizations $ 10.3 $ 2.3 $ 10.1 $ 2.5 Contractual servicing fees received 0.1 — 0.1 — Six months ended June 30, 2016 2015 In billions of dollars U.S. agency- Non-agency- U.S. agency- Non-agency- Proceeds from new securitizations (1) $ 20.9 $ 6.5 $ 18.5 $ 6.1 Contractual servicing fees received 0.2 — 0.2 — (1) The proceeds from new securitizations in 2016 include $0.5 billion related to personal loan securitizations. |
Schedule of key assumptions used in measuring fair value of retained interest at the date of sale or securitization of mortgage receivables | Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows: Three months ended June 30, 2016 Non-agency-sponsored mortgages (1) U.S. agency- sponsored mortgages Senior interests Subordinated interests Discount rate 0.8% to 11.5% — — Weighted average discount rate 9.1 % — — Constant prepayment rate 8.6% to 26.8% — — Weighted average constant prepayment rate 13.3 % — — Anticipated net credit losses (2) NM — — Weighted average anticipated net credit losses NM — — Weighted average life 0.5 to 11.4 years — — Note: Citi held no retained interests in non-agency-sponsored mortgages securitized during the second quarter of 2016 . Three months ended June 30, 2015 Non-agency-sponsored mortgages (1) U.S. agency- Senior Subordinated Discount rate 0.0% to 8.2% — 11.2% to 12.1% Weighted average discount rate 5.3 % — 11.6 % Constant prepayment rate 5.7% to 15.5% — 3.5% to 8.0% Weighted average constant prepayment rate 9.5 % — 5.6 % Anticipated net credit losses (2) NM — 38.1% to 52.1% Weighted average anticipated net credit losses NM — 45.7 % Weighted average life 3.5 to 12.8 years — 8.9 to 12.9 years Six months ended June 30, 2016 Non-agency-sponsored mortgages (1) U.S. agency- Senior Subordinated Discount rate 0.8% to 11.5% — — Weighted average discount rate 8.7 % — — Constant prepayment rate 8.6% to 26.8% — — Weighted average constant prepayment rate 12.5 % — — Anticipated net credit losses (2) NM — — Weighted average anticipated net credit losses NM — — Weighted average life 0.5 to 17.5 years — — Note: Citi held no retained interests in non-agency-sponsored mortgages securitized during 2016 . Six months ended June 30, 2015 Non-agency-sponsored mortgages (1) U.S. agency- Senior Subordinated Discount rate 0.0% to 8.2% 2.8 % 4.4% to 12.1% Weighted average discount rate 5.6 % 2.8 % 7.2 % Constant prepayment rate 5.7% to 34.9% — 3.3% to 8.0% Weighted average constant prepayment rate 12.9 % — 4.2 % Anticipated net credit losses (2) NM 40.0 % 38.1% to 55.9% Weighted average anticipated net credit losses NM 40.0 % 52.0 % Weighted average life 3.5 to 12.8 years 9.7 years 0.0 to 12.9 years (1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization. (2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations. NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees. |
Schedule of key assumptions used to value retained interests and sensitivity of adverse changes of 10% and 20%, mortgage securitizations | The key assumptions used to value retained interests, and the sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions, are set forth in the tables below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below. June 30, 2016 Non-agency-sponsored mortgages (1) U.S. agency- sponsored mortgages Senior interests Subordinated interests Discount rate 0.3% to 27.0% 0.3% to 8.5% 1.6% to 30.1% Weighted average discount rate 5.4 % 5.2 % 12.3 % Constant prepayment rate 10.0% to 46.5% 4.7% to 19.7% 0.5% to 42.0% Weighted average constant prepayment rate 20.0 % 5.2 % 8.7 % Anticipated net credit losses (2) NM 0.5% to 90.2% 2.8% to 93.0% Weighted average anticipated net credit losses NM 83.8 % 48.3 % Weighted average life 0.5 to 18.5 years 4.3 to 14.8 years 1.5 to 11.3 years December 31, 2015 Non-agency-sponsored mortgages (1) U.S. agency- sponsored mortgages Senior interests Subordinated interests Discount rate 0.0% to 27.0% 1.6% to 67.6% 2.0% to 24.9% Weighted average discount rate 4.9 % 7.6 % 8.4 % Constant prepayment rate 5.7% to 27.8% 4.2% to 100.0% 0.5% to 20.8% Weighted average constant prepayment rate 12.3 % 14.0 % 7.5 % Anticipated net credit losses (2) NM 0.2% to 89.1% 3.8% to 92.0% Weighted average anticipated net credit losses NM 48.9 % 54.4 % Weighted average life 1.3 to 21.0 years 0.3 to 18.1 years 0.9 to 19.0 years (1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization. (2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations. NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees. June 30, 2016 Non-agency-sponsored mortgages (1) In millions of dollars U.S. agency- sponsored mortgages Senior interests Subordinated interests Carrying value of retained interests $ 2,555 $ 33 $ 190 Discount rates Adverse change of 10% $ (45 ) $ (7 ) $ (11 ) Adverse change of 20% (90 ) (13 ) (20 ) Constant prepayment rate Adverse change of 10% (104 ) (2 ) (5 ) Adverse change of 20% (204 ) (3 ) (10 ) Anticipated net credit losses Adverse change of 10% NM (10 ) (2 ) Adverse change of 20% NM (18 ) (4 ) December 31, 2015 Non-agency-sponsored mortgages (1) In millions of dollars U.S. agency- sponsored mortgages Senior interests Subordinated interests Carrying value of retained interests $ 3,546 $ 179 $ 533 Discount rates Adverse change of 10% $ (79 ) $ (8 ) $ (25 ) Adverse change of 20% (155 ) (15 ) (49 ) Constant prepayment rate Adverse change of 10% (111 ) (3 ) (9 ) Adverse change of 20% (213 ) (6 ) (18 ) Anticipated net credit losses Adverse change of 10% NM (6 ) (7 ) Adverse change of 20% NM (11 ) (14 ) Note: There were no subordinated interests in mortgage securitizations in Citi Holdings as of June 30, 2016 and December 31, 2015 . (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. NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees. |
Schedule of changes in capitalized MSRs | The following tables summarize the changes in capitalized MSRs: Three months ended June 30, In millions of dollars 2016 2015 Balance, as of March 31 $ 1,524 $ 1,685 Originations 35 68 Changes in fair value of MSRs due to changes in inputs and assumptions (137 ) 262 Other changes (1) (98 ) (82 ) Sale of MSRs — (9 ) Balance, as of June 30 $ 1,324 $ 1,924 Six months ended June 30, In millions of dollars 2016 2015 Balance, beginning of year $ 1,781 $ 1,845 Originations 68 111 Changes in fair value of MSRs due to changes in inputs and assumptions (362 ) 191 Other changes (1) (177 ) (182 ) Sale of MSRs (2) 14 (41 ) Balance, as of June 30 $ 1,324 $ 1,924 (1) Represents changes due to customer payments and passage of time. (2) Current period’s amount is related to a sale of credit challenged MSRs for which Citi paid the new servicer. |
Schedule of fees received on servicing previously securitized mortgages | 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, In millions of dollars 2016 2015 2016 2015 Servicing fees $ 126 $ 141 $ 254 $ 281 Late fees 4 4 8 8 Ancillary fees 4 15 9 22 Total MSR fees $ 134 $ 160 $ 271 $ 311 |
Schedule of key assumptions for measuring fair value of retained interests at the date of sale or securitization of CDOs and CLOs | The key assumptions used to value retained interests in CLOs, and the sensitivity of the fair value to adverse changes of 10% and 20% are set forth in the tables below: June 30, 2016 Dec. 31, 2015 Discount rate 1.1% to 41.9% 1.4% to 49.6% |
Schedule of sensitivity of adverse changes of 10% and 20% to discount rate, CDOs and CLOs | In millions of dollars June 30, 2016 Dec. 31, 2015 Carrying value of retained interests $ 908 $ 918 Discount rates Adverse change of 10% $ (5 ) $ (5 ) Adverse change of 20% (10 ) (10 ) |
Schedule of asset-based financing | The primary types of Citigroup’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement, and the Company’s maximum exposure to loss are shown below. For the Company to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE. June 30, 2016 In millions of dollars Total unconsolidated VIE assets Maximum exposure to unconsolidated VIEs Type Commercial and other real estate $ 14,981 $ 5,483 Corporate loans 1,050 1,948 Hedge funds and equities 386 56 Airplanes, ships and other assets 39,898 18,385 Total $ 56,315 $ 25,872 December 31, 2015 In millions of dollars Total unconsolidated VIE assets Maximum exposure to unconsolidated VIEs Type Commercial and other real estate $ 17,459 $ 6,528 Corporate loans 1,274 1,871 Hedge funds and equities 385 55 Airplanes, ships and other assets 38,380 17,137 Total $ 57,498 $ 25,591 |
DERIVATIVES ACTIVITIES (Tables)
DERIVATIVES ACTIVITIES (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Notionals | Information pertaining to Citigroup’s derivative activity, 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 and accurate measure of Citi’s exposure to derivative transactions. Rather, as discussed above, Citi’s derivative exposure arises primarily from market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades (also as discussed above). For example, if Citi enters into an interest rate swap with $100 million notional, and offsets this risk with an identical but opposite position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk. Aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors. Derivative Notionals Hedging instruments under ASC 815 (1)(2) Other derivative instruments Trading derivatives Management hedges (3) In millions of dollars June 30, December 31, June 30, December 31, June 30, December 31, Interest rate contracts Swaps $ 190,434 $ 166,576 $ 22,790,256 $ 22,208,794 $ 34,575 $ 28,969 Futures and forwards — — 5,944,024 6,868,340 33,385 38,421 Written options — — 3,197,007 3,033,617 5,616 2,606 Purchased options — — 2,941,662 2,887,605 5,450 4,575 Total interest rate contract notionals $ 190,434 $ 166,576 $ 34,872,949 $ 34,998,356 $ 79,026 $ 74,571 Foreign exchange contracts Swaps $ 21,384 $ 23,007 $ 5,576,865 $ 4,765,687 $ 23,098 $ 23,960 Futures, forwards and spot 71,422 72,124 3,510,377 2,563,649 4,472 3,034 Written options — 448 1,449,764 1,125,664 — — Purchased options — 819 1,485,184 1,131,816 — — Total foreign exchange contract notionals $ 92,806 $ 96,398 $ 12,022,190 $ 9,586,816 $ 27,570 $ 26,994 Equity contracts Swaps $ — $ — $ 171,361 $ 180,963 $ — $ — Futures and forwards — — 29,938 33,735 — — Written options — — 376,780 298,876 — — Purchased options — — 341,476 265,062 — — Total equity contract notionals $ — $ — $ 919,555 $ 778,636 $ — $ — Commodity and other contracts Swaps $ — $ — $ 71,194 $ 70,561 $ — $ — Futures and forwards 783 789 135,979 106,474 — — Written options — — 79,109 72,648 — — Purchased options — — 73,843 66,051 — — Total commodity and other contract notionals $ 783 $ 789 $ 360,125 $ 315,734 $ — $ — Credit derivatives (4) Protection sold $ — $ — $ 1,071,410 $ 950,922 $ — $ — Protection purchased — — 1,108,387 981,586 26,901 23,628 Total credit derivatives $ — $ — $ 2,179,797 $ 1,932,508 $ 26,901 $ 23,628 Total derivative notionals $ 284,023 $ 263,763 $ 50,354,616 $ 47,612,050 $ 133,497 $ 125,193 (1) The notional amounts presented in this table do not include hedge accounting relationships under ASC 815 where Citigroup is hedging the foreign currency risk of a net investment in a foreign operation by issuing a foreign-currency-denominated debt instrument. The notional amount of such debt was $2,150 million and $2,102 million at June 30, 2016 and December 31, 2015 , respectively. (2) Derivatives in hedge accounting relationships accounted for under ASC 815 are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities on the Consolidated Balance Sheet. (3) Management hedges represent derivative instruments used to mitigate certain economic risks, but for which hedge accounting is not applied. These derivatives are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities on the Consolidated Balance Sheet. (4) Credit derivatives are arrangements designed to allow one party (protection buyer) 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. |
Derivative Mark-to-Market (MTM) Receivables/Payables | The following tables present the gross and net fair values of the Company’s derivative transactions, and the related offsetting amounts permitted under ASC 210-20-45 and ASC 815-10-45, as of June 30, 2016 and December 31, 2015 . Under ASC 210-20-45, 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 enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral. The tables also include amounts that are not permitted to be offset under ASC 210-20-45 and ASC 815-10-45, such as security collateral posted or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained. Derivative Mark-to-Market (MTM) Receivables/Payables In millions of dollars at June 30, 2016 Derivatives classified in Trading account assets / liabilities (1)(2)(3) Derivatives classified in Other assets / liabilities (2)(3) Derivatives instruments designated as ASC 815 hedges Assets Liabilities Assets Liabilities Over-the-counter $ 914 $ 168 $ 2,553 $ 86 Cleared 7,596 1,945 — 185 Interest rate contracts $ 8,510 $ 2,113 $ 2,553 $ 271 Over-the-counter $ 1,849 $ 1,175 $ 142 $ 1,335 Cleared — 4 — — Foreign exchange contracts $ 1,849 $ 1,179 $ 142 $ 1,335 Total derivative instruments designated as ASC 815 hedges $ 10,359 $ 3,292 $ 2,695 $ 1,606 Derivatives instruments not designated as ASC 815 hedges Over-the-counter $ 358,279 $ 336,680 $ 200 $ 17 Cleared 199,439 204,020 673 694 Exchange traded 109 75 — — Interest rate contracts $ 557,827 $ 540,775 $ 873 $ 711 Over-the-counter $ 173,386 $ 169,489 $ — $ 54 Cleared 266 230 — — Exchange traded 52 22 — — Foreign exchange contracts $ 173,704 $ 169,741 $ — $ 54 Over-the-counter $ 16,150 $ 21,209 $ — $ — Cleared 987 67 — — Exchange traded 8,378 8,378 — — Equity contracts $ 25,515 $ 29,654 $ — $ — Over-the-counter $ 11,411 $ 13,356 $ — $ — Exchange traded 1,006 1,399 — — Commodity and other contracts $ 12,417 $ 14,755 $ — $ — Over-the-counter $ 29,440 $ 30,066 $ 394 $ 229 Cleared 3,492 3,169 118 302 Credit derivatives (4) $ 32,932 $ 33,235 $ 512 $ 531 Total derivatives instruments not designated as ASC 815 hedges $ 802,395 $ 788,160 $ 1,385 $ 1,296 Total derivatives $ 812,754 $ 791,452 $ 4,080 $ 2,902 Cash collateral paid/received (5)(6) $ 9,292 $ 16,592 $ 7 $ — Less: Netting agreements (7) (690,888 ) (690,888 ) — — Less: Netting cash collateral received/paid (8) (58,945 ) (53,952 ) (1,793 ) (40 ) Net receivables/payables included on the consolidated balance sheet (9) $ 72,213 $ 63,204 $ 2,294 $ 2,862 Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet Less: Cash collateral received/paid $ (1,236 ) $ (24 ) $ — $ — Less: Non-cash collateral received/paid (14,754 ) (7,696 ) (758 ) — Total net receivables/payables (9) $ 56,223 $ 55,484 $ 1,536 $ 2,862 (1) The trading derivatives fair values are presented in Note 12 to the Consolidated Financial Statements. (2) Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities . (3) 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. (4) The credit derivatives trading assets comprise $16,313 million related to protection purchased and $16,619 million related to protection sold as of June 30, 2016 . The credit derivatives trading liabilities comprise $17,435 million related to protection purchased and $15,800 million related to protection sold as of June 30, 2016 . (5) For the trading account assets/liabilities, reflects the net amount of the $63,244 million and $75,537 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $53,952 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $58,945 million was used to offset trading derivative assets. (6) For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $47 million of gross cash collateral paid, of which $40 million is netted against non-trading derivative positions within Other liabilities . For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of $1,793 million of gross cash collateral received, of which $1,793 million is netted against OTC non-trading derivative positions within Other assets . (7) Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $478 billion , $204 billion and $9 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively. (8) Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively. (9) The net receivables/payables include approximately $9 billion of derivative asset and $9 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively. In millions of dollars at December 31, 2015 Derivatives classified in Trading account assets / liabilities (1)(2)(3) Derivatives classified in Other assets / liabilities (2)(3) Derivatives instruments designated as ASC 815 hedges Assets Liabilities Assets Liabilities Over-the-counter $ 262 $ 105 $ 2,328 $ 106 Cleared 4,607 1,471 5 — Interest rate contracts $ 4,869 $ 1,576 $ 2,333 $ 106 Over-the-counter $ 2,688 $ 364 $ 95 $ 677 Cleared — — — — Foreign exchange contracts $ 2,688 $ 364 $ 95 $ 677 Total derivative instruments designated as ASC 815 hedges $ 7,557 $ 1,940 $ 2,428 $ 783 Derivatives instruments not designated as ASC 815 hedges Over-the-counter $ 289,124 $ 267,761 $ 182 $ 12 Cleared 120,848 126,532 244 216 Exchange traded 53 35 — — Interest rate contracts $ 410,025 $ 394,328 $ 426 $ 228 Over-the-counter $ 126,474 $ 133,361 $ — $ 66 Cleared 134 152 — — Exchange traded 21 36 — — Foreign exchange contracts $ 126,629 $ 133,549 $ — $ 66 Over-the-counter $ 14,560 $ 20,107 $ — $ — Cleared 28 3 — — Exchange traded 7,297 6,406 — — Equity contracts $ 21,885 $ 26,516 $ — $ — Over-the-counter $ 16,794 $ 18,641 $ — $ — Exchange traded 1,216 1,912 — — Commodity and other contracts $ 18,010 $ 20,553 $ — $ — Over-the-counter $ 31,072 $ 30,608 $ 711 $ 245 Cleared 3,803 3,560 131 318 Credit derivatives (4) $ 34,875 $ 34,168 $ 842 $ 563 Total derivatives instruments not designated as ASC 815 hedges $ 611,424 $ 609,114 $ 1,268 $ 857 Total derivatives $ 618,981 $ 611,054 $ 3,696 $ 1,640 Cash collateral paid/received (5)(6) $ 4,911 $ 13,628 $ 8 $ 37 Less: Netting agreements (7) (524,481 ) (524,481 ) — — Less: Netting cash collateral received/paid (8) (43,227 ) (42,609 ) (1,949 ) (53 ) Net receivables/payables included on the Consolidated Balance Sheet (9) $ 56,184 $ 57,592 $ 1,755 $ 1,624 Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet Less: Cash collateral received/paid $ (779 ) $ (2 ) $ — $ — Less: Non-cash collateral received/paid (9,855 ) (5,131 ) (270 ) — Total net receivables/payables (9) $ 45,550 $ 52,459 $ 1,485 $ 1,624 (1) The trading derivatives fair values are presented in Note 12 to the Consolidated Financial Statements. (2) Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities . (3) Over-the-counter (OTC) derivatives include 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. (4) The credit derivatives trading assets comprise $17,957 million related to protection purchased and $16,918 million related to protection sold as of December 31, 2015 . The credit derivatives trading liabilities comprise $16,968 million related to protection purchased and $17,200 million related to protection sold as of December 31, 2015 . (5) For the trading account assets/liabilities, reflects the net amount of the $47,520 million and $56,855 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $42,609 million was used to offset derivative liabilities and, of the gross cash collateral received, $43,227 million was used to offset derivative assets. (6) For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $61 million of the gross cash collateral received, of which $53 million is netted against non-trading derivative positions within Other liabilities . For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of $1,986 million of gross cash collateral received, of which $1,949 million is netted against non-trading derivative positions within Other assets . (7) Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $391 billion , $126 billion and $7 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively. (8) Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively. (9) The net receivables/payables include approximately $10 billion of derivative asset and $10 billion of liability fair values not subject to enforceable master netting agreements, respectively. |
Schedule of gains (losses) on derivatives not designated in a qualifying hedging relationship recognized in Other revenue and gains (losses) on fair value hedges | 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, In millions of dollars 2016 2015 2016 2015 Gain (loss) on the derivatives in designated and qualifying fair value hedges Interest rate contracts $ 1,082 $ (1,680 ) $ 3,197 $ (1,039 ) Foreign exchange contracts (397 ) 16 (1,758 ) 1,404 Commodity contracts 89 (75 ) 438 41 Total gain (loss) on the derivatives in designated and qualifying fair value hedges $ 774 $ (1,739 ) $ 1,877 $ 406 Gain (loss) on the hedged item in designated and qualifying fair value hedges Interest rate hedges $ (1,053 ) $ 1,606 $ (3,143 ) $ 998 Foreign exchange hedges 454 36 1,761 (1,385 ) Commodity hedges (89 ) 76 (433 ) (28 ) Total gain (loss) on the hedged item in designated and qualifying fair value hedges $ (688 ) $ 1,718 $ (1,815 ) $ (415 ) Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges Interest rate hedges $ 32 $ (74 ) $ 59 $ (41 ) Foreign exchange hedges 25 21 (50 ) (17 ) Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges $ 57 $ (53 ) $ 9 $ (58 ) Net gain (loss) excluded from assessment of the effectiveness of fair value hedges Interest rate contracts $ (3 ) $ — $ (5 ) $ — Foreign exchange contracts (2) 32 31 53 36 Commodity hedges (2) — 1 5 13 Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges $ 29 $ 32 $ 53 $ 49 (1) Amounts are included in Other revenue on the Consolidated Statement of Income. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table. (2) Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates). These amounts are excluded from the assessment of hedge effectiveness and are reflected directly in earnings. The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains/losses on the economically hedged items to the extent such amounts are also recorded in Other revenue . Gains (losses) included in Other revenue Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Interest rate contracts $ 11 $ (51 ) $ 26 $ (36 ) Foreign exchange 11 (31 ) 15 (46 ) Credit derivatives (348 ) 61 (562 ) 71 Total Citigroup $ (326 ) $ (21 ) $ (521 ) $ (11 ) |
Schedule of pretax change in Accumulated other comprehensive income (loss) from cash flow hedges | The pretax change in AOCI from cash flow hedges is presented below: Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Effective portion of cash flow hedges included in AOCI Interest rate contracts $ 220 $ 17 $ 635 $ 237 Foreign exchange contracts (21 ) (10 ) 3 (160 ) Total effective portion of cash flow hedges included in AOCI $ 199 $ 7 $ 638 $ 77 Effective portion of cash flow hedges reclassified from AOCI to earnings Interest rate contracts $ (41 ) $ (74 ) $ (57 ) $ (120 ) Foreign exchange contracts (17 ) (37 ) (43 ) (77 ) Total effective portion of cash flow hedges reclassified from AOCI to earnings (1) $ (58 ) $ (111 ) $ (100 ) $ (197 ) (1) Included primarily in Other revenue and Net interest revenue on the Consolidated Income Statement. |
Schedule of key characteristics of credit derivative portfolio | The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form: Fair values Notionals In millions of dollars at June 30, 2016 Receivable (1) Payable (2) Protection Protection By industry/counterparty Banks $ 17,816 $ 15,918 $ 571,921 $ 577,825 Broker-dealers 4,473 5,254 144,346 139,533 Non-financial 99 127 4,200 2,120 Insurance and other financial institutions 11,056 12,467 414,821 351,932 Total by industry/counterparty $ 33,444 $ 33,766 $ 1,135,288 $ 1,071,410 By instrument Credit default swaps and options $ 31,520 $ 31,321 $ 1,106,801 $ 1,057,519 Total return swaps and other 1,924 2,445 28,487 13,891 Total by instrument $ 33,444 $ 33,766 $ 1,135,288 $ 1,071,410 By rating Investment grade $ 13,072 $ 13,254 $ 859,824 $ 810,124 Non-investment grade 20,372 20,512 275,464 261,286 Total by rating $ 33,444 $ 33,766 $ 1,135,288 $ 1,071,410 By maturity Within 1 year $ 5,641 $ 6,412 $ 346,615 $ 328,419 From 1 to 5 years 23,864 23,655 720,154 689,587 After 5 years 3,939 3,699 68,519 53,404 Total by maturity $ 33,444 $ 33,766 $ 1,135,288 $ 1,071,410 (1) The fair value amount receivable is composed of $ 16,825 million under protection purchased and $ 16,619 million under protection sold. (2) The fair value amount payable is composed of $ 17,966 million under protection purchased and $ 15,800 million under protection sold. Fair values Notionals In millions of dollars at December 31, 2015 Receivable (1) Payable (2) Protection Protection By industry/counterparty Banks $ 18,377 $ 16,988 $ 513,335 $ 508,459 Broker-dealers 5,895 6,697 155,195 152,604 Non-financial 128 123 3,969 2,087 Insurance and other financial institutions 11,317 10,923 332,715 287,772 Total by industry/counterparty $ 35,717 $ 34,731 $ 1,005,214 $ 950,922 By instrument Credit default swaps and options $ 34,849 $ 34,158 $ 981,999 $ 940,650 Total return swaps and other 868 573 23,215 10,272 Total by instrument $ 35,717 $ 34,731 $ 1,005,214 $ 950,922 By rating Investment grade $ 12,694 $ 13,142 $ 764,040 $ 720,521 Non-investment grade 23,023 21,589 241,174 230,401 Total by rating $ 35,717 $ 34,731 $ 1,005,214 $ 950,922 By maturity Within 1 year $ 3,871 $ 3,559 $ 265,632 $ 254,225 From 1 to 5 years 27,991 27,488 669,834 639,460 After 5 years 3,855 3,684 69,748 57,237 Total by maturity $ 35,717 $ 34,731 $ 1,005,214 $ 950,922 (1) The fair value amount receivable is composed of $ 18,799 million under protection purchased and $ 16,918 million under protection sold. (2) The fair value amount payable is composed of $ 17,531 million under protection purchased and $ 17,200 million under protection sold. |
FAIR VALUE MEASUREMENT (Tables)
FAIR VALUE MEASUREMENT (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Schedule of CVA and FVA applied to fair value of derivative instruments | The table below summarizes the CVA and FVA applied to the fair value of derivative instruments at June 30, 2016 and December 31, 2015: Credit and funding valuation adjustments contra-liability (contra-asset) In millions of dollars June 30, December 31, Counterparty CVA $ (2,015 ) $ (1,470 ) Asset FVA (679 ) (584 ) Citigroup (own-credit) CVA 603 471 Liability FVA 154 106 Total CVA—derivative instruments (1) $ (1,937 ) $ (1,477 ) (1) FVA is included with CVA for presentation purposes. |
Schedule of pretax gains (losses) related to changes in CVA, FVA, and DVA | 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 In millions of dollars 2016 2015 2016 2015 Counterparty CVA $ 14 $ (20 ) $ (93 ) $ (159 ) Asset FVA (15 ) 94 (95 ) 52 Own-credit CVA (13 ) 20 121 (16 ) Liability FVA 18 (12 ) 48 45 Total CVA—derivative instruments (1) $ 4 $ 82 $ (19 ) $ (78 ) DVA related to own FVO liabilities (2) $ 20 $ 230 $ 327 $ 318 (1) FVA is included with CVA for presentation purposes. (2) Effective January 1, 2016, Citigroup early adopted on a prospective basis only the provisions of ASU No. 2016-01, Financial Instruments - Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, related to the presentation of DVA on fair value option liabilities. Accordingly, beginning in the first quarter 2016, the portion of the change in fair value of these liabilities related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI; previously these amounts were recognized in Citigroup’s revenues and net income. DVA amounts in AOCI will be recognized in revenue and net income if realized upon the settlement of the related liability. |
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, 2016 and December 31, 2015 . The Company’s hedging of positions that have been classified in the Level 3 category is not limited to other financial instruments (hedging instruments) that have been classified as Level 3, but also instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables: Fair Value Levels In millions of dollars at June 30, 2016 Level 1 (1) Level 2 (1) Level 3 Gross Netting (2) Net Assets Federal funds sold and securities borrowed or purchased under agreements to resell $ — $ 171,688 $ 1,819 $ 173,507 $ (28,691 ) $ 144,816 Trading non-derivative assets Trading mortgage-backed securities U.S. government-sponsored agency guaranteed — 26,832 730 27,562 — 27,562 Residential — 194 801 995 — 995 Commercial — 1,146 390 1,536 — 1,536 Total trading mortgage-backed securities $ — $ 28,172 $ 1,921 $ 30,093 $ — $ 30,093 U.S. Treasury and federal agency securities $ 21,287 $ 4,353 $ 3 $ 25,643 $ — $ 25,643 State and municipal — 3,062 117 3,179 — 3,179 Foreign government 43,274 19,763 81 63,118 — 63,118 Corporate 553 14,198 405 15,156 — 15,156 Equity securities 41,219 1,818 3,970 47,007 — 47,007 Asset-backed securities — 870 2,670 3,540 — 3,540 Other trading assets 3 8,973 2,839 11,815 — 11,815 Total trading non-derivative assets $ 106,336 $ 81,209 $ 12,006 $ 199,551 $ — $ 199,551 Trading derivatives Interest rate contracts $ 48 $ 562,908 $ 3,381 $ 566,337 Foreign exchange contracts 58 174,695 800 175,553 Equity contracts 2,672 21,520 1,323 25,515 Commodity contracts 175 11,290 952 12,417 Credit derivatives — 29,847 3,085 32,932 Total trading derivatives $ 2,953 $ 800,260 $ 9,541 $ 812,754 Cash collateral paid (3) $ 9,292 Netting agreements $ (690,888 ) Netting of cash collateral received (58,945 ) Total trading derivatives $ 2,953 $ 800,260 $ 9,541 $ 822,046 $ (749,833 ) $ 72,213 Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed $ — $ 45,403 $ 94 $ 45,497 $ — $ 45,497 Residential — 5,040 25 5,065 — 5,065 Commercial — 361 5 366 — 366 Total investment mortgage-backed securities $ — $ 50,804 $ 124 $ 50,928 $ — $ 50,928 U.S. Treasury and federal agency securities $ 113,604 $ 11,961 $ 3 $ 125,568 $ — $ 125,568 State and municipal — 9,237 2,016 11,253 — 11,253 Foreign government 44,585 49,113 141 93,839 — 93,839 Corporate 4,607 15,520 460 20,587 — 20,587 Equity securities 1,251 45 128 1,424 — 1,424 Asset-backed securities — 7,446 597 8,043 — 8,043 Other debt securities — 1,118 5 1,123 — 1,123 Non-marketable equity securities (4) — 47 1,139 1,186 — 1,186 Total investments $ 164,047 $ 145,291 $ 4,613 $ 313,951 $ — $ 313,951 In millions of dollars at June 30, 2016 Level 1 (1) Level 2 (1) Level 3 Gross Netting (2) Net Loans (5) $ — $ 2,900 $ 1,234 $ 4,134 $ — $ 4,134 Mortgage servicing rights — — 1,324 1,324 — 1,324 Non-trading derivatives and other financial assets measured on a recurring basis, gross $ — $ 9,107 $ 111 $ 9,218 Cash collateral paid (6) 7 Netting of cash collateral received $ (1,793 ) Non-trading derivatives and other financial assets measured on a recurring basis $ — $ 9,107 $ 111 $ 9,225 $ (1,793 ) $ 7,432 Total assets $ 273,336 $ 1,210,455 $ 30,648 $ 1,523,738 $ (780,317 ) $ 743,421 Total as a percentage of gross assets (7) 18.0 % 79.9 % 2.0 % Liabilities Interest-bearing deposits $ — $ 1,038 $ 433 $ 1,471 $ — $ 1,471 Federal funds purchased and securities loaned or sold under agreements to repurchase — 73,728 1,107 74,835 (28,691 ) 46,144 Trading account liabilities Securities sold, not yet purchased 62,396 9,595 12 72,003 — 72,003 Other trading liabilities — 1,100 — 1,100 — 1,100 Total trading liabilities $ 62,396 $ 10,695 $ 12 $ 73,103 $ — $ 73,103 Trading derivatives Interest rate contracts $ 20 $ 539,113 $ 3,755 $ 542,888 Foreign exchange contracts 10 170,081 829 170,920 Equity contracts 2,503 24,757 2,394 29,654 Commodity contracts 209 11,577 2,969 14,755 Credit derivatives — 29,396 3,839 33,235 Total trading derivatives $ 2,742 $ 774,924 $ 13,786 $ 791,452 Cash collateral received (8) $ 16,592 Netting agreements $ (690,888 ) Netting of cash collateral paid (53,952 ) Total trading derivatives $ 2,742 $ 774,924 $ 13,786 $ 808,044 $ (744,840 ) $ 63,204 Short-term borrowings $ — $ 1,797 $ 53 $ 1,850 $ — $ 1,850 Long-term debt — 16,793 9,138 25,931 — 25,931 Non-trading derivatives and other financial liabilities measured on a recurring basis, gross $ — $ 2,897 $ 5 $ 2,902 Cash collateral received (9) — Netting of cash collateral paid $ (40 ) Total non-trading derivatives and other financial liabilities measured on a recurring basis $ — $ 2,897 $ 5 $ 2,902 $ (40 ) $ 2,862 Total liabilities $ 65,138 $ 881,872 $ 24,534 $ 988,136 $ (773,571 ) $ 214,565 Total as a percentage of gross liabilities (7) 6.7 % 90.8 % 2.5 % (1) For the three and six months ended June 30, 2016 , the Company transferred assets of approximately $0.7 billion and $0.9 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities and equity securities not traded in active markets. During the three and six months ended June 30, 2016, the Company transferred assets of approximately $1.0 billion and $2.3 billion from Level 2 to Level 1, respectively, primarily related to foreign government bonds traded with sufficient frequency to constitute an active market. During the three and six months ended June 30, 2016 , there were no material transfers of liabilities from Level 1 to Level 2 or from Level 2 to Level 1. (2) 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. (3) Reflects the net amount of $63,244 million of gross cash collateral paid, of which $53,952 million was used to offset trading derivative liabilities. (4) Amounts exclude $0.8 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). (5) There is no allowance for loan losses recorded for loans reported at fair value. (6) Reflects the net amount of $47 million of gross cash collateral paid, of which $ 40 million was used to offset non-trading derivative liabilities. (7) 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. (8) Reflects the net amount of $75,537 million of gross cash collateral received, of which $58,945 million was used to offset trading derivative assets. (9) Reflects the net amount of $1,793 million of gross cash collateral received, of which $1,793 million was used to offset non-trading derivative assets. Fair Value Levels In millions of dollars at December 31, 2015 Level 1 (1) Level 2 (1) Level 3 Gross Netting (2) Net Assets Federal funds sold and securities borrowed or purchased under agreements to resell $ — $ 177,538 $ 1,337 $ 178,875 $ (40,911 ) $ 137,964 Trading non-derivative assets Trading mortgage-backed securities U.S. government-sponsored agency guaranteed — 24,023 744 24,767 — 24,767 Residential — 1,059 1,326 2,385 — 2,385 Commercial — 2,338 517 2,855 — 2,855 Total trading mortgage-backed securities $ — $ 27,420 $ 2,587 $ 30,007 $ — $ 30,007 U.S. Treasury and federal agency securities $ 14,208 $ 3,587 $ 1 $ 17,796 $ — $ 17,796 State and municipal — 2,345 351 2,696 — 2,696 Foreign government 35,715 20,555 197 56,467 — 56,467 Corporate 302 13,901 376 14,579 — 14,579 Equity securities 50,429 2,382 3,684 56,495 — 56,495 Asset-backed securities — 1,217 2,739 3,956 — 3,956 Other trading assets — 9,293 2,483 11,776 — 11,776 Total trading non-derivative assets $ 100,654 $ 80,700 $ 12,418 $ 193,772 $ — $ 193,772 Trading derivatives Interest rate contracts $ 9 $ 412,802 $ 2,083 $ 414,894 Foreign exchange contracts 5 128,189 1,123 129,317 Equity contracts 2,422 17,866 1,597 21,885 Commodity contracts 204 16,706 1,100 18,010 Credit derivatives — 31,082 3,793 34,875 Total trading derivatives $ 2,640 $ 606,645 $ 9,696 $ 618,981 Cash collateral paid (3) $ 4,911 Netting agreements $ (524,481 ) Netting of cash collateral received (43,227 ) Total trading derivatives $ 2,640 $ 606,645 $ 9,696 $ 623,892 $ (567,708 ) $ 56,184 Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed $ — $ 39,575 $ 139 $ 39,714 $ — $ 39,714 Residential — 5,982 4 5,986 — 5,986 Commercial — 569 2 571 — 571 Total investment mortgage-backed securities $ — $ 46,126 $ 145 $ 46,271 $ — $ 46,271 U.S. Treasury and federal agency securities $ 111,536 $ 11,375 $ 4 $ 122,915 $ — $ 122,915 State and municipal — 9,267 2,192 11,459 — 11,459 Foreign government 42,073 46,341 260 88,674 — 88,674 Corporate 3,605 15,122 603 19,330 — 19,330 Equity securities 430 71 124 625 — 625 Asset-backed securities — 8,578 596 9,174 — 9,174 Other debt securities — 688 — 688 — 688 Non-marketable equity securities (4) — 58 1,135 1,193 — 1,193 Total investments $ 157,644 $ 137,626 $ 5,059 $ 300,329 $ — $ 300,329 In millions of dollars at December 31, 2015 Level 1 (1) Level 2 (1) Level 3 Gross Netting (2) Net Loans (5) $ — $ 2,839 $ 2,166 $ 5,005 $ — $ 5,005 Mortgage servicing rights — — 1,781 1,781 — 1,781 Non-trading derivatives and other financial assets measured on a recurring basis, gross $ — $ 7,882 $ 180 $ 8,062 Cash collateral paid (6) 8 Netting of cash collateral received $ (1,949 ) Non-trading derivatives and other financial assets measured on a recurring basis $ — $ 7,882 $ 180 $ 8,070 $ (1,949 ) $ 6,121 Total assets $ 260,938 $ 1,013,230 $ 32,637 $ 1,311,724 $ (610,568 ) $ 701,156 Total as a percentage of gross assets (7) 20.0 % 77.5 % 2.5 % Liabilities Interest-bearing deposits $ — $ 1,156 $ 434 $ 1,590 $ — $ 1,590 Federal funds purchased and securities loaned or sold under agreements to repurchase — 76,507 1,247 77,754 (40,911 ) 36,843 Trading account liabilities Securities sold, not yet purchased 48,452 9,176 199 57,827 — 57,827 Other trading liabilities — 2,093 — 2,093 — 2,093 Total trading liabilities $ 48,452 $ 11,269 $ 199 $ 59,920 $ — $ 59,920 Trading account derivatives Interest rate contracts $ 5 $ 393,321 $ 2,578 $ 395,904 Foreign exchange contracts 6 133,404 503 133,913 Equity contracts 2,244 21,875 2,397 26,516 Commodity contracts 263 17,329 2,961 20,553 Credit derivatives — 30,682 3,486 34,168 Total trading derivatives $ 2,518 $ 596,611 $ 11,925 $ 611,054 Cash collateral received (8) $ 13,628 Netting agreements $ (524,481 ) Netting of cash collateral paid (42,609 ) Total trading derivatives $ 2,518 $ 596,611 $ 11,925 $ 624,682 $ (567,090 ) $ 57,592 Short-term borrowings $ — $ 1,198 $ 9 $ 1,207 $ — $ 1,207 Long-term debt — 17,750 7,543 25,293 — 25,293 Non-trading derivatives and other financial liabilities measured on a recurring basis, gross $ — $ 1,626 $ 14 $ 1,640 Cash collateral received (9) 37 Netting of cash collateral paid $ (53 ) Non-trading derivatives and other financial liabilities measured on a recurring basis $ — $ 1,626 $ 14 $ 1,677 $ (53 ) $ 1,624 Total liabilities $ 50,970 $ 706,117 $ 21,371 $ 792,123 $ (608,054 ) $ 184,069 Total as a percentage of gross liabilities (7) 6.5 % 90.7 % 2.7 % (1) In 2015, the Company transferred assets of approximately $3.3 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities and equity securities not traded in active markets. In 2015, the Company transferred assets of approximately $4.4 billion from Level 2 to Level 1, respectively, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. In 2015, the Company transferred liabilities of approximately $0.6 billion from Level 2 to Level 1. In 2015, the Company transferred liabilities of approximately $0.4 billion from Level 1 to Level 2. (2) 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. (3) Reflects the net amount of $47,520 million of gross cash collateral paid, of which $42,609 million was used to offset trading derivative liabilities. (4) Amounts exclude $0.9 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). (5) There is no allowance for loan losses recorded for loans reported at fair value. (6) Reflects the net amount of $61 million of gross cash collateral paid, of which $53 million was used to offset non-trading derivative liabilities. (7) 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. (8) Reflects the net amount of $56,855 million of gross cash collateral received, of which $43,227 million was used to offset trading derivative assets. (9) Reflects the net amount of $1,986 million of gross cash collateral received, of which $1,949 million was used to offset non-trading derivative assets. |
Changes in level 3 fair value category | The effects of these hedges are presented gross in the following tables: Level 3 Fair Value Rollforward Net realized/unrealized Transfers Unrealized (3) In millions of dollars Mar. 31, 2016 Principal Other (1)(2) into out of Purchases Issuances Sales Settlements Jun. 30, 2016 Assets Federal funds sold and securities borrowed or purchased under agreements to resell $ 1,909 $ (62 ) $ — $ — $ (28 ) $ — $ — $ — $ — $ 1,819 $ (54 ) Trading non-derivative assets Trading mortgage-backed securities U.S. government-sponsored agency guaranteed 1,039 — — 83 (362 ) 405 — (443 ) 8 730 — Residential 1,192 (61 ) — 25 (44 ) 46 — (351 ) (6 ) 801 (72 ) Commercial 581 4 — 123 (75 ) 107 — (350 ) — 390 (5 ) Total trading mortgage-backed securities $ 2,812 $ (57 ) $ — $ 231 $ (481 ) $ 558 $ — $ (1,144 ) $ 2 $ 1,921 $ (77 ) U.S. Treasury and federal agency securities $ 3 $ — $ — $ — $ — $ — $ — $ — $ — $ 3 $ — State and municipal 209 1 — 5 (57 ) 65 — (106 ) — 117 (2 ) Foreign government 219 (7 ) — — (13 ) 34 — (152 ) — 81 (2 ) Corporate 477 272 — 35 (60 ) 165 — (479 ) (5 ) 405 77 Equity securities 3,755 (491 ) — 174 (26 ) 670 — (112 ) — 3,970 (438 ) Asset-backed securities 2,814 6 — 40 (181 ) 694 — (703 ) — 2,670 5 Other trading assets 2,574 (89 ) — 680 (869 ) 1,074 (13 ) (509 ) (9 ) 2,839 (125 ) Total trading non-derivative assets $ 12,863 $ (365 ) $ — $ 1,165 $ (1,687 ) $ 3,260 $ (13 ) $ (3,205 ) $ (12 ) $ 12,006 $ (562 ) Trading derivatives, net (4) Interest rate contracts $ (755 ) $ 182 $ — $ 144 $ (51 ) $ 137 $ (18 ) $ (100 ) $ 87 $ (374 ) $ 136 Foreign exchange contracts 295 (324 ) — 1 (90 ) 89 — (52 ) 52 (29 ) (428 ) Equity contracts (876 ) 76 — (11 ) (284 ) 22 38 (12 ) (24 ) (1,071 ) 108 Commodity contracts (1,949 ) (139 ) — 3 (36 ) 356 — (352 ) 100 (2,017 ) (122 ) Credit derivatives (321 ) (637 ) — (33 ) (52 ) 41 — — 248 (754 ) (603 ) Total trading derivatives, net (4) $ (3,606 ) $ (842 ) $ — $ 104 $ (513 ) $ 645 $ 20 $ (516 ) $ 463 $ (4,245 ) $ (909 ) Net realized/unrealized Transfers Unrealized (3) In millions of dollars Mar. 31, 2016 Principal Other (1)(2) into out of Purchases Issuances Sales Settlements Jun. 30, 2016 Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed $ 111 $ — $ 6 $ 5 $ (23 ) $ 1 $ — $ (6 ) $ — $ 94 $ 1 Residential — — — — — 25 — — — 25 — Commercial 3 — — 3 (1 ) — — — — 5 — Total investment mortgage-backed securities $ 114 $ — $ 6 $ 8 $ (24 ) $ 26 $ — $ (6 ) $ — $ 124 $ 1 U.S. Treasury and federal agency securities $ 3 $ — $ — $ — $ — $ — $ — $ — $ — $ 3 $ — State and municipal 2,098 — 127 130 (374 ) 89 — (54 ) — 2,016 99 Foreign government 175 — 17 — — 41 — (89 ) (3 ) 141 — Corporate 498 — 31 — (8 ) 93 — (154 ) — 460 (5 ) Equity securities 126 — — 2 — — — — — 128 — Asset-backed securities 701 — 61 — (22 ) 72 — (215 ) — 597 51 Other debt securities — — — — — 5 — — — 5 — Non-marketable equity securities 1,165 — 26 13 — 6 — — (71 ) 1,139 26 Total investments $ 4,880 $ — $ 268 $ 153 $ (428 ) $ 332 $ — $ (518 ) $ (74 ) $ 4,613 $ 172 Loans $ 1,723 $ — $ 19 $ — $ — $ 211 $ 58 $ (297 ) $ (480 ) $ 1,234 $ (34 ) Mortgage servicing rights 1,524 — (137 ) — — — 35 — (98 ) 1,324 (154 ) Other financial assets measured on a recurring basis 57 — 16 37 (2 ) — 67 (4 ) (60 ) 111 (61 ) Liabilities Interest-bearing deposits $ 191 $ — $ 39 $ 318 $ — $ — $ 1 $ — $ (38 ) $ 433 $ 39 Federal funds purchased and securities loaned or sold under agreements to repurchase 1,238 4 — — — — — — (127 ) 1,107 4 Trading account liabilities Securities sold, not yet purchased 118 (11 ) — 38 (18 ) (61 ) (41 ) 34 (69 ) 12 (30 ) Short-term borrowings 46 (24 ) — 12 — — 7 — (36 ) 53 (15 ) Long-term debt 8,736 (48 ) — 712 (756 ) — 990 61 (653 ) 9,138 (48 ) Other financial liabilities measured on a recurring basis 14 — 1 — (6 ) (2 ) 1 — (1 ) 5 (1 ) Net realized/unrealized Transfers Unrealized (3) In millions of dollars Dec. 31, 2015 Principal Other (1)(2) into out of Purchases Issuances Sales Settlements Jun. 30, 2016 Assets Federal funds sold and securities borrowed or purchased under agreements to resell $ 1,337 $ 8 $ — $ — $ (28 ) $ 503 $ — $ — $ (1 ) $ 1,819 $ (55 ) Trading non-derivative assets Trading mortgage-backed securities U.S. government-sponsored agency guaranteed 744 12 — 418 (582 ) 761 — (634 ) 11 730 (3 ) Residential 1,326 (12 ) — 129 (87 ) 257 — (806 ) (6 ) 801 (40 ) Commercial 517 13 — 179 (102 ) 352 — (569 ) — 390 (13 ) Total trading mortgage-backed securities $ 2,587 $ 13 $ — $ 726 $ (771 ) $ 1,370 $ — $ (2,009 ) $ 5 $ 1,921 $ (56 ) U.S. Treasury and federal agency securities $ 1 $ — $ — $ 2 $ — $ — $ — $ — $ — $ 3 $ (1 ) State and municipal 351 8 — 18 (216 ) 168 — (212 ) — 117 (1 ) Foreign government 197 (8 ) — 2 (17 ) 75 — (168 ) — 81 1 Corporate 376 284 — 80 (76 ) 334 — (588 ) (5 ) 405 89 Equity securities 3,684 (535 ) — 267 (60 ) 749 — (135 ) — 3,970 (474 ) Asset-backed securities 2,739 134 — 157 (195 ) 1,186 — (1,351 ) — 2,670 29 Other trading assets 2,483 (116 ) — 1,458 (1,482 ) 1,357 (2 ) (840 ) (19 ) 2,839 (223 ) Total trading non-derivative assets $ 12,418 $ (220 ) $ — $ 2,710 $ (2,817 ) $ 5,239 $ (2 ) $ (5,303 ) $ (19 ) $ 12,006 $ (636 ) Trading derivatives, net (4) Interest rate contracts (495 ) (326 ) — 309 39 142 (18 ) (103 ) 78 (374 ) (154 ) Foreign exchange contracts 620 (677 ) — 4 (60 ) 106 — (91 ) 69 (29 ) (572 ) Equity contracts (800 ) 108 — 64 (428 ) 46 38 (71 ) (28 ) (1,071 ) 107 Commodity contracts (1,861 ) (281 ) — (49 ) (26 ) 356 — (352 ) 196 (2,017 ) (288 ) Credit derivatives 307 (1,152 ) — (114 ) (23 ) 42 — — 186 (754 ) (1,086 ) Total trading derivatives, net (4) $ (2,229 ) $ (2,328 ) $ — $ 214 $ (498 ) $ 692 $ 20 $ (617 ) $ 501 $ (4,245 ) $ (1,993 ) Net realized/unrealized Transfers Unrealized (3) In millions of dollars Dec. 31, 2015 Principal Other (1)(2) into out of Purchases Issuances Sales Settlements Jun. 30, 2016 Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed $ 139 $ — $ (25 ) $ 12 $ (62 ) $ 40 $ — $ (9 ) $ (1 ) $ 94 $ 41 Residential 4 — 1 — — 25 — (5 ) — 25 — Commercial 2 — — 6 (3 ) — — — — 5 — Total investment mortgage-backed securities $ 145 $ — $ (24 ) $ 18 $ (65 ) $ 65 $ — $ (14 ) $ (1 ) $ 124 $ 41 U.S. Treasury and federal agency securities $ 4 $ — $ — $ — $ — $ — $ — $ (1 ) $ — $ 3 $ — State and municipal 2,192 — 162 391 (783 ) 240 — (186 ) — 2,016 118 Foreign government 260 — 19 33 — 103 — (271 ) (3 ) 141 (106 ) Corporate 603 — 45 5 (45 ) 94 — (242 ) — 460 (1 ) Equity securities 124 — — 4 — — — — — 128 — Asset-backed securities 596 — 35 — (23 ) 204 — (215 ) — 597 24 Other debt securities — — — — — 5 — — — 5 — Non-marketable equity securities 1,135 — 24 51 — 18 — — (89 ) 1,139 20 Total investments $ 5,059 $ — $ 261 $ 502 $ (916 ) $ 729 $ — $ (929 ) $ (93 ) $ 4,613 $ 96 Loans $ 2,166 $ — $ (58 ) $ 89 $ (538 ) $ 570 $ 219 $ (675 ) $ (539 ) $ 1,234 $ (63 ) Mortgage servicing rights $ 1,781 $ — $ (362 ) $ — $ — $ — $ 68 $ 14 $ (177 ) $ 1,324 $ (154 ) Other financial assets measured on a recurring basis $ 180 $ — $ 33 $ 40 $ (5 ) $ — $ 130 $ (124 ) $ (143 ) $ 111 $ (277 ) Liabilities Interest-bearing deposits $ 434 $ — $ 35 $ 322 $ (209 ) $ — $ 5 $ — $ (84 ) $ 433 $ 39 Federal funds purchased and securities loaned or sold under agreements to repurchase 1,247 (21 ) — — — — — 16 (177 ) 1,107 (25 ) Trading account liabilities Securities sold, not yet purchased 199 14 — 97 (43 ) (61 ) (41 ) 70 (195 ) 12 (29 ) Short-term borrowings 9 (27 ) — 17 (4 ) — 41 — (37 ) 53 (19 ) Long-term debt 7,543 (26 ) — 1,221 (1,843 ) — 2,872 61 (742 ) 9,138 (86 ) Other financial liabilities measured on a recurring basis 14 — (7 ) — (10 ) (6 ) 2 — (2 ) 5 (3 ) (1) Changes in fair value for available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income. Effective January 1, 2016, changes in fair value of fair value option liabilities related to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of Accumulated other comprehensive income (AOCI). (2) Unrealized gains (losses) on MSRs are recorded in Other revenue on 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 investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2016 . (4) Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only. Net realized/unrealized Transfers Unrealized (3) In millions of dollars Mar. 31, 2015 Principal Other (1)(2) into out of Purchases Issuances Sales Settlements Jun. 30, 2015 Assets Federal funds sold and securities borrowed or purchased under agreements to resell $ 4,022 $ (95 ) $ — $ — $ (2,756 ) $ 20 $ — $ — $ (121 ) $ 1,070 $ — Trading non-derivative assets Trading mortgage-backed securities U.S. government-sponsored agency guaranteed $ 818 $ 26 $ — $ 188 $ (340 ) $ 172 $ — $ (267 ) $ 14 $ 611 $ 7 Residential 2,130 129 — 133 (66 ) 631 — (751 ) — 2,206 14 Commercial 599 (2 ) — 68 (65 ) 92 — (324 ) — 368 (1 ) Total trading mortgage-backed securities $ 3,547 $ 153 $ — $ 389 $ (471 ) $ 895 $ — $ (1,342 ) $ 14 $ 3,185 $ 20 U.S. Treasury and federal agency securities $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — State and municipal 247 (2 ) — 13 — — — (9 ) — 249 1 Foreign government 115 — — — (8 ) 39 — (59 ) (5 ) 82 (2 ) Corporate 767 128 — 41 (26 ) 164 — (355 ) (11 ) 708 (45 ) Equity securities 2,598 (25 ) — 38 (173 ) 360 — (57 ) — 2,741 66 Asset-backed securities 3,553 106 — 505 (81 ) 1,696 — (1,543 ) — 4,236 181 Other trading assets 4,393 201 — 107 (1,536 ) 630 19 (704 ) (12 ) 3,098 29 Total trading non-derivative assets $ 15,220 $ 561 $ — $ 1,093 $ (2,295 ) $ 3,784 $ 19 $ (4,069 ) $ (14 ) $ 14,299 $ 250 Trading derivatives, net (4) Interest rate contracts (334 ) (358 ) — (2 ) (46 ) 12 — 169 136 (423 ) (152 ) Foreign exchange contracts 646 (123 ) — (42 ) (85 ) 83 — (83 ) (5 ) 391 (153 ) Equity contracts (774 ) 351 — — 15 61 — (75 ) 67 (355 ) (70 ) Commodity contracts (1,729 ) (56 ) — 1 (6 ) — — — 63 (1,727 ) 89 Credit derivatives (663 ) (24 ) — (51 ) (45 ) — — (3 ) 212 (574 ) (228 ) Total trading derivatives, net (4) $ (2,854 ) $ (210 ) $ — $ (94 ) $ (167 ) $ 156 $ — $ 8 $ 473 $ (2,688 ) $ (514 ) Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed $ 70 $ — $ 1 $ 59 $ (33 ) $ — $ — $ (1 ) $ — $ 96 $ 1 Residential 10 — (3 ) — — 11 — (8 ) — 10 — Commercial 2 — — — (2 ) — — — — — — Total investment mortgage-backed securities $ 82 $ — $ (2 ) $ 59 $ (35 ) $ 11 $ — $ (9 ) $ — $ 106 $ 1 U.S. Treasury and federal agency securities $ 5 $ — $ — $ — $ — $ — $ — $ — $ — $ 5 $ — State and municipal 2,247 — (39 ) 54 (99 ) 166 — (176 ) — 2,153 (43 ) Foreign government 575 — (3 ) (8 ) — 310 — (223 ) (158 ) 493 4 Corporate 584 — 72 — (3 ) 55 — (9 ) (1 ) 698 — Equity securities 519 — 2 — (7 ) — — (31 ) — 483 (1 ) Asset-backed securities 517 — 20 — (48 ) 14 — — — 503 22 Other debt securities — — — — — — — — — — — Non-marketable equity securities 1,289 — (53 ) 75 (6 ) 4 — (53 ) (18 ) 1,238 11 Total investments $ 5,818 $ — $ (3 ) $ 180 $ (198 ) $ 560 $ — $ (501 ) $ (177 ) $ 5,679 $ (6 ) Net realized/unrealized Transfers Unrealized (3) In millions of dollars Mar. 31, 2015 Principal Other (1)(2) into out of Purchases Issuances Sales Settlements Jun. 30, 2015 Loans $ 3,906 $ — $ (20 ) $ — $ (85 ) $ 365 $ 42 $ (278 ) $ (90 ) $ 3,840 $ 26 Mortgage servicing rights 1,685 — 270 — — — 68 (9 ) (90 ) 1,924 (77 ) Other financial assets measured on a recurring basis 148 — 10 14 (5 ) — 38 (9 ) (57 ) 139 348 Liabilities Interest-bearing deposits $ 465 $ — $ 101 $ — $ — $ — $ — $ — $ (17 ) $ 347 $ (164 ) Federal funds purchased and securities loaned or sold under agreements to repurchase 1,060 29 — — — — — (8 ) (58 ) 965 25 Trading account liabilities Securities sold, not yet purchased 223 (12 ) — 105 (144 ) — — 87 (26 ) 257 (38 ) Short-term borrowings 120 17 — 16 (3 ) — 33 — (16 ) 133 (1 ) Long-term debt 7,196 82 — 374 (1,091 ) — 1,452 — (184 ) 7,665 213 Other financial liabilities measured on a recurring basis 8 — (4 ) — (4 ) (1 ) 2 — (5 ) 4 (4 ) Net realized/unrealized Transfers Unrealized (3) In millions of dollars Dec. 31, 2014 Principal Other (1)(2) into out of Purchases Issuances Sales Settlements Jun. 30, 2015 Assets Federal funds sold and securities borrowed or purchased under agreements to resell $ 3,398 $ (135 ) $ — $ — $ (2,856 ) $ 784 $ — $ — $ (121 ) $ 1,070 $ — Trading non-derivative assets Trading mortgage-backed securities U.S. government-sponsored agency guaranteed 1,085 29 — 482 (850 ) 339 — (488 ) 14 611 5 Residential 2,680 206 — 178 (282 ) 1,129 — (1,705 ) — 2,206 (91 ) Commercial 440 13 — 156 (78 ) 412 — (575 ) — 368 (8 ) Total trading mortgage-backed securities $ 4,205 $ 248 $ — $ 816 $ (1,210 ) $ 1,880 $ — $ (2,768 ) $ 14 $ 3,185 $ (94 ) U.S. Treasury and federal agency securities $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — State and municipal 241 (10 ) — 27 (7 ) 9 — (11 ) — 249 2 Foreign government 206 (3 ) — 27 (100 ) 105 — (99 ) (54 ) 82 4 Corporate 820 204 — 54 (85 ) 511 — (785 ) (11 ) 708 48 Equity securities 2,219 (46 ) — 162 (188 ) 742 — (148 ) — 2,741 55 Asset-backed securities 3,294 233 — 570 (115 ) 2,759 — (2,505 ) — 4,236 179 Other trading assets 4,372 60 — 317 (1,928 ) 1,632 32 (1,367 ) (20 ) 3,098 15 Total trading non-derivative assets $ 15,357 $ 686 $ — $ 1,973 $ (3,633 ) $ 7,638 $ 32 $ (7,683 ) $ (71 ) $ 14,299 $ 209 Trading derivatives, net (4) Interest rate contracts $ (211 ) $ (428 ) $ — $ (136 ) $ (39 ) $ 18 $ — $ 166 $ 207 $ (423 ) $ (58 ) Foreign exchange contracts 778 (424 ) — (1 ) (81 ) 174 — (178 ) 123 391 (63 ) Equity contracts (863 ) 322 — (23 ) 116 150 — (140 ) 83 (355 ) (166 ) Commodity contracts (1,622 ) (390 ) — 183 10 — — — 92 (1,727 ) (158 ) Credit derivatives (743 ) (122 ) — 31 8 — — (3 ) 255 (574 ) (191 ) Total trading derivatives, net (4) $ (2,661 ) $ (1,042 ) $ — $ 54 $ 14 $ 342 $ — $ (155 ) $ 760 $ (2,688 ) $ (636 ) Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed $ 38 $ — $ — $ 104 $ (45 ) $ — $ — $ (1 ) $ — $ 96 $ (1 ) Residential 8 — (1 ) — — 11 — (8 ) — 10 1 Commercial 1 — — 2 (3 ) — — — — — — Total investment mortgage-backed securities $ 47 $ — $ (1 ) $ 106 $ (48 ) $ 11 $ — $ (9 ) $ — $ 106 $ — U.S. Treasury and federal agency securities $ 6 $ — $ — $ — $ — $ — $ — $ (1 ) $ — $ 5 $ — State and municipal 2,180 — (7 ) 159 (238 ) 399 — (340 ) — 2,153 (31 ) Foreign government 678 — 48 (8 ) (105 ) 484 — (334 ) (270 ) 493 5 Corporate 672 — 46 2 (44 ) 69 — (13 ) (34 ) 698 — Equity securities 681 — (86 ) 7 (10 ) — — (109 ) — 483 — Asset-backed securities 549 — (20 ) — (58 ) 33 — (1 ) — 503 22 Other debt securities — — — — — — — — — — — Non-marketable equity securities 1,460 — (10 ) 75 6 4 — (53 ) (244 ) 1,238 74 Total investments $ 6,273 $ — $ (30 ) $ 341 $ (497 ) $ 1,000 $ — $ (860 ) $ (548 ) $ 5,679 $ 70 Net realized/unrealized Transfers Unrealized (3) In millions of dollars Dec. 31, 2014 Principal Other (1)(2) into out of Purchases Issuances Sales Settlements Jun. 30, 2015 Loans $ 3,108 $ — $ (74 ) $ 689 $ (85 ) $ 574 $ 363 $ (375 ) $ (360 ) $ 3,840 $ 29 Mortgage servicing rights 1,845 — 193 — — — 111 (41 ) (184 ) 1,924 (390 ) Other financial assets measured on a recurring basis 78 — 16 80 (7 ) 3 98 (14 ) (115 ) 139 596 Liabilities Interest-bearing deposits $ 486 $ — $ 101 $ — $ — $ — $ — $ — $ (38 ) $ 347 $ (265 ) Federal funds purchased and securities loaned or sold under agreements to repurchase 1,043 (23 ) — — — — — (7 ) (94 ) 965 15 Trading account liabilities Securities sold, not yet purchased 424 (22 ) — 197 (187 ) — — 157 (356 ) 257 (50 ) Short-term borrowings 344 10 — 17 (15 ) — 49 — (252 ) 133 (3 ) Long-term debt 7,290 368 — 1,086 (2,038 ) — 2,401 — (706 ) 7,665 (17 ) Other financial liabilities measured on a recurring basis 7 — (7 ) — (4 ) (2 ) 2 — (6 ) 4 (3 ) (1) Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income. (2) Unrealized gains (losses) on MSRs are recorded in Other revenue on 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 investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2015 . (4) Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only. |
Significant valuation techniques and most significant unobservable inputs used in 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. Valuation Techniques and Inputs for Level 3 Fair Value Measurements As of June 30, 2016 Fair value (1) (in millions) Methodology Input Low (2)(3) High (2)(3) Weighted average (4) Assets Federal funds sold and securities borrowed or purchased under agreements to resell $ 804 Model-based Interest rate (0.44 )% 2.74 % 1.61 % Mortgage-backed securities $ 1,021 Price-based Price $ 6.00 $ 119.62 $ 76.52 972 Yield analysis Yield 0.90 % 14.62 % 4.06 % State and municipal, foreign government, corporate and other debt securities $ 3,828 Price-based Price $ 0.01 $ 141.45 $ 92.24 1,750 Cash flow Credit spread 35 bps 600 bps 229 bps Equity securities (5) $ 3,796 Model-based WAL 4 years 29 years 4.49 years Interest rate 2.86 % 10.75 % 3.63 % Asset-backed securities $ 3,008 Price-based Price $ 5.00 $ 100.00 $ 70.39 Non-marketable equity $ 581 Comparables analysis EBITDA multiples 7.00 x 10.35 x 8.79 x 519 Price-based Discount to price — % 90.00 % 10.85 % Price-to-book ratio — % 2.16 % 1.10 % Price $ — $ 28.28 $ 2.32 Derivatives—gross (6) Interest rate contracts (gross) $ 7,548 Model-based IR log-normal volatility 61.89 % 151.86 % 82.56 % Mean reversion 1.00 % 20.00 % 10.50 % Foreign exchange contracts (gross) $ 1,457 Model-based Foreign exchange (FX) volatility 3.64 % 58.13 % 17.05 % 172 Cash flow IR-IR correlation (51.00 )% 40.00 % 35.23 % IR-FX correlation 40.00 % 60.00 % 50.00 % IR basis (0.90 )% (0.40 )% (0.83 )% Equity contracts (gross) (7) $ 3,370 Model-based Equity volatility 12.05 % 61.31 % 30.75 % Equity forward 66.94 % 106.31 % 95.53 % Equity-Equity correlation (81.18 )% 100.00 % 57.09 % Equity - FX correlation (88.20 )% 56.90 % (21.74 )% WAL 4 years 4 years 4 years Commodity contracts (gross) $ 3,921 Model-based Forward price 42.87 % 191.93 % 115.58 % Commodity volatility 2.00 % 53.36 % 23.44 % Commodity correlation (51.05 )% 92.17 % 56.68 % Credit derivatives (gross) $ 6,195 Model-based Recovery rate 10.00 % 75.00 % 33.49 % 927 Price-based Credit correlation 50.00 % 95.00 % 52.14 % Upfront points 4.48 % 100.00 % 64.24 % As of June 30, 2016 Fair value (1) (in millions) Methodology Input Low (2)(3) High (2)(3) Weighted average (4) Price $ — $ 105.00 $ 45.43 Credit spread 1 bps 1,705 bps 449 bps Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross) (6) $ 117 Model-based Redemption rate 6.10 % 99.50 % 74.35 % Recovery rate 33.00 % 40.00 % 33.59 % Upfront points 22.00 % 22.00 % 22.00 % Loans $ 624 Model-based Price $ — $ 107.39 $ 31.68 598 Price-based Credit spread 46 bps 500 bps 108 bps Mortgage servicing rights $ 1,232 Cash flow Yield — % 23.32 % 6.85 % 289 Model-based WAL 3.01 years 5.88 years 4.49 years Liabilities Interest-bearing deposits $ 433 Model-based IR log-normal volatility 61.89 % 151.86 % 82.56 % Interest rate 0.47 % 1.83 % 1.55 % Federal funds purchased and securities loaned or sold under agreements to repurchase $ 1,107 Model-based Interest rate 0.99 % 1.14 % 1.10 % Trading account liabilities Securities sold, not yet purchased $ 7 Yield analysis Price $ — $ 109.29 $ 199.85 Commodity correlation (51.05 )% 92.17 % 56.68 % Commodity volatility 2.00 % 53.36 % 23.44 % Forward price $ 42.87 $ 191.93 $ 112.58 Equity volatility 10.15 % 40.42 % 23.29 % Yield 1.51 % 2.22 % 1.83 % Short-term borrowings and long-term debt $ 9,279 Model-based Equity volatility 15.05 % 61.31 % 27.89 % Equity forward 66.94 % 102.58 % 94.32 % Equity-equity correlation (81.18 )% 100.00 % 49.17 % Equity-FX correlation (88.20 )% 56.90 % (21.73 )% Mean Reversion 1.00 % 20.00 % 10.50 % IR log-normal volatility 61.89 % 151.86 % 82.56 % As of December 31, 2015 Fair value (1) (in millions) Methodology Input Low (2)(3) High (2)(3) Weighted average (4) Assets Federal funds sold and securities borrowed or purchased under agreements to resell $ 1,337 Model-based IR log-normal volatility 29.02 % 137.02 % 37.90 % Interest rate — % 2.03 % 0.27 % Mortgage-backed securities $ 1,287 Price-based Price $ 3.45 $ 109.21 $ 78.25 1,377 Yield analysis Yield 0.50 % 14.07 % 4.83 % State and municipal, foreign government, corporate and other debt securities $ 3,761 Price-based Price $ — $ 217.00 $ 79.41 1,719 Cash flow Credit spread 20 bps 600 bps 251 bps Equity securities (5) $ 3,499 Model-based WAL 1.5 years 1.5 years 1.5 years Redemption rate 41.21 % 41.21 % 41.21 % Asset-backed securities $ 3,075 Price-based Price $ 5.55 $ 100.21 $ 71.57 Non-marketable equity $ 633 Comparables analysis EBITDA multiples 6.80 x 10.80 x 9.05 x 473 Price-based Discount to price — % 90.00 % 10.89 % Price-to-book ratio 0.19 x 1.09 x 0.60 x Price $ — $ 132.78 $ 46.66 As of December 31, 2015 Fair value (1) (in millions) Methodology Input Low (2)(3) High (2)(3) Weighted average (4) Derivatives—gross (6) Interest rate contracts (gross) $ 4,553 Model-based IR log-normal volatility 17.41 % 137.02 % 37.60 % Mean reversion (5.52 )% 20.00 % 0.71 % Foreign exchange contracts (gross) $ 1,326 Model-based Foreign exchange (FX) volatility 0.38 % 25.73 % 11.63 % 275 Cash flow Interest rate 7.50 % 7.50 % 7.50 % Forward price 1.48 % 138.09 % 56.80 % Credit spread 3 bps 515 bps 235 bps IR-IR correlation (51.00 )% 77.94 % 32.91 % IR-FX correlation (20.30 )% 60.00 % 48.85 % Equity contracts (gross) (7) $ 3,976 Model-based Equity volatility 11.87 % 49.57 % 27.33 % Equity-FX correlation (88.17 )% 65.00 % (21.09 )% Equity forward 82.72 % 100.53 % 95.20 % Equity-equity correlation (80.54 )% 100.00 % 49.54 % Commodity contracts (gross) $ 4,061 Model-based Forward price 35.09 % 299.32 % 112.98 % Commodity volatility 5.00 % 83.00 % 24.00 % Commodity correlation (57.00 )% 91.00 % 30.00 % Credit derivatives (gross) $ 5,849 Model-based Recovery rate 1.00 % 75.00 % 32.49 % 1,424 Price-based Credit correlation 5.00 % 90.00 % 43.48 % Price $ 0.33 $ 101.00 $ 61.52 Credit spread 1 bps 967 bps 133 bps Upfront points 7.00 % 99.92 % 66.75 % Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross) (6) $ 194 Model-based Recovery rate 7.00 % 40.00 % 10.72 % Redemption rate 27.00 % 99.50 % 74.80 % Interest rate 5.26 % 5.28 % 5.27 % Loans $ 750 Price-based Yield 1.50 % 4.50 % 2.52 % 892 Model-based Price $ — $ 106.98 $ 40.69 524 Cash flow Credit spread 29 bps 500 bps 105 bps Mortgage servicing rights $ 1,690 Cash flow Yield — % 23.32 % 6.83 % WAL 3.38 years 7.48 years 5.5 years Liabilities Interest-bearing deposits $ 434 Model-based Equity-IR correlation 23.00 % 39.00 % 34.51 % Forward price 35.09 % 299.32 % 112.72 % Commodity correlation (57.00 )% 91.00 % 30.00 % Commodity volatility 5.00 % 83.00 % 24.00 % Federal funds purchased and securities loaned or sold under agreements to repurchase $ 1,245 Model-based Interest rate 1.27 % 2.02 % 1.92 % Trading account liabilities Securities sold, not yet purchased $ 152 Price-based Price $ — $ 217.00 $ 87.78 Short-term borrowings and long-term debt $ 7,004 Model-based Mean reversion (5.52 )% 20.00 % 7.80 % Equity volatility 9.55 % 42.56 % 22.26 % Equity forward 82.72 % 100.80 % 94.48 % Equity-equity correlation (80.54 )% 100.00 % 49.16 % Forward price 35.09 % 299.32 % 106.32 % Equity-FX correlation (88.20 )% 56.85 % (31.76 )% (1) The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities. (2) Some inputs are shown as zero due to rounding. (3) When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position. (4) Weighted averages are calculated based on the fair values of the instruments. (5) For equity securities, the price and fund NAV inputs are expressed on an absolute basis, not as a percentage of the notional amount. (6) Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis. (7) Includes hybrid products. |
Items measured at fair value of a nonrecurring basis | The following table presents the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded during the three months ended: In millions of dollars Fair value Level 2 Level 3 June 30, 2016 Loans held-for-sale $ 7,549 $ 5,814 $ 1,735 Other real estate owned 85 16 69 Loans (1) 1,502 464 1,038 Other Assets (2) 2,991 2,991 — Total assets at fair value on a nonrecurring basis $ 12,127 $ 9,285 $ 2,842 In millions of dollars Fair value Level 2 Level 3 December 31, 2015 Loans held-for-sale $ 10,326 $ 6,752 $ 3,574 Other real estate owned 107 15 92 Loans (1) 1,173 836 337 Other Assets — — — Total assets at fair value on a nonrecurring basis $ 11,606 $ 7,603 $ 4,003 (1) Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate secured loans. (2) Represents the carrying value of an equity investment which was impaired. |
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, 2016 Fair value (1) (in millions) Methodology Input Low (5) High Weighted average (2) Loans held-for-sale $ 2,047 Price-based Price $ — $ 100.00 $ 33.27 Other real estate owned $ 68 Price-based Discount to price (4) 0.34 % 13.00 % 2.45 % Loans (3) $ 576 Recovery analysis Recovery rates — % 97.85 % 83.69 % 183 Price-based Discount to price (4) 13.00 % 35.00 % 8.90 % (1) The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities. (2) Weighted averages are calculated based on the fair values of the instruments. (3) Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral. (4) Includes estimated costs to sell. (5) Some inputs are shown as zero due to rounding. As of December 31, 2015 Fair value (1) (in millions) Methodology Input Low (5) High Weighted average (2) Loans held-for-sale $ 3,486 Price-based Price $ — $ 100.00 $ 81.05 Other real estate owned $ 90 Price-based Discount to price (4) 0.34 % 13.00 % 2.86 % 2 Appraised value $ — $ 8,518,230 $ 3,813,045 Loans (3) $ 157 Recovery analysis Recovery rate 11.79 % 60.00 % 23.49 % 87 Price-based Discount to price (4) 13.00 % 34.00 % 7.99 % (1) The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities. (2) Weighted averages are calculated based on the fair values of the instruments. (3) Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral. (4) Includes estimated costs to sell. (5) Some inputs are shown as zero due to rounding. |
Changes in total nonrecurring fair value measurements | 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, In millions of dollars 2016 2015 Loans held-for-sale $ (35 ) $ (20 ) Other real estate owned (4 ) (3 ) Loans (1) (48 ) (61 ) Other Assets (2) $ (23 ) $ — Total nonrecurring fair value gains (losses) $ (110 ) $ (84 ) (1) Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate loans. (2) Represents net impairment losses related to an equity investment. Six Months Ended June 30, In millions of dollars 2016 2015 Loans held-for-sale $ (32 ) $ (20 ) Other real estate owned (5 ) (4 ) Loans (1) (105 ) (107 ) Other Assets (2) $ (211 ) — Total nonrecurring fair value gains (losses) $ (353 ) $ (131 ) (1) Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate loans. (2) Represents net impairment losses related to an equity investment. |
Estimated Fair Value of Financial Instruments | The table below presents the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The table below therefore excludes items measured at fair value on a recurring basis presented in the tables above. The disclosure also excludes leases, affiliate investments, pension and benefit obligations and insurance policy claim reserves. In addition, contract-holder fund amounts exclude certain insurance contracts. Also, as required, the disclosure excludes the effect of taxes, any premium or discount that could result from offering for sale at one time the entire holdings of a particular instrument, excess fair value associated with deposits with no fixed maturity, and other expenses that would be incurred in a market transaction. In addition, the table excludes the values of non-financial assets and liabilities, as well as a wide range of franchise, relationship and intangible values, which are integral to a full assessment of Citigroup’s financial position and the value of its net assets. The fair value represents management’s best estimates based on a range of methodologies and assumptions. The carrying value of short-term financial instruments not accounted for at fair value, as well as receivables and payables arising in the ordinary course of business, approximates fair value because of the relatively short period of time between their origination and expected realization. Quoted market prices are used when available for investments and for liabilities, such as long-term debt not carried at fair value. For loans not accounted for at fair value, cash flows are discounted at quoted secondary market rates or estimated market rates if available. Otherwise, sales of comparable loan portfolios or current market origination rates for loans with similar terms and risk characteristics are used. Expected credit losses are either embedded in the estimated future cash flows or incorporated as an adjustment to the discount rate used. The value of collateral is also considered. For liabilities such as long-term debt not accounted for at fair value and without quoted market prices, market borrowing rates of interest are used to discount contractual cash flows. June 30, 2016 Estimated fair value Carrying value Estimated fair value In billions of dollars Level 1 Level 2 Level 3 Assets Investments $ 41.6 $ 43.1 $ 1.7 $ 37.5 $ 3.9 Federal funds sold and securities borrowed or purchased under agreements to resell 83.9 83.9 — 80.8 3.1 Loans (1)(2) 615.1 617.5 — 6.8 610.7 Other financial assets (2)(3) 215.4 215.4 6.5 143.6 65.3 Liabilities Deposits $ 936.4 $ 935.1 $ — $ 784.1 $ 151.0 Federal funds purchased and securities loaned or sold under agreements to repurchase 111.9 111.9 — 111.5 0.4 Long-term debt (4) 181.5 185.1 — 158.6 26.5 Other financial liabilities (5) 108.2 108.2 — 14.7 93.5 December 31, 2015 Estimated fair value Carrying value Estimated fair value In billions of dollars Level 1 Level 2 Level 3 Assets Investments $ 41.7 $ 42.7 $ 3.5 $ 36.4 $ 2.8 Federal funds sold and securities borrowed or purchased under agreements to resell 81.7 81.7 — 77.4 4.3 Loans (1)(2) 597.5 599.4 — 6.0 593.4 Other financial assets (2)(3) 186.5 186.5 6.9 126.2 53.4 Liabilities Deposits $ 906.3 $ 896.7 $ — $ 749.4 $ 147.3 Federal funds purchased and securities loaned or sold under agreements to repurchase 109.7 109.7 — 109.4 0.3 Long-term debt (4) 176.0 180.8 — 153.8 27.0 Other financial liabilities (5) 97.6 97.6 — 18.0 79.6 (1) The carrying value of loans is net of the Allowance for loan losses of $12.3 billion for June 30, 2016 and $12.6 billion for December 31, 2015 . In addition, the carrying values exclude $1.9 billion and $2.4 billion of lease finance receivables at June 30, 2016 and December 31, 2015 , respectively. (2) Includes items measured at fair value on a nonrecurring basis. (3) Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverable and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value. (4) The carrying value includes long-term debt balances under qualifying fair value hedges. (5) Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value. |
FAIR VALUE ELECTIONS (Tables)
FAIR VALUE ELECTIONS (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value, Option, Aggregate Differences [Abstract] | |
Schedule of financial instruments selected for changes in fair value gains and losses | 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) for the Three Months Ended June 30, Six Months Ended June 30, In millions of dollars 2016 2015 2016 2015 Assets Federal funds sold and securities borrowed or purchased under agreements to resell selected portfolios of securities purchased under agreements to resell and securities borrowed $ 19 $ (95 ) $ 47 $ (93 ) Trading account assets (320 ) 136 (62 ) 227 Investments (22 ) 4 (21 ) 49 Loans Certain corporate loans (1) 36 40 60 (9 ) Certain consumer loans (1) — — (1 ) 2 Total loans $ 36 $ 40 $ 59 $ (7 ) Other assets MSRs (137 ) 262 $ (362 ) $ 191 Certain mortgage loans held for sale (2) 91 70 171 172 Other assets — — 370 — Total other assets $ (46 ) $ 332 $ 179 $ 363 Total assets $ (333 ) $ 417 $ 202 $ 539 Liabilities Interest-bearing deposits $ (18 ) $ 23 $ (68 ) $ 33 Federal funds purchased and securities loaned or sold under agreements to repurchase selected portfolios of securities sold under agreements to repurchase and securities loaned (2 ) — (8 ) 2 Trading account liabilities 3 (44 ) 97 (15 ) Short-term borrowings (114 ) (67 ) (34 ) (68 ) Long-term debt (117 ) 707 (540 ) 896 Total liabilities $ (248 ) $ 619 $ (553 ) $ 848 (1) Includes mortgage loans held by mortgage loan securitization VIEs consolidated upon the adoption of ASC 810, Consolidation (SFAS 167), on January 1, 2010. (2) Includes gains (losses) associated with interest rate lock-commitments for those loans that have been originated and elected under the fair value option. |
Schedule of fair value of loans and other disclosures for certain credit related products | The following table provides information about certain credit products carried at fair value: June 30, 2016 December 31, 2015 In millions of dollars Trading assets Loans Trading assets Loans Carrying amount reported on the Consolidated Balance Sheet $ 9,321 $ 4,134 $ 9,314 $ 5,005 Aggregate unpaid principal balance in excess of fair value 744 84 980 280 Balance of non-accrual loans or loans more than 90 days past due 4 2 5 2 Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due 9 1 13 1 |
Schedule of fair value of loans and other disclosures for certain mortgage loans | The following table provides information about certain mortgage loans HFS carried at fair value: In millions of dollars June 30, December 31, 2015 Carrying amount reported on the Consolidated Balance Sheet $ 1,122 $ 745 Aggregate fair value in excess of unpaid principal balance 49 20 Balance of non-accrual loans or loans more than 90 days past due — — Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due — — |
Schedule of carrying value of structured notes, disaggregated by type of embedded derivative instrument | The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument: In billions of dollars June 30, 2016 December 31, 2015 Interest rate linked $ 10.3 $ 9.6 Foreign exchange linked 0.2 0.3 Equity linked 11.1 9.9 Commodity linked 1.1 1.4 Credit linked 1.0 1.6 Total $ 23.7 $ 22.8 |
Schedule of long-term debt carried at fair value, excluding debt issued by consolidated VIEs | The following table provides information about long-term debt carried at fair value: In millions of dollars June 30, 2016 December 31, 2015 Carrying amount reported on the Consolidated Balance Sheet $ 25,931 $ 25,293 Aggregate unpaid principal balance in excess of fair value 564 1,569 |
Schedule of short-term borrowings carried at fair value | The following table provides information about short-term borrowings carried at fair value: In millions of dollars June 30, 2016 December 31, 2015 Carrying amount reported on the Consolidated Balance Sheet $ 1,850 $ 1,207 Aggregate unpaid principal balance in excess of fair value 6 130 |
GUARANTEES AND COMMITMENTS (Tab
GUARANTEES AND COMMITMENTS (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Pledged Assets, Collateral, Guarantees and Commitments [Abstract] | |
Schedule of guarantor obligations | The following tables present information about Citi’s guarantees at June 30, 2016 and December 31, 2015 : Maximum potential amount of future payments In billions of dollars at June 30, 2016 except carrying value in millions Expire within 1 year Expire after 1 year Total amount outstanding Carrying value (in millions of dollars) Financial standby letters of credit $ 25.5 $ 69.9 $ 95.4 $ 146 Performance guarantees 7.7 3.8 11.5 21 Derivative instruments considered to be guarantees 4.6 73.9 78.5 1,113 Loans sold with recourse — 0.2 0.2 14 Securities lending indemnifications (1) 83.2 — 83.2 — Credit card merchant processing (1) 81.1 — 81.1 — Credit card arrangements with partners — 1.5 1.5 206 Custody indemnifications and other 0.3 46.6 46.9 58 Total $ 202.4 $ 195.9 $ 398.3 $ 1,558 Maximum potential amount of future payments In billions of dollars at December 31, 2015 except carrying value in millions Expire within 1 year Expire after 1 year Total amount outstanding Carrying value ( in millions of dollars) Financial standby letters of credit $ 23.8 $ 73.0 $ 96.8 $ 152 Performance guarantees 7.4 4.1 11.5 23 Derivative instruments considered to be guarantees 3.6 74.9 78.5 1,779 Loans sold with recourse — 0.2 0.2 17 Securities lending indemnifications (1) 79.0 — 79.0 — Credit card merchant processing (1) 84.2 — 84.2 — Custody indemnifications and other — 51.7 51.7 56 Total $ 198.0 $ 203.9 $ 401.9 $ 2,027 (1) The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal. |
Schedule of guarantor obligations by credit ratings | Presented in the tables below are the maximum potential amounts of future payments that are classified based upon internal and external credit ratings as of June 30, 2016 and December 31, 2015 . As previously mentioned, 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 June 30, 2016 Investment grade Non-investment grade Not rated Total Financial standby letters of credit $ 63.8 $ 18.9 $ 12.7 $ 95.4 Performance guarantees 6.4 4.3 0.8 11.5 Derivative instruments deemed to be guarantees — — 78.5 78.5 Loans sold with recourse — — 0.2 0.2 Securities lending indemnifications — — 83.2 83.2 Credit card merchant processing — — 81.1 81.1 Credit card arrangements with partners — — 1.5 1.5 Custody indemnifications and other 46.8 0.1 — 46.9 Total $ 117.0 $ 23.3 $ 258.0 $ 398.3 Maximum potential amount of future payments In billions of dollars at December 31, 2015 Investment grade Non-investment grade Not rated Total Financial standby letters of credit $ 69.2 $ 15.4 $ 12.2 $ 96.8 Performance guarantees 6.6 4.1 0.8 11.5 Derivative instruments deemed to be guarantees — — 78.5 78.5 Loans sold with recourse — — 0.2 0.2 Securities lending indemnifications — — 79.0 79.0 Credit card merchant processing — — 84.2 84.2 Custody indemnifications and other 51.6 0.1 — 51.7 Total $ 127.4 $ 19.6 $ 254.9 $ 401.9 |
Schedule of credit commitments | The table below summarizes Citigroup’s credit commitments as of June 30, 2016 and December 31, 2015: In millions of dollars U.S. Outside of U.S. June 30, December 31, 2015 Commercial and similar letters of credit $ 1,204 $ 4,121 $ 5,325 $ 6,102 One- to four-family residential mortgages 1,604 1,807 3,411 3,196 Revolving open-end loans secured by one- to four-family residential properties 12,361 2,088 14,449 14,726 Commercial real estate, construction and land development 7,940 1,280 9,220 10,522 Credit card lines 571,146 98,243 669,389 573,057 Commercial and other consumer loan commitments 167,467 89,125 256,592 271,076 Other commitments and contingencies 2,838 6,888 9,726 9,982 Total $ 764,560 $ 203,552 $ 968,112 $ 888,661 |
CONDENSED CONSOLIDATING FINAN58
CONDENSED CONSOLIDATING FINANCIAL STATEMENTS (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Condensed Consolidating Statements of Income and Comprehensive Income | Condensed Consolidating Statements of Income and Comprehensive Income Three Months Ended June 30, 2016 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Revenues Dividends from subsidiaries $ 2,900 $ — $ — $ (2,900 ) $ — Interest revenue 1 1,251 13,104 — 14,356 Interest revenue—intercompany 668 139 (807 ) — — Interest expense 1,094 401 1,625 — 3,120 Interest expense—intercompany 38 416 (454 ) — — Net interest revenue $ (463 ) $ 573 $ 11,126 $ — $ 11,236 Commissions and fees $ — $ 1,119 $ 1,606 $ — $ 2,725 Commissions and fees—intercompany (17 ) (24 ) 41 — — Principal transactions (186 ) 2,394 (392 ) — 1,816 Principal transactions—intercompany (217 ) (1,791 ) 2,008 — — Other income (585 ) 51 2,305 — 1,771 Other income—intercompany 736 339 (1,075 ) — — Total non-interest revenues $ (269 ) $ 2,088 $ 4,493 $ — $ 6,312 Total revenues, net of interest expense $ 2,168 $ 2,661 $ 15,619 $ (2,900 ) $ 17,548 Provisions for credit losses and for benefits and claims $ — $ — $ 1,409 $ — $ 1,409 Operating expenses Compensation and benefits $ (16 ) $ 1,202 $ 4,043 $ — $ 5,229 Compensation and benefits—intercompany 23 — (23 ) — — Other operating 213 412 4,515 — 5,140 Other operating—intercompany 79 322 (401 ) — — Total operating expenses $ 299 $ 1,936 $ 8,134 $ — $ 10,369 Income (loss) before income taxes and equity in undistributed income of subsidiaries $ 1,869 $ 725 $ 6,076 $ (2,900 ) $ 5,770 Provision (benefit) for income taxes (420 ) 157 1,986 — 1,723 Equity in undistributed income of subsidiaries 1,709 — — (1,709 ) — Income (loss) from continuing operations $ 3,998 $ 568 $ 4,090 $ (4,609 ) $ 4,047 Loss from discontinued operations, net of taxes — — (23 ) — (23 ) Net income (loss) before attribution of noncontrolling interests $ 3,998 $ 568 $ 4,067 $ (4,609 ) $ 4,024 Net income (loss) attributable to noncontrolling interests — (3 ) 29 — 26 Net income (loss) after attribution of noncontrolling interests $ 3,998 $ 571 $ 4,038 $ (4,609 ) $ 3,998 Comprehensive income Other comprehensive income (loss) $ 511 $ 58 $ 569 $ (627 ) $ 511 Comprehensive income $ 4,509 $ 629 $ 4,607 $ (5,236 ) $ 4,509 Condensed Consolidating Statements of Income and Comprehensive Income Three Months Ended June 30, 2015 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Revenues Dividends from subsidiaries $ 3,500 $ — $ — $ (3,500 ) $ — Interest revenue 2 1,240 13,631 — 14,873 Interest revenue—intercompany 711 67 (778 ) — — Interest expense 1,154 277 1,620 — 3,051 Interest expense—intercompany (155 ) 304 (149 ) — — Net interest revenue $ (286 ) $ 726 $ 11,382 $ — $ 11,822 Commissions and fees $ — $ 1,319 $ 1,875 $ — $ 3,194 Commissions and fees—intercompany — 44 (44 ) — — Principal transactions 790 873 510 — 2,173 Principal transactions—intercompany (340 ) (575 ) 915 — — Other income 1,161 (71 ) 1,191 — 2,281 Other income—intercompany (1,194 ) 47 1,147 — — Total non-interest revenues $ 417 $ 1,637 $ 5,594 $ — $ 7,648 Total revenues, net of interest expense $ 3,631 $ 2,363 $ 16,976 $ (3,500 ) $ 19,470 Provisions for credit losses and for benefits and claims $ — $ — $ 1,648 $ — $ 1,648 Operating expenses Compensation and benefits $ 13 $ 1,243 $ 4,227 $ — $ 5,483 Compensation and benefits—intercompany 23 — (23 ) — — Other operating (189 ) 491 5,143 — 5,445 Other operating—intercompany 73 200 (273 ) — — Total operating expenses $ (80 ) $ 1,934 $ 9,074 $ — $ 10,928 Income (loss) before income taxes and equity in undistributed income of subsidiaries $ 3,711 $ 429 $ 6,254 $ (3,500 ) $ 6,894 Provision (benefit) for income taxes (97 ) (255 ) 2,388 — 2,036 Equity in undistributed income of subsidiaries 1,038 — — (1,038 ) — Income (loss) from continuing operations $ 4,846 $ 684 $ 3,866 $ (4,538 ) $ 4,858 Income from discontinued operations, net of taxes — — 6 — 6 Net income (loss) before attribution of noncontrolling interests $ 4,846 $ 684 $ 3,872 $ (4,538 ) $ 4,864 Net income (loss) attributable to noncontrolling interests — (1 ) 19 — 18 Net income (loss) after attribution of noncontrolling interests $ 4,846 $ 685 $ 3,853 $ (4,538 ) $ 4,846 Comprehensive income Other comprehensive income (loss) $ (413 ) $ (48 ) $ (711 ) $ 759 $ (413 ) Comprehensive income $ 4,433 $ 637 $ 3,142 $ (3,779 ) $ 4,433 Condensed Consolidating Statements of Income and Comprehensive Income Six Months Ended June 30, 2016 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Revenues Dividends from subsidiaries $ 5,700 $ — $ — $ (5,700 ) $ — Interest revenue 3 2,397 26,123 — 28,523 Interest revenue—intercompany 1,540 275 (1,815 ) — — Interest expense 2,164 765 3,131 — 6,060 Interest expense—intercompany 79 845 (924 ) — — Net interest revenue $ (700 ) $ 1,062 $ 22,101 $ — $ 22,463 Commissions and fees $ — $ 2,079 $ 3,109 $ — $ 5,188 Commissions and fees—intercompany (19 ) (30 ) 49 — — Principal transactions (395 ) 2,257 1,794 — 3,656 Principal transactions—intercompany 41 (1,043 ) 1,002 — — Other income (3,679 ) 127 7,348 — 3,796 Other income—intercompany 3,996 199 (4,195 ) — — Total non-interest revenues $ (56 ) $ 3,589 $ 9,107 $ — $ 12,640 Total revenues, net of interest expense $ 4,944 $ 4,651 $ 31,208 $ (5,700 ) $ 35,103 Provisions for credit losses and for benefits and claims $ — $ — $ 3,454 $ — $ 3,454 Operating expenses Compensation and benefits $ (8 ) $ 2,491 $ 8,302 $ — $ 10,785 Compensation and benefits—intercompany 26 — (26 ) — — Other operating 480 798 8,829 — 10,107 Other operating—intercompany 80 629 (709 ) — — Total operating expenses $ 578 $ 3,918 $ 16,396 $ — $ 20,892 Income (loss) before income taxes and equity in undistributed income of subsidiaries $ 4,366 $ 733 $ 11,358 $ (5,700 ) $ 10,757 Provision (benefit) for income taxes (480 ) 194 3,488 — 3,202 Equity in undistributed income of subsidiaries 2,653 — — (2,653 ) — Income (loss) from continuing operations $ 7,499 $ 539 $ 7,870 $ (8,353 ) $ 7,555 Loss from discontinued operations, net of taxes — — (25 ) — (25 ) Net income (loss) before attribution of noncontrolling interests $ 7,499 $ 539 $ 7,845 $ (8,353 ) $ 7,530 Net income (loss) attributable to noncontrolling interests — (1 ) 32 — 31 Net income (loss) after attribution of noncontrolling interests $ 7,499 $ 540 $ 7,813 $ (8,353 ) $ 7,499 Comprehensive income Other comprehensive income (loss) $ 3,244 $ 105 $ 3,608 $ (3,713 ) $ 3,244 Comprehensive income $ 10,743 $ 645 $ 11,421 $ (12,066 ) $ 10,743 Condensed Consolidating Statements of Income and Comprehensive Income Six Months Ended June 30, 2015 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Revenues Dividends from subsidiaries $ 4,600 $ — $ — $ (4,600 ) $ — Interest revenue 5 2,247 27,221 — 29,473 Interest revenue—intercompany 1,383 120 (1,503 ) — — Interest expense 2,309 505 3,265 — 6,079 Interest expense—intercompany (331 ) 601 (270 ) — — Net interest revenue $ (590 ) $ 1,261 $ 22,723 $ — $ 23,394 Commissions and fees $ — $ 2,664 $ 3,700 $ — $ 6,364 Commissions and fees—intercompany — 103 (103 ) — — Principal transactions 457 2,189 1,498 — 4,144 Principal transactions—intercompany (669 ) (834 ) 1,503 — — Other income 3,176 27 2,101 — 5,304 Other income—intercompany (2,614 ) 540 2,074 — — Total non-interest revenues $ 350 $ 4,689 $ 10,773 $ — $ 15,812 Total revenues, net of interest expense $ 4,360 $ 5,950 $ 33,496 $ (4,600 ) $ 39,206 Provisions for credit losses and for benefits and claims $ — $ — $ 3,563 $ — $ 3,563 Operating expenses Compensation and benefits $ 48 $ 2,511 $ 8,444 $ — $ 11,003 Compensation and benefits—intercompany 30 — (30 ) — — Other operating (40 ) 948 9,901 — 10,809 Other operating—intercompany 130 605 (735 ) — — Total operating expenses $ 168 $ 4,064 $ 17,580 $ — $ 21,812 Income (loss) before income taxes and equity in undistributed income of subsidiaries $ 4,192 $ 1,886 $ 12,353 $ (4,600 ) $ 13,831 Provision (benefit) for income taxes (726 ) 269 4,613 — 4,156 Equity in undistributed income of subsidiaries 4,698 — — (4,698 ) — Income (loss) from continuing operations $ 9,616 $ 1,617 $ 7,740 $ (9,298 ) $ 9,675 Income from discontinued operations, net of taxes — — 1 — 1 Net income (loss) before attribution of noncontrolling interests $ 9,616 $ 1,617 $ 7,741 $ (9,298 ) $ 9,676 Net income (loss) attributable to noncontrolling interests — (3 ) 63 — 60 Net income (loss) after attribution of noncontrolling interests $ 9,616 $ 1,620 $ 7,678 $ (9,298 ) $ 9,616 Comprehensive income Other comprehensive income (loss) $ (1,888 ) $ (86 ) $ (2,297 ) $ 2,383 $ (1,888 ) Comprehensive income $ 7,728 $ 1,534 $ 5,381 $ (6,915 ) $ 7,728 |
Condensed Consolidating Balance Sheet | Condensed Consolidating Balance Sheet June 30, 2016 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Assets Cash and due from banks $ — $ 348 $ 21,792 $ — $ 22,140 Cash and due from banks—intercompany 133 2,644 (2,777 ) — — Federal funds sold and resale agreements — 188,567 40,116 — 228,683 Federal funds sold and resale agreements—intercompany — 8,901 (8,901 ) — — Trading account assets 20 136,124 135,620 — 271,764 Trading account assets—intercompany 801 3,676 (4,477 ) — — Investments 438 357 355,498 — 356,293 Loans, net of unearned income — 845 632,670 — 633,515 Loans, net of unearned income—intercompany — — — — — Allowance for loan losses — — (12,304 ) — (12,304 ) Total loans, net $ — $ 845 $ 620,366 $ — $ 621,211 Advances to subsidiaries $ 117,175 $ — $ (117,175 ) $ — $ — Investments in subsidiaries 232,490 — — (232,490 ) — Other assets (1) 27,200 42,046 249,434 — 318,680 Other assets—intercompany 55,579 40,706 (96,285 ) — — Total assets $ 433,836 $ 424,214 $ 1,193,211 $ (232,490 ) $ 1,818,771 Liabilities and equity Deposits $ — $ — $ 937,852 $ — $ 937,852 Deposits—intercompany — — — — — Federal funds purchased and securities loaned or sold — 137,985 20,016 — 158,001 Federal funds purchased and securities loaned or sold—intercompany 185 20,066 (20,251 ) — — Trading account liabilities — 78,093 58,214 — 136,307 Trading account liabilities—intercompany 612 2,973 (3,585 ) — — Short-term borrowings 4 771 17,633 — 18,408 Short-term borrowings—intercompany — 36,771 (36,771 ) — — Long-term debt 148,431 5,094 53,923 — 207,448 Long-term debt—intercompany — 40,990 (40,990 ) — — Advances from subsidiaries 39,579 — (39,579 ) — — Other liabilities 3,766 59,368 64,600 — 127,734 Other liabilities—intercompany 9,371 9,974 (19,345 ) — — Stockholders’ equity 231,888 32,129 201,494 (232,490 ) 233,021 Total liabilities and equity $ 433,836 $ 424,214 $ 1,193,211 $ (232,490 ) $ 1,818,771 (1) Other assets for Citigroup parent company at June 30, 2016 included $ 17.4 billion of placements to Citibank and its branches, of which $ 9.5 billion had a remaining term of less than 30 days. Condensed Consolidating Balance Sheet December 31, 2015 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Assets Cash and due from banks $ — $ 592 $ 20,308 $ — $ 20,900 Cash and due from banks—intercompany 124 1,403 (1,527 ) — — Federal funds sold and resale agreements — 178,178 41,497 — 219,675 Federal funds sold and resale agreements—intercompany — 15,035 (15,035 ) — — Trading account assets (8 ) 124,731 125,233 — 249,956 Trading account assets—intercompany 1,032 1,765 (2,797 ) — — Investments 484 402 342,069 — 342,955 Loans, net of unearned income — 1,068 616,549 — 617,617 Loans, net of unearned income—intercompany — — — — — Allowance for loan losses — (3 ) (12,623 ) — (12,626 ) Total loans, net $ — $ 1,065 $ 603,926 $ — $ 604,991 Advances to subsidiaries $ 104,405 $ — $ (104,405 ) $ — $ — Investments in subsidiaries 221,362 — — (221,362 ) — Other assets (1) 25,819 36,860 230,054 — 292,733 Other assets—intercompany 58,207 30,737 (88,944 ) — — Total assets $ 411,425 $ 390,768 $ 1,150,379 $ (221,362 ) $ 1,731,210 Liabilities and equity Deposits $ — $ — $ 907,887 $ — $ 907,887 Deposits—intercompany — — — — — Federal funds purchased and securities loaned or sold — 122,459 24,037 — 146,496 Federal funds purchased and securities loaned or sold—intercompany 185 22,042 (22,227 ) — — Trading account liabilities — 62,386 55,126 — 117,512 Trading account liabilities—intercompany 1,036 2,045 (3,081 ) — — Short-term borrowings 146 188 20,745 — 21,079 Short-term borrowings—intercompany — 34,916 (34,916 ) — — Long-term debt 141,914 2,530 56,831 — 201,275 Long-term debt—intercompany — 51,171 (51,171 ) — — Advances from subsidiaries 36,453 — (36,453 ) — — Other liabilities 3,560 55,482 54,827 — 113,869 Other liabilities—intercompany 6,274 10,967 (17,241 ) — — Stockholders’ equity 221,857 26,582 196,015 (221,362 ) 223,092 Total liabilities and equity $ 411,425 $ 390,768 $ 1,150,379 $ (221,362 ) $ 1,731,210 (1) Other assets for Citigroup parent company at December 31, 2015 included $21.8 billion of placements to Citibank and its branches, of which $13.9 billion had a remaining term of less than 30 days. |
Condensed Consolidating Statement of Cash Flows | Condensed Consolidating Statement of Cash Flows Six Months Ended June 30, 2016 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Net cash provided by operating activities of continuing operations $ 13,794 $ 2,380 $ 4,893 $ — $ 21,067 Cash flows from investing activities of continuing operations Purchases of investments $ — $ — $ (108,359 ) $ — $ (108,359 ) Proceeds from sales of investments — — 66,138 — 66,138 Proceeds from maturities of investments 46 — 33,337 — 33,383 Change in deposits with banks — (5,390 ) (10,406 ) — (15,796 ) Change in loans — — (30,170 ) — (30,170 ) Proceeds from sales and securitizations of loans — — 7,021 — 7,021 Proceeds from significant disposals — — 265 — 265 Change in federal funds sold and resales — (4,256 ) (4,752 ) — (9,008 ) Changes in investments and advances—intercompany (16,412 ) (5,125 ) 21,537 — — Other investing activities — — (987 ) — (987 ) Net cash used in investing activities of continuing operations $ (16,366 ) $ (14,771 ) $ (26,376 ) $ — $ (57,513 ) Cash flows from financing activities of continuing operations Dividends paid $ (828 ) $ — $ — $ — $ (828 ) Issuance of preferred stock 2,498 — — — 2,498 Treasury stock acquired (2,634 ) — — — (2,634 ) Proceeds (repayments) from issuance of long-term debt, net 890 2,512 (3,115 ) — 287 Proceeds (repayments) from issuance of long-term debt—intercompany, net — (10,112 ) 10,112 — — Change in deposits — — 29,965 — 29,965 Change in federal funds purchased and repos — 13,550 (2,045 ) — 11,505 Change in short-term borrowings (160 ) 583 (3,094 ) — (2,671 ) Net change in short-term borrowings and other advances—intercompany 3,127 1,855 (4,982 ) — — Capital contributions from parent — 5,000 (5,000 ) — — Other financing activities (312 ) — — — (312 ) Net cash provided by financing activities of continuing operations $ 2,581 $ 13,388 $ 21,841 $ — $ 37,810 Effect of exchange rate changes on cash and due from banks $ — $ — $ (124 ) $ — $ (124 ) Change in cash and due from banks $ 9 $ 997 $ 234 $ — $ 1,240 Cash and due from banks at beginning of period 124 1,995 18,781 — 20,900 Cash and due from banks at end of period $ 133 $ 2,992 $ 19,015 $ — $ 22,140 Supplemental disclosure of cash flow information for continuing operations Cash paid (refund) during the year for income taxes $ (323 ) $ 40 $ 2,328 $ — $ 2,045 Cash paid during the year for interest 2,040 1,666 2,020 — 5,726 Non-cash investing activities Transfers to loans HFS from loans — — 6,000 — 6,000 Transfers to OREO and other repossessed assets — — 97 — 97 Condensed Consolidating Statement of Cash Flows Six Months Ended June 30, 2015 In millions of dollars Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated Net cash provided by (used in) operating activities of continuing operations $ 16,287 $ (9,008 ) $ 11,067 $ — $ 18,346 Cash flows from investing activities of continuing operations Purchases of investments $ — $ (4 ) $ (140,941 ) $ — $ (140,945 ) Proceeds from sales of investments — 53 89,654 — 89,707 Proceeds from maturities of investments 181 — 44,551 — 44,732 Change in deposits with banks — (10,181 ) 7,270 — (2,911 ) Change in loans — — (9,945 ) — (9,945 ) Proceeds from sales and securitizations of loans — — 6,377 — 6,377 Change in federal funds sold and resales — 2,883 2,633 — 5,516 Changes in investments and advances—intercompany (20,724 ) 2,602 18,122 — — Other investing activities 1 (43 ) (1,101 ) — (1,143 ) Net cash provided by (used in) investing activities of continuing operations $ (20,542 ) $ (4,690 ) $ 16,620 $ — $ (8,612 ) Cash flows from financing activities of continuing operations Dividends paid $ (514 ) $ — $ — $ — $ (514 ) Issuance of preferred stock 3,486 — — — 3,486 Treasury stock acquired (1,850 ) — — — (1,850 ) Proceeds (repayments) from issuance of long-term debt, net 7,046 12,514 (18,436 ) — 1,124 Proceeds (repayments) from issuance of long-term debt—intercompany, net — (232 ) 232 — — Change in deposits — — 8,705 — 8,705 Change in federal funds purchased and repos — 4,511 (937 ) — 3,574 Change in short-term borrowings (349 ) (1,212 ) (30,867 ) — (32,428 ) Net change in short-term borrowings and other advances—intercompany (3,126 ) (1,144 ) 4,270 — — Other financing activities (423 ) — — — (423 ) Net cash provided by (used in) financing activities of continuing operations $ 4,270 $ 14,437 $ (37,033 ) $ — $ (18,326 ) Effect of exchange rate changes on cash and due from banks $ — $ — $ (103 ) $ — $ (103 ) Change in cash and due from banks $ 15 $ 739 $ (9,449 ) $ — $ (8,695 ) Cash and due from banks at beginning of period 125 1,751 30,232 — 32,108 Cash and due from banks at end of period $ 140 $ 2,490 $ 20,783 $ — $ 23,413 Supplemental disclosure of cash flow information for continuing operations Cash paid (refund) during the year for income taxes $ (248 ) $ 348 $ 2,763 $ — $ 2,863 Cash paid during the year for interest 2,332 1,101 2,045 — 5,478 Non-cash investing activities Decrease in net loans associated with significant disposals reclassified to HFS $ — $ — $ (8,874 ) $ — $ (8,874 ) Decrease in investments associated with significant disposals reclassified to HFS — — (1,444 ) — (1,444 ) Transfers to loans HFS from loans — — 15,900 — 15,900 Transfers to OREO and other repossessed assets — — 158 — 158 Non-cash financing activities Decrease in long-term debt associated with significant disposals reclassified to HFS $ — $ — $ (5,923 ) $ — $ (5,923 ) |
BASIS OF PRESENTATION AND ACC59
BASIS OF PRESENTATION AND ACCOUNTING CHANGES - Accounting Changes (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Jan. 01, 2016 | Dec. 31, 2015 | Mar. 31, 2015 |
New Accounting Pronouncements or Change in Accounting Principle | ||||
Increase (decrease) to AOCI | $ (26,115) | $ (29,344) | ||
Retained earnings | 140,527 | 133,841 | ||
Other | $ 124,495 | $ 125,002 | ||
Accounting Standards Update 2016-01 | New Accounting Pronouncement, Early Adoption, Effect | ||||
New Accounting Pronouncements or Change in Accounting Principle | ||||
Increase (decrease) to AOCI | $ (15) | |||
Retained earnings | $ 15 | |||
Accounting Standards Update 2014-01 | ||||
New Accounting Pronouncements or Change in Accounting Principle | ||||
Retained earnings | $ (349) | |||
Other | (178) | |||
Addition (reduction) in deferred tax assets | $ (171) |
DISCONTINUED OPERATIONS AND S60
DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS - Discontinued Operations (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Discontinued operations | ||||
Loss from discontinued operations, net of taxes | $ 23 | $ (6) | $ 25 | $ (1) |
Results of Discontinued Operations | ||||
Total revenues, net of interest expense | 0 | 0 | 0 | 0 |
Income (loss) from discontinued operations | (36) | 9 | (39) | 1 |
Provision (benefit) for income taxes | (13) | 3 | (14) | 0 |
Income (loss) from discontinued operations, net of taxes | 23 | (6) | 25 | (1) |
Brazil Creditcard | ||||
Discontinued operations | ||||
Loss from discontinued operations, net of taxes | 0 | (8) | 0 | (6) |
Results of Discontinued Operations | ||||
Income (loss) from discontinued operations, net of taxes | 0 | (8) | 0 | (6) |
Egg Banking PLC | ||||
Discontinued operations | ||||
Loss from discontinued operations, net of taxes | 20 | 2 | 22 | 6 |
Results of Discontinued Operations | ||||
Income (loss) from discontinued operations, net of taxes | $ 20 | $ 2 | $ 22 | $ 6 |
DISCONTINUED OPERATIONS AND S61
DISCONTINUED OPERATIONS AND SIGNIFICAND DISPOSALS - Significant Disposals (Details) customer_account in Millions, $ in Millions | Nov. 15, 2015USD ($)employeebranchcustomer_account | Jun. 30, 2016USD ($) | Mar. 31, 2016USD ($) | Jun. 30, 2015USD ($) | Jun. 30, 2016USD ($) | Jun. 30, 2015USD ($) | |
Discontinued operations | |||||||
Pre-tax gain on sale | [1] | $ 422 | $ 0 | ||||
Disposed of by sale, not discontinued operations | Novation of 80% Primerica Coinsurance Agreement | |||||||
Discontinued operations | |||||||
Coinsurance agreement percentage | 80.00% | ||||||
Pre-tax gain on sale | $ 422 | ||||||
After tax gain on sale of discontinued operations | 274 | ||||||
AFS securities and cash | 1,500 | ||||||
Deferred policy acquisition costs | 950 | ||||||
Liabilities | $ 2,700 | ||||||
Income (loss) before taxes | $ 0 | $ 42 | 0 | 77 | |||
Disposed of by sale, not discontinued operations | OneMain Financial Business | |||||||
Discontinued operations | |||||||
Pre-tax gain on sale | $ 2,600 | ||||||
After tax gain on sale of discontinued operations | 1,600 | ||||||
Liabilities | $ 8,400 | ||||||
Income (loss) before taxes | $ 0 | $ 177 | $ 0 | $ 354 | |||
Number of branches | branch | 1,100 | ||||||
Number of employees | employee | 5,500 | ||||||
Number of customer accounts | customer_account | 1.3 | ||||||
Assets | $ 10,200 | ||||||
Loans, net | 7,800 | ||||||
Investments | 1,400 | ||||||
Long-term debt | 6,200 | ||||||
Short-term borrowings | 1,100 | ||||||
Gain (loss) on disposal including redemption of long term debt, net of tax | $ 800 | ||||||
[1] | See Note 2 for further information on significant disposals. |
BUSINESS SEGMENTS (Details)
BUSINESS SEGMENTS (Details) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016USD ($)businesscountry | Jun. 30, 2015USD ($) | Jun. 30, 2016USD ($)businesscountry | Jun. 30, 2015USD ($) | Dec. 31, 2015USD ($) | |
Segment reporting information | |||||
Revenues, net of interest expense | $ 17,548 | $ 19,470 | $ 35,103 | $ 39,206 | |
Provision for income taxes | 1,723 | 2,036 | 3,202 | 4,156 | |
Income (loss) from continuing operations | 4,047 | 4,858 | 7,555 | 9,675 | |
Identifiable assets | 1,818,771 | 1,818,771 | $ 1,731,210 | ||
Provisions for credit losses and for benefits and claims | 1,409 | 1,648 | 3,454 | 3,563 | |
Operating Segments | Total Citicorp and Corporate/Other | |||||
Segment reporting information | |||||
Revenues, net of interest expense | 16,705 | 17,501 | 32,785 | 35,092 | |
Provision for income taxes | 1,738 | 1,896 | 3,087 | 3,867 | |
Income (loss) from continuing operations | 3,949 | 4,702 | 7,110 | 9,369 | |
Identifiable assets | 1,753,000 | 1,753,000 | 1,650,000 | ||
Operating Segments | Citicorp | North America | |||||
Segment reporting information | |||||
Revenues, net of interest expense | 8,300 | 8,300 | 16,200 | 16,800 | |
Operating Segments | Citicorp | EMEA | |||||
Segment reporting information | |||||
Revenues, net of interest expense | 2,600 | 2,600 | 4,800 | 5,500 | |
Operating Segments | Citicorp | Latin America | |||||
Segment reporting information | |||||
Revenues, net of interest expense | 2,300 | 2,500 | 4,500 | 4,900 | |
Operating Segments | Citicorp | Asia | |||||
Segment reporting information | |||||
Revenues, net of interest expense | $ 3,400 | 3,700 | $ 6,900 | 7,300 | |
Operating Segments | Global Consumer Banking | |||||
Segment reporting information | |||||
Number of regional business | business | 4 | 4 | |||
Revenues, net of interest expense | $ 7,733 | 8,184 | $ 15,503 | 16,486 | |
Provision for income taxes | 681 | 811 | 1,327 | 1,728 | |
Income (loss) from continuing operations | 1,323 | 1,611 | 2,554 | 3,323 | |
Identifiable assets | 402,000 | 402,000 | 381,000 | ||
Provisions for credit losses and for benefits and claims | 1,400 | 1,400 | 2,900 | 2,800 | |
Operating Segments | Institutional Clients Group | |||||
Segment reporting information | |||||
Revenues, net of interest expense | 8,846 | 8,946 | 16,882 | 18,023 | |
Provision for income taxes | 1,289 | 1,331 | 2,107 | 2,696 | |
Income (loss) from continuing operations | 2,715 | 2,860 | 4,674 | 5,834 | |
Identifiable assets | 1,302,000 | 1,302,000 | 1,217,000 | ||
Provisions for credit losses and for benefits and claims | $ 82 | (87) | $ 472 | (1) | |
Operating Segments | Institutional Clients Group | Minimum | |||||
Segment reporting information | |||||
Number of countries where the entity provides a broad range of banking and financial products and services (over) | country | 100 | 100 | |||
Operating Segments | Corporate/Other | |||||
Segment reporting information | |||||
Revenues, net of interest expense | $ 126 | 371 | $ 400 | 583 | |
Provision for income taxes | (232) | (246) | (347) | (557) | |
Income (loss) from continuing operations | (89) | 231 | (118) | 212 | |
Identifiable assets | 49,000 | 49,000 | 52,000 | ||
Operating Segments | Citi Holdings | |||||
Segment reporting information | |||||
Revenues, net of interest expense | 843 | 1,969 | 2,318 | 4,114 | |
Provision for income taxes | (15) | 140 | 115 | 289 | |
Income (loss) from continuing operations | 98 | 156 | 445 | 306 | |
Identifiable assets | 66,000 | 66,000 | $ 81,000 | ||
Provisions for credit losses and for benefits and claims | $ (100) | $ 300 | $ 100 | $ 800 |
INTEREST REVENUE AND EXPENSE (D
INTEREST REVENUE AND EXPENSE (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Interest revenue | ||||
Loan interest, including fees | $ 9,750 | $ 10,529 | $ 19,510 | $ 21,084 |
Deposits with banks | 237 | 168 | 456 | 351 |
Federal funds sold and securities borrowed or purchased under agreements to resell | 664 | 664 | 1,311 | 1,306 |
Investments, including dividends | 1,937 | 1,770 | 3,792 | 3,481 |
Trading account assets | 1,532 | 1,620 | 2,966 | 3,019 |
Other interest | 236 | 122 | 488 | 232 |
Total interest revenue | 14,356 | 14,873 | 28,523 | 29,473 |
Interest expense | ||||
Deposits | 1,306 | 1,288 | 2,510 | 2,613 |
Federal funds purchased and securities loaned or sold under agreements to repurchase | 527 | 443 | 1,029 | 819 |
Trading account liabilities | 96 | 54 | 184 | 101 |
Short-term borrowings | 109 | 157 | 210 | 277 |
Long-term debt | 1,082 | 1,109 | 2,127 | 2,269 |
Total interest expense | 3,120 | 3,051 | 6,060 | 6,079 |
Net interest revenue | 11,236 | 11,822 | 22,463 | 23,394 |
Provision for loan losses | 1,390 | 1,515 | 3,276 | 3,270 |
Net interest revenue after provision for loan losses | 9,846 | 10,307 | 19,187 | 20,124 |
Insurance fees and charges | $ 267 | $ 289 | $ 502 | $ 585 |
COMMISSIONS AND FEES (Details)
COMMISSIONS AND FEES (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Commissions and fees | ||||
Card fees amortization period | 12 months | |||
Total commissions and fees | $ 2,725 | $ 3,194 | $ 5,188 | $ 6,364 |
Investment banking | ||||
Commissions and fees | ||||
Total commissions and fees | 753 | 960 | 1,327 | 1,898 |
Investment banking | ||||
Commissions and fees | ||||
Total commissions and fees | 544 | 616 | 1,145 | 1,250 |
Trade and securities services | ||||
Commissions and fees | ||||
Total commissions and fees | 386 | 448 | 792 | 883 |
Credit cards and bank cards | ||||
Commissions and fees | ||||
Total commissions and fees | 344 | 497 | 615 | 998 |
Corporate finance | ||||
Commissions and fees | ||||
Total commissions and fees | 241 | 126 | 364 | 271 |
Other consumer | ||||
Commissions and fees | ||||
Total commissions and fees | 166 | 182 | 324 | 362 |
Checking-related | ||||
Commissions and fees | ||||
Total commissions and fees | 104 | 130 | 220 | 246 |
Loan servicing | ||||
Commissions and fees | ||||
Total commissions and fees | 68 | 119 | 164 | 214 |
Other | ||||
Commissions and fees | ||||
Total commissions and fees | $ 119 | $ 116 | $ 237 | $ 242 |
PRINCIPAL TRANSACTIONS (Details
PRINCIPAL TRANSACTIONS (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Principal transactions revenue | ||||
Principal transactions revenue | $ 1,816 | $ 2,173 | $ 3,656 | $ 4,144 |
Interest rate risks | ||||
Principal transactions revenue | ||||
Principal transactions revenue | 1,140 | 1,393 | 1,947 | 2,590 |
Foreign exchange risks | ||||
Principal transactions revenue | ||||
Principal transactions revenue | 402 | 718 | 1,015 | 804 |
Equity risks | ||||
Principal transactions revenue | ||||
Principal transactions revenue | (55) | (185) | (5) | (71) |
Commodity and other risks | ||||
Principal transactions revenue | ||||
Principal transactions revenue | 121 | 117 | 265 | 434 |
Credit products and risks | ||||
Principal transactions revenue | ||||
Principal transactions revenue | 208 | 130 | 434 | 387 |
Citicorp | Operating Segments | ||||
Principal transactions revenue | ||||
Principal transactions revenue | 1,820 | 2,119 | 3,649 | 4,051 |
Global Consumer Banking | Operating Segments | ||||
Principal transactions revenue | ||||
Principal transactions revenue | 165 | 144 | 310 | 300 |
Institutional Clients Group | Operating Segments | ||||
Principal transactions revenue | ||||
Principal transactions revenue | 1,911 | 1,793 | 3,485 | 3,990 |
Corporate/Other | Operating Segments | ||||
Principal transactions revenue | ||||
Principal transactions revenue | (256) | 182 | (146) | (239) |
Citi Holdings | Operating Segments | ||||
Principal transactions revenue | ||||
Principal transactions revenue | $ (4) | $ 54 | $ 7 | $ 93 |
RETIREMENT BENEFITS - Net (Bene
RETIREMENT BENEFITS - Net (Benefit) Expense (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Defined Benefit Plan Disclosure | ||||
Percentage of the significant plans over global pension and postretirement liabilities, which utilize quarterly measurement policy | 90.00% | 90.00% | ||
U.S. Pension Plans | ||||
Amortization of unrecognized | ||||
Total net (benefit) expense | $ (38) | $ (35) | $ (68) | $ (70) |
U.S. Qualified Pension Plan | ||||
Defined Benefit Plan, Net Periodic Benefit Cost | ||||
Benefits earned during the period | 0 | 0 | 1 | 2 |
Interest cost on benefit obligation | 132 | 131 | 273 | 268 |
Expected return on plan assets | (218) | (223) | (436) | (445) |
Amortization of unrecognized | ||||
Prior service benefit | 0 | (1) | 0 | (2) |
Net actuarial loss (gain) | 39 | 38 | 75 | 75 |
Curtailment loss (gain) | 0 | 10 | 0 | 10 |
Settlement loss | 0 | 0 | 0 | 0 |
Total net (benefit) expense | (47) | (45) | (87) | (92) |
U.S. Nonqualified Pension Plan | ||||
Amortization of unrecognized | ||||
Total net (benefit) expense | 9 | 10 | 19 | 22 |
Non-U.S. Pension Plans | ||||
Amortization of unrecognized | ||||
Total net (benefit) expense | 60 | 58 | 116 | 119 |
Non-U.S. Qualified Pension Plan | ||||
Defined Benefit Plan, Net Periodic Benefit Cost | ||||
Benefits earned during the period | 39 | 43 | 77 | 87 |
Interest cost on benefit obligation | 73 | 80 | 146 | 160 |
Expected return on plan assets | (74) | (83) | (146) | (167) |
Amortization of unrecognized | ||||
Prior service benefit | (1) | 0 | (1) | 0 |
Net actuarial loss (gain) | 20 | 18 | 39 | 39 |
Curtailment loss (gain) | 0 | 0 | (3) | 0 |
Settlement loss | 3 | 0 | 4 | 0 |
Total net (benefit) expense | 60 | 58 | 116 | 119 |
Non-U.S. Nonqualified Pension Plan | ||||
Amortization of unrecognized | ||||
Total net (benefit) expense | 0 | 0 | 0 | 0 |
U.S. Postretirement Benefit Plans | ||||
Amortization of unrecognized | ||||
Total net (benefit) expense | 1 | 8 | 7 | 16 |
U.S. Qualified Postretirement Benefit Plan | ||||
Defined Benefit Plan, Net Periodic Benefit Cost | ||||
Benefits earned during the period | 0 | 0 | 0 | 0 |
Interest cost on benefit obligation | 5 | 8 | 13 | 16 |
Expected return on plan assets | (3) | 0 | (5) | 0 |
Amortization of unrecognized | ||||
Prior service benefit | 0 | 0 | 0 | 0 |
Net actuarial loss (gain) | (1) | 0 | (1) | 0 |
Curtailment loss (gain) | 0 | 0 | 0 | 0 |
Settlement loss | 0 | 0 | 0 | 0 |
Total net (benefit) expense | 1 | 8 | 7 | 16 |
U.S. Nonqualified Postretirement Benefit Plan | ||||
Amortization of unrecognized | ||||
Total net (benefit) expense | 0 | 0 | 0 | 0 |
Non-U.S. Postretirement Benefit Plans | ||||
Amortization of unrecognized | ||||
Total net (benefit) expense | 10 | 15 | 21 | 25 |
Non-U.S. Qualified Postretirement Benefit Plan | ||||
Defined Benefit Plan, Net Periodic Benefit Cost | ||||
Benefits earned during the period | 3 | 3 | 6 | 7 |
Interest cost on benefit obligation | 24 | 30 | 48 | 57 |
Expected return on plan assets | (22) | (27) | (43) | (56) |
Amortization of unrecognized | ||||
Prior service benefit | (3) | (3) | (6) | (6) |
Net actuarial loss (gain) | 8 | 12 | 16 | 23 |
Curtailment loss (gain) | 0 | 0 | 0 | 0 |
Settlement loss | 0 | 0 | 0 | 0 |
Total net (benefit) expense | 10 | 15 | 21 | 25 |
Non-U.S. Nonqualified Postretirement Benefit Plan | ||||
Amortization of unrecognized | ||||
Total net (benefit) expense | $ 0 | $ 0 | $ 0 | $ 0 |
RETIREMENT BENEFITS - Funded St
RETIREMENT BENEFITS - Funded Status and Accumulated Other Comprehensive Income (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Mar. 31, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
U.S. Pension Plans | |||||
Change in projected benefit obligation (PBO) | |||||
Projected benefit obligation at beginning of year | $ 13,943 | $ 13,943 | |||
Projected benefit obligation at period end—Significant Plans | $ 14,912 | 14,912 | |||
Change in plan assets | |||||
Plan assets at fair value at beginning of year | 12,137 | 12,137 | |||
Company contributions | 28 | $ 22 | |||
Plan assets at fair value at period end—Significant Plans | 12,255 | 12,255 | |||
Funded status of the Significant plans | (2,657) | (2,657) | |||
Net amount recognized | |||||
Benefit asset | 0 | 0 | |||
Benefit liability | (2,657) | (2,657) | |||
Net amount recognized on the balance sheet—Significant Plans | (2,657) | (2,657) | |||
Amounts recognized in AOCI | |||||
Prior service benefit | 0 | 0 | |||
Net actuarial gain (loss) | (7,322) | (7,322) | |||
Net amount recognized in equity-pretax | (7,322) | (7,322) | |||
Accumulated benefit obligation at period end | 14,904 | 14,904 | |||
U.S. Pension Plans | Other than Significant Plans Measured Annually | |||||
Change in projected benefit obligation (PBO) | |||||
Projected benefit obligation at beginning of year | 0 | 0 | |||
Change in plan assets | |||||
Plan assets at fair value at beginning of year | 0 | 0 | |||
U.S. Pension Plans | Significant Plans Measured Quarterly | |||||
Change in projected benefit obligation (PBO) | |||||
Projected benefit obligation at beginning of year | 14,517 | 13,943 | 13,943 | ||
First quarter activity | 574 | ||||
Benefits earned during the period | 0 | ||||
Interest cost on benefit obligation | 139 | ||||
Plan amendments | 0 | ||||
Actuarial loss (gain) | 459 | ||||
Benefits paid, net of participants’ contributions | (203) | ||||
Foreign exchange impact and other | 0 | ||||
Projected benefit obligation at period end—Significant Plans | 14,517 | ||||
Change in plan assets | |||||
Plan assets at fair value at beginning of year | 12,065 | 12,137 | 12,137 | ||
First quarter activity | (72) | ||||
Actual return on plan assets | 380 | ||||
Company contributions | 13 | ||||
Plan participants’ contributions | 0 | ||||
Benefits paid, net of government subsidy | (203) | ||||
Foreign exchange impact and other | 0 | ||||
Plan assets at fair value at period end—Significant Plans | 12,065 | ||||
U.S. Qualified Pension Plan | |||||
Change in projected benefit obligation (PBO) | |||||
Benefits earned during the period | 0 | $ 0 | 1 | 2 | |
Interest cost on benefit obligation | 132 | 131 | 273 | 268 | |
Change in plan assets | |||||
Funded status of the Significant plans | (1,915) | (1,915) | |||
U.S. Nonqualified Pension Plan | |||||
Change in plan assets | |||||
Funded status of the Significant plans | (742) | (742) | |||
Non-U.S. Pension Plans | |||||
Change in projected benefit obligation (PBO) | |||||
Projected benefit obligation at beginning of year | 6,534 | 6,534 | |||
Projected benefit obligation at period end—Significant Plans | 5,008 | 5,008 | |||
Change in plan assets | |||||
Plan assets at fair value at beginning of year | 6,104 | 6,104 | |||
Company contributions | 58 | 29 | |||
Plan assets at fair value at period end—Significant Plans | 5,263 | 5,263 | |||
Funded status of the Significant plans | 255 | 255 | |||
Net amount recognized | |||||
Benefit asset | 807 | 807 | |||
Benefit liability | (552) | (552) | |||
Net amount recognized on the balance sheet—Significant Plans | 255 | 255 | |||
Amounts recognized in AOCI | |||||
Prior service benefit | 40 | 40 | |||
Net actuarial gain (loss) | (979) | (979) | |||
Net amount recognized in equity-pretax | (939) | (939) | |||
Accumulated benefit obligation at period end | 4,691 | 4,691 | |||
Non-U.S. Pension Plans | Other than Significant Plans Measured Annually | |||||
Change in projected benefit obligation (PBO) | |||||
Projected benefit obligation at beginning of year | 1,819 | 1,819 | |||
Change in plan assets | |||||
Plan assets at fair value at beginning of year | 1,175 | 1,175 | |||
Non-U.S. Pension Plans | Significant Plans Measured Quarterly | |||||
Change in projected benefit obligation (PBO) | |||||
Projected benefit obligation at beginning of year | 4,914 | 4,715 | 4,715 | ||
First quarter activity | 199 | ||||
Benefits earned during the period | 24 | ||||
Interest cost on benefit obligation | 60 | ||||
Plan amendments | 0 | ||||
Actuarial loss (gain) | 272 | ||||
Benefits paid, net of participants’ contributions | (55) | ||||
Foreign exchange impact and other | (207) | ||||
Projected benefit obligation at period end—Significant Plans | 4,914 | ||||
Change in plan assets | |||||
Plan assets at fair value at beginning of year | 5,162 | 4,929 | 4,929 | ||
First quarter activity | 233 | ||||
Actual return on plan assets | 394 | ||||
Company contributions | 13 | ||||
Plan participants’ contributions | 1 | ||||
Benefits paid, net of government subsidy | (56) | ||||
Foreign exchange impact and other | (251) | ||||
Plan assets at fair value at period end—Significant Plans | 5,162 | ||||
Non-U.S. Qualified Pension Plan | |||||
Change in projected benefit obligation (PBO) | |||||
Benefits earned during the period | 39 | 43 | 77 | 87 | |
Interest cost on benefit obligation | 73 | 80 | 146 | 160 | |
Change in plan assets | |||||
Funded status of the Significant plans | 255 | 255 | |||
Non-U.S. Nonqualified Pension Plan | |||||
Change in plan assets | |||||
Funded status of the Significant plans | 0 | 0 | |||
U.S. Postretirement Benefit Plans | |||||
Change in projected benefit obligation (PBO) | |||||
Projected benefit obligation at beginning of year | 817 | 817 | |||
Projected benefit obligation at period end—Significant Plans | 733 | 733 | |||
Change in plan assets | |||||
Plan assets at fair value at beginning of year | 166 | 166 | |||
Company contributions | 11 | 32 | |||
Plan assets at fair value at period end—Significant Plans | 145 | 145 | |||
Funded status of the Significant plans | (588) | (588) | |||
Net amount recognized | |||||
Benefit asset | 0 | 0 | |||
Benefit liability | (588) | (588) | |||
Net amount recognized on the balance sheet—Significant Plans | (588) | (588) | |||
Amounts recognized in AOCI | |||||
Prior service benefit | 0 | 0 | |||
Net actuarial gain (loss) | 63 | 63 | |||
Net amount recognized in equity-pretax | 63 | 63 | |||
Accumulated benefit obligation at period end | 733 | 733 | |||
U.S. Postretirement Benefit Plans | Other than Significant Plans Measured Annually | |||||
Change in projected benefit obligation (PBO) | |||||
Projected benefit obligation at beginning of year | 0 | 0 | |||
Change in plan assets | |||||
Plan assets at fair value at beginning of year | 0 | 0 | |||
U.S. Postretirement Benefit Plans | Significant Plans Measured Quarterly | |||||
Change in projected benefit obligation (PBO) | |||||
Projected benefit obligation at beginning of year | 839 | 817 | 817 | ||
First quarter activity | 22 | ||||
Benefits earned during the period | 0 | ||||
Interest cost on benefit obligation | 5 | ||||
Plan amendments | 0 | ||||
Actuarial loss (gain) | (88) | ||||
Benefits paid, net of participants’ contributions | (23) | ||||
Foreign exchange impact and other | 0 | ||||
Projected benefit obligation at period end—Significant Plans | 839 | ||||
Change in plan assets | |||||
Plan assets at fair value at beginning of year | 166 | 166 | 166 | ||
First quarter activity | 0 | ||||
Actual return on plan assets | 5 | ||||
Company contributions | (3) | ||||
Plan participants’ contributions | 0 | ||||
Benefits paid, net of government subsidy | (23) | ||||
Foreign exchange impact and other | 0 | ||||
Plan assets at fair value at period end—Significant Plans | 166 | ||||
U.S. Qualified Postretirement Benefit Plan | |||||
Change in projected benefit obligation (PBO) | |||||
Benefits earned during the period | 0 | 0 | 0 | 0 | |
Interest cost on benefit obligation | 5 | 8 | 13 | 16 | |
Change in plan assets | |||||
Funded status of the Significant plans | (588) | (588) | |||
U.S. Nonqualified Postretirement Benefit Plan | |||||
Change in plan assets | |||||
Funded status of the Significant plans | 0 | 0 | |||
Non-U.S. Postretirement Benefit Plans | |||||
Change in projected benefit obligation (PBO) | |||||
Projected benefit obligation at beginning of year | 1,291 | 1,291 | |||
Projected benefit obligation at period end—Significant Plans | 1,007 | 1,007 | |||
Change in plan assets | |||||
Plan assets at fair value at beginning of year | 1,133 | 1,133 | |||
Company contributions | 3 | 5 | |||
Plan assets at fair value at period end—Significant Plans | 1,108 | 1,108 | |||
Funded status of the Significant plans | 101 | 101 | |||
Net amount recognized | |||||
Benefit asset | 101 | 101 | |||
Benefit liability | 0 | 0 | |||
Net amount recognized on the balance sheet—Significant Plans | 101 | 101 | |||
Amounts recognized in AOCI | |||||
Prior service benefit | 100 | 100 | |||
Net actuarial gain (loss) | (456) | (456) | |||
Net amount recognized in equity-pretax | (356) | (356) | |||
Accumulated benefit obligation at period end | 1,007 | 1,007 | |||
Non-U.S. Postretirement Benefit Plans | Other than Significant Plans Measured Annually | |||||
Change in projected benefit obligation (PBO) | |||||
Projected benefit obligation at beginning of year | 282 | 282 | |||
Change in plan assets | |||||
Plan assets at fair value at beginning of year | 8 | 8 | |||
Non-U.S. Postretirement Benefit Plans | Significant Plans Measured Quarterly | |||||
Change in projected benefit obligation (PBO) | |||||
Projected benefit obligation at beginning of year | 1,039 | 1,009 | 1,009 | ||
First quarter activity | 30 | ||||
Benefits earned during the period | 2 | ||||
Interest cost on benefit obligation | 20 | ||||
Plan amendments | 0 | ||||
Actuarial loss (gain) | 29 | ||||
Benefits paid, net of participants’ contributions | (13) | ||||
Foreign exchange impact and other | (70) | ||||
Projected benefit obligation at period end—Significant Plans | 1,039 | ||||
Change in plan assets | |||||
Plan assets at fair value at beginning of year | 1,164 | 1,125 | 1,125 | ||
First quarter activity | 39 | ||||
Actual return on plan assets | 35 | ||||
Company contributions | 0 | ||||
Plan participants’ contributions | 0 | ||||
Benefits paid, net of government subsidy | (13) | ||||
Foreign exchange impact and other | (78) | ||||
Plan assets at fair value at period end—Significant Plans | $ 1,164 | ||||
Non-U.S. Qualified Postretirement Benefit Plan | |||||
Change in projected benefit obligation (PBO) | |||||
Benefits earned during the period | 3 | 3 | 6 | 7 | |
Interest cost on benefit obligation | 24 | $ 30 | 48 | $ 57 | |
Change in plan assets | |||||
Funded status of the Significant plans | 101 | 101 | |||
Non-U.S. Nonqualified Postretirement Benefit Plan | |||||
Change in plan assets | |||||
Funded status of the Significant plans | $ 0 | $ 0 |
RETIREMENT BENEFITS - Accumulat
RETIREMENT BENEFITS - Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Change in accumulated other comprehensive income (loss) | ||||
Change, net of tax | $ (27) | $ 578 | $ (492) | $ 488 |
Pension Plans and Postretirement Benefit Plans | ||||
Change in accumulated other comprehensive income (loss) | ||||
Beginning-of-period balance, net of tax | (5,581) | (5,116) | ||
Actuarial assumptions changes and plan experience | (672) | (1,547) | ||
Net asset gain due to difference between actual and expected returns | 508 | 671 | ||
Net amortization | 59 | 115 | ||
Prior service cost | (1) | 29 | ||
Curtailment/settlement gain | 3 | 4 | ||
Foreign exchange impact and other | 72 | (30) | ||
Change in deferred taxes, net | 4 | 266 | ||
Change, net of tax | (27) | (492) | ||
End-of-period balance, net of tax | $ (5,608) | $ (5,608) |
RETIREMENT BENEFITS - Assumptio
RETIREMENT BENEFITS - Assumptions Used (Details) | 3 Months Ended | ||
Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | |
U.S. Qualified Pension Plan | |||
Plan Assumptions - During the year | |||
Discount rate | 3.95% | 4.40% | |
Plan Assumptions - At year end | |||
Discount rate | 3.65% | 3.95% | 4.40% |
U.S. Nonqualified Pension Plan | |||
Plan Assumptions - During the year | |||
Discount rate | 3.90% | 4.35% | |
Plan Assumptions - At year end | |||
Discount rate | 3.55% | 3.90% | 4.35% |
U.S. Postretirement Benefit Plans | |||
Plan Assumptions - During the year | |||
Discount rate | 3.75% | 4.20% | |
Plan Assumptions - At year end | |||
Discount rate | 3.40% | 3.75% | 4.20% |
Non-U.S. Pension Plans | Weighted Average | |||
Plan Assumptions - During the year | |||
Discount rate | 5.14% | 5.37% | |
Plan Assumptions - At year end | |||
Discount rate | 4.80% | 5.14% | 5.37% |
Non-U.S. Pension Plans | Minimum | |||
Plan Assumptions - During the year | |||
Discount rate | 0.35% | 0.75% | |
Plan Assumptions - At year end | |||
Discount rate | 0.20% | 0.35% | 0.75% |
Non-U.S. Pension Plans | Maximum | |||
Plan Assumptions - During the year | |||
Discount rate | 12.30% | 13.20% | |
Plan Assumptions - At year end | |||
Discount rate | 11.85% | 12.30% | 13.20% |
Non-U.S. Postretirement Benefit Plans | |||
Plan Assumptions - During the year | |||
Discount rate | 8.45% | 8.60% | |
Plan Assumptions - At year end | |||
Discount rate | 8.20% | 8.45% | 8.60% |
RETIREMENT BENEFITS - Sensitivi
RETIREMENT BENEFITS - Sensitivities of Certain Key Assumptions (Details) $ in Millions | 3 Months Ended |
Jun. 30, 2016USD ($) | |
U.S. Pension Plans | |
Defined Benefit Plans and Other Postretirement Benefit Plans | |
Effect of one-percentage-point increase in discount rates | $ 7 |
Effect of one-percentage-point decrease in discount rates | (11) |
Non-U.S. Pension Plans | |
Defined Benefit Plans and Other Postretirement Benefit Plans | |
Effect of one-percentage-point increase in discount rates | (5) |
Effect of one-percentage-point decrease in discount rates | 7 |
U.S. Postretirement Benefit Plans | |
Defined Benefit Plans and Other Postretirement Benefit Plans | |
Effect of one-percentage-point increase in discount rates | 0 |
Effect of one-percentage-point decrease in discount rates | (1) |
Non-U.S. Postretirement Benefit Plans | |
Defined Benefit Plans and Other Postretirement Benefit Plans | |
Effect of one-percentage-point increase in discount rates | (2) |
Effect of one-percentage-point decrease in discount rates | $ 2 |
RETIREMENT BENEFITS - Contribut
RETIREMENT BENEFITS - Contributions (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2016 | Jun. 30, 2015 | |
U.S. Pension Plans | ||
Defined Benefit Plan, Estimated Future Employer Contributions [Abstract] | ||
Company contributions for the six months ended June 30, | $ 28 | $ 22 |
Company contributions made or expected to be made during the remainder of the year | 26 | 30 |
Non-U.S. Pension Plans | ||
Defined Benefit Plan, Estimated Future Employer Contributions [Abstract] | ||
Company contributions for the six months ended June 30, | 58 | 29 |
Company contributions made or expected to be made during the remainder of the year | 78 | 105 |
U.S. Postretirement Benefit Plans | ||
Defined Benefit Plan, Estimated Future Employer Contributions [Abstract] | ||
Company contributions for the six months ended June 30, | 11 | 32 |
Company contributions made or expected to be made during the remainder of the year | 0 | 203 |
Non-U.S. Postretirement Benefit Plans | ||
Defined Benefit Plan, Estimated Future Employer Contributions [Abstract] | ||
Company contributions for the six months ended June 30, | 3 | 5 |
Company contributions made or expected to be made during the remainder of the year | $ 5 | $ 4 |
RETIREMENT BENEFITS - Defined C
RETIREMENT BENEFITS - Defined Contribution Plans and Postemployment Plans (Details) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Defined Contribution Plans | |||||
Maximum percentage contribution by employer of employees eligible pay | 6.00% | 6.00% | |||
Maximum compensation to be eligible for fixed contribution from employer | $ 100,000 | $ 100,000 | |||
Percentage of fixed contribution by employer, for eligible employees whose compensation is $100,000 or less | 2.00% | 2.00% | |||
U.S. Postretirement Benefit Plans | |||||
Defined Benefit Plan, Net Periodic Benefit Cost | |||||
Interest cost on benefit obligation | $ 1,000,000 | $ 1,000,000 | $ 2,000,000 | $ 2,000,000 | |
Amortization of unrecognized | |||||
Prior service benefit | (8,000,000) | (8,000,000) | (16,000,000) | (15,000,000) | |
Net actuarial loss | 1,000,000 | 3,000,000 | 2,000,000 | 6,000,000 | |
Total service-related benefit | (6,000,000) | (4,000,000) | (12,000,000) | (7,000,000) | |
Non-service-related expense (benefit) | 5,000,000 | (3,000,000) | 13,000,000 | 6,000,000 | |
Total net expense | (1,000,000) | (7,000,000) | 1,000,000 | (1,000,000) | |
U.S. Postretirement Benefit Plans | |||||
Defined Contribution Plans | |||||
Pretax expense associated with Citigroup 401(k) plan | 97,000,000 | 99,000,000 | 193,000,000 | 200,000,000 | |
Non-U.S. Postretirement Benefit Plans | |||||
Defined Contribution Plans | |||||
Pretax expense associated with Citigroup 401(k) plan | $ 72,000,000 | $ 71,000,000 | $ 140,000,000 | $ 145,000,000 |
EARNINGS PER SHARE (Details)
EARNINGS PER SHARE (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||
Earnings Per Share [Abstract] | |||||
Income from continuing operations before attribution of noncontrolling interests | $ 4,047 | $ 4,858 | $ 7,555 | $ 9,675 | |
Less: Noncontrolling interests from continuing operations | 26 | 18 | 31 | 60 | |
Net income from continuing operations (for EPS purposes) | 4,021 | 4,840 | 7,524 | 9,615 | |
Income (loss) from discontinued operations, net of taxes | (23) | 6 | (25) | 1 | |
Citigroup’s net income | 3,998 | 4,846 | 7,499 | 9,616 | |
Less: Preferred dividends | 322 | 202 | 532 | 330 | |
Net income available to common shareholders | 3,676 | 4,644 | 6,967 | 9,286 | |
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS | 53 | 64 | 93 | 126 | |
Net income allocated to common shareholders for basic EPS | 3,623 | 4,580 | 6,874 | 9,160 | |
Net income allocated to common shareholders for diluted EPS | $ 3,623 | $ 4,580 | $ 6,874 | $ 9,160 | |
Weighted-average common shares outstanding applicable to basic EPS (in shares) | 2,915.8 | 3,020 | 2,929.4 | 3,027.1 | |
Effect of dilutive securities | |||||
Options (in shares) | 0.1 | 4.9 | 0.1 | 4.9 | |
Other employee plans (in shares) | 0 | 0.1 | 0 | 0.1 | |
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in shares) | 2,915.9 | 3,025 | 2,929.5 | 3,032.1 | |
Basic earnings per share | |||||
Income from continuing operations (in dollars per share) | [1] | $ 1.25 | $ 1.51 | $ 2.36 | $ 3.03 |
Discontinued operations (in dollars per share) | [1] | (0.01) | 0 | (0.01) | 0 |
Net income (in dollars per share) | [1] | 1.24 | 1.52 | 2.35 | 3.03 |
Diluted earnings per share | |||||
Income from continuing operations (in dollars per share) | [1] | 1.25 | 1.51 | 2.36 | 3.02 |
Discontinued operations (in dollars per share) | [1] | (0.01) | 0 | (0.01) | 0 |
Net income (in dollars per share) | [1] | $ 1.24 | $ 1.51 | 2.35 | 3.02 |
Weighted-average options to purchase common stock | |||||
Antidilutive Securities Excluded from Computation of Earnings Per Share | |||||
Antidilutive securities excluded from computation of earnings per common share (in shares) | 5.3 | 0.9 | |||
Antidilutive securities exercise price (in dollars per share) | $ 75.43 | $ 201.01 | $ 75.43 | $ 201.01 | |
Warrants issued to U.S. Treasury as part of TARP and loss-sharing agreement | Warrant with the exercise price of $178.50 | |||||
Antidilutive Securities Excluded from Computation of Earnings Per Share | |||||
Antidilutive securities excluded from computation of earnings per common share (in shares) | 21 | 21 | 21 | 21 | |
Antidilutive securities exercise price (in dollars per share) | $ 178.50 | $ 178.50 | $ 178.50 | $ 178.50 | |
Warrants issued to U.S. Treasury as part of TARP and loss-sharing agreement | Warrant with the exercise price of $106.10 | |||||
Antidilutive Securities Excluded from Computation of Earnings Per Share | |||||
Antidilutive securities excluded from computation of earnings per common share (in shares) | 25.5 | 25.5 | 25.5 | 25.5 | |
Antidilutive securities exercise price (in dollars per share) | $ 106.10 | $ 106.10 | $ 106.10 | $ 106.10 | |
[1] | Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income. |
FEDERAL FUNDS, SECURITIES BOR74
FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS - Federal Funds, Securities, and Deposits (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Federal Funds Purchased and Securities Sold under Agreements to Repurchase [Abstract] | ||
Federal funds sold | $ 0 | $ 25 |
Securities purchased under agreements to resell | 133,019 | 119,777 |
Deposits paid for securities borrowed | 95,664 | 99,873 |
Total | 228,683 | 219,675 |
Federal funds purchased | 547 | 189 |
Securities sold under agreements to repurchase | 141,056 | 131,650 |
Deposits received for securities loaned | 16,398 | 14,657 |
Total | $ 158,001 | $ 146,496 |
FEDERAL FUNDS, SECURITIES BOR75
FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS - Offsetting (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Securities purchased under agreements to resell | ||
Gross amounts of recognized assets | $ 186,000 | $ 176,167 |
Gross amounts offset on the Consolidated Balance Sheet | 52,981 | 56,390 |
Net amounts of assets included on the Consolidated Balance Sheet | 133,019 | 119,777 |
Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default | 100,605 | 92,039 |
Net amounts | 32,414 | 27,738 |
Deposits paid for securities borrowed | ||
Gross amounts of recognized assets | 95,664 | 99,873 |
Net amounts of assets included on the Consolidated Balance Sheet | 95,664 | 99,873 |
Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default | 14,402 | 16,619 |
Net amounts | 81,262 | 83,254 |
Total | ||
Total | 281,664 | 276,040 |
Gross amounts offset on the Consolidated Balance Sheet | 52,981 | 56,390 |
Net amounts of assets included on the Consolidated Balance Sheet | 228,683 | 219,650 |
Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default | 115,007 | 108,658 |
Net amounts | 113,676 | 110,992 |
Securities sold under agreements to repurchase | ||
Gross amounts of recognized liabilities | 194,037 | 188,040 |
Gross amounts offset on the Consolidated Balance Sheet | 52,981 | 56,390 |
Net amounts of liabilities included on the Consolidated Balance Sheet | 141,056 | 131,650 |
Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default | 74,448 | 60,641 |
Net amounts | 66,608 | 71,009 |
Deposits received for securities loaned | ||
Gross amounts of recognized liabilities | 16,398 | 14,657 |
Net amounts of liabilities included on the Consolidated Balance Sheet | 16,398 | 14,657 |
Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default | 1,761 | 3,226 |
Net amounts | 14,637 | 11,431 |
Total | ||
Gross amounts of recognized liabilities | 210,435 | 202,697 |
Gross amounts offset on the Consolidated Balance Sheet | 52,981 | 56,390 |
Net amounts of liabilities included on the Consolidated Balance Sheet | 157,454 | 146,307 |
Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default | 76,209 | 63,867 |
Net amounts | $ 81,245 | $ 82,440 |
FEDERAL FUNDS, SECURITIES BOR76
FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS - Repurchase Agreements (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Assets Sold under Agreements to Repurchase | ||
Repurchase agreements | $ 194,037 | $ 188,040 |
Securities lending agreements | 16,398 | 14,657 |
Gross amounts of recognized liabilities | 210,435 | 202,697 |
U.S. Treasury and federal agency | ||
Assets Sold under Agreements to Repurchase | ||
Repurchase agreements | 82,556 | 67,005 |
Securities lending agreements | 29 | 0 |
Gross amounts of recognized liabilities | 82,585 | 67,005 |
State and municipal securities | ||
Assets Sold under Agreements to Repurchase | ||
Repurchase agreements | 356 | 403 |
Securities lending agreements | 0 | 0 |
Gross amounts of recognized liabilities | 356 | 403 |
Foreign government | ||
Assets Sold under Agreements to Repurchase | ||
Repurchase agreements | 60,023 | 66,633 |
Securities lending agreements | 928 | 789 |
Gross amounts of recognized liabilities | 60,951 | 67,422 |
Corporate | ||
Assets Sold under Agreements to Repurchase | ||
Repurchase agreements | 17,062 | 15,355 |
Securities lending agreements | 1,033 | 1,085 |
Gross amounts of recognized liabilities | 18,095 | 16,440 |
Equity securities | ||
Assets Sold under Agreements to Repurchase | ||
Repurchase agreements | 8,599 | 10,297 |
Securities lending agreements | 14,365 | 12,484 |
Gross amounts of recognized liabilities | 22,964 | 22,781 |
Mortgage-backed securities | ||
Assets Sold under Agreements to Repurchase | ||
Repurchase agreements | 17,523 | 19,913 |
Securities lending agreements | 0 | 0 |
Gross amounts of recognized liabilities | 17,523 | 19,913 |
Asset-backed securities | ||
Assets Sold under Agreements to Repurchase | ||
Repurchase agreements | 4,345 | 4,572 |
Securities lending agreements | 0 | 0 |
Gross amounts of recognized liabilities | 4,345 | 4,572 |
Other | ||
Assets Sold under Agreements to Repurchase | ||
Repurchase agreements | 3,573 | 3,862 |
Securities lending agreements | 43 | 299 |
Gross amounts of recognized liabilities | 3,616 | 4,161 |
Open and overnight | ||
Assets Sold under Agreements to Repurchase | ||
Repurchase agreements | 104,435 | 89,732 |
Securities lending agreements | 10,877 | 9,096 |
Gross amounts of recognized liabilities | 115,312 | 98,828 |
Up to 30 days | ||
Assets Sold under Agreements to Repurchase | ||
Repurchase agreements | 45,117 | 54,336 |
Securities lending agreements | 2,514 | 1,823 |
Gross amounts of recognized liabilities | 47,631 | 56,159 |
31–90 days | ||
Assets Sold under Agreements to Repurchase | ||
Repurchase agreements | 19,486 | 21,541 |
Securities lending agreements | 1,540 | 2,324 |
Gross amounts of recognized liabilities | 21,026 | 23,865 |
Greater than 90 days | ||
Assets Sold under Agreements to Repurchase | ||
Repurchase agreements | 24,999 | 22,431 |
Securities lending agreements | 1,467 | 1,414 |
Gross amounts of recognized liabilities | $ 26,466 | $ 23,845 |
BROKERAGE RECEIVABLES AND BRO77
BROKERAGE RECEIVABLES AND BROKERAGE PAYABLES (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Brokers and Dealers [Abstract] | ||
Receivables from customers | $ 8,878 | $ 10,435 |
Receivables from brokers, dealers, and clearing organizations | 27,973 | 17,248 |
Total brokerage receivable | 36,851 | 27,683 |
Payables to customers | 38,788 | 35,653 |
Payables to brokers, dealers, and clearing organizations | 23,266 | 18,069 |
Total brokerage payable | $ 62,054 | $ 53,722 |
TRADING ACCOUNT ASSETS AND LI78
TRADING ACCOUNT ASSETS AND LIABILITIES (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Trading account assets and Trading account liabilities | ||
Trading account assets | $ 271,764 | $ 249,956 |
Trading account liabilities | 136,307 | 117,512 |
Securities sold, not yet purchased | ||
Trading account assets and Trading account liabilities | ||
Trading account liabilities | 72,003 | 57,827 |
Derivatives | ||
Trading account assets and Trading account liabilities | ||
Trading account liabilities | 63,204 | 57,592 |
Other trading liabilities | ||
Trading account assets and Trading account liabilities | ||
Trading account liabilities | 1,100 | 2,093 |
Derivatives, assets | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 72,213 | 56,184 |
Mortgage-backed securities - U.S. agency-sponsored | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 27,562 | 24,767 |
Mortgage-backed securities - Prime | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 212 | 803 |
Mortgage-backed securities - Alt-A | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 135 | 543 |
Mortgage-backed securities - Subprime | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 477 | 516 |
Mortgage-backed securities - Non-U.S. residential | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 171 | 523 |
Mortgage-backed securities - Commercial | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 1,536 | 2,855 |
Mortgage-backed securities | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 30,093 | 30,007 |
U.S. Treasury and federal agency | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 25,643 | 17,796 |
U.S. Treasury | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 23,069 | 15,791 |
Agency obligations | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 2,574 | 2,005 |
State and municipal securities | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 3,179 | 2,696 |
Foreign government securities | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 63,118 | 56,467 |
Corporate | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 15,156 | 14,579 |
Equity securities | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 47,007 | 56,495 |
Asset-backed securities | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | 3,540 | 3,956 |
Other trading assets | ||
Trading account assets and Trading account liabilities | ||
Trading account assets | $ 11,815 | $ 11,776 |
INVESTMENTS - Overview (Details
INVESTMENTS - Overview (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Investment Holdings | |||||
Investments | $ 356,293 | $ 356,293 | $ 342,955 | ||
Interest and dividends on investments | |||||
Taxable interest | 1,774 | $ 1,598 | 3,478 | $ 3,191 | |
Interest exempt from U.S. federal income tax | 118 | 49 | 234 | 72 | |
Dividend income | 45 | 123 | 80 | 218 | |
Total interest and dividend income | 1,937 | 1,770 | 3,792 | 3,481 | |
Gross realized investments losses, excluding losses from other-than-temporary impairment | |||||
Gross realized investment gains | 244 | 357 | 623 | 714 | |
Gross realized investment losses | (44) | (174) | (237) | (224) | |
Net realized gains on sale of investments | 200 | 183 | $ 386 | 490 | |
HTM securities sold, percent of principal collected, minimum | 85.00% | ||||
Available-for-sale Securities transferred from Held-to-maturity | |||||
Carrying value of HTM securities sold | 7 | 22 | $ 7 | 49 | |
Net realized gain (loss) on sale of HTM securities | (1) | 3 | (1) | 5 | |
Carrying value of securities reclassified to AFS | 24 | 0 | 150 | 94 | |
OTTI losses on securities reclassified to AFS | (1) | $ 0 | (6) | $ (5) | |
Securities available-for-sale | |||||
Amortized cost | 309,193 | 309,193 | 300,202 | ||
Gross unrealized gains | 4,822 | 4,822 | 1,375 | ||
Gross unrealized losses | 1,250 | 1,250 | 2,441 | ||
Fair value | 312,765 | 312,765 | 299,136 | ||
Mortgage-backed securities - U.S. agency-sponsored | |||||
Securities available-for-sale | |||||
Amortized cost | 44,698 | 44,698 | 39,584 | ||
Gross unrealized gains | 864 | 864 | 367 | ||
Gross unrealized losses | 65 | 65 | 237 | ||
Fair value | 45,497 | 45,497 | 39,714 | ||
Mortgage-backed securities - Prime | |||||
Securities available-for-sale | |||||
Amortized cost | 5 | 5 | 2 | ||
Gross unrealized gains | 0 | 0 | 0 | ||
Gross unrealized losses | 0 | 0 | 0 | ||
Fair value | 5 | 5 | 2 | ||
Mortgage-backed securities - Alt-A | |||||
Securities available-for-sale | |||||
Amortized cost | 66 | 66 | 50 | ||
Gross unrealized gains | 7 | 7 | 5 | ||
Gross unrealized losses | 0 | 0 | 0 | ||
Fair value | 73 | 73 | 55 | ||
Mortgage-backed securities - Non-U.S. residential | |||||
Securities available-for-sale | |||||
Amortized cost | 4,986 | 4,986 | 5,909 | ||
Gross unrealized gains | 23 | 23 | 31 | ||
Gross unrealized losses | 22 | 22 | 11 | ||
Fair value | 4,987 | 4,987 | 5,929 | ||
Mortgage-backed securities - Commercial | |||||
Securities available-for-sale | |||||
Amortized cost | 361 | 361 | 573 | ||
Gross unrealized gains | 5 | 5 | 2 | ||
Gross unrealized losses | 0 | 0 | 4 | ||
Fair value | 366 | 366 | 571 | ||
Mortgage-backed securities | |||||
Securities available-for-sale | |||||
Amortized cost | 50,116 | 50,116 | 46,118 | ||
Gross unrealized gains | 899 | 899 | 405 | ||
Gross unrealized losses | 87 | 87 | 252 | ||
Fair value | 50,928 | 50,928 | 46,271 | ||
U.S. Treasury | |||||
Securities available-for-sale | |||||
Amortized cost | 111,902 | 111,902 | 113,096 | ||
Gross unrealized gains | 2,587 | 2,587 | 254 | ||
Gross unrealized losses | 13 | 13 | 515 | ||
Fair value | 114,476 | 114,476 | 112,835 | ||
Agency obligations | |||||
Securities available-for-sale | |||||
Amortized cost | 10,940 | 10,940 | 10,095 | ||
Gross unrealized gains | 157 | 157 | 22 | ||
Gross unrealized losses | 5 | 5 | 37 | ||
Fair value | 11,092 | 11,092 | 10,080 | ||
U.S. Treasury and federal agency | |||||
Securities available-for-sale | |||||
Amortized cost | 122,842 | 122,842 | 123,191 | ||
Gross unrealized gains | 2,744 | 2,744 | 276 | ||
Gross unrealized losses | 18 | 18 | 552 | ||
Fair value | 125,568 | 125,568 | 122,915 | ||
State and municipal securities | |||||
Securities available-for-sale | |||||
Amortized cost | 11,667 | 11,667 | 12,099 | ||
Gross unrealized gains | 255 | 255 | 132 | ||
Gross unrealized losses | 669 | 669 | 772 | ||
Fair value | 11,253 | 11,253 | 11,459 | ||
Foreign government | |||||
Securities available-for-sale | |||||
Amortized cost | 93,408 | 93,408 | 88,751 | ||
Gross unrealized gains | 657 | 657 | 402 | ||
Gross unrealized losses | 226 | 226 | 479 | ||
Fair value | 93,839 | 93,839 | 88,674 | ||
Corporate | |||||
Securities available-for-sale | |||||
Amortized cost | 20,505 | 20,505 | 19,492 | ||
Gross unrealized gains | 242 | 242 | 129 | ||
Gross unrealized losses | 160 | 160 | 291 | ||
Fair value | 20,587 | 20,587 | 19,330 | ||
Asset-backed securities | |||||
Securities available-for-sale | |||||
Amortized cost | 8,121 | 8,121 | 9,261 | ||
Gross unrealized gains | 7 | 7 | 5 | ||
Gross unrealized losses | 85 | 85 | 92 | ||
Fair value | 8,043 | 8,043 | 9,174 | ||
Other | |||||
Securities available-for-sale | |||||
Amortized cost | 1,123 | 1,123 | 688 | ||
Gross unrealized gains | 0 | 0 | 0 | ||
Gross unrealized losses | 0 | 0 | 0 | ||
Fair value | 1,123 | 1,123 | 688 | ||
Debt securities | |||||
Securities available-for-sale | |||||
Amortized cost | 307,782 | 307,782 | 299,600 | ||
Gross unrealized gains | 4,804 | 4,804 | 1,349 | ||
Gross unrealized losses | 1,245 | 1,245 | 2,438 | ||
Fair value | 311,341 | 311,341 | 298,511 | ||
Equity securities | |||||
Securities available-for-sale | |||||
Amortized cost | 1,411 | 1,411 | 602 | ||
Gross unrealized gains | 18 | 18 | 26 | ||
Gross unrealized losses | 5 | 5 | 3 | ||
Fair value | 1,424 | 1,424 | 625 | ||
Securities available-for-sale (AFS) | |||||
Investment Holdings | |||||
Investments | 312,765 | 312,765 | 299,136 | ||
Held-to-maturity Securities | |||||
Investment Holdings | |||||
Investments | 35,903 | 35,903 | 36,215 | ||
Non-marketable equity securities | Fair value | |||||
Investment Holdings | |||||
Investments | 1,973 | 1,973 | 2,088 | ||
Non-marketable equity securities | Carried at cost | |||||
Investment Holdings | |||||
Investments | $ 5,652 | $ 5,652 | $ 5,516 |
INVESTMENTS - Fair Value of AFS
INVESTMENTS - Fair Value of AFS Securities (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | $ 34,925 | $ 133,606 |
12 months or longer | 17,405 | 17,537 |
Total | 52,330 | 151,143 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 338 | 1,334 |
12 months or longer | 912 | 1,107 |
Total | 1,250 | 2,441 |
Mortgage-backed securities - U.S. agency-sponsored | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 2,398 | 17,816 |
12 months or longer | 1,764 | 2,618 |
Total | 4,162 | 20,434 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 9 | 141 |
12 months or longer | 56 | 96 |
Total | 65 | 237 |
Mortgage-backed securities - Prime | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 4 | 0 |
12 months or longer | 1 | 1 |
Total | 5 | 1 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 0 | 0 |
12 months or longer | 0 | 0 |
Total | 0 | 0 |
Mortgage-backed securities - Alt-A | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 22 | |
12 months or longer | 0 | |
Total | 22 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 0 | |
12 months or longer | 0 | |
Total | 0 | |
Mortgage-backed securities - Non-U.S. residential | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 365 | 2,217 |
12 months or longer | 2,214 | 825 |
Total | 2,579 | 3,042 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 2 | 7 |
12 months or longer | 20 | 4 |
Total | 22 | 11 |
Mortgage-backed securities - Commercial | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 29 | 291 |
12 months or longer | 50 | 55 |
Total | 79 | 346 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 0 | 3 |
12 months or longer | 0 | 1 |
Total | 0 | 4 |
Mortgage-backed securities | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 2,818 | 20,324 |
12 months or longer | 4,029 | 3,499 |
Total | 6,847 | 23,823 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 11 | 151 |
12 months or longer | 76 | 101 |
Total | 87 | 252 |
U.S. Treasury | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 3,398 | 59,384 |
12 months or longer | 0 | 1,204 |
Total | 3,398 | 60,588 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 13 | 505 |
12 months or longer | 0 | 10 |
Total | 13 | 515 |
Agency obligations | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 188 | 6,716 |
12 months or longer | 137 | 196 |
Total | 325 | 6,912 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 0 | 30 |
12 months or longer | 5 | 7 |
Total | 5 | 37 |
U.S. Treasury and federal agency | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 3,586 | 66,100 |
12 months or longer | 137 | 1,400 |
Total | 3,723 | 67,500 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 13 | 535 |
12 months or longer | 5 | 17 |
Total | 18 | 552 |
State and municipal securities | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 226 | 635 |
12 months or longer | 3,751 | 4,450 |
Total | 3,977 | 5,085 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 8 | 26 |
12 months or longer | 661 | 746 |
Total | 669 | 772 |
Foreign government | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 21,672 | 34,053 |
12 months or longer | 4,086 | 4,021 |
Total | 25,758 | 38,074 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 170 | 371 |
12 months or longer | 56 | 108 |
Total | 226 | 479 |
Corporate | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 3,452 | 7,024 |
12 months or longer | 1,623 | 1,919 |
Total | 5,075 | 8,943 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 85 | 190 |
12 months or longer | 75 | 101 |
Total | 160 | 291 |
Asset-backed securities | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 2,937 | 5,311 |
12 months or longer | 3,778 | 2,247 |
Total | 6,715 | 7,558 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 46 | 58 |
12 months or longer | 39 | 34 |
Total | 85 | 92 |
Other | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 204 | 27 |
12 months or longer | 0 | 0 |
Total | 204 | 27 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 0 | 0 |
12 months or longer | 0 | 0 |
Total | 0 | 0 |
Equity securities | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 30 | 132 |
12 months or longer | 1 | 1 |
Total | 31 | 133 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 5 | 3 |
12 months or longer | 0 | 0 |
Total | $ 5 | $ 3 |
INVESTMENTS - Fair Value of A81
INVESTMENTS - Fair Value of AFS Debt Securities by Contractual Maturity Date (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Available-for-sale Securities, Debt Maturities, Single Maturity Date, Amortized Cost Basis [Abstract] | ||
Total amortized cost | $ 307,782 | $ 299,600 |
Available-for-sale Securities, Debt Maturities, Single Maturity Date [Abstract] | ||
Total fair value | 311,341 | 298,511 |
Mortgage-backed securities | ||
Available-for-sale Securities, Debt Maturities, Single Maturity Date, Amortized Cost Basis [Abstract] | ||
Due within 1 year, amortized cost | 171 | 114 |
After 1 but within 5 years, amortized cost | 1,218 | 1,408 |
After 5 but within 10 years, amortized cost | 2,260 | 1,750 |
After 10 years, amortized cost | 46,467 | 42,846 |
Total amortized cost | 50,116 | 46,118 |
Available-for-sale Securities, Debt Maturities, Single Maturity Date [Abstract] | ||
Fair value, due within 1 year | 171 | 114 |
Fair value, after 1 but within 5 years | 1,230 | 1,411 |
Fair value, after 5 but within 10 years | 2,314 | 1,751 |
Fair value, after 10 years | 47,213 | 42,995 |
Total fair value | 50,928 | 46,271 |
U.S. Treasury and federal agency | ||
Available-for-sale Securities, Debt Maturities, Single Maturity Date, Amortized Cost Basis [Abstract] | ||
Due within 1 year, amortized cost | 3,903 | 3,016 |
After 1 but within 5 years, amortized cost | 106,077 | 107,034 |
After 5 but within 10 years, amortized cost | 12,764 | 12,786 |
After 10 years, amortized cost | 98 | 355 |
Total amortized cost | 122,842 | 123,191 |
Available-for-sale Securities, Debt Maturities, Single Maturity Date [Abstract] | ||
Fair value, due within 1 year | 3,907 | 3,014 |
Fair value, after 1 but within 5 years | 108,292 | 106,878 |
Fair value, after 5 but within 10 years | 13,275 | 12,684 |
Fair value, after 10 years | 94 | 339 |
Total fair value | 125,568 | 122,915 |
State and municipal securities | ||
Available-for-sale Securities, Debt Maturities, Single Maturity Date, Amortized Cost Basis [Abstract] | ||
Due within 1 year, amortized cost | 769 | 3,289 |
After 1 but within 5 years, amortized cost | 4,109 | 1,781 |
After 5 but within 10 years, amortized cost | 322 | 502 |
After 10 years, amortized cost | 6,467 | 6,527 |
Total amortized cost | 11,667 | 12,099 |
Available-for-sale Securities, Debt Maturities, Single Maturity Date [Abstract] | ||
Fair value, due within 1 year | 763 | 3,287 |
Fair value, after 1 but within 5 years | 4,118 | 1,781 |
Fair value, after 5 but within 10 years | 337 | 516 |
Fair value, after 10 years | 6,035 | 5,875 |
Total fair value | 11,253 | 11,459 |
Foreign government | ||
Available-for-sale Securities, Debt Maturities, Single Maturity Date, Amortized Cost Basis [Abstract] | ||
Due within 1 year, amortized cost | 25,129 | 25,898 |
After 1 but within 5 years, amortized cost | 50,290 | 43,514 |
After 5 but within 10 years, amortized cost | 15,399 | 17,013 |
After 10 years, amortized cost | 2,590 | 2,326 |
Total amortized cost | 93,408 | 88,751 |
Available-for-sale Securities, Debt Maturities, Single Maturity Date [Abstract] | ||
Fair value, due within 1 year | 25,129 | 25,905 |
Fair value, after 1 but within 5 years | 50,457 | 43,464 |
Fair value, after 5 but within 10 years | 15,563 | 16,968 |
Fair value, after 10 years | 2,690 | 2,337 |
Total fair value | 93,839 | 88,674 |
All other | ||
Available-for-sale Securities, Debt Maturities, Single Maturity Date, Amortized Cost Basis [Abstract] | ||
Due within 1 year, amortized cost | 2,821 | 2,354 |
After 1 but within 5 years, amortized cost | 15,670 | 14,035 |
After 5 but within 10 years, amortized cost | 8,455 | 9,789 |
After 10 years, amortized cost | 2,803 | 3,263 |
Total amortized cost | 29,749 | 29,441 |
Available-for-sale Securities, Debt Maturities, Single Maturity Date [Abstract] | ||
Fair value, due within 1 year | 2,824 | 2,355 |
Fair value, after 1 but within 5 years | 15,814 | 14,054 |
Fair value, after 5 but within 10 years | 8,387 | 9,593 |
Fair value, after 10 years | 2,728 | 3,190 |
Total fair value | $ 29,753 | $ 29,192 |
INVESTMENTS - Debt Securities H
INVESTMENTS - Debt Securities Held-to-Maturity (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2016 | Dec. 31, 2015 | |
Debt Securities Held-to-maturity | |||
Amortized cost basis | $ 36,289 | $ 36,668 | |
Net unrealized gains (losses) recognized in AOCI | (386) | (453) | |
Carrying value | 35,903 | 36,215 | |
Gross unrealized gains | 1,058 | 690 | |
Gross unrealized (losses) | (112) | (394) | |
Fair value | 36,849 | 36,511 | |
Fair value of securities transferred from AFS to HTM | $ 7,100 | ||
Mortgage-backed securities - U.S. agency-sponsored | |||
Debt Securities Held-to-maturity | |||
Amortized cost basis | 17,158 | 17,648 | |
Net unrealized gains (losses) recognized in AOCI | 129 | 138 | |
Carrying value | 17,287 | 17,786 | |
Gross unrealized gains | 424 | 71 | |
Gross unrealized (losses) | 0 | (100) | |
Fair value | 17,711 | 17,757 | |
Fair value of securities transferred from AFS to HTM | 7,000 | ||
Mortgage-backed securities - Prime | |||
Debt Securities Held-to-maturity | |||
Amortized cost basis | 43 | 121 | |
Net unrealized gains (losses) recognized in AOCI | (8) | (78) | |
Carrying value | 35 | 43 | |
Gross unrealized gains | 4 | 3 | |
Gross unrealized (losses) | (1) | (1) | |
Fair value | 38 | 45 | |
Mortgage-backed securities - Alt-A | |||
Debt Securities Held-to-maturity | |||
Amortized cost basis | 371 | 433 | |
Net unrealized gains (losses) recognized in AOCI | (43) | (1) | |
Carrying value | 328 | 432 | |
Gross unrealized gains | 73 | 259 | |
Gross unrealized (losses) | (2) | (162) | |
Fair value | 399 | 529 | |
Mortgage-backed securities - Subprime | |||
Debt Securities Held-to-maturity | |||
Amortized cost basis | 2 | 2 | |
Net unrealized gains (losses) recognized in AOCI | 0 | 0 | |
Carrying value | 2 | 2 | |
Gross unrealized gains | 10 | 13 | |
Gross unrealized (losses) | 0 | 0 | |
Fair value | 12 | 15 | |
Mortgage-backed securities - Non-U.S. residential | |||
Debt Securities Held-to-maturity | |||
Amortized cost basis | 1,166 | 1,330 | |
Net unrealized gains (losses) recognized in AOCI | (54) | (60) | |
Carrying value | 1,112 | 1,270 | |
Gross unrealized gains | 35 | 37 | |
Gross unrealized (losses) | (3) | 0 | |
Fair value | 1,144 | 1,307 | |
Mortgage-backed securities | |||
Debt Securities Held-to-maturity | |||
Amortized cost basis | 18,740 | 19,534 | |
Net unrealized gains (losses) recognized in AOCI | 24 | (1) | |
Carrying value | 18,764 | 19,533 | |
Gross unrealized gains | 546 | 383 | |
Gross unrealized (losses) | (6) | (263) | |
Fair value | 19,304 | 19,653 | |
State and municipal securities | |||
Debt Securities Held-to-maturity | |||
Amortized cost basis | 8,476 | 8,581 | |
Net unrealized gains (losses) recognized in AOCI | (403) | (438) | |
Carrying value | 8,073 | 8,143 | |
Gross unrealized gains | 495 | 245 | |
Gross unrealized (losses) | (68) | (87) | |
Fair value | 8,500 | 8,301 | |
Fair value of securities transferred from AFS to HTM | $ 100 | ||
Foreign government | |||
Debt Securities Held-to-maturity | |||
Amortized cost basis | 2,231 | 4,068 | |
Net unrealized gains (losses) recognized in AOCI | 0 | 0 | |
Carrying value | 2,231 | 4,068 | |
Gross unrealized gains | 2 | 28 | |
Gross unrealized (losses) | (1) | (3) | |
Fair value | 2,232 | 4,093 | |
Asset-backed securities | |||
Debt Securities Held-to-maturity | |||
Amortized cost basis | 6,842 | 4,485 | |
Net unrealized gains (losses) recognized in AOCI | (7) | (14) | |
Carrying value | 6,835 | 4,471 | |
Gross unrealized gains | 15 | 34 | |
Gross unrealized (losses) | (37) | (41) | |
Fair value | $ 6,813 | $ 4,464 |
INVESTMENTS - Debt Securities i
INVESTMENTS - Debt Securities in HTM in Unrecognized Loss Position (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | $ 552 | $ 2,128 |
12 months or longer | 7,525 | 15,359 |
Total | 8,077 | 17,487 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 12 | 37 |
12 months or longer | 100 | 357 |
Total | 112 | 394 |
Unrealized (loss), other than temporary impairment, not credit loss, recorded in AOCI | (386) | (453) |
Mortgage-backed securities | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 48 | 935 |
12 months or longer | 77 | 10,301 |
Total | 125 | 11,236 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 3 | 1 |
12 months or longer | 3 | 262 |
Total | 6 | 263 |
State and municipal securities | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 224 | 881 |
12 months or longer | 1,755 | 1,826 |
Total | 1,979 | 2,707 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 8 | 20 |
12 months or longer | 60 | 67 |
Total | 68 | 87 |
Foreign government | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 278 | 180 |
12 months or longer | 0 | 0 |
Total | 278 | 180 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 1 | 3 |
12 months or longer | 0 | 0 |
Total | 1 | 3 |
Asset-backed securities | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | ||
Less than 12 months | 2 | 132 |
12 months or longer | 5,693 | 3,232 |
Total | 5,695 | 3,364 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | ||
Less than 12 months | 0 | 13 |
12 months or longer | 37 | 28 |
Total | $ 37 | $ 41 |
INVESTMENTS - Carrying Value an
INVESTMENTS - Carrying Value and Fair Value of HTM Debt Securities by Contractual Maturity Dates (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Held-to-maturity Securities, Debt Maturities, Net Carrying Amount; | ||
Carrying value | $ 35,903 | $ 36,215 |
Held-to-maturity Securities, Debt Maturities, Fair Value; | ||
Fair value | 36,849 | 36,511 |
Mortgage-backed securities | ||
Held-to-maturity Securities, Debt Maturities, Net Carrying Amount; | ||
Due within 1 year, carrying value | 0 | 0 |
After 1 but within 5 years, carrying value | 456 | 172 |
After 5 but within 10 years, carrying value | 347 | 660 |
After 10 years, carrying value | 17,961 | 18,701 |
Carrying value | 18,764 | 19,533 |
Held-to-maturity Securities, Debt Maturities, Fair Value; | ||
Due within 1 year, fair value | 0 | 0 |
After 1 but within 5 years, fair value | 471 | 172 |
After 5 but within 10 years, fair value | 360 | 663 |
After 10 years, fair value | 18,473 | 18,818 |
Fair value | 19,304 | 19,653 |
State and municipal securities | ||
Held-to-maturity Securities, Debt Maturities, Net Carrying Amount; | ||
Due within 1 year, carrying value | 441 | 309 |
After 1 but within 5 years, carrying value | 262 | 336 |
After 5 but within 10 years, carrying value | 216 | 262 |
After 10 years, carrying value | 7,154 | 7,236 |
Carrying value | 8,073 | 8,143 |
Held-to-maturity Securities, Debt Maturities, Fair Value; | ||
Due within 1 year, fair value | 434 | 305 |
After 1 but within 5 years, fair value | 263 | 335 |
After 5 but within 10 years, fair value | 231 | 270 |
After 10 years, fair value | 7,572 | 7,391 |
Fair value | 8,500 | 8,301 |
Foreign government | ||
Held-to-maturity Securities, Debt Maturities, Net Carrying Amount; | ||
Due within 1 year, carrying value | 1,655 | 0 |
After 1 but within 5 years, carrying value | 576 | 4,068 |
After 5 but within 10 years, carrying value | 0 | 0 |
After 10 years, carrying value | 0 | 0 |
Carrying value | 2,231 | 4,068 |
Held-to-maturity Securities, Debt Maturities, Fair Value; | ||
Due within 1 year, fair value | 1,657 | 0 |
After 1 but within 5 years, fair value | 575 | 4,093 |
After 5 but within 10 years, fair value | 0 | 0 |
After 10 years, fair value | 0 | 0 |
Fair value | 2,232 | 4,093 |
All other | ||
Held-to-maturity Securities, Debt Maturities, Net Carrying Amount; | ||
Due within 1 year, carrying value | 0 | 0 |
After 1 but within 5 years, carrying value | 0 | 0 |
After 5 but within 10 years, carrying value | 134 | 0 |
After 10 years, carrying value | 6,701 | 4,471 |
Carrying value | 6,835 | 4,471 |
Held-to-maturity Securities, Debt Maturities, Fair Value; | ||
Due within 1 year, fair value | 0 | 0 |
After 1 but within 5 years, fair value | 0 | 0 |
After 5 but within 10 years, fair value | 134 | 0 |
After 10 years, fair value | 6,679 | 4,464 |
Fair value | $ 6,813 | $ 4,464 |
INVESTMENTS - Mortgage-backed S
INVESTMENTS - Mortgage-backed Securities (Details) - Mortgage-backed securities | 6 Months Ended |
Jun. 30, 2016 | |
30-59 day delinquent loans | |
Key assumptions for mortgage-backed securities | |
Default rate projection | 25.00% |
60-90 day deliquent loans | |
Key assumptions for mortgage-backed securities | |
Default rate projection | 70.00% |
91+ day deliquent loans | |
Key assumptions for mortgage-backed securities | |
Default rate projection | 100.00% |
Current loans | |
Key assumptions for mortgage-backed securities | |
Default rate projection | 10.00% |
INVESTMENTS - Recognition and M
INVESTMENTS - Recognition and Measurement of OTTI (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
OTTI on Investments disclosures | ||||
Total OTTI losses recognized during the period | $ 3 | $ 0 | $ 4 | $ 0 |
Less: portion of impairment loss recognized in AOCI (before taxes) | 0 | 0 | 0 | 0 |
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell | 3 | 0 | 4 | 0 |
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses | 115 | 43 | 579 | 115 |
Total impairment losses recognized in earnings | 118 | 43 | 583 | 115 |
Securities available-for-sale (AFS) | ||||
OTTI on Investments disclosures | ||||
Total OTTI losses recognized during the period | 2 | 0 | 3 | 0 |
Less: portion of impairment loss recognized in AOCI (before taxes) | 0 | 0 | 0 | 0 |
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell | 2 | 0 | 3 | 0 |
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses | 28 | 19 | 223 | 88 |
Total impairment losses recognized in earnings | 30 | 19 | 226 | 88 |
Held-to-maturity Securities | ||||
OTTI on Investments disclosures | ||||
Total OTTI losses recognized during the period | 1 | 0 | 1 | 0 |
Less: portion of impairment loss recognized in AOCI (before taxes) | 0 | 0 | 0 | 0 |
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell | 1 | 0 | 1 | 0 |
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses | 17 | 19 | 24 | 22 |
Total impairment losses recognized in earnings | 18 | 19 | 25 | 22 |
Other Assets | ||||
OTTI on Investments disclosures | ||||
Total OTTI losses recognized during the period | 0 | 0 | 0 | 0 |
Less: portion of impairment loss recognized in AOCI (before taxes) | 0 | 0 | 0 | 0 |
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell | 0 | 0 | 0 | 0 |
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses | 70 | 5 | 332 | 5 |
Total impairment losses recognized in earnings | $ 70 | $ 5 | 332 | $ 5 |
VENEZUELA | Securities available-for-sale (AFS) | ||||
OTTI on Investments disclosures | ||||
Total impairment losses recognized in earnings | $ 160 |
INVESTMENTS - Cumulative OTTI C
INVESTMENTS - Cumulative OTTI Credit Losses (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
AFS debt securities | ||||
Schedule of other-than-temporary impairment, credit losses recognized in earnings, roll forward | ||||
Beginning balance | $ 740 | $ 726 | $ 754 | $ 733 |
Credit impairments recognized in earnings on securities not previously impaired | 1 | 0 | 2 | 0 |
Credit impairments recognized in earnings on securities that have been previously impaired | 2 | 0 | 2 | 0 |
Reductions due to credit-impaired securities sold, transferred or matured | (2) | 0 | (17) | (7) |
Ending balance | 741 | 726 | 741 | 726 |
AFS debt securities | Mortgage-backed securities | ||||
Schedule of other-than-temporary impairment, credit losses recognized in earnings, roll forward | ||||
Beginning balance | 294 | 295 | 294 | 295 |
Credit impairments recognized in earnings on securities not previously impaired | 1 | 0 | 1 | 0 |
Credit impairments recognized in earnings on securities that have been previously impaired | 0 | 0 | 0 | 0 |
Reductions due to credit-impaired securities sold, transferred or matured | 0 | 0 | 0 | 0 |
Ending balance | 295 | 295 | 295 | 295 |
AFS debt securities | State and municipal securities | ||||
Schedule of other-than-temporary impairment, credit losses recognized in earnings, roll forward | ||||
Beginning balance | 0 | 0 | 8 | |
Credit impairments recognized in earnings on securities not previously impaired | 0 | 0 | 0 | |
Credit impairments recognized in earnings on securities that have been previously impaired | 0 | 0 | 0 | |
Reductions due to credit-impaired securities sold, transferred or matured | 0 | 0 | (8) | |
Ending balance | 0 | 0 | 0 | 0 |
AFS debt securities | Foreign government securities | ||||
Schedule of other-than-temporary impairment, credit losses recognized in earnings, roll forward | ||||
Beginning balance | 170 | 170 | 170 | 171 |
Credit impairments recognized in earnings on securities not previously impaired | 0 | 0 | 0 | 0 |
Credit impairments recognized in earnings on securities that have been previously impaired | 0 | 0 | 0 | 0 |
Reductions due to credit-impaired securities sold, transferred or matured | 0 | 0 | 0 | (1) |
Ending balance | 170 | 170 | 170 | 170 |
AFS debt securities | Corporate | ||||
Schedule of other-than-temporary impairment, credit losses recognized in earnings, roll forward | ||||
Beginning balance | 110 | 112 | 112 | 118 |
Credit impairments recognized in earnings on securities not previously impaired | 0 | 0 | 1 | 0 |
Credit impairments recognized in earnings on securities that have been previously impaired | 2 | 0 | 2 | 0 |
Reductions due to credit-impaired securities sold, transferred or matured | (2) | 0 | (5) | (6) |
Ending balance | 110 | 112 | 110 | 112 |
AFS debt securities | Other | ||||
Schedule of other-than-temporary impairment, credit losses recognized in earnings, roll forward | ||||
Beginning balance | 166 | 149 | 170 | 149 |
Credit impairments recognized in earnings on securities not previously impaired | 0 | 0 | 0 | 0 |
Credit impairments recognized in earnings on securities that have been previously impaired | 0 | 0 | 0 | 0 |
Reductions due to credit-impaired securities sold, transferred or matured | 0 | 0 | (4) | 0 |
Ending balance | 166 | 149 | 166 | 149 |
HTM debt securities | ||||
Schedule of other-than-temporary impairment, credit losses recognized in earnings, roll forward | ||||
Beginning balance | 800 | 801 | 800 | 803 |
Credit impairments recognized in earnings on securities not previously impaired | 1 | 0 | 1 | 0 |
Credit impairments recognized in earnings on securities that have been previously impaired | 0 | 0 | 0 | 0 |
Reductions due to credit-impaired securities sold, transferred or matured | (25) | 0 | (25) | (2) |
Ending balance | 776 | 801 | 776 | 801 |
HTM debt securities | Mortgage-backed securities | ||||
Schedule of other-than-temporary impairment, credit losses recognized in earnings, roll forward | ||||
Beginning balance | 668 | 668 | 668 | 670 |
Credit impairments recognized in earnings on securities not previously impaired | 0 | 0 | 0 | 0 |
Credit impairments recognized in earnings on securities that have been previously impaired | 0 | 0 | 0 | 0 |
Reductions due to credit-impaired securities sold, transferred or matured | (24) | 0 | (24) | (2) |
Ending balance | 644 | 668 | 644 | 668 |
HTM debt securities | State and municipal securities | ||||
Schedule of other-than-temporary impairment, credit losses recognized in earnings, roll forward | ||||
Beginning balance | 0 | 0 | ||
Credit impairments recognized in earnings on securities not previously impaired | 1 | 1 | ||
Credit impairments recognized in earnings on securities that have been previously impaired | 0 | 0 | ||
Reductions due to credit-impaired securities sold, transferred or matured | 0 | 0 | ||
Ending balance | 1 | 1 | ||
HTM debt securities | Other | ||||
Schedule of other-than-temporary impairment, credit losses recognized in earnings, roll forward | ||||
Beginning balance | 132 | 133 | 132 | 133 |
Credit impairments recognized in earnings on securities not previously impaired | 0 | 0 | 0 | 0 |
Credit impairments recognized in earnings on securities that have been previously impaired | 0 | 0 | 0 | 0 |
Reductions due to credit-impaired securities sold, transferred or matured | (1) | 0 | (1) | 0 |
Ending balance | $ 131 | $ 133 | $ 131 | $ 133 |
INVESTMENTS - Alternative Inves
INVESTMENTS - Alternative Investment Funds (Details) - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Investments in Alternative Investment Funds | ||
Alternative investment funds, fair value | $ 787 | $ 895 |
Alternative investment funds, unfunded commitments | 158 | 194 |
Amount of fund assets valued using net asset values provided by third party asset managers which is included in the total fair value amount of alternative investment funds | 800 | 900 |
Hedge funds | ||
Investments in Alternative Investment Funds | ||
Alternative investment funds, fair value | 2 | 3 |
Alternative investment funds, unfunded commitments | $ 0 | $ 0 |
Alternative investment funds, redemption frequency (if currently eligible) | Generally quarterly | |
Hedge funds | Minimum | ||
Investments in Alternative Investment Funds | ||
Alternative investment funds, redemption notice period | 10 days | 10 days |
Hedge funds | Maximum | ||
Investments in Alternative Investment Funds | ||
Alternative investment funds, redemption notice period | 95 days | 95 days |
Private equity | ||
Investments in Alternative Investment Funds | ||
Alternative investment funds, fair value | $ 714 | $ 762 |
Alternative investment funds, unfunded commitments | 136 | 173 |
Real estate funds | ||
Investments in Alternative Investment Funds | ||
Alternative investment funds, fair value | 71 | 130 |
Alternative investment funds, unfunded commitments | $ 22 | $ 21 |
LOANS - Consumer Loans (Details
LOANS - Consumer Loans (Details) $ in Millions | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2016USD ($)category | Jun. 30, 2015USD ($) | Jun. 30, 2016USD ($)category | Jun. 30, 2015USD ($) | Jun. 17, 2016USD ($) | Dec. 31, 2015USD ($) | |
Loans | ||||||
Number of loan categories | category | 2 | 2 | ||||
Loans, net of unearned income | $ 633,515 | $ 633,515 | $ 617,617 | |||
Consumer | ||||||
Loans | ||||||
Total loans | 325,602 | 325,602 | 324,955 | |||
Net unearned income | 817 | 817 | 830 | |||
Loans, net of unearned income | 326,419 | 326,419 | 325,785 | |||
Loans sold and/or reclassified to held-for-sale | 2,100 | $ 1,500 | 4,700 | $ 14,800 | ||
In U.S. offices | Consumer | ||||||
Loans | ||||||
Total loans | 207,882 | 207,882 | 202,968 | |||
In U.S. offices | Consumer | Mortgage and real estate | ||||||
Loans | ||||||
Total loans | 77,242 | 77,242 | 80,281 | |||
In U.S. offices | Consumer | Installment, revolving credit, and other | ||||||
Loans | ||||||
Total loans | 3,486 | 3,486 | 3,480 | |||
In U.S. offices | Consumer | Cards | ||||||
Loans | ||||||
Total loans | 120,113 | 120,113 | 112,800 | |||
Loans acquired | $ 11,300 | |||||
In U.S. offices | Consumer | Commercial and industrial | ||||||
Loans | ||||||
Total loans | 7,041 | 7,041 | 6,407 | |||
In offices outside the U.S. | Consumer | ||||||
Loans | ||||||
Total loans | 117,720 | 117,720 | 121,987 | |||
In offices outside the U.S. | Consumer | Mortgage and real estate | ||||||
Loans | ||||||
Total loans | 46,049 | 46,049 | 47,062 | |||
In offices outside the U.S. | Consumer | Installment, revolving credit, and other | ||||||
Loans | ||||||
Total loans | 27,830 | 27,830 | 29,480 | |||
In offices outside the U.S. | Consumer | Cards | ||||||
Loans | ||||||
Total loans | 25,844 | 25,844 | 27,342 | |||
In offices outside the U.S. | Consumer | Commercial and industrial | ||||||
Loans | ||||||
Total loans | 17,857 | 17,857 | 17,741 | |||
In offices outside the U.S. | Consumer | Lease financing | ||||||
Loans | ||||||
Total loans | $ 140 | $ 140 | $ 362 |
LOANS - Consumer Loan Delinquen
LOANS - Consumer Loan Delinquency (Details) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016USD ($)paymentre-aging | Dec. 31, 2015USD ($) | |
Non-Accrual Details | ||
Loans, net of unearned income | $ 633,515 | $ 617,617 |
Loans at fair value | $ 4,134 | 5,005 |
Consumer | ||
Loans receivable | ||
Number of days past due, non-accrual status | 60 days | |
Non-Accrual Details | ||
Loans, current | $ 318,514 | 316,953 |
Loans, net of unearned income | 326,419 | 325,785 |
Total non-accrual | 3,705 | 3,658 |
90 days past due and accruing | $ 2,995 | $ 3,537 |
Loans less than this number of days past due are considered current | 30 days | 30 days |
Consumer | Minimum | ||
Loans receivable | ||
Minimum number of payments made consecutively for the loans to be re-aged | payment | 1 | |
Consumer | Maximum | ||
Loans receivable | ||
Minimum number of payments made consecutively for the loans to be re-aged | payment | 3 | |
Consumer | Less than or equal to 80% | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | $ 60,121 | $ 60,463 |
Consumer | 80% but less than or equal to 100% | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 8,373 | 9,625 |
Consumer | Greater than 100% | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 2,606 | 3,153 |
Consumer | Less than 620 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 12,504 | 13,228 |
Consumer | ≥ 620 but less than 660 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 14,825 | 15,160 |
Consumer | Equal to or greater than 660 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 164,769 | 158,740 |
Consumer | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 1,885 | 2,318 |
Consumer | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
Loans, past due | 3,177 | 3,461 |
Consumer | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
Loans, past due | $ 2,843 | $ 3,053 |
Consumer | Open-ended consumer loans | ||
Loans receivable | ||
Minimum number of payments made consecutively for the loans to be re-aged | payment | 3 | |
Number of re-age modification limitations in twelve months | re-aging | 1 | |
Number of re-age modification limitations in five years | re-aging | 2 | |
Consumer | Residential first mortgages | ||
Loans receivable | ||
Number of days past due, non-accrual status | 90 days | 90 days |
Non-Accrual Details | ||
Loans at fair value | $ 32 | $ 34 |
Consumer | Residential first mortgages | Less than or equal to 80% | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 46,838 | 46,559 |
Consumer | Residential first mortgages | 80% but less than or equal to 100% | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 4,032 | 4,478 |
Consumer | Residential first mortgages | Greater than 100% | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 502 | 626 |
Consumer | Residential first mortgages | Less than 620 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 2,978 | 3,483 |
Consumer | Residential first mortgages | ≥ 620 but less than 660 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 2,742 | 3,036 |
Consumer | Residential first mortgages | Equal to or greater than 660 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | $ 45,580 | 45,047 |
Consumer | Home equity loans | ||
Loans receivable | ||
Number of days past due, non-accrual status | 90 days | |
Consumer | Home equity loans | Less than or equal to 80% | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | $ 13,283 | 13,904 |
Consumer | Home equity loans | 80% but less than or equal to 100% | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 4,341 | 5,147 |
Consumer | Home equity loans | Greater than 100% | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 2,104 | 2,527 |
Consumer | Home equity loans | Less than 620 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 1,884 | 2,067 |
Consumer | Home equity loans | ≥ 620 but less than 660 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 1,584 | 1,782 |
Consumer | Home equity loans | Equal to or greater than 660 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | $ 16,360 | 17,837 |
Consumer | Credit cards | ||
Loans receivable | ||
Number of days past due, non-accrual status | 180 days | |
Consumer | Credit cards | Less than 620 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | $ 7,332 | 7,341 |
Consumer | Credit cards | ≥ 620 but less than 660 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 10,234 | 10,072 |
Consumer | Credit cards | Equal to or greater than 660 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | $ 100,186 | 93,194 |
Consumer | Unsecured revolving loans | ||
Loans receivable | ||
Number of days past due, non-accrual status | 180 days | |
Consumer | Installment and other revolving | ||
Loans receivable | ||
Number of days past due, non-accrual status | 90 days | |
Consumer | Installment and other revolving | Less than 620 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | $ 310 | 337 |
Consumer | Installment and other revolving | ≥ 620 but less than 660 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 265 | 270 |
Consumer | Installment and other revolving | Equal to or greater than 660 | ||
Financing Receivable | ||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | $ 2,643 | 2,662 |
Consumer | Commercial banking loans | ||
Loans receivable | ||
Number of days past due, non-accrual status | 90 days | |
Consumer | Total GCB and Citi Holdings consumer | ||
Non-Accrual Details | ||
Loans, current | $ 318,500 | 316,789 |
Loans, net of unearned income | 326,404 | 325,607 |
Total non-accrual | 3,702 | 3,633 |
90 days past due and accruing | 2,995 | 3,537 |
Consumer | Total GCB and Citi Holdings consumer | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 1,885 | 2,318 |
Consumer | Total GCB and Citi Holdings consumer | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
Loans, past due | 3,176 | 3,454 |
Consumer | Total GCB and Citi Holdings consumer | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
Loans, past due | 2,843 | 3,046 |
Consumer | Other | ||
Non-Accrual Details | ||
Loans, current | 14 | 164 |
Loans, net of unearned income | 15 | 178 |
Total non-accrual | 3 | 25 |
90 days past due and accruing | 0 | 0 |
Consumer | Other | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 0 | 0 |
Consumer | Other | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
Loans, past due | 1 | 7 |
Consumer | Other | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
Loans, past due | 0 | 7 |
Consumer | In North America offices | ||
Non-Accrual Details | ||
Loans, current | 205,291 | 199,112 |
Loans, net of unearned income | 211,324 | 205,982 |
Total non-accrual | 2,518 | 2,511 |
90 days past due and accruing | 2,739 | 3,259 |
Consumer | In North America offices | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 1,885 | 2,318 |
Consumer | In North America offices | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
Loans, past due | 2,131 | 2,374 |
Consumer | In North America offices | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
Loans, past due | 2,017 | 2,178 |
Consumer | In North America offices | Residential first mortgages | ||
Non-Accrual Details | ||
Loans, current | 53,014 | 53,146 |
Loans, net of unearned income | 55,832 | 56,874 |
Total non-accrual | 1,281 | 1,216 |
90 days past due and accruing | 1,600 | 1,997 |
Consumer | In North America offices | Residential first mortgages | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 1,885 | 2,318 |
Consumer | In North America offices | Residential first mortgages | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
Loans, past due | 583 | 846 |
Consumer | In North America offices | Residential first mortgages | 30 to 89 Days Past Due | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 300 | 300 |
Consumer | In North America offices | Residential first mortgages | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
Loans, past due | 350 | 564 |
Consumer | In North America offices | Residential first mortgages | Equal to greater than 90 days past due | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 1,600 | 2,000 |
Consumer | In North America offices | Home equity loans | ||
Non-Accrual Details | ||
Loans, current | 20,391 | 22,335 |
Loans, net of unearned income | 21,076 | 22,748 |
Total non-accrual | 740 | 1,017 |
90 days past due and accruing | 0 | 0 |
Consumer | In North America offices | Home equity loans | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 0 | 0 |
Consumer | In North America offices | Home equity loans | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
Loans, past due | 252 | 136 |
Consumer | In North America offices | Home equity loans | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
Loans, past due | 433 | 277 |
Consumer | In North America offices | Credit cards | ||
Non-Accrual Details | ||
Loans, current | 118,460 | 110,814 |
Loans, net of unearned income | 120,808 | 113,353 |
Total non-accrual | 0 | 0 |
90 days past due and accruing | 1,128 | 1,243 |
Consumer | In North America offices | Credit cards | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 0 | 0 |
Consumer | In North America offices | Credit cards | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
Loans, past due | 1,219 | 1,296 |
Consumer | In North America offices | Credit cards | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
Loans, past due | 1,129 | 1,243 |
Consumer | In North America offices | Installment and other revolving | ||
Non-Accrual Details | ||
Loans, current | 4,695 | 4,576 |
Loans, net of unearned income | 4,793 | 4,689 |
Total non-accrual | 64 | 56 |
90 days past due and accruing | 0 | 2 |
Consumer | In North America offices | Installment and other revolving | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 0 | 0 |
Consumer | In North America offices | Installment and other revolving | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
Loans, past due | 62 | 80 |
Consumer | In North America offices | Installment and other revolving | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
Loans, past due | 36 | 33 |
Consumer | In North America offices | Commercial banking loans | ||
Non-Accrual Details | ||
Loans, current | 8,731 | 8,241 |
Loans, net of unearned income | 8,815 | 8,318 |
Total non-accrual | 433 | 222 |
90 days past due and accruing | 11 | 17 |
Consumer | In North America offices | Commercial banking loans | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 0 | 0 |
Consumer | In North America offices | Commercial banking loans | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
Loans, past due | 15 | 16 |
Consumer | In North America offices | Commercial banking loans | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
Loans, past due | 69 | 61 |
Consumer | In offices outside North America | ||
Non-Accrual Details | ||
Loans, current | 113,209 | 117,677 |
Loans, net of unearned income | 115,080 | 119,625 |
Total non-accrual | 1,184 | 1,122 |
90 days past due and accruing | 256 | 278 |
Consumer | In offices outside North America | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 0 | 0 |
Consumer | In offices outside North America | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
Loans, past due | 1,045 | 1,080 |
Consumer | In offices outside North America | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
Loans, past due | 826 | 868 |
Consumer | In offices outside North America | Residential first mortgages | ||
Non-Accrual Details | ||
Loans, current | 38,849 | 39,551 |
Loans, net of unearned income | 39,245 | 39,966 |
Total non-accrual | 399 | 388 |
90 days past due and accruing | 0 | 0 |
Consumer | In offices outside North America | Residential first mortgages | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 0 | 0 |
Consumer | In offices outside North America | Residential first mortgages | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
Loans, past due | 235 | 240 |
Consumer | In offices outside North America | Residential first mortgages | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
Loans, past due | 161 | 175 |
Consumer | In offices outside North America | Credit cards | ||
Non-Accrual Details | ||
Loans, current | 24,276 | 25,698 |
Loans, net of unearned income | 25,106 | 26,617 |
Total non-accrual | 282 | 261 |
90 days past due and accruing | 256 | 278 |
Consumer | In offices outside North America | Credit cards | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 0 | 0 |
Consumer | In offices outside North America | Credit cards | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
Loans, past due | 434 | 477 |
Consumer | In offices outside North America | Credit cards | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
Loans, past due | 396 | 442 |
Consumer | In offices outside North America | Installment and other revolving | ||
Non-Accrual Details | ||
Loans, current | 25,611 | 27,664 |
Loans, net of unearned income | 26,106 | 28,201 |
Total non-accrual | 308 | 226 |
90 days past due and accruing | 0 | 0 |
Consumer | In offices outside North America | Installment and other revolving | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 0 | 0 |
Consumer | In offices outside North America | Installment and other revolving | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
Loans, past due | 357 | 317 |
Consumer | In offices outside North America | Installment and other revolving | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
Loans, past due | 138 | 220 |
Consumer | In offices outside North America | Commercial banking loans | ||
Non-Accrual Details | ||
Loans, current | 24,473 | 24,764 |
Loans, net of unearned income | 24,623 | 24,841 |
Total non-accrual | 195 | 247 |
90 days past due and accruing | 0 | 0 |
Consumer | In offices outside North America | Commercial banking loans | Government-guaranteed | ||
Non-Accrual Details | ||
Loans, past due | 0 | 0 |
Consumer | In offices outside North America | Commercial banking loans | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
Loans, past due | 19 | 46 |
Consumer | In offices outside North America | Commercial banking loans | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
Loans, past due | $ 131 | $ 31 |
LOANS - Impaired Consumer Loans
LOANS - Impaired Consumer Loans (Details) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016USD ($)Q | Jun. 30, 2015USD ($) | Jun. 30, 2016USD ($)Q | Jun. 30, 2015USD ($) | Dec. 31, 2015USD ($)Q | |
Financing receivable impaired | |||||
Interest income recognized | $ 4 | $ 5 | |||
Consumer | |||||
Financing receivable impaired | |||||
Recorded investment | $ 8,965 | $ 8,965 | $ 10,192 | ||
Unpaid principal balance | 10,422 | 10,422 | 11,659 | ||
Related specific allowance | 1,775 | 1,775 | 2,046 | ||
Average carrying value | 10,684 | $ 13,599 | |||
Interest income recognized | $ 100 | 184 | $ 220 | 420 | |
Number of quarters used to calculate the average recorded investment balance | Q | 4 | 4 | 4 | ||
Consumer | Residential first mortgages | |||||
Financing receivable impaired | |||||
Recorded investment | $ 4,732 | $ 4,732 | $ 6,038 | ||
Unpaid principal balance | 5,183 | 5,183 | 6,610 | ||
Related specific allowance | 532 | 532 | 739 | ||
Average carrying value | 6,366 | 8,932 | |||
Interest income recognized | 43 | 111 | 104 | 252 | |
Impaired financing receivable without specific allowance | 1,081 | 1,081 | 1,151 | ||
Consumer | Home equity loans | |||||
Financing receivable impaired | |||||
Recorded investment | 1,329 | 1,329 | 1,399 | ||
Unpaid principal balance | 1,858 | 1,858 | 1,972 | ||
Related specific allowance | 311 | 311 | 406 | ||
Average carrying value | 1,483 | 1,778 | |||
Interest income recognized | 9 | 17 | 18 | 34 | |
Impaired financing receivable without specific allowance | 439 | 439 | 459 | ||
Consumer | Credit cards | |||||
Financing receivable impaired | |||||
Recorded investment | 1,849 | 1,849 | 1,950 | ||
Unpaid principal balance | 1,884 | 1,884 | 1,986 | ||
Related specific allowance | 581 | 581 | 604 | ||
Average carrying value | 1,924 | 2,079 | |||
Interest income recognized | 39 | 45 | 80 | 89 | |
Consumer | Individual installment and other | |||||
Financing receivable impaired | |||||
Recorded investment | 468 | 468 | 464 | ||
Unpaid principal balance | 552 | 552 | 519 | ||
Related specific allowance | 226 | 226 | 197 | ||
Average carrying value | 469 | 449 | |||
Interest income recognized | 7 | 8 | 14 | 39 | |
Consumer | Commercial banking loans | |||||
Financing receivable impaired | |||||
Recorded investment | 587 | 587 | 341 | ||
Unpaid principal balance | 945 | 945 | 572 | ||
Related specific allowance | 125 | 125 | 100 | ||
Average carrying value | 442 | 361 | |||
Interest income recognized | 2 | $ 3 | 4 | $ 6 | |
Impaired financing receivable without specific allowance | $ 128 | $ 128 | $ 86 |
LOANS - Consumer Troubled Debt
LOANS - Consumer Troubled Debt Restructurings (Details) - Consumer $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016USD ($)loan | Jun. 30, 2015USD ($)loan | Jun. 30, 2016USD ($)loan | Jun. 30, 2015USD ($)loan | Dec. 31, 2015 | |
Loans receivable | |||||
Period within which default occurred post-modification | 1 year | ||||
Number of days past due, non-accrual status | 60 days | ||||
Residential first mortgages | |||||
Loans receivable | |||||
Number of days past due, non-accrual status | 90 days | 90 days | |||
Home equity loans | |||||
Loans receivable | |||||
Number of days past due, non-accrual status | 90 days | ||||
Credit cards | |||||
Loans receivable | |||||
Number of days past due, non-accrual status | 180 days | ||||
Installment and other revolving | |||||
Loans receivable | |||||
Number of days past due, non-accrual status | 90 days | ||||
Commercial banking | |||||
Loans receivable | |||||
Number of days past due, non-accrual status | 90 days | ||||
In North America offices | |||||
Loans receivable | |||||
Number of loans modified | loan | 46,374 | 50,040 | 99,217 | 105,742 | |
Post-modification recorded investment | $ 417 | $ 621 | $ 865 | $ 1,305 | |
Deferred principal | 1 | 2 | 3 | 7 | |
Contingent principal forgiveness | 0 | 1 | 0 | 3 | |
Principal forgiveness | 1 | 9 | 2 | 19 | |
Loans in default | $ 107 | $ 179 | $ 254 | $ 346 | |
In North America offices | Residential first mortgages | |||||
Loans receivable | |||||
Number of loans modified | loan | 1,346 | 2,709 | 2,814 | 5,802 | |
Post-modification recorded investment | $ 205 | $ 366 | $ 417 | $ 773 | |
Deferred principal | 1 | 2 | 3 | 6 | |
Contingent principal forgiveness | 0 | 1 | 0 | 3 | |
Principal forgiveness | $ 1 | $ 8 | $ 2 | $ 17 | |
Average interest rate reduction | 1.00% | 1.00% | 1.00% | 1.00% | |
Post-modification recorded investment for borrowers that have gone through Chapter 7 bankruptcy | $ 21 | $ 62 | $ 41 | $ 127 | |
Loans in default | 52 | 117 | 139 | 227 | |
In North America offices | Residential first mortgages | New OCC guidance | |||||
Loans receivable | |||||
Post-modification recorded investment for borrowers that have gone through Chapter 7 bankruptcy | $ 13 | $ 35 | $ 27 | $ 73 | |
In North America offices | Home equity loans | |||||
Loans receivable | |||||
Number of loans modified | loan | 814 | 1,292 | 1,672 | 2,550 | |
Post-modification recorded investment | $ 30 | $ 45 | $ 60 | $ 90 | |
Deferred principal | 0 | 0 | 0 | 1 | |
Contingent principal forgiveness | 0 | 0 | 0 | 0 | |
Principal forgiveness | $ 0 | $ 1 | $ 0 | $ 2 | |
Average interest rate reduction | 3.00% | 2.00% | 3.00% | 2.00% | |
Post-modification recorded investment for borrowers that have gone through Chapter 7 bankruptcy | $ 4 | $ 15 | $ 9 | $ 29 | |
Loans in default | 6 | 10 | 14 | 21 | |
In North America offices | Home equity loans | New OCC guidance | |||||
Loans receivable | |||||
Post-modification recorded investment for borrowers that have gone through Chapter 7 bankruptcy | $ 4 | $ 12 | $ 9 | $ 24 | |
In North America offices | Credit cards | |||||
Loans receivable | |||||
Number of loans modified | loan | 42,792 | 44,848 | 91,901 | 95,158 | |
Post-modification recorded investment | $ 164 | $ 184 | $ 353 | $ 396 | |
Deferred principal | 0 | 0 | 0 | 0 | |
Contingent principal forgiveness | 0 | 0 | 0 | 0 | |
Principal forgiveness | $ 0 | $ 0 | $ 0 | $ 0 | |
Average interest rate reduction | 17.00% | 16.00% | 17.00% | 16.00% | |
Loans in default | $ 46 | $ 49 | $ 95 | $ 92 | |
In North America offices | Installment and other revolving | |||||
Loans receivable | |||||
Number of loans modified | loan | 1,381 | 1,092 | 2,766 | 2,076 | |
Post-modification recorded investment | $ 12 | $ 9 | $ 24 | $ 18 | |
Deferred principal | 0 | 0 | 0 | 0 | |
Contingent principal forgiveness | 0 | 0 | 0 | 0 | |
Principal forgiveness | $ 0 | $ 0 | $ 0 | $ 0 | |
Average interest rate reduction | 14.00% | 14.00% | 14.00% | 13.00% | |
Loans in default | $ 2 | $ 2 | $ 4 | $ 3 | |
In North America offices | Commercial banking | |||||
Loans receivable | |||||
Number of loans modified | loan | 41 | 99 | 64 | 156 | |
Post-modification recorded investment | $ 6 | $ 17 | $ 11 | $ 28 | |
Deferred principal | 0 | 0 | 0 | 0 | |
Contingent principal forgiveness | 0 | 0 | 0 | 0 | |
Principal forgiveness | $ 0 | $ 0 | $ 0 | $ 0 | |
Average interest rate reduction | 0.00% | 0.00% | 0.00% | 0.00% | |
Loans in default | $ 1 | $ 1 | $ 2 | $ 3 | |
In offices outside the U.S. | |||||
Loans receivable | |||||
Number of loans modified | loan | 40,481 | 51,560 | 114,782 | 108,898 | |
Post-modification recorded investment | $ 191 | $ 211 | $ 443 | $ 430 | |
Deferred principal | 0 | 0 | 0 | 0 | |
Contingent principal forgiveness | 0 | 0 | 0 | 0 | |
Principal forgiveness | 4 | 4 | 8 | 8 | |
Loans in default | $ 70 | $ 72 | $ 141 | $ 144 | |
In offices outside the U.S. | Residential first mortgages | |||||
Loans receivable | |||||
Number of loans modified | loan | 613 | 758 | 1,032 | 1,641 | |
Post-modification recorded investment | $ 23 | $ 25 | $ 38 | $ 49 | |
Deferred principal | 0 | 0 | 0 | 0 | |
Contingent principal forgiveness | 0 | 0 | 0 | 0 | |
Principal forgiveness | $ 0 | $ 0 | $ 0 | $ 0 | |
Average interest rate reduction | 1.00% | 0.00% | 1.00% | 0.00% | |
Loans in default | $ 3 | $ 6 | $ 6 | $ 12 | |
In offices outside the U.S. | Credit cards | |||||
Loans receivable | |||||
Number of loans modified | loan | 28,628 | 37,587 | 80,835 | 78,018 | |
Post-modification recorded investment | $ 90 | $ 103 | $ 213 | $ 201 | |
Deferred principal | 0 | 0 | 0 | 0 | |
Contingent principal forgiveness | 0 | 0 | 0 | 0 | |
Principal forgiveness | $ 2 | $ 2 | $ 4 | $ 4 | |
Average interest rate reduction | 12.00% | 12.00% | 12.00% | 13.00% | |
Loans in default | $ 37 | $ 36 | $ 73 | $ 71 | |
In offices outside the U.S. | Installment and other revolving | |||||
Loans receivable | |||||
Number of loans modified | loan | 11,198 | 13,167 | 32,842 | 29,114 | |
Post-modification recorded investment | $ 58 | $ 61 | $ 140 | $ 131 | |
Deferred principal | 0 | 0 | 0 | 0 | |
Contingent principal forgiveness | 0 | 0 | 0 | 0 | |
Principal forgiveness | $ 2 | $ 2 | $ 4 | $ 4 | |
Average interest rate reduction | 7.00% | 6.00% | 7.00% | 5.00% | |
Loans in default | $ 24 | $ 23 | $ 47 | $ 46 | |
In offices outside the U.S. | Commercial banking | |||||
Loans receivable | |||||
Number of loans modified | loan | 42 | 48 | 73 | 125 | |
Post-modification recorded investment | $ 20 | $ 22 | $ 52 | $ 49 | |
Deferred principal | 0 | 0 | 0 | 0 | |
Contingent principal forgiveness | 0 | 0 | 0 | 0 | |
Principal forgiveness | $ 0 | $ 0 | $ 0 | $ 0 | |
Average interest rate reduction | 0.00% | 1.00% | 0.00% | 1.00% | |
Loans in default | $ 6 | $ 7 | $ 15 | $ 15 |
LOANS - Corporate Loans (Detail
LOANS - Corporate Loans (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Loans | |||||
Loans, net of unearned income | $ 633,515 | $ 633,515 | $ 617,617 | ||
Corporate | |||||
Loans | |||||
Total loans | 307,772 | 307,772 | 292,497 | ||
Net unearned income | (676) | (676) | (665) | ||
Loans, net of unearned income | 307,096 | 307,096 | 291,832 | ||
Loans sold and/or reclassified to held-for-sale | 800 | $ 500 | 1,300 | $ 1,100 | |
Corporate | Commercial and industrial | |||||
Loans | |||||
Loans, net of unearned income | 134,557 | 134,557 | 119,627 | ||
Corporate | Financial institutions | |||||
Loans | |||||
Loans, net of unearned income | 59,392 | 59,392 | 64,317 | ||
Corporate | Mortgage and real estate | |||||
Loans | |||||
Loans, net of unearned income | 45,448 | 45,448 | 42,471 | ||
Corporate | Lease financing | |||||
Loans | |||||
Loans, net of unearned income | 1,801 | 1,801 | 2,082 | ||
Corporate | In U.S. offices | |||||
Loans | |||||
Total loans | 156,499 | 156,499 | 150,262 | ||
Corporate | In U.S. offices | Commercial and industrial | |||||
Loans | |||||
Total loans | 50,286 | 50,286 | 41,147 | ||
Corporate | In U.S. offices | Financial institutions | |||||
Loans | |||||
Total loans | 32,001 | 32,001 | 36,396 | ||
Corporate | In U.S. offices | Mortgage and real estate | |||||
Loans | |||||
Total loans | 40,175 | 40,175 | 37,565 | ||
Corporate | In U.S. offices | Installment, revolving credit, and other | |||||
Loans | |||||
Total loans | 32,491 | 32,491 | 33,374 | ||
Corporate | In U.S. offices | Lease financing | |||||
Loans | |||||
Total loans | 1,546 | 1,546 | 1,780 | ||
Corporate | In offices outside the U.S. | |||||
Loans | |||||
Total loans | 151,273 | 151,273 | 142,235 | ||
Corporate | In offices outside the U.S. | Commercial and industrial | |||||
Loans | |||||
Total loans | 87,125 | 87,125 | 82,358 | ||
Corporate | In offices outside the U.S. | Financial institutions | |||||
Loans | |||||
Total loans | 27,856 | 27,856 | 28,704 | ||
Corporate | In offices outside the U.S. | Mortgage and real estate | |||||
Loans | |||||
Total loans | 5,455 | 5,455 | 5,106 | ||
Corporate | In offices outside the U.S. | Installment, revolving credit, and other | |||||
Loans | |||||
Total loans | 24,825 | 24,825 | 20,853 | ||
Corporate | In offices outside the U.S. | Lease financing | |||||
Loans | |||||
Total loans | 255 | 255 | 303 | ||
Corporate | In offices outside the U.S. | Government and official institutions | |||||
Loans | |||||
Total loans | $ 5,757 | $ 5,757 | $ 4,911 |
LOANS - Corporate Loan Delinque
LOANS - Corporate Loan Delinquency (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2016 | Dec. 31, 2015 | |
Non-Accrual Details | ||
Loans, net of unearned income | $ 633,515 | $ 617,617 |
Loans at fair value | $ 4,134 | 5,005 |
Corporate | ||
Loans receivable | ||
Number of days past due, non-accrual status | 90 days | |
Number of days past due for reversal of accrued interest and charging to earnings | 90 days | |
Non-Accrual Details | ||
90 days past due and accruing | $ 600 | 280 |
Total non-accrual | 2,460 | 1,596 |
Loans, total current | 299,934 | 284,980 |
Loans, net of unearned income | 307,096 | 291,832 |
Loans at fair value | 4,102 | 4,971 |
Purchased distressed loans | $ 0 | 5 |
Loans less than this number of days past due are considered current | 30 days | |
Corporate | Commercial and industrial | ||
Non-Accrual Details | ||
90 days past due and accruing | $ 44 | 91 |
Total non-accrual | 1,962 | 1,071 |
Loans, total current | 132,551 | 118,465 |
Loans, net of unearned income | 134,557 | 119,627 |
Corporate | Financial institutions | ||
Non-Accrual Details | ||
90 days past due and accruing | 51 | 16 |
Total non-accrual | 194 | 173 |
Loans, total current | 59,147 | 64,128 |
Loans, net of unearned income | 59,392 | 64,317 |
Corporate | Mortgage and real estate | ||
Non-Accrual Details | ||
90 days past due and accruing | 325 | 144 |
Total non-accrual | 183 | 232 |
Loans, total current | 44,940 | 42,095 |
Loans, net of unearned income | 45,448 | 42,471 |
Corporate | Leases | ||
Non-Accrual Details | ||
90 days past due and accruing | 44 | 0 |
Total non-accrual | 60 | 76 |
Loans, total current | 1,697 | 2,006 |
Loans, net of unearned income | 1,801 | 2,082 |
Corporate | Other | ||
Non-Accrual Details | ||
90 days past due and accruing | 136 | 29 |
Total non-accrual | 61 | 44 |
Loans, total current | 61,599 | 58,286 |
Loans, net of unearned income | 61,796 | 58,359 |
Corporate | 30 to 89 Days Past Due | ||
Non-Accrual Details | ||
90 days past due and accruing | 520 | 269 |
Corporate | 30 to 89 Days Past Due | Commercial and industrial | ||
Non-Accrual Details | ||
90 days past due and accruing | 44 | 87 |
Corporate | 30 to 89 Days Past Due | Financial institutions | ||
Non-Accrual Details | ||
90 days past due and accruing | 51 | 16 |
Corporate | 30 to 89 Days Past Due | Mortgage and real estate | ||
Non-Accrual Details | ||
90 days past due and accruing | 325 | 137 |
Corporate | 30 to 89 Days Past Due | Leases | ||
Non-Accrual Details | ||
90 days past due and accruing | 35 | 0 |
Corporate | 30 to 89 Days Past Due | Other | ||
Non-Accrual Details | ||
90 days past due and accruing | 65 | 29 |
Corporate | Equal to greater than 90 days past due | ||
Non-Accrual Details | ||
90 days past due and accruing | 80 | 11 |
Corporate | Equal to greater than 90 days past due | Commercial and industrial | ||
Non-Accrual Details | ||
90 days past due and accruing | 0 | 4 |
Corporate | Equal to greater than 90 days past due | Financial institutions | ||
Non-Accrual Details | ||
90 days past due and accruing | 0 | 0 |
Corporate | Equal to greater than 90 days past due | Mortgage and real estate | ||
Non-Accrual Details | ||
90 days past due and accruing | 0 | 7 |
Corporate | Equal to greater than 90 days past due | Leases | ||
Non-Accrual Details | ||
90 days past due and accruing | 9 | 0 |
Corporate | Equal to greater than 90 days past due | Other | ||
Non-Accrual Details | ||
90 days past due and accruing | $ 71 | $ 0 |
LOANS - Corporate Loans Credit
LOANS - Corporate Loans Credit Quality Indicators (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Loans receivable | ||
Loans, net of unearned income | $ 633,515 | $ 617,617 |
Loans at fair value | 4,134 | 5,005 |
Corporate | ||
Loans receivable | ||
Loans, net of unearned income | 307,096 | 291,832 |
Total non-accrual | 2,460 | 1,596 |
Loans at fair value | 4,102 | 4,971 |
Corporate | Commercial and industrial | ||
Loans receivable | ||
Loans, net of unearned income | 134,557 | 119,627 |
Total non-accrual | 1,962 | 1,071 |
Corporate | Financial institutions | ||
Loans receivable | ||
Loans, net of unearned income | 59,392 | 64,317 |
Total non-accrual | 194 | 173 |
Corporate | Mortgage and real estate | ||
Loans receivable | ||
Loans, net of unearned income | 45,448 | 42,471 |
Total non-accrual | 183 | 232 |
Corporate | Lease financing | ||
Loans receivable | ||
Loans, net of unearned income | 1,801 | 2,082 |
Total non-accrual | 60 | 76 |
Corporate | Other | ||
Loans receivable | ||
Loans, net of unearned income | 61,796 | 58,359 |
Total non-accrual | 61 | 44 |
Corporate | Private bank loans managed on a delinquency basis | ||
Loans receivable | ||
Loans, net of unearned income | 21,936 | 20,575 |
Corporate | Investment grade | ||
Loans receivable | ||
Loans, net of unearned income | 220,766 | 211,393 |
Corporate | Investment grade | Commercial and industrial | ||
Loans receivable | ||
Loans, net of unearned income | 92,775 | 85,828 |
Corporate | Investment grade | Financial institutions | ||
Loans receivable | ||
Loans, net of unearned income | 50,507 | 53,522 |
Corporate | Investment grade | Mortgage and real estate | ||
Loans receivable | ||
Loans, net of unearned income | 21,066 | 18,869 |
Corporate | Investment grade | Lease financing | ||
Loans receivable | ||
Loans, net of unearned income | 1,289 | 1,725 |
Corporate | Investment grade | Other | ||
Loans receivable | ||
Loans, net of unearned income | 55,129 | 51,449 |
Corporate | Non-investment grade | ||
Loans receivable | ||
Loans, net of unearned income | 60,292 | 54,893 |
Corporate | Non-investment grade | Commercial and industrial | ||
Loans receivable | ||
Loans, net of unearned income | 39,819 | 32,726 |
Total non-accrual | 1,962 | 1,071 |
Corporate | Non-investment grade | Financial institutions | ||
Loans receivable | ||
Loans, net of unearned income | 8,691 | 10,622 |
Total non-accrual | 194 | 173 |
Corporate | Non-investment grade | Mortgage and real estate | ||
Loans receivable | ||
Loans, net of unearned income | 2,263 | 2,800 |
Total non-accrual | 183 | 232 |
Corporate | Non-investment grade | Lease financing | ||
Loans receivable | ||
Loans, net of unearned income | 452 | 282 |
Total non-accrual | 60 | 76 |
Corporate | Non-investment grade | Other | ||
Loans receivable | ||
Loans, net of unearned income | 6,607 | 6,867 |
Total non-accrual | $ 61 | $ 44 |
LOANS - Non-accrual Corporate L
LOANS - Non-accrual Corporate Loans (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Financing receivable impaired | |||||
Interest income recognized | $ 4 | $ 5 | |||
Corporate | |||||
Financing receivable impaired | |||||
Number of months in sustained period of repayment performance for cash-basis loans to return to an accrual status | 6 months | ||||
Recorded investment | $ 2,460 | $ 2,460 | $ 1,596 | ||
Unpaid principal balance | 3,027 | 3,027 | 1,946 | ||
Related specific allowance | 485 | 485 | 363 | ||
Average carrying value | 1,991 | 1,394 | |||
Interest income recognized | 12 | 25 | |||
Impaired financing receivable with specific allowance | 1,103 | 1,103 | 764 | ||
Impaired financing receivable without specific allowance | 1,357 | 1,357 | 832 | ||
Corporate | Commercial and industrial | |||||
Financing receivable impaired | |||||
Recorded investment | 1,962 | 1,962 | 1,071 | ||
Unpaid principal balance | 2,343 | 2,343 | 1,224 | ||
Related specific allowance | 417 | 417 | 246 | ||
Average carrying value | 1,490 | 859 | |||
Interest income recognized | 7 | 17 | |||
Impaired financing receivable with specific allowance | 941 | 941 | 571 | ||
Impaired financing receivable without specific allowance | 1,021 | 1,021 | 500 | ||
Corporate | Financial institutions | |||||
Financing receivable impaired | |||||
Recorded investment | 194 | 194 | 173 | ||
Unpaid principal balance | 203 | 203 | 196 | ||
Related specific allowance | 9 | 9 | 10 | ||
Average carrying value | 174 | 194 | |||
Interest income recognized | 1 | 3 | |||
Impaired financing receivable with specific allowance | 14 | 14 | 18 | ||
Impaired financing receivable without specific allowance | 180 | 180 | 155 | ||
Corporate | Mortgage and real estate | |||||
Financing receivable impaired | |||||
Recorded investment | 183 | 183 | 232 | ||
Unpaid principal balance | 304 | 304 | 336 | ||
Related specific allowance | 11 | 11 | 21 | ||
Average carrying value | 214 | 240 | |||
Interest income recognized | 1 | 2 | |||
Impaired financing receivable with specific allowance | 34 | 34 | 60 | ||
Impaired financing receivable without specific allowance | 149 | 149 | 172 | ||
Corporate | Lease financing | |||||
Financing receivable impaired | |||||
Recorded investment | 60 | 60 | 76 | ||
Unpaid principal balance | 60 | 60 | 76 | ||
Related specific allowance | 1 | 1 | 54 | ||
Average carrying value | 53 | 62 | |||
Interest income recognized | 0 | 0 | |||
Impaired financing receivable with specific allowance | 59 | 59 | 75 | ||
Impaired financing receivable without specific allowance | 1 | 1 | 1 | ||
Corporate | Other | |||||
Financing receivable impaired | |||||
Recorded investment | 61 | 61 | 44 | ||
Unpaid principal balance | 117 | 117 | 114 | ||
Related specific allowance | 47 | 47 | 32 | ||
Average carrying value | 60 | 39 | |||
Interest income recognized | 3 | 3 | |||
Impaired financing receivable with specific allowance | 55 | 55 | 40 | ||
Impaired financing receivable without specific allowance | $ 6 | $ 6 | $ 4 |
LOANS - Corporate Troubled Debt
LOANS - Corporate Troubled Debt Restructurings (Details) - Corporate - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Financing receivable impaired | ||||
Carrying Value | $ 248 | $ 77 | $ 350 | $ 78 |
TDRs involving changes in the amount and/or timing of principal payments | 73 | 34 | 73 | 35 |
TDRs involving changes in the amount and/or timing of interest payments | 174 | 0 | 174 | 0 |
TDRs involving changes in the amount and/or timing of both principal and interest payments | 1 | 43 | $ 103 | 43 |
Period within which default occurred post-modification | 1 year | |||
Number of days past due, default status | 60 days | |||
Carrying Value | 741 | 558 | $ 741 | 558 |
TDR in payment default | 7 | 1 | $ 7 | 1 |
Commercial banking loans | ||||
Financing receivable impaired | ||||
Number of days past due, default status | 90 days | |||
Commercial and industrial | ||||
Financing receivable impaired | ||||
Carrying Value | 105 | 66 | $ 203 | 66 |
TDRs involving changes in the amount and/or timing of principal payments | 73 | 33 | 73 | 33 |
TDRs involving changes in the amount and/or timing of interest payments | 32 | 0 | 32 | 0 |
TDRs involving changes in the amount and/or timing of both principal and interest payments | 0 | 33 | 98 | 33 |
Carrying Value | 323 | 118 | 323 | 118 |
TDR in payment default | 7 | 0 | 7 | 0 |
Financial institutions | ||||
Financing receivable impaired | ||||
Carrying Value | 0 | 1 | 0 | 1 |
TDR in payment default | 0 | 1 | 0 | 1 |
Mortgage and real estate | ||||
Financing receivable impaired | ||||
Carrying Value | 1 | 11 | 5 | 12 |
TDRs involving changes in the amount and/or timing of principal payments | 0 | 1 | 0 | 2 |
TDRs involving changes in the amount and/or timing of interest payments | 0 | 0 | 0 | 0 |
TDRs involving changes in the amount and/or timing of both principal and interest payments | 1 | 10 | 5 | 10 |
Carrying Value | 130 | 113 | 130 | 113 |
TDR in payment default | 0 | 0 | 0 | 0 |
Other | ||||
Financing receivable impaired | ||||
Carrying Value | 142 | 142 | ||
TDRs involving changes in the amount and/or timing of principal payments | 0 | 0 | ||
TDRs involving changes in the amount and/or timing of interest payments | 142 | 142 | ||
TDRs involving changes in the amount and/or timing of both principal and interest payments | 0 | 0 | ||
Carrying Value | 288 | 326 | 288 | 326 |
TDR in payment default | $ 0 | $ 0 | $ 0 | $ 0 |
ALLOWANCE FOR CREDIT LOSSES - A
ALLOWANCE FOR CREDIT LOSSES - Allowance for Loan Losses Roll Forward (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Allowance for credit losses | ||||
Allowance for loan losses at beginning of period | $ 12,712 | $ 14,598 | $ 12,626 | $ 15,994 |
Gross credit losses | (2,048) | (2,335) | (4,191) | (4,793) |
Gross recoveries | 432 | 415 | 851 | 916 |
Net credit losses (NCLs) | 1,616 | 1,920 | 3,340 | 3,877 |
Net reserve releases | (90) | (199) | (48) | (290) |
Net specific reserve releases | (136) | (206) | (16) | (317) |
Total provision for loan losses | 1,390 | 1,515 | 3,276 | 3,270 |
Other, net | (182) | (118) | (258) | (1,312) |
Allowance for loan losses at end of period | 12,304 | 14,075 | 12,304 | 14,075 |
Allowance for credit losses on unfunded lending commitments | ||||
Allowance for credit losses on unfunded lending commitments at beginning of period | 1,473 | 1,023 | 1,402 | 1,063 |
Provision (release) for unfunded lending commitments | (30) | (48) | 41 | (85) |
Other, net | (11) | (2) | (11) | (5) |
Allowance for credit losses on unfunded lending commitments at end of period | 1,432 | 973 | 1,432 | 973 |
Total allowance for loans, leases, and unfunded lending commitments | $ 13,736 | $ 15,048 | $ 13,736 | $ 15,048 |
ALLOWANCE FOR CREDIT LOSSES -99
ALLOWANCE FOR CREDIT LOSSES - Additional Information (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Jun. 30, 2016 | Mar. 31, 2016 | Jun. 30, 2015 | Mar. 31, 2015 | |
Allowance for loan losses disclosures | ||||
Reduction of allowance for loan and leases losses due to loans sold or transferred to held-for-sale or to discontinued operations | $ 101 | $ 148 | $ 88 | $ 1,000 |
Reduction of allowance for loan and leases losses due to transfer to real estate loan portfolio | 24 | 29 | 34 | 281 |
Increase (reduction) of allowance related to foreign currency translation | $ (75) | $ 63 | (39) | $ (145) |
Held-for-sale | OneMain Financial Business | ||||
Allowance for loan losses disclosures | ||||
Reduction of allowance for loan and leases losses due to loans sold or transferred to held-for-sale or to discontinued operations | $ 160 |
ALLOWANCE FOR CREDIT LOSSES 100
ALLOWANCE FOR CREDIT LOSSES - Allowance for Loan Losses Roll Forward by Segment (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Dec. 31, 2015 | |
Allowance for credit losses | ||||||
Allowance for loan losses at beginning of period | $ 12,712 | $ 14,598 | $ 12,626 | $ 15,994 | ||
Charge-offs | (2,048) | (2,335) | (4,191) | (4,793) | ||
Recoveries | 432 | 415 | 851 | 916 | ||
Replenishment of net charge-offs | 1,616 | 1,920 | 3,340 | 3,877 | ||
Net reserve releases | (90) | (199) | (48) | (290) | ||
Net specific reserve releases | (136) | (206) | (16) | (317) | ||
Other | (182) | (118) | (258) | (1,312) | ||
Allowance for loan losses at end of period | 12,304 | 14,075 | 12,304 | 14,075 | ||
Allowance for loan losses | ||||||
Determined in accordance with ASC 450 | $ 10,036 | $ 10,184 | ||||
Determined in accordance with ASC 310-10-35 | 2,261 | 2,426 | ||||
Determined in accordance with ASC 310-30 | 7 | 16 | ||||
Total allowance for loan losses | 12,712 | 14,598 | 12,626 | 15,994 | 12,304 | 12,626 |
Loans, net of unearned income | ||||||
Loans collectively evaluated for impairment in accordance with ASC 450 | 617,538 | 600,367 | ||||
Loans individually evaluated for impairment in accordance with ASC 310-10-35 | 11,631 | 11,995 | ||||
Loans held at fair value | 4,134 | 5,005 | ||||
Loans, net of unearned income | 633,515 | 617,617 | ||||
Receivables Acquired with Deteriorated Credit Quality | ||||||
Loans, net of unearned income | ||||||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 212 | 250 | ||||
Corporate | ||||||
Allowance for credit losses | ||||||
Allowance for loan losses at beginning of period | 2,905 | 2,546 | 2,791 | 2,447 | ||
Charge-offs | (158) | (126) | (382) | (152) | ||
Recoveries | 16 | 19 | 29 | 52 | ||
Replenishment of net charge-offs | 142 | 107 | 353 | 100 | ||
Net reserve releases | (16) | (32) | (12) | 80 | ||
Net specific reserve releases | (11) | (119) | 90 | (116) | ||
Other | (6) | 11 | 3 | (5) | ||
Allowance for loan losses at end of period | 2,872 | 2,406 | 2,872 | 2,406 | ||
Allowance for loan losses | ||||||
Determined in accordance with ASC 450 | 2,386 | 2,408 | ||||
Determined in accordance with ASC 310-10-35 | 486 | 380 | ||||
Determined in accordance with ASC 310-30 | 0 | 3 | ||||
Total allowance for loan losses | 2,905 | 2,546 | 2,791 | 2,447 | 2,872 | 2,791 |
Loans, net of unearned income | ||||||
Loans collectively evaluated for impairment in accordance with ASC 450 | 300,328 | 285,053 | ||||
Loans individually evaluated for impairment in accordance with ASC 310-10-35 | 2,666 | 1,803 | ||||
Loans held at fair value | 4,102 | 4,971 | ||||
Loans, net of unearned income | 307,096 | 291,832 | ||||
Corporate | Receivables Acquired with Deteriorated Credit Quality | ||||||
Loans, net of unearned income | ||||||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | 0 | 5 | ||||
Consumer | ||||||
Allowance for credit losses | ||||||
Allowance for loan losses at beginning of period | 9,807 | 12,052 | 9,835 | 13,547 | ||
Charge-offs | (1,890) | (2,209) | (3,809) | (4,641) | ||
Recoveries | 416 | 396 | 822 | 864 | ||
Replenishment of net charge-offs | 1,474 | 1,813 | 2,987 | 3,777 | ||
Net reserve releases | (74) | (167) | (36) | (370) | ||
Net specific reserve releases | (125) | (87) | (106) | (201) | ||
Other | (176) | (129) | (261) | (1,307) | ||
Allowance for loan losses at end of period | 9,432 | 11,669 | 9,432 | 11,669 | ||
Allowance for loan losses | ||||||
Determined in accordance with ASC 450 | 7,650 | 7,776 | ||||
Determined in accordance with ASC 310-10-35 | 1,775 | 2,046 | ||||
Determined in accordance with ASC 310-30 | 7 | 13 | ||||
Total allowance for loan losses | $ 9,807 | $ 12,052 | $ 9,835 | $ 13,547 | 9,432 | 9,835 |
Loans, net of unearned income | ||||||
Loans collectively evaluated for impairment in accordance with ASC 450 | 317,210 | 315,314 | ||||
Loans individually evaluated for impairment in accordance with ASC 310-10-35 | 8,965 | 10,192 | ||||
Loans held at fair value | 32 | 34 | ||||
Loans, net of unearned income | 326,419 | 325,785 | ||||
Consumer | Receivables Acquired with Deteriorated Credit Quality | ||||||
Loans, net of unearned income | ||||||
Loans acquired with deteriorated credit quality in accordance with ASC 310-30 | $ 212 | $ 245 |
GOODWILL AND INTANGIBLE ASSE101
GOODWILL AND INTANGIBLE ASSETS - Changes in Goodwill (Details) - USD ($) $ in Millions | 3 Months Ended | |
Jun. 30, 2016 | Mar. 31, 2016 | |
Goodwill | ||
Balance of goodwill at beginning of period | $ 22,575 | $ 22,349 |
Foreign exchange translation and other | (79) | 239 |
Divestitures | (13) | |
Balance of goodwill at end of period | $ 22,496 | $ 22,575 |
GOODWILL AND INTANGIBLE ASSE102
GOODWILL AND INTANGIBLE ASSETS - Goodwill by Reporting Units (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 |
Goodwill: | |||
Goodwill | $ 22,496 | $ 22,575 | $ 22,349 |
Operating Segments | Global Consumer Banking | Reporting units | North America Global Consumer Banking | |||
Goodwill: | |||
Goodwill | 6,766 | ||
Operating Segments | Global Consumer Banking | Reporting units | Asia Global Consumer Banking | |||
Goodwill: | |||
Goodwill | 5,002 | ||
Operating Segments | Global Consumer Banking | Reporting units | Latin America Global Consumer Banking | |||
Goodwill: | |||
Goodwill | 1,176 | ||
Operating Segments | Institutional Clients Group | Reporting units | ICG—Banking | |||
Goodwill: | |||
Goodwill | 2,892 | ||
Operating Segments | Institutional Clients Group | Reporting units | ICG—Markets and Securities Services | |||
Goodwill: | |||
Goodwill | 6,580 | ||
Operating Segments | Citi Holdings | Reporting units | Citi Holdings—Consumer Latin America | |||
Goodwill: | |||
Goodwill | $ 80 |
GOODWILL AND INTANGIBLE ASSE103
GOODWILL AND INTANGIBLE ASSETS - Components of Intangible Assets (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Finite and Indefinite-lived Intangible Assets | ||
Gross carrying amount of Intangible assets (excluding MSRs) | $ 15,830 | $ 14,107 |
Accumulated amortization of Intangible assets (excluding MSRs) | 10,309 | 10,386 |
Net carrying amount of Intangible assets (excluding MSRs) | 5,521 | 3,721 |
Gross carrying amount, Mortgage servicing rights (MSRs) | 1,324 | 1,781 |
Mortgage servicing rights (MSRs) | 1,324 | 1,781 |
Gross carrying amount of Intangible assets | 17,154 | 15,888 |
Accumulated amortization of Intangible assets | 10,309 | 10,386 |
Total intangible assets | 6,845 | 5,502 |
Indefinite-lived intangible assets | ||
Finite and Indefinite-lived Intangible Assets | ||
Gross carrying amount of Intangible assets (excluding MSRs) | 238 | 284 |
Accumulated amortization of Intangible assets (excluding MSRs) | 0 | 0 |
Net carrying amount of Intangible assets (excluding MSRs) | 238 | 284 |
Purchased credit card relationships | ||
Finite and Indefinite-lived Intangible Assets | ||
Gross carrying amount of Intangible assets (excluding MSRs) | 8,394 | 7,606 |
Accumulated amortization of Intangible assets (excluding MSRs) | 6,543 | 6,520 |
Net carrying amount of Intangible assets (excluding MSRs) | 1,851 | 1,086 |
Core deposit intangibles | ||
Finite and Indefinite-lived Intangible Assets | ||
Gross carrying amount of Intangible assets (excluding MSRs) | 869 | 1,050 |
Accumulated amortization of Intangible assets (excluding MSRs) | 818 | 969 |
Net carrying amount of Intangible assets (excluding MSRs) | 51 | 81 |
Other customer relationships | ||
Finite and Indefinite-lived Intangible Assets | ||
Gross carrying amount of Intangible assets (excluding MSRs) | 530 | 471 |
Accumulated amortization of Intangible assets (excluding MSRs) | 289 | 252 |
Net carrying amount of Intangible assets (excluding MSRs) | 241 | 219 |
Present value of future profits | ||
Finite and Indefinite-lived Intangible Assets | ||
Gross carrying amount of Intangible assets (excluding MSRs) | 35 | 37 |
Accumulated amortization of Intangible assets (excluding MSRs) | 30 | 31 |
Net carrying amount of Intangible assets (excluding MSRs) | 5 | 6 |
Other | ||
Finite and Indefinite-lived Intangible Assets | ||
Gross carrying amount of Intangible assets (excluding MSRs) | 5,764 | 4,659 |
Accumulated amortization of Intangible assets (excluding MSRs) | 2,629 | 2,614 |
Net carrying amount of Intangible assets (excluding MSRs) | $ 3,135 | $ 2,045 |
GOODWILL AND INTANGIBLE ASSE104
GOODWILL AND INTANGIBLE ASSETS - Changes in Intangible Assets (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2016 | Dec. 31, 2015 | |
Finite and Indefinite-lived Intangible Assets | ||
Net carrying amount at December 31, 2015, Intangible assets (excluding MSRs) | $ 3,721 | |
Acquisitions/ divestitures | 2,022 | |
Amortization | (258) | |
FX translation and other | 36 | |
Net carrying amount at June 30, 2016, Intangible assets (excluding MSRs) | 5,521 | |
Mortgage servicing rights (MSRs) | 1,324 | $ 1,781 |
Total intangible assets | 6,845 | $ 5,502 |
Indefinite-lived intangible assets | ||
Finite and Indefinite-lived Intangible Assets | ||
Net carrying amount at December 31, 2015, Intangible assets (excluding MSRs) | 284 | |
Acquisitions/ divestitures | (18) | |
Amortization | 0 | |
FX translation and other | (28) | |
Net carrying amount at June 30, 2016, Intangible assets (excluding MSRs) | 238 | |
Purchased credit card relationships | ||
Finite and Indefinite-lived Intangible Assets | ||
Net carrying amount at December 31, 2015, Intangible assets (excluding MSRs) | 1,086 | |
Acquisitions/ divestitures | 848 | |
Amortization | (98) | |
FX translation and other | 15 | |
Net carrying amount at June 30, 2016, Intangible assets (excluding MSRs) | 1,851 | |
Core deposit intangibles | ||
Finite and Indefinite-lived Intangible Assets | ||
Net carrying amount at December 31, 2015, Intangible assets (excluding MSRs) | 81 | |
Acquisitions/ divestitures | (13) | |
Amortization | (15) | |
FX translation and other | (2) | |
Net carrying amount at June 30, 2016, Intangible assets (excluding MSRs) | 51 | |
Other customer relationships | ||
Finite and Indefinite-lived Intangible Assets | ||
Net carrying amount at December 31, 2015, Intangible assets (excluding MSRs) | 219 | |
Acquisitions/ divestitures | 0 | |
Amortization | (12) | |
FX translation and other | 34 | |
Net carrying amount at June 30, 2016, Intangible assets (excluding MSRs) | 241 | |
Present value of future profits | ||
Finite and Indefinite-lived Intangible Assets | ||
Net carrying amount at December 31, 2015, Intangible assets (excluding MSRs) | 6 | |
Acquisitions/ divestitures | 0 | |
Amortization | 0 | |
FX translation and other | (1) | |
Net carrying amount at June 30, 2016, Intangible assets (excluding MSRs) | 5 | |
Other | ||
Finite and Indefinite-lived Intangible Assets | ||
Net carrying amount at December 31, 2015, Intangible assets (excluding MSRs) | 2,045 | |
Acquisitions/ divestitures | 1,205 | |
Amortization | (133) | |
FX translation and other | 18 | |
Net carrying amount at June 30, 2016, Intangible assets (excluding MSRs) | $ 3,135 |
DEBT - Short-Term Borrowings (D
DEBT - Short-Term Borrowings (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Debt Disclosure [Abstract] | ||
Commercial paper | $ 9,982 | $ 9,995 |
Other borrowings | 8,426 | 11,084 |
Total short-term borrowings | $ 18,408 | $ 21,079 |
DEBT - Long-Term Debt (Details)
DEBT - Long-Term Debt (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Debt Instrument | ||
Long-term debt, at fair value | $ 207,448 | $ 201,275 |
Citigroup Inc. | ||
Debt Instrument | ||
Long-term debt, at fair value | 148,686 | 142,157 |
Bank | ||
Debt Instrument | ||
Long-term debt, at fair value | 52,627 | 55,131 |
Bank | Senior notes | ||
Debt Instrument | ||
Collateralized long-term advances from Federal Home Loan Bank | 19,600 | 17,800 |
Broker-dealer | ||
Debt Instrument | ||
Long-term debt, at fair value | $ 6,135 | $ 3,987 |
DEBT - Trust Preferred Securiti
DEBT - Trust Preferred Securities (Details) $ in Millions | Jun. 30, 2016USD ($)shares | Dec. 31, 2015USD ($) |
Trust Preferred Securities | ||
Trust preferred securities | $ 1,700 | $ 1,700 |
Liquidation value | 2,574 | |
Junior subordinated debentures owned by the Trust, amount | $ 2,580 | |
Citigroup Capital III | ||
Trust Preferred Securities | ||
Securities issued (in shares) | shares | 194,053 | |
Liquidation value | $ 194 | |
Coupon rate | 7.625% | |
Common shares issued to parent (in shares) | shares | 6,003 | |
Junior subordinated debentures owned by the Trust, amount | $ 200 | |
Citigroup Capital XIII | ||
Trust Preferred Securities | ||
Securities issued (in shares) | shares | 89,840,000 | |
Liquidation value | $ 2,246 | |
Common shares issued to parent (in shares) | shares | 1,000 | |
Junior subordinated debentures owned by the Trust, amount | $ 2,246 | |
Citigroup Capital XVIII | ||
Trust Preferred Securities | ||
Securities issued (in shares) | shares | 99,901 | |
Liquidation value | $ 134 | |
Coupon rate | 6.829% | |
Common shares issued to parent (in shares) | shares | 50 | |
Junior subordinated debentures owned by the Trust, amount | $ 134 | |
LIBOR | Citigroup Capital XIII | ||
Trust Preferred Securities | ||
Coupon rate - basis spread on variable rate | 0.0637 |
CHANGES IN ACCUMULATED OTHER108
CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) - Change in Each Component of AOCI (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Change in accumulated other comprehensive income (loss) | |||||||
Balance, beginning of period | $ 223,092 | ||||||
Balance, end of period | $ 233,021 | $ 220,825 | 233,021 | $ 220,825 | |||
Net unrealized gains (losses) on investment securities | |||||||
Change in accumulated other comprehensive income (loss) | |||||||
Balance, beginning of period | 1,127 | 648 | (907) | 57 | |||
Adjustment to opening balance, net of taxes | $ 0 | ||||||
Adjusted balance, beginning of period | (907) | ||||||
Other comprehensive income before reclassifications | 1,025 | (844) | 3,051 | (103) | |||
Increase (decrease) due to amounts reclassified from AOCI | (98) | (91) | (90) | (241) | |||
Change, net of taxes | 927 | (935) | 2,961 | (344) | |||
Balance, end of period | 2,054 | (287) | 2,054 | (287) | |||
Debt valuation adjustment (DVA) | |||||||
Change in accumulated other comprehensive income (loss) | |||||||
Balance, beginning of period | 178 | 0 | |||||
Adjustment to opening balance, net of taxes | (15) | ||||||
Adjusted balance, beginning of period | (15) | ||||||
Other comprehensive income before reclassifications | 16 | 208 | |||||
Increase (decrease) due to amounts reclassified from AOCI | (4) | (3) | |||||
Change, net of taxes | 12 | 205 | |||||
Balance, end of period | 190 | 190 | |||||
Cash flow hedges | |||||||
Change in accumulated other comprehensive income (loss) | |||||||
Balance, beginning of period | (300) | (823) | (617) | (909) | |||
Adjustment to opening balance, net of taxes | 0 | ||||||
Adjusted balance, beginning of period | (617) | ||||||
Other comprehensive income before reclassifications | 115 | 22 | 406 | 54 | |||
Increase (decrease) due to amounts reclassified from AOCI | 36 | 70 | 62 | 124 | |||
Change, net of taxes | 151 | 92 | 468 | 178 | |||
Balance, end of period | (149) | (731) | (149) | (731) | |||
Benefit plans | |||||||
Change in accumulated other comprehensive income (loss) | |||||||
Balance, beginning of period | (5,581) | (5,249) | (5,116) | (5,159) | |||
Adjustment to opening balance, net of taxes | 0 | ||||||
Adjusted balance, beginning of period | (5,116) | ||||||
Other comprehensive income before reclassifications | (66) | 539 | (566) | 408 | |||
Increase (decrease) due to amounts reclassified from AOCI | 39 | 39 | 74 | 80 | |||
Change, net of taxes | (27) | 578 | (492) | 488 | |||
Balance, end of period | (5,608) | (4,671) | (5,608) | (4,671) | |||
Foreign currency translation adjustment (CTA), net of hedges | |||||||
Change in accumulated other comprehensive income (loss) | |||||||
Balance, beginning of period | (22,050) | (19,267) | (22,704) | (17,205) | |||
Adjustment to opening balance, net of taxes | 0 | ||||||
Adjusted balance, beginning of period | (22,704) | ||||||
Other comprehensive income before reclassifications | (552) | (148) | 102 | (2,210) | |||
Increase (decrease) due to amounts reclassified from AOCI | 0 | 0 | 0 | 0 | |||
Change, net of taxes | (552) | (148) | 102 | (2,210) | |||
Balance, end of period | (22,602) | (19,415) | (22,602) | (19,415) | |||
Accumulated other comprehensive income (loss) | |||||||
Change in accumulated other comprehensive income (loss) | |||||||
Balance, beginning of period | (26,626) | (24,691) | (29,344) | (23,216) | |||
Adjustment to opening balance, net of taxes | [1] | $ (15) | $ 0 | ||||
Adjusted balance, beginning of period | (29,359) | (23,216) | |||||
Other comprehensive income before reclassifications | 538 | (431) | 3,201 | (1,851) | |||
Increase (decrease) due to amounts reclassified from AOCI | (27) | 18 | 43 | (37) | |||
Change, net of taxes | 511 | (413) | 3,244 | (1,888) | |||
Balance, end of period | $ (26,115) | $ (25,104) | $ (26,115) | $ (25,104) | |||
[1] | Effective January 1, 2016, Citigroup early adopted the provisions of the amendment in ASU No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, related to the presentation of DVA on fair value option liabilities. Accordingly, beginning in the first quarter 2016, the portion of the change in fair value of these liabilities related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of Accumulated other comprehensive income (AOCI). The cumulative effect of this change in accounting resulted in a reclassification from Retained earnings to AOCI of an accumulated after-tax loss of approximately $15 million at January 1, 2016. |
CHANGES IN ACCUMULATED OTHER109
CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) - Schedule of Pre-Tax and After-Tax (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | ||
Change in accumulated other comprehensive income (loss), after-tax | |||||||||
Balance, beginning of period | $ 223,092 | ||||||||
Balance, end of period | $ 233,021 | $ 220,825 | 233,021 | $ 220,825 | |||||
Net unrealized gains (losses) on investment securities | |||||||||
Change in accumulated other comprehensive income (loss), pretax | |||||||||
Other comprehensive income (loss), pretax | 1,482 | (1,517) | 4,706 | (468) | |||||
Change in accumulated other comprehensive income (loss), tax effect | |||||||||
Other comprehensive income (loss), tax effect | (555) | 582 | (1,745) | 124 | |||||
Change in accumulated other comprehensive income (loss), after-tax | |||||||||
Balance, beginning of period | 1,127 | 648 | (907) | 57 | |||||
Adjustment to opening balance | $ 0 | ||||||||
Adjusted balance, beginning of period | (907) | ||||||||
Change, net of taxes | 927 | (935) | 2,961 | (344) | |||||
Balance, end of period | 2,054 | (287) | 2,054 | (287) | |||||
Debt valuation adjustment (DVA) | |||||||||
Change in accumulated other comprehensive income (loss), pretax | |||||||||
Other comprehensive income (loss), pretax | 20 | 327 | |||||||
Change in accumulated other comprehensive income (loss), tax effect | |||||||||
Other comprehensive income (loss), tax effect | (8) | (122) | |||||||
Change in accumulated other comprehensive income (loss), after-tax | |||||||||
Balance, beginning of period | 178 | 0 | |||||||
Adjustment to opening balance | (15) | ||||||||
Adjusted balance, beginning of period | (15) | ||||||||
Change, net of taxes | 12 | 205 | |||||||
Balance, end of period | 190 | 190 | |||||||
Cash flow hedges | |||||||||
Change in accumulated other comprehensive income (loss), pretax | |||||||||
Other comprehensive income (loss), pretax | 257 | 118 | 739 | 274 | |||||
Change in accumulated other comprehensive income (loss), tax effect | |||||||||
Other comprehensive income (loss), tax effect | (106) | (26) | (271) | (96) | |||||
Change in accumulated other comprehensive income (loss), after-tax | |||||||||
Balance, beginning of period | (300) | (823) | (617) | (909) | |||||
Adjustment to opening balance | 0 | ||||||||
Adjusted balance, beginning of period | (617) | ||||||||
Change, net of taxes | 151 | 92 | 468 | 178 | |||||
Balance, end of period | (149) | (731) | (149) | (731) | |||||
Benefit plans | |||||||||
Change in accumulated other comprehensive income (loss), pretax | |||||||||
Other comprehensive income (loss), pretax | (31) | 810 | (758) | 689 | |||||
Change in accumulated other comprehensive income (loss), tax effect | |||||||||
Other comprehensive income (loss), tax effect | 4 | (232) | 266 | (201) | |||||
Change in accumulated other comprehensive income (loss), after-tax | |||||||||
Balance, beginning of period | (5,581) | (5,249) | (5,116) | (5,159) | |||||
Adjustment to opening balance | 0 | ||||||||
Adjusted balance, beginning of period | (5,116) | ||||||||
Change, net of taxes | (27) | 578 | (492) | 488 | |||||
Balance, end of period | (5,608) | (4,671) | (5,608) | (4,671) | |||||
Foreign currency translation adjustment | |||||||||
Change in accumulated other comprehensive income (loss), pretax | |||||||||
Other comprehensive income (loss), pretax | (774) | (280) | (262) | (2,583) | |||||
Change in accumulated other comprehensive income (loss), tax effect | |||||||||
Other comprehensive income (loss), tax effect | 222 | 132 | 364 | 373 | |||||
Change in accumulated other comprehensive income (loss), after-tax | |||||||||
Balance, beginning of period | (22,050) | (19,267) | (22,704) | (17,205) | |||||
Adjustment to opening balance | 0 | ||||||||
Adjusted balance, beginning of period | (22,704) | ||||||||
Change, net of taxes | (552) | (148) | 102 | (2,210) | |||||
Balance, end of period | (22,602) | (19,415) | (22,602) | (19,415) | |||||
Citigroup's accumulated other comprehensive income (loss) | |||||||||
Change in accumulated other comprehensive income (loss), pretax | |||||||||
Balance, beginning of period, pretax | (34,668) | (32,279) | (38,440) | (31,060) | |||||
Adjustment to opening balance, pretax | (26) | ||||||||
Adjusted balance, beginning of period, pretax | (38,466) | ||||||||
Other comprehensive income (loss), pretax | 954 | (869) | 4,752 | (2,088) | |||||
Balance, end of period, pretax | (33,714) | (33,148) | (33,714) | (33,148) | |||||
Change in accumulated other comprehensive income (loss), tax effect | |||||||||
Balance, beginning of period, tax effect | 8,042 | 7,588 | 9,096 | 7,844 | |||||
Adjustment to opening balance, tax effect | 11 | ||||||||
Adjusted balance, beginning of period, tax effect | 9,107 | ||||||||
Other comprehensive income (loss), tax effect | (443) | 456 | (1,508) | 200 | |||||
Balance, end of period, tax effect | 8,042 | 7,588 | 9,096 | 7,844 | $ 7,599 | 9,096 | $ 8,044 | $ 7,844 | |
Change in accumulated other comprehensive income (loss), after-tax | |||||||||
Balance, beginning of period | (26,626) | (24,691) | (29,344) | (23,216) | |||||
Adjustment to opening balance | [1] | (15) | 0 | ||||||
Adjusted balance, beginning of period | $ (29,359) | $ (23,216) | |||||||
Change, net of taxes | 511 | (413) | 3,244 | (1,888) | |||||
Balance, end of period | $ (26,115) | $ (25,104) | $ (26,115) | $ (25,104) | |||||
[1] | Effective January 1, 2016, Citigroup early adopted the provisions of the amendment in ASU No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, related to the presentation of DVA on fair value option liabilities. Accordingly, beginning in the first quarter 2016, the portion of the change in fair value of these liabilities related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of Accumulated other comprehensive income (AOCI). The cumulative effect of this change in accounting resulted in a reclassification from Retained earnings to AOCI of an accumulated after-tax loss of approximately $15 million at January 1, 2016. |
CHANGES IN ACCUMULATED OTHER110
CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) - Reclassification out of AOCI (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Realized (gains) losses on sales of investments | $ (200) | $ (183) | $ (386) | $ (490) |
Income from continuing operations before income taxes | (5,770) | (6,894) | (10,757) | (13,831) |
Tax effect | 1,723 | 2,036 | 3,202 | 4,156 |
Income (loss) from continuing operations | (4,047) | (4,858) | (7,555) | (9,675) |
Realized gains (losses) on investment securities | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Total amounts reclassified out of AOCI, after-tax | (98) | (91) | (90) | (241) |
Realized gains (losses) on investment securities | (Gain) loss reclassified from AOCI | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Realized (gains) losses on sales of investments | (200) | (183) | (386) | (490) |
OTTI gross impairment losses | 48 | 43 | 251 | 115 |
Income from continuing operations before income taxes | (152) | (140) | (135) | (375) |
Tax effect | 54 | 49 | 45 | 134 |
Income (loss) from continuing operations | (98) | (91) | (90) | (241) |
Debt valuation adjustment (DVA) | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Total amounts reclassified out of AOCI, after-tax | (4) | (3) | ||
Debt valuation adjustment (DVA) | (Gain) loss reclassified from AOCI | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Realized (gains) losses on sales of investments | (6) | (5) | ||
Income from continuing operations before income taxes | (6) | (5) | ||
Tax effect | 2 | 2 | ||
Income (loss) from continuing operations | (4) | (3) | ||
Cash flow hedges | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Total amounts reclassified out of AOCI, after-tax | 36 | 70 | 62 | 124 |
Cash flow hedges | (Gain) loss reclassified from AOCI | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Income from continuing operations before income taxes | 58 | 111 | 100 | 197 |
Tax effect | (22) | (41) | (38) | (73) |
Income (loss) from continuing operations | 36 | 70 | 62 | 124 |
Cash flow hedges | (Gain) loss reclassified from AOCI | Interest rate contracts | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Income from continuing operations before income taxes | 41 | 74 | 57 | 120 |
Cash flow hedges | (Gain) loss reclassified from AOCI | Foreign exchange contracts | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Income from continuing operations before income taxes | 17 | 37 | 43 | 77 |
Pension liability adjustments | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Total amounts reclassified out of AOCI, pretax | 61 | 72 | 115 | 136 |
Total tax effect | (22) | (33) | (41) | (56) |
Total amounts reclassified out of AOCI, after-tax | 39 | 39 | 74 | 80 |
Prior service cost (benefit) | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Total amounts reclassified out of AOCI, pretax | (11) | (10) | (21) | (21) |
Net actuarial loss | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Total amounts reclassified out of AOCI, pretax | 69 | 72 | 135 | 147 |
Curtailment/settlement impact | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Total amounts reclassified out of AOCI, pretax | 3 | 10 | 1 | 10 |
Foreign currency translation adjustment | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Total amounts reclassified out of AOCI, after-tax | 0 | 0 | 0 | 0 |
Foreign currency translation adjustment | (Gain) loss reclassified from AOCI | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Income (loss) from continuing operations | 0 | 0 | 0 | 0 |
Citigroup's accumulated other comprehensive income (loss) | ||||
Pretax and after-tax amounts reclassified out of accumulated other comprehensive income (loss) | ||||
Total amounts reclassified out of AOCI, pretax | (39) | 43 | 75 | (42) |
Total tax effect | 12 | (25) | (32) | 5 |
Total amounts reclassified out of AOCI, after-tax | $ (27) | $ 18 | $ 43 | $ (37) |
PREFERRED STOCK (Details)
PREFERRED STOCK (Details) $ / shares in Units, $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2016USD ($)$ / sharesshares | Dec. 31, 2016USD ($) | Jun. 30, 2016USD ($)$ / sharesshares | Dec. 31, 2015USD ($)$ / sharesshares | |
Preferred stock | ||||
Carrying value | $ 19,253 | $ 19,253 | $ 16,718 | |
Distribution of preferred dividends | $ 322 | |||
Forecast | ||||
Preferred stock | ||||
Distribution of preferred dividends | $ 546 | |||
Series AA | ||||
Preferred stock | ||||
Dividend rate | 8.125% | 8.125% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 25 | $ 25 | $ 25 | |
Number of depositary shares (in shares) | shares | 3,870,330 | 3,870,330 | 3,870,330 | |
Carrying value | $ 97 | $ 97 | $ 97 | |
Depositary shares, interest in corresponding series of preferred stock | 0.001 | |||
Series E | ||||
Preferred stock | ||||
Dividend rate | 8.40% | 8.40% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 1,000 | $ 1,000 | $ 1,000 | |
Number of depositary shares (in shares) | shares | 121,254 | 121,254 | 121,254 | |
Carrying value | $ 121 | $ 121 | $ 121 | |
Depositary shares, interest in corresponding series of preferred stock | 0.04 | |||
Series A | ||||
Preferred stock | ||||
Dividend rate | 5.95% | 5.95% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 1,000 | $ 1,000 | $ 1,000 | |
Number of depositary shares (in shares) | shares | 1,500,000 | 1,500,000 | 1,500,000 | |
Carrying value | $ 1,500 | $ 1,500 | $ 1,500 | |
Depositary shares, interest in corresponding series of preferred stock | 0.04 | |||
Series B | ||||
Preferred stock | ||||
Dividend rate | 5.90% | 5.90% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 1,000 | $ 1,000 | $ 1,000 | |
Number of depositary shares (in shares) | shares | 750,000 | 750,000 | 750,000 | |
Carrying value | $ 750 | $ 750 | $ 750 | |
Depositary shares, interest in corresponding series of preferred stock | 0.04 | |||
Series C | ||||
Preferred stock | ||||
Dividend rate | 5.80% | 5.80% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 25 | $ 25 | $ 25 | |
Number of depositary shares (in shares) | shares | 23,000,000 | 23,000,000 | 23,000,000 | |
Carrying value | $ 575 | $ 575 | $ 575 | |
Depositary shares, interest in corresponding series of preferred stock | 0.001 | |||
Series D | ||||
Preferred stock | ||||
Dividend rate | 5.35% | 5.35% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 1,000 | $ 1,000 | $ 1,000 | |
Number of depositary shares (in shares) | shares | 1,250,000 | 1,250,000 | 1,250,000 | |
Carrying value | $ 1,250 | $ 1,250 | $ 1,250 | |
Depositary shares, interest in corresponding series of preferred stock | 0.04 | |||
Series J | ||||
Preferred stock | ||||
Dividend rate | 7.125% | 7.125% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 25 | $ 25 | $ 25 | |
Number of depositary shares (in shares) | shares | 38,000,000 | 38,000,000 | 38,000,000 | |
Carrying value | $ 950 | $ 950 | $ 950 | |
Depositary shares, interest in corresponding series of preferred stock | 0.001 | |||
Series K | ||||
Preferred stock | ||||
Dividend rate | 6.875% | 6.875% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 25 | $ 25 | $ 25 | |
Number of depositary shares (in shares) | shares | 59,800,000 | 59,800,000 | 59,800,000 | |
Carrying value | $ 1,495 | $ 1,495 | $ 1,495 | |
Depositary shares, interest in corresponding series of preferred stock | 0.001 | |||
Series L | ||||
Preferred stock | ||||
Dividend rate | 6.875% | 6.875% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 25 | $ 25 | $ 25 | |
Number of depositary shares (in shares) | shares | 19,200,000 | 19,200,000 | 19,200,000 | |
Carrying value | $ 480 | $ 480 | $ 480 | |
Depositary shares, interest in corresponding series of preferred stock | 0.001 | |||
Series M | ||||
Preferred stock | ||||
Dividend rate | 6.30% | 6.30% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 1,000 | $ 1,000 | $ 1,000 | |
Number of depositary shares (in shares) | shares | 1,750,000 | 1,750,000 | 1,750,000 | |
Carrying value | $ 1,750 | $ 1,750 | $ 1,750 | |
Depositary shares, interest in corresponding series of preferred stock | 0.04 | |||
Series N | ||||
Preferred stock | ||||
Dividend rate | 5.80% | 5.80% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 1,000 | $ 1,000 | $ 1,000 | |
Number of depositary shares (in shares) | shares | 1,500,000 | 1,500,000 | 1,500,000 | |
Carrying value | $ 1,500 | $ 1,500 | $ 1,500 | |
Depositary shares, interest in corresponding series of preferred stock | 0.04 | |||
Series O | ||||
Preferred stock | ||||
Dividend rate | 5.875% | 5.875% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 1,000 | $ 1,000 | $ 1,000 | |
Number of depositary shares (in shares) | shares | 1,500,000 | 1,500,000 | 1,500,000 | |
Carrying value | $ 1,500 | $ 1,500 | $ 1,500 | |
Depositary shares, interest in corresponding series of preferred stock | 0.04 | |||
Series P | ||||
Preferred stock | ||||
Dividend rate | 5.95% | 5.95% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 1,000 | $ 1,000 | $ 1,000 | |
Number of depositary shares (in shares) | shares | 2,000,000 | 2,000,000 | 2,000,000 | |
Carrying value | $ 2,000 | $ 2,000 | $ 2,000 | |
Depositary shares, interest in corresponding series of preferred stock | 0.04 | |||
Series Q | ||||
Preferred stock | ||||
Dividend rate | 5.95% | 5.95% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 1,000 | $ 1,000 | $ 1,000 | |
Number of depositary shares (in shares) | shares | 1,250,000 | 1,250,000 | 1,250,000 | |
Carrying value | $ 1,250 | $ 1,250 | $ 1,250 | |
Depositary shares, interest in corresponding series of preferred stock | 0.04 | |||
Series R | ||||
Preferred stock | ||||
Dividend rate | 6.125% | 6.125% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 1,000 | $ 1,000 | $ 1,000 | |
Number of depositary shares (in shares) | shares | 1,500,000 | 1,500,000 | 1,500,000 | |
Carrying value | $ 1,500 | $ 1,500 | $ 1,500 | |
Depositary shares, interest in corresponding series of preferred stock | 0.04 | |||
Series S | ||||
Preferred stock | ||||
Dividend rate | 6.30% | 6.30% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 25 | $ 25 | $ 25 | |
Number of depositary shares (in shares) | shares | 41,400,000 | 41,400,000 | 41,400,000 | |
Carrying value | $ 1,035 | $ 1,035 | $ 0 | |
Depositary shares, interest in corresponding series of preferred stock | 0.001 | |||
Series T | ||||
Preferred stock | ||||
Dividend rate | 6.25% | 6.25% | ||
Redemption price per depositary share/ preference share (in dollars per share) | $ / shares | $ 1,000 | $ 1,000 | $ 1,000 | |
Number of depositary shares (in shares) | shares | 1,500,000 | 1,500,000 | 1,500,000 | |
Carrying value | $ 1,500 | $ 1,500 | $ 0 | |
Depositary shares, interest in corresponding series of preferred stock | 0.04 |
SECURITIZATIONS AND VARIABLE112
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES - Schedule of Variable Interest Entities (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Variable Interest Entity | ||
Total involvement with SPE assets | $ 426,354 | $ 418,045 |
Consolidated VIE / SPE assets | 79,736 | 84,794 |
Significant unconsolidated VIE assets | 346,618 | 333,251 |
Funded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, debt investments | 31,025 | 31,070 |
Maximum exposure to loss in significant unconsolidated VIEs, equity investments | 4,100 | 3,448 |
Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, funding commitments | 10,478 | 9,153 |
Maximum exposure to loss in significant unconsolidated VIEs, guarantees and derivatives | 581 | 670 |
Funded and Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs | 46,184 | 44,341 |
Credit card securitizations | ||
Variable Interest Entity | ||
Total involvement with SPE assets | 51,457 | 54,916 |
Consolidated VIE / SPE assets | 51,457 | 54,916 |
Significant unconsolidated VIE assets | 0 | 0 |
Funded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, debt investments | 0 | 0 |
Maximum exposure to loss in significant unconsolidated VIEs, equity investments | 0 | 0 |
Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, funding commitments | 0 | 0 |
Maximum exposure to loss in significant unconsolidated VIEs, guarantees and derivatives | 0 | 0 |
Funded and Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs | 0 | 0 |
Mortgage-backed securities - U.S. agency-sponsored | ||
Variable Interest Entity | ||
Total involvement with SPE assets | 230,600 | 217,291 |
Consolidated VIE / SPE assets | 0 | 0 |
Significant unconsolidated VIE assets | 230,600 | 217,291 |
Funded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, debt investments | 4,177 | 3,571 |
Maximum exposure to loss in significant unconsolidated VIEs, equity investments | 0 | 0 |
Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, funding commitments | 0 | 0 |
Maximum exposure to loss in significant unconsolidated VIEs, guarantees and derivatives | 87 | 95 |
Funded and Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs | 4,264 | 3,666 |
Mortgage securitizations - Non-agency-sponsored | ||
Variable Interest Entity | ||
Total involvement with SPE assets | 16,563 | 13,036 |
Consolidated VIE / SPE assets | 1,391 | 1,586 |
Significant unconsolidated VIE assets | 15,172 | 11,450 |
Funded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, debt investments | 295 | 527 |
Maximum exposure to loss in significant unconsolidated VIEs, equity investments | 35 | 0 |
Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, funding commitments | 0 | 0 |
Maximum exposure to loss in significant unconsolidated VIEs, guarantees and derivatives | 1 | 1 |
Funded and Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs | 331 | 528 |
Citi-administered asset-backed commercial paper conduits (ABCP) | ||
Variable Interest Entity | ||
Total involvement with SPE assets | 21,245 | 21,280 |
Consolidated VIE / SPE assets | 21,245 | 21,280 |
Significant unconsolidated VIE assets | 0 | 0 |
Funded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, debt investments | 0 | 0 |
Maximum exposure to loss in significant unconsolidated VIEs, equity investments | 0 | 0 |
Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, funding commitments | 0 | 0 |
Maximum exposure to loss in significant unconsolidated VIEs, guarantees and derivatives | 0 | 0 |
Funded and Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs | 0 | 0 |
Collateralized loan obligations (CLOs) | ||
Variable Interest Entity | ||
Total involvement with SPE assets | 15,743 | 16,719 |
Consolidated VIE / SPE assets | 0 | 0 |
Significant unconsolidated VIE assets | 15,743 | 16,719 |
Funded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, debt investments | 3,708 | 3,150 |
Maximum exposure to loss in significant unconsolidated VIEs, equity investments | 0 | 0 |
Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, funding commitments | 0 | 0 |
Maximum exposure to loss in significant unconsolidated VIEs, guarantees and derivatives | 83 | 86 |
Funded and Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs | 3,791 | 3,236 |
Asset-based financing | ||
Variable Interest Entity | ||
Total involvement with SPE assets | 57,543 | 58,862 |
Consolidated VIE / SPE assets | 1,228 | 1,364 |
Significant unconsolidated VIE assets | 56,315 | 57,498 |
Funded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, debt investments | 20,045 | 21,270 |
Maximum exposure to loss in significant unconsolidated VIEs, equity investments | 413 | 269 |
Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, funding commitments | 5,051 | 3,616 |
Maximum exposure to loss in significant unconsolidated VIEs, guarantees and derivatives | 363 | 436 |
Funded and Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs | 25,872 | 25,591 |
Municipal securities tender option bond trusts (TOBs) | ||
Variable Interest Entity | ||
Total involvement with SPE assets | 7,379 | 8,572 |
Consolidated VIE / SPE assets | 2,819 | 3,830 |
Significant unconsolidated VIE assets | 4,560 | 4,742 |
Funded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, debt investments | 113 | 2 |
Maximum exposure to loss in significant unconsolidated VIEs, equity investments | 0 | 0 |
Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, funding commitments | 2,831 | 3,100 |
Maximum exposure to loss in significant unconsolidated VIEs, guarantees and derivatives | 0 | 0 |
Funded and Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs | 2,944 | 3,102 |
Municipal investments | ||
Variable Interest Entity | ||
Total involvement with SPE assets | 18,304 | 20,290 |
Consolidated VIE / SPE assets | 36 | 44 |
Significant unconsolidated VIE assets | 18,268 | 20,246 |
Funded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, debt investments | 2,392 | 2,196 |
Maximum exposure to loss in significant unconsolidated VIEs, equity investments | 2,946 | 2,487 |
Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, funding commitments | 2,451 | 2,335 |
Maximum exposure to loss in significant unconsolidated VIEs, guarantees and derivatives | 0 | 0 |
Funded and Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs | 7,789 | 7,018 |
Client intermediation | ||
Variable Interest Entity | ||
Total involvement with SPE assets | 408 | 434 |
Consolidated VIE / SPE assets | 179 | 335 |
Significant unconsolidated VIE assets | 229 | 99 |
Funded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, debt investments | 54 | 49 |
Maximum exposure to loss in significant unconsolidated VIEs, equity investments | 0 | 0 |
Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, funding commitments | 0 | 0 |
Maximum exposure to loss in significant unconsolidated VIEs, guarantees and derivatives | 0 | 0 |
Funded and Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs | 54 | 49 |
Investment funds | ||
Variable Interest Entity | ||
Total involvement with SPE assets | 2,710 | 1,730 |
Consolidated VIE / SPE assets | 789 | 842 |
Significant unconsolidated VIE assets | 1,921 | 888 |
Funded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, debt investments | 31 | 13 |
Maximum exposure to loss in significant unconsolidated VIEs, equity investments | 156 | 138 |
Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, funding commitments | 68 | 102 |
Maximum exposure to loss in significant unconsolidated VIEs, guarantees and derivatives | 0 | 0 |
Funded and Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs | 255 | 253 |
Other | ||
Variable Interest Entity | ||
Total involvement with SPE assets | 4,402 | 4,915 |
Consolidated VIE / SPE assets | 592 | 597 |
Significant unconsolidated VIE assets | 3,810 | 4,318 |
Funded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, debt investments | 210 | 292 |
Maximum exposure to loss in significant unconsolidated VIEs, equity investments | 550 | 554 |
Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs, funding commitments | 77 | 0 |
Maximum exposure to loss in significant unconsolidated VIEs, guarantees and derivatives | 47 | 52 |
Funded and Unfunded Exposure | ||
Maximum exposure to loss in significant unconsolidated VIEs | 884 | 898 |
Mortgage-backed securities | ||
Funded and Unfunded Exposure | ||
Private label mortgage-backed securities, outstanding | 11,000 | 12,000 |
Citicorp | ||
Variable Interest Entity | ||
Total involvement with SPE assets | $ 398,200 | $ 383,200 |
SECURITIZATIONS AND VARIABLE113
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES - Funding Commitments (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Funding Commitments for Significant Unconsolidated VIEs | ||
Notional amount | $ 10,478 | $ 9,153 |
Liquidity facilities Citigroup | ||
Funding Commitments for Significant Unconsolidated VIEs | ||
Notional amount | 2,836 | 3,105 |
Liquidity facilities Citigroup | Asset-based financing | ||
Funding Commitments for Significant Unconsolidated VIEs | ||
Notional amount | 5 | 5 |
Liquidity facilities Citigroup | Municipal securities tender option bond trusts (TOBs) | ||
Funding Commitments for Significant Unconsolidated VIEs | ||
Notional amount | 2,831 | 3,100 |
Liquidity facilities Citigroup | Municipal investments | ||
Funding Commitments for Significant Unconsolidated VIEs | ||
Notional amount | 0 | 0 |
Liquidity facilities Citigroup | Investment funds | ||
Funding Commitments for Significant Unconsolidated VIEs | ||
Notional amount | 0 | 0 |
Liquidity facilities Citigroup | Other | ||
Funding Commitments for Significant Unconsolidated VIEs | ||
Notional amount | 0 | 0 |
Loan / equity commitments Citigroup | ||
Funding Commitments for Significant Unconsolidated VIEs | ||
Notional amount | 7,642 | 6,048 |
Loan / equity commitments Citigroup | Asset-based financing | ||
Funding Commitments for Significant Unconsolidated VIEs | ||
Notional amount | 5,046 | 3,611 |
Loan / equity commitments Citigroup | Municipal securities tender option bond trusts (TOBs) | ||
Funding Commitments for Significant Unconsolidated VIEs | ||
Notional amount | 0 | 0 |
Loan / equity commitments Citigroup | Municipal investments | ||
Funding Commitments for Significant Unconsolidated VIEs | ||
Notional amount | 2,451 | 2,335 |
Loan / equity commitments Citigroup | Investment funds | ||
Funding Commitments for Significant Unconsolidated VIEs | ||
Notional amount | 68 | 102 |
Loan / equity commitments Citigroup | Other | ||
Funding Commitments for Significant Unconsolidated VIEs | ||
Notional amount | $ 77 | $ 0 |
SECURITIZATIONS AND VARIABLE114
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES - Carrying Amounts and Classifications of Consolidated Assets (Details) $ in Millions | Jun. 30, 2016USD ($)item | Dec. 31, 2015USD ($) | Jun. 30, 2015USD ($) | Dec. 31, 2014USD ($) |
Variable Interest Entity | ||||
Cash | $ 22,140 | $ 20,900 | $ 23,413 | $ 32,108 |
Trading account assets | 271,764 | 249,956 | ||
Investments | 356,293 | 342,955 | ||
Total loans, net of allowance | 621,211 | 604,991 | ||
Other | 124,495 | 125,002 | ||
Total assets | 1,818,771 | 1,731,210 | ||
Consolidated VIEs | ||||
Variable Interest Entity | ||||
Cash | 100 | 200 | ||
Trading account assets | 400 | 600 | ||
Investments | 4,800 | 5,300 | ||
Total loans, net of allowance | 74,300 | 78,600 | ||
Other | 100 | 100 | ||
Total assets | 79,700 | 84,800 | ||
Short-term borrowings | 13,000 | 14,000 | ||
Long-term debt | 27,700 | 31,300 | ||
Other liabilities | 2,100 | 2,100 | ||
Total liabilities | 42,800 | 47,400 | ||
Non-recourse liabilities | $ 40,800 | 45,300 | ||
With recourse liabilities, number of items | item | 2 | |||
Consolidated VIEs | Letter of credit | ||||
Variable Interest Entity | ||||
Total liabilities | $ 1,900 | 1,900 | ||
Consolidated VIEs | Credit guarantee | ||||
Variable Interest Entity | ||||
With recourse liabilities | 82 | 82 | ||
Significant unconsolidated VIE assets | ||||
Variable Interest Entity | ||||
Cash | 100 | 100 | ||
Trading account assets | 7,600 | 6,200 | ||
Investments | 3,700 | 3,000 | ||
Total loans, net of allowance | 22,500 | 23,600 | ||
Other | 1,300 | 1,700 | ||
Total assets | $ 35,200 | $ 34,600 |
SECURITIZATIONS AND VARIABLE115
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES - Credit Card Securitizations (Details) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016USD ($) | Jun. 30, 2015USD ($) | Jun. 30, 2016USD ($)trust | Jun. 30, 2015USD ($) | Dec. 31, 2015USD ($) | |
Securitized credit card receivables | |||||
Number of trusts to hold securitized credit card receivables | trust | 2 | ||||
Ownership interests in principal amount of trust credit card receivables | |||||
Sold to investors via trust-issued securities | $ 26,200,000,000 | $ 26,200,000,000 | $ 29,700,000,000 | ||
Retained by Citigroup as trust-issued securities | 7,900,000,000 | 7,900,000,000 | 9,400,000,000 | ||
Retained by Citigroup via non-certificated interests | 17,000,000,000 | 17,000,000,000 | 16,500,000,000 | ||
Total ownership interests in principal amount of trust credit card receivables | 51,100,000,000 | 51,100,000,000 | $ 55,600,000,000 | ||
Credit card securitizations | |||||
Securitized credit card receivables | |||||
Gains (losses) recognized on the securitization | 0 | ||||
Cash Flows Between Transferor and Transferee | |||||
Proceeds from new securitizations | 0 | $ 0 | 0 | $ 0 | |
Pay down of maturing notes | $ (1,300,000,000) | $ (3,100,000,000) | $ (3,500,000,000) | $ (5,800,000,000) |
SECURITIZATIONS AND VARIABLE116
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES - Funding, Liquidity Facilities and Subordinated Interests (Details) $ in Billions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016USD ($)trust | Dec. 31, 2015USD ($) | |
Funding, Liquidity Facilities and Subordinated Interests | ||
Number of trusts to hold securitized credit card receivables | trust | 2 | |
Citibank Credit Card Master Trust (Master Trust) | ||
Funding, Liquidity Facilities and Subordinated Interests | ||
Weighted average maturity of term notes | 2 years 2 months 10 days | 2 years 4 months 25 days |
Term notes issued to third parties | $ 25 | $ 28.4 |
Term notes retained by Citigroup affiliates | 6.1 | 7.5 |
Total Master Trust liabilities | $ 31.1 | $ 35.9 |
Citibank OMNI Master Trust (Omni Trust) | ||
Funding, Liquidity Facilities and Subordinated Interests | ||
Weighted average maturity of term notes | 5 months | 11 months |
Term notes issued to third parties | $ 1.3 | $ 1.3 |
Term notes retained by Citigroup affiliates | 1.9 | 1.9 |
Total Master Trust liabilities | $ 3.2 | $ 3.2 |
SECURITIZATIONS AND VARIABLE117
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES - Mortgage Securitizations (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Personal Loan | |||||
Cash Flows Between Transferor and Transferee | |||||
Proceeds from new securitizations | $ 500 | ||||
U.S. government-sponsored agency guaranteed | |||||
Cash Flows Between Transferor and Transferee | |||||
Proceeds from new securitizations | $ 10,300 | $ 10,100 | 20,900 | $ 18,500 | |
Contractual servicing fees received | 100 | $ 100 | 200 | $ 200 | |
Sensitivity analysis of fair value of interests continued to be held by transferor | |||||
Carrying value of retained interests | 2,555 | 2,555 | $ 3,546 | ||
Carrying value of retained interests, impact of 10% adverse change in discount rate | (45) | (45) | (79) | ||
Carrying value of retained interests, impact of 20% adverse change in discount rate | (90) | (90) | (155) | ||
Carrying value of retained interests, impact of 10% adverse change in constant prepayment rate | (104) | (104) | (111) | ||
Carrying value of retained interests, impact of 20% adverse change in constant prepayment rate | $ (204) | $ (204) | $ (213) | ||
U.S. government-sponsored agency guaranteed | Low end of range | |||||
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables | |||||
Discount rate (as a percent) | 0.80% | 0.00% | 0.80% | 0.00% | |
Constant prepayment rate (as a percent) | 8.60% | 5.70% | 8.60% | 5.70% | |
Weighted average life (in years) | 6 months | 3 years 6 months | 6 months | 3 years 6 months | |
Key assumptions used in measuring fair value related to transferor's continuing involvement | |||||
Discount rate (as a percent) | 0.30% | 0.00% | |||
Constant prepayment rate (as a percent) | 10.00% | 5.70% | |||
Weighted average life (in years) | 6 months | 1 year 3 months 18 days | |||
U.S. government-sponsored agency guaranteed | High end of range | |||||
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables | |||||
Discount rate (as a percent) | 11.50% | 8.20% | 11.50% | 8.20% | |
Constant prepayment rate (as a percent) | 26.80% | 15.50% | 26.80% | 34.90% | |
Weighted average life (in years) | 11 years 4 months 24 days | 12 years 9 months 18 days | 17 years 6 months | 12 years 9 months 18 days | |
Key assumptions used in measuring fair value related to transferor's continuing involvement | |||||
Discount rate (as a percent) | 27.00% | 27.00% | |||
Constant prepayment rate (as a percent) | 46.50% | 27.80% | |||
Weighted average life (in years) | 18 years 6 months | 21 years | |||
U.S. government-sponsored agency guaranteed | Weighted Average | |||||
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables | |||||
Discount rate (as a percent) | 9.10% | 5.30% | 8.70% | 5.60% | |
Constant prepayment rate (as a percent) | 13.30% | 9.50% | 12.50% | 12.90% | |
Key assumptions used in measuring fair value related to transferor's continuing involvement | |||||
Discount rate (as a percent) | 5.40% | 4.90% | |||
Constant prepayment rate (as a percent) | 20.00% | 12.30% | |||
Mortgage securitizations - Non-agency-sponsored | |||||
Cash Flows Between Transferor and Transferee | |||||
Proceeds from new securitizations | $ 2,300 | $ 2,500 | $ 6,500 | $ 6,100 | |
Contractual servicing fees received | $ 0 | $ 0 | $ 0 | $ 0 | |
Senior interests | |||||
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables | |||||
Discount rate (as a percent) | 0.00% | 0.00% | 0.00% | 2.80% | |
Constant prepayment rate (as a percent) | 0.00% | 0.00% | 0.00% | 0.00% | |
Anticipated net credit losses (as a percent) | 0.00% | 40.00% | |||
Sensitivity analysis of fair value of interests continued to be held by transferor | |||||
Carrying value of retained interests | $ 33 | $ 33 | $ 179 | ||
Carrying value of retained interests, impact of 10% adverse change in discount rate | (7) | (7) | (8) | ||
Carrying value of retained interests, impact of 20% adverse change in discount rate | (13) | (13) | (15) | ||
Carrying value of retained interests, impact of 10% adverse change in constant prepayment rate | (2) | (2) | (3) | ||
Carrying value of retained interests, impact of 20% adverse change in constant prepayment rate | (3) | (3) | (6) | ||
Carrying value of retained interests, impact of 10% adverse change in anticipated net credit losses | (10) | (10) | (6) | ||
Carrying value of retained interests, impact of 20% adverse change in anticipated net credit losses | $ (18) | $ (18) | $ (11) | ||
Senior interests | Low end of range | |||||
Key assumptions used in measuring fair value related to transferor's continuing involvement | |||||
Discount rate (as a percent) | 0.30% | 1.60% | |||
Constant prepayment rate (as a percent) | 4.70% | 4.20% | |||
Anticipated net credit losses (as a percent) | 0.50% | 0.20% | |||
Weighted average life (in years) | 4 years 3 months 18 days | 3 months 18 days | |||
Senior interests | High end of range | |||||
Key assumptions used in measuring fair value related to transferor's continuing involvement | |||||
Discount rate (as a percent) | 8.50% | 67.60% | |||
Constant prepayment rate (as a percent) | 19.70% | 100.00% | |||
Anticipated net credit losses (as a percent) | 90.20% | 89.10% | |||
Weighted average life (in years) | 14 years 9 months 18 days | 18 years 1 month 6 days | |||
Senior interests | Weighted Average | |||||
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables | |||||
Discount rate (as a percent) | 0.00% | 0.00% | 0.00% | 2.80% | |
Constant prepayment rate (as a percent) | 0.00% | 0.00% | 0.00% | 0.00% | |
Anticipated net credit losses (as a percent) | 0.00% | 0.00% | 0.00% | 40.00% | |
Weighted average life (in years) | 0 years | 0 years | 0 years | 9 years 8 months 12 days | |
Key assumptions used in measuring fair value related to transferor's continuing involvement | |||||
Discount rate (as a percent) | 5.20% | 7.60% | |||
Constant prepayment rate (as a percent) | 5.20% | 14.00% | |||
Anticipated net credit losses (as a percent) | 83.80% | 48.90% | |||
Subordinated interests | |||||
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables | |||||
Discount rate (as a percent) | 0.00% | 0.00% | |||
Constant prepayment rate (as a percent) | 0.00% | 0.00% | |||
Anticipated net credit losses (as a percent) | 0.00% | 0.00% | |||
Sensitivity analysis of fair value of interests continued to be held by transferor | |||||
Carrying value of retained interests | $ 190 | $ 190 | $ 533 | ||
Carrying value of retained interests, impact of 10% adverse change in discount rate | (11) | (11) | (25) | ||
Carrying value of retained interests, impact of 20% adverse change in discount rate | (20) | (20) | (49) | ||
Carrying value of retained interests, impact of 10% adverse change in constant prepayment rate | (5) | (5) | (9) | ||
Carrying value of retained interests, impact of 20% adverse change in constant prepayment rate | (10) | (10) | (18) | ||
Carrying value of retained interests, impact of 10% adverse change in anticipated net credit losses | (2) | (2) | (7) | ||
Carrying value of retained interests, impact of 20% adverse change in anticipated net credit losses | $ (4) | $ (4) | $ (14) | ||
Subordinated interests | Low end of range | |||||
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables | |||||
Discount rate (as a percent) | 11.20% | 4.40% | |||
Constant prepayment rate (as a percent) | 3.50% | 3.30% | |||
Anticipated net credit losses (as a percent) | 38.10% | 38.10% | |||
Weighted average life (in years) | 8 years 10 months 24 days | 0 years | |||
Key assumptions used in measuring fair value related to transferor's continuing involvement | |||||
Discount rate (as a percent) | 1.60% | 2.00% | |||
Constant prepayment rate (as a percent) | 0.50% | 0.50% | |||
Anticipated net credit losses (as a percent) | 2.80% | 3.80% | |||
Weighted average life (in years) | 1 year 6 months | 10 months 24 days | |||
Subordinated interests | High end of range | |||||
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables | |||||
Discount rate (as a percent) | 12.10% | 12.10% | |||
Constant prepayment rate (as a percent) | 8.00% | 8.00% | |||
Anticipated net credit losses (as a percent) | 52.10% | 55.90% | |||
Weighted average life (in years) | 12 years 10 months 24 days | 12 years 10 months 24 days | |||
Key assumptions used in measuring fair value related to transferor's continuing involvement | |||||
Discount rate (as a percent) | 30.10% | 24.90% | |||
Constant prepayment rate (as a percent) | 42.00% | 20.80% | |||
Anticipated net credit losses (as a percent) | 93.00% | 92.00% | |||
Weighted average life (in years) | 11 years 3 months 18 days | 19 years | |||
Subordinated interests | Weighted Average | |||||
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables | |||||
Discount rate (as a percent) | 0.00% | 11.60% | 0.00% | 7.20% | |
Constant prepayment rate (as a percent) | 0.00% | 5.60% | 0.00% | 4.20% | |
Anticipated net credit losses (as a percent) | 0.00% | 45.70% | 0.00% | 52.00% | |
Weighted average life (in years) | 0 years | 0 years | |||
Key assumptions used in measuring fair value related to transferor's continuing involvement | |||||
Discount rate (as a percent) | 12.30% | 8.40% | |||
Constant prepayment rate (as a percent) | 8.70% | 7.50% | |||
Anticipated net credit losses (as a percent) | 48.30% | 54.40% | |||
Citicorp | U.S. government-sponsored agency guaranteed | |||||
Cash Flows Between Transferor and Transferee | |||||
Gains recognized on the securitization | $ 20 | $ 47 | $ 45 | $ 90 | |
Citicorp | Mortgage securitizations - Non-agency-sponsored | |||||
Cash Flows Between Transferor and Transferee | |||||
Gains recognized on the securitization | $ 19 | $ 15 | $ 28 | $ 31 |
SECURITIZATIONS AND VARIABLE118
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES - Mortgage Servicing Rights (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Capitalized MSRs | |||||
Balance, beginning of period | $ 1,781 | ||||
Balance, as of June 30 | $ 1,324 | 1,324 | |||
Mortgage servicing rights | |||||
Classification of Securitizations | |||||
Fair value of capitalized mortgage servicing rights | 1,300 | $ 1,900 | 1,300 | $ 1,900 | |
Principal amount of loans and other financial instruments | 186,000 | 209,000 | 186,000 | 209,000 | |
Capitalized MSRs | |||||
Balance, beginning of period | 1,524 | 1,685 | 1,781 | 1,845 | |
Originations | 35 | 68 | 68 | 111 | |
Changes in fair value of MSRs due to changes in inputs and assumptions | (137) | 262 | (362) | 191 | |
Other changes | (98) | (82) | (177) | (182) | |
Sale of MSRs | 0 | (9) | 14 | (41) | |
Balance, as of June 30 | 1,324 | 1,924 | 1,324 | 1,924 | |
MSR fees | |||||
Servicing fees | 126 | 141 | 254 | 281 | |
Late fees | 4 | 4 | 8 | 8 | |
Ancillary fees | 4 | 15 | 9 | 22 | |
Total MSR fees | 134 | 160 | 271 | 311 | |
Mortgage securitizations - Non-agency-sponsored | |||||
Re-securitizations | |||||
Original par value of securities transferred to re-securitization entities | 195 | 649 | |||
Fair value of re-securitizations deals in which the entity holds a retained interest | 169 | 169 | $ 428 | ||
Market value of retained interest related to re-securitization transaction | 132 | ||||
Original par value of re-securitizations deals in which the entity holds a retained interest | 2,100 | 2,100 | 3,700 | ||
Senior interests | |||||
Re-securitizations | |||||
Fair value of re-securitizations deals in which the entity holds a retained interest | 18 | ||||
Subordinated interests | |||||
Re-securitizations | |||||
Fair value of re-securitizations deals in which the entity holds a retained interest | 410 | ||||
U.S. government-sponsored agency guaranteed | |||||
Re-securitizations | |||||
Fair value of re-securitizations deals in which the entity holds a retained interest | 2,800 | 2,800 | 1,800 | ||
Market value of retained interest related to re-securitization transaction | 785 | 785 | 1,500 | ||
Securities transferred to re-securitization entities | 6,900 | $ 4,600 | 14,200 | $ 8,900 | |
Original fair value of re-securitizations deals in which the entity holds a retained interest | $ 71,200 | $ 71,200 | $ 65,000 |
SECURITIZATIONS AND VARIABLE119
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES - Asset-Backed Commercial Paper Conduits (Details) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016USD ($)form | Dec. 31, 2015USD ($) | |
Classification of Other Securitization Details | ||
Number of forms of liquidity agreements | form | 2 | |
Commercial paper | $ 9,982,000,000 | $ 9,995,000,000 |
Citi-administered asset-backed commercial paper conduits (ABCP) | ||
Classification of Other Securitization Details | ||
Purchased assets outstanding under conduits | 21,200,000,000 | 21,300,000,000 |
Incremental funding commitments with clients | $ 13,500,000,000 | $ 11,600,000,000 |
Weighted average life of commercial paper issued by conduits | 49 days | 56 days |
Citi-administered asset-backed commercial paper conduits (ABCP) | Minimum | ||
Classification of Other Securitization Details | ||
Letters of credit as percentage of conduit assets | 8.00% | |
Floor price of conduit's assets | $ 200,000,000 | |
Citi-administered asset-backed commercial paper conduits (ABCP) | Maximum | ||
Classification of Other Securitization Details | ||
Letters of credit as percentage of conduit assets | 10.00% | |
Citi-administered asset-backed consolidated commercial paper conduits (ABCP) | ||
Classification of Other Securitization Details | ||
Letters of credit provided to conduits | $ 1,900,000,000 | $ 1,900,000,000 |
Commercial paper | $ 11,300,000,000 | $ 11,400,000,000 |
SECURITIZATIONS AND VARIABLE120
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES - Collateralized Debt and Loan Obligations (Details) - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Variable Interest Entity | ||
Life of collateralized loan obligations | 12 years | |
Collateralized loan obligations (CLOs) | ||
Variable Interest Entity | ||
Carrying value of retained interests | $ 908 | $ 918 |
Carrying value of retained interests, impact of 10% adverse change in discount rate | (5) | (5) |
Carrying value of retained interests, impact of 20% adverse change in discount rate | $ (10) | $ (10) |
Minimum | Collateralized loan obligations (CLOs) | ||
Variable Interest Entity | ||
Discount rate (as a percent) | 1.10% | 1.40% |
Maximum | Collateralized loan obligations (CLOs) | ||
Variable Interest Entity | ||
Discount rate (as a percent) | 41.90% | 49.60% |
SECURITIZATIONS AND VARIABLE121
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES - Asset Based Financing (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Variable Interest Entity | ||
Total unconsolidated VIE assets | $ 346,618 | $ 333,251 |
Maximum exposure to unconsolidated VIEs | 46,184 | 44,341 |
Asset-based financing | ||
Variable Interest Entity | ||
Total unconsolidated VIE assets | 56,315 | 57,498 |
Maximum exposure to unconsolidated VIEs | 25,872 | 25,591 |
Commercial and other real estate | Asset-based financing | ||
Variable Interest Entity | ||
Total unconsolidated VIE assets | 14,981 | 17,459 |
Maximum exposure to unconsolidated VIEs | 5,483 | 6,528 |
Corporate loans | Asset-based financing | ||
Variable Interest Entity | ||
Total unconsolidated VIE assets | 1,050 | 1,274 |
Maximum exposure to unconsolidated VIEs | 1,948 | 1,871 |
Hedge funds and equities | Asset-based financing | ||
Variable Interest Entity | ||
Total unconsolidated VIE assets | 386 | 385 |
Maximum exposure to unconsolidated VIEs | 56 | 55 |
Airplanes, ships and other assets | Asset-based financing | ||
Variable Interest Entity | ||
Total unconsolidated VIE assets | 39,898 | 38,380 |
Maximum exposure to unconsolidated VIEs | $ 18,385 | $ 17,137 |
SECURITIZATIONS AND VARIABLE122
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES - Municipal Securities Tender Option Bond Trusts (Details) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016USD ($)trustClass | Jun. 30, 2015USD ($) | Jun. 30, 2016USD ($)trustClass | Jun. 30, 2015USD ($) | Dec. 31, 2015USD ($) | |
Variable Interest Entity | |||||
Number of classes of certificates | Class | 2 | 2 | |||
Number of TOB trusts | trust | 2 | 2 | |||
Client intermediation | |||||
Variable Interest Entity | |||||
Proceeds from new securitizations | $ 800 | $ 600 | $ 1,400 | $ 800 | |
Municipal securities tender option bond trusts (TOBs) | |||||
Variable Interest Entity | |||||
Floater inventory held by entity | 148 | 148 | $ 2 | ||
Municipal bonds owned by trusts, that have credit guarantee provided by the Company | 82 | 82 | 82 | ||
Liquidity agreements, customer TOB trust | 2,900 | 2,900 | 3,100 | ||
Notional amount of offsetting reimbursement agreements | 2,200 | 2,200 | 2,200 | ||
Liquidity agreements, other trusts | $ 8,600 | $ 8,600 | $ 8,100 | ||
Municipal securities tender option bond trusts (TOBs) | Maximum | |||||
Variable Interest Entity | |||||
The threshold ownership percentage on Residual value of customers TOBs for which the reimbursement agreement applied | 25.00% |
DERIVATIVES ACTIVITIES - Deriva
DERIVATIVES ACTIVITIES - Derivative Notionals (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Net Investment Hedging | ||
Derivatives | ||
Derivative notionals | $ 2,150 | $ 2,102 |
Hedging instruments under ASC 815 (SFAS 133) | ||
Derivatives | ||
Derivative notionals | 284,023 | 263,763 |
Hedging instruments under ASC 815 (SFAS 133) | Interest rate contracts | ||
Derivatives | ||
Derivative notionals | 190,434 | 166,576 |
Hedging instruments under ASC 815 (SFAS 133) | Interest rate swaps | ||
Derivatives | ||
Derivative notionals | 190,434 | 166,576 |
Hedging instruments under ASC 815 (SFAS 133) | Interest rate futures and forwards | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Hedging instruments under ASC 815 (SFAS 133) | Interest rate contract options | Written or Sold | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Hedging instruments under ASC 815 (SFAS 133) | Interest rate contract options | Purchased | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Hedging instruments under ASC 815 (SFAS 133) | Foreign exchange contracts | ||
Derivatives | ||
Derivative notionals | 92,806 | 96,398 |
Hedging instruments under ASC 815 (SFAS 133) | Foreign exchange swaps | ||
Derivatives | ||
Derivative notionals | 21,384 | 23,007 |
Hedging instruments under ASC 815 (SFAS 133) | Foreign exchange futures, forwards and spot | ||
Derivatives | ||
Derivative notionals | 71,422 | 72,124 |
Hedging instruments under ASC 815 (SFAS 133) | Foreign exchange contract options | Written or Sold | ||
Derivatives | ||
Derivative notionals | 0 | 448 |
Hedging instruments under ASC 815 (SFAS 133) | Foreign exchange contract options | Purchased | ||
Derivatives | ||
Derivative notionals | 0 | 819 |
Hedging instruments under ASC 815 (SFAS 133) | Equity contracts | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Hedging instruments under ASC 815 (SFAS 133) | Equity swaps | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Hedging instruments under ASC 815 (SFAS 133) | Equity futures and forwards | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Hedging instruments under ASC 815 (SFAS 133) | Equity contract options | Written or Sold | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Hedging instruments under ASC 815 (SFAS 133) | Equity contract options | Purchased | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Hedging instruments under ASC 815 (SFAS 133) | Commodity and other contracts | ||
Derivatives | ||
Derivative notionals | 783 | 789 |
Hedging instruments under ASC 815 (SFAS 133) | Commodity and other swaps | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Hedging instruments under ASC 815 (SFAS 133) | Commodity and other futures and forwards | ||
Derivatives | ||
Derivative notionals | 783 | 789 |
Hedging instruments under ASC 815 (SFAS 133) | Commodity and other contracts | Written or Sold | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Hedging instruments under ASC 815 (SFAS 133) | Commodity and other contracts | Purchased | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Hedging instruments under ASC 815 (SFAS 133) | Credit derivatives | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Hedging instruments under ASC 815 (SFAS 133) | Credit derivatives | Written or Sold | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Hedging instruments under ASC 815 (SFAS 133) | Credit derivatives | Purchased | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Other derivative instruments, Trading derivatives | ||
Derivatives | ||
Derivative notionals | 50,354,616 | 47,612,050 |
Other derivative instruments, Trading derivatives | Interest rate contracts | ||
Derivatives | ||
Derivative notionals | 34,872,949 | 34,998,356 |
Other derivative instruments, Trading derivatives | Interest rate swaps | ||
Derivatives | ||
Derivative notionals | 22,790,256 | 22,208,794 |
Other derivative instruments, Trading derivatives | Interest rate futures and forwards | ||
Derivatives | ||
Derivative notionals | 5,944,024 | 6,868,340 |
Other derivative instruments, Trading derivatives | Interest rate contract options | Written or Sold | ||
Derivatives | ||
Derivative notionals | 3,197,007 | 3,033,617 |
Other derivative instruments, Trading derivatives | Interest rate contract options | Purchased | ||
Derivatives | ||
Derivative notionals | 2,941,662 | 2,887,605 |
Other derivative instruments, Trading derivatives | Foreign exchange contracts | ||
Derivatives | ||
Derivative notionals | 12,022,190 | 9,586,816 |
Other derivative instruments, Trading derivatives | Foreign exchange swaps | ||
Derivatives | ||
Derivative notionals | 5,576,865 | 4,765,687 |
Other derivative instruments, Trading derivatives | Foreign exchange futures, forwards and spot | ||
Derivatives | ||
Derivative notionals | 3,510,377 | 2,563,649 |
Other derivative instruments, Trading derivatives | Foreign exchange contract options | Written or Sold | ||
Derivatives | ||
Derivative notionals | 1,449,764 | 1,125,664 |
Other derivative instruments, Trading derivatives | Foreign exchange contract options | Purchased | ||
Derivatives | ||
Derivative notionals | 1,485,184 | 1,131,816 |
Other derivative instruments, Trading derivatives | Equity contracts | ||
Derivatives | ||
Derivative notionals | 919,555 | 778,636 |
Other derivative instruments, Trading derivatives | Equity swaps | ||
Derivatives | ||
Derivative notionals | 171,361 | 180,963 |
Other derivative instruments, Trading derivatives | Equity futures and forwards | ||
Derivatives | ||
Derivative notionals | 29,938 | 33,735 |
Other derivative instruments, Trading derivatives | Equity contract options | Written or Sold | ||
Derivatives | ||
Derivative notionals | 376,780 | 298,876 |
Other derivative instruments, Trading derivatives | Equity contract options | Purchased | ||
Derivatives | ||
Derivative notionals | 341,476 | 265,062 |
Other derivative instruments, Trading derivatives | Commodity and other contracts | ||
Derivatives | ||
Derivative notionals | 360,125 | 315,734 |
Other derivative instruments, Trading derivatives | Commodity and other swaps | ||
Derivatives | ||
Derivative notionals | 71,194 | 70,561 |
Other derivative instruments, Trading derivatives | Commodity and other futures and forwards | ||
Derivatives | ||
Derivative notionals | 135,979 | 106,474 |
Other derivative instruments, Trading derivatives | Commodity and other contracts | Written or Sold | ||
Derivatives | ||
Derivative notionals | 79,109 | 72,648 |
Other derivative instruments, Trading derivatives | Commodity and other contracts | Purchased | ||
Derivatives | ||
Derivative notionals | 73,843 | 66,051 |
Other derivative instruments, Trading derivatives | Credit derivatives | ||
Derivatives | ||
Derivative notionals | 2,179,797 | 1,932,508 |
Other derivative instruments, Trading derivatives | Credit derivatives | Written or Sold | ||
Derivatives | ||
Derivative notionals | 1,071,410 | 950,922 |
Other derivative instruments, Trading derivatives | Credit derivatives | Purchased | ||
Derivatives | ||
Derivative notionals | 1,108,387 | 981,586 |
Other derivative instruments, Management hedges | ||
Derivatives | ||
Derivative notionals | 133,497 | 125,193 |
Other derivative instruments, Management hedges | Interest rate contracts | ||
Derivatives | ||
Derivative notionals | 79,026 | 74,571 |
Other derivative instruments, Management hedges | Interest rate swaps | ||
Derivatives | ||
Derivative notionals | 34,575 | 28,969 |
Other derivative instruments, Management hedges | Interest rate futures and forwards | ||
Derivatives | ||
Derivative notionals | 33,385 | 38,421 |
Other derivative instruments, Management hedges | Interest rate contract options | Written or Sold | ||
Derivatives | ||
Derivative notionals | 5,616 | 2,606 |
Other derivative instruments, Management hedges | Interest rate contract options | Purchased | ||
Derivatives | ||
Derivative notionals | 5,450 | 4,575 |
Other derivative instruments, Management hedges | Foreign exchange contracts | ||
Derivatives | ||
Derivative notionals | 27,570 | 26,994 |
Other derivative instruments, Management hedges | Foreign exchange swaps | ||
Derivatives | ||
Derivative notionals | 23,098 | 23,960 |
Other derivative instruments, Management hedges | Foreign exchange futures, forwards and spot | ||
Derivatives | ||
Derivative notionals | 4,472 | 3,034 |
Other derivative instruments, Management hedges | Foreign exchange contract options | Written or Sold | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Other derivative instruments, Management hedges | Foreign exchange contract options | Purchased | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Other derivative instruments, Management hedges | Equity contracts | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Other derivative instruments, Management hedges | Equity swaps | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Other derivative instruments, Management hedges | Equity futures and forwards | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Other derivative instruments, Management hedges | Equity contract options | Written or Sold | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Other derivative instruments, Management hedges | Equity contract options | Purchased | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Other derivative instruments, Management hedges | Commodity and other contracts | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Other derivative instruments, Management hedges | Commodity and other swaps | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Other derivative instruments, Management hedges | Commodity and other futures and forwards | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Other derivative instruments, Management hedges | Commodity and other contracts | Written or Sold | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Other derivative instruments, Management hedges | Commodity and other contracts | Purchased | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Other derivative instruments, Management hedges | Credit derivatives | ||
Derivatives | ||
Derivative notionals | 26,901 | 23,628 |
Other derivative instruments, Management hedges | Credit derivatives | Written or Sold | ||
Derivatives | ||
Derivative notionals | 0 | 0 |
Other derivative instruments, Management hedges | Credit derivatives | Purchased | ||
Derivatives | ||
Derivative notionals | $ 26,901 | $ 23,628 |
DERIVATIVES ACTIVITIES - Der124
DERIVATIVES ACTIVITIES - Derivative Mark-to-Market (MTM) Receivables/Payables (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Less: Netting of cash collateral received | $ (58,945) | $ (43,227) |
Less: Netting of cash collateral paid | (53,952) | (42,609) |
Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Cash collateral received, gross | 47 | 61 |
Trading accounts assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 812,754 | 618,981 |
Cash collateral paid, net of amount used to offset derivative liabilities | 9,292 | 4,911 |
Less: Netting agreements to assets | (690,888) | (524,481) |
Less: Netting of cash collateral received | (58,945) | (43,227) |
Total trading account derivatives, assets | 72,213 | 56,184 |
Lee: Cash collateral received | (1,236) | (779) |
Less: Non-cash collateral received | (14,754) | (9,855) |
Total Net receivables | 56,223 | 45,550 |
Cash collateral paid, gross | 63,244 | 47,520 |
Does not meet applicable offsetting guidance, assets | 9,000 | 10,000 |
Trading accounts assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Less: Netting agreements to assets | (481,000) | (391,000) |
Less: Netting agreements to liabilities | (391,000) | |
Trading accounts assets | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Less: Netting agreements to assets | (204,000) | (126,000) |
Less: Netting agreements to liabilities | (126,000) | |
Trading accounts assets | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Less: Netting agreements to assets | (6,000) | (7,000) |
Less: Netting agreements to liabilities | (7,000) | |
Trading accounts liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 791,452 | 611,054 |
Cash collateral received, net of amount used to offset derivative assets | 16,592 | 13,628 |
Less: Netting agreements to liabilities | (690,888) | (524,481) |
Less: Netting of cash collateral paid | (53,952) | (42,609) |
Total derivative liabilities | 63,204 | 57,592 |
Less: Cash collateral paid | (24) | (2) |
Less: Non-cash collateral paid | (7,696) | (5,131) |
Total Net payables | 55,484 | 52,459 |
Cash collateral received, gross | 75,537 | 56,855 |
Does not meet applicable offsetting guidance, liabilities | 9,000 | 10,000 |
Trading accounts liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Less: Netting agreements to liabilities | (478,000) | |
Trading accounts liabilities | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Less: Netting agreements to liabilities | (204,000) | |
Trading accounts liabilities | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Less: Netting agreements to liabilities | (9,000) | |
Other assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 4,080 | 3,696 |
Cash collateral paid, net of amount used to offset derivative liabilities | 7 | 8 |
Less: Netting agreements to assets | 0 | 0 |
Less: Netting of cash collateral received | (1,793) | (1,949) |
Total trading account derivatives, assets | 2,294 | 1,755 |
Lee: Cash collateral received | 0 | 0 |
Less: Non-cash collateral received | (758) | (270) |
Total Net receivables | 1,536 | 1,485 |
Other liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 2,902 | 1,640 |
Cash collateral received, net of amount used to offset derivative assets | 0 | 37 |
Less: Netting agreements to liabilities | 0 | 0 |
Less: Netting of cash collateral received | (40) | (53) |
Less: Netting of cash collateral paid | (40) | (53) |
Total derivative liabilities | 2,862 | 1,624 |
Less: Cash collateral paid | 0 | 0 |
Less: Non-cash collateral paid | 0 | 0 |
Total Net payables | 2,862 | 1,624 |
Cash collateral received, gross | 1,793 | 1,986 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Trading accounts assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 10,359 | 7,557 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Trading accounts liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 3,292 | 1,940 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Other assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 2,695 | 2,428 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Other liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 1,606 | 783 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Interest rate contracts | Trading accounts assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 8,510 | 4,869 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Interest rate contracts | Trading accounts assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 914 | 262 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Interest rate contracts | Trading accounts assets | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 7,596 | 4,607 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Interest rate contracts | Trading accounts liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 2,113 | 1,576 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Interest rate contracts | Trading accounts liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 168 | 105 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Interest rate contracts | Trading accounts liabilities | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 1,945 | 1,471 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Interest rate contracts | Other assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 2,553 | 2,333 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Interest rate contracts | Other assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 2,553 | 2,328 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Interest rate contracts | Other assets | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 5 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Interest rate contracts | Other liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 271 | 106 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Interest rate contracts | Other liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 86 | 106 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Interest rate contracts | Other liabilities | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 185 | 0 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Foreign exchange contracts | Trading accounts assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 1,849 | 2,688 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Foreign exchange contracts | Trading accounts assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 1,849 | 2,688 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Foreign exchange contracts | Trading accounts assets | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 0 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Foreign exchange contracts | Trading accounts liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 1,179 | 364 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Foreign exchange contracts | Trading accounts liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 1,175 | 364 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Foreign exchange contracts | Trading accounts liabilities | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 4 | 0 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Foreign exchange contracts | Other assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 142 | 95 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Foreign exchange contracts | Other assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 142 | 95 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Foreign exchange contracts | Other assets | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 0 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Foreign exchange contracts | Other liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 1,335 | 677 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Foreign exchange contracts | Other liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 1,335 | 677 |
Derivative instruments designated as ASC 815 (SFAS 133) hedges | Foreign exchange contracts | Other liabilities | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Trading accounts assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 802,395 | 611,424 |
Derivatives instruments not designated as ASC 815 hedges | Trading accounts liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 788,160 | 609,114 |
Derivatives instruments not designated as ASC 815 hedges | Other assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 1,385 | 1,268 |
Derivatives instruments not designated as ASC 815 hedges | Other liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 1,296 | 857 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Trading accounts assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 557,827 | 410,025 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Trading accounts assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 358,279 | 289,124 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Trading accounts assets | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 199,439 | 120,848 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Trading accounts assets | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 109 | 53 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Trading accounts liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 540,775 | 394,328 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Trading accounts liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 336,680 | 267,761 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Trading accounts liabilities | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 204,020 | 126,532 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Trading accounts liabilities | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 75 | 35 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Other assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 873 | 426 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Other assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 200 | 182 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Other assets | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 673 | 244 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Other assets | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Other liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 711 | 228 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Other liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 17 | 12 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Other liabilities | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 694 | 216 |
Derivatives instruments not designated as ASC 815 hedges | Interest rate contracts | Other liabilities | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Trading accounts assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 173,704 | 126,629 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Trading accounts assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 173,386 | 126,474 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Trading accounts assets | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 266 | 134 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Trading accounts assets | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 52 | 21 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Trading accounts liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 169,741 | 133,549 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Trading accounts liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 169,489 | 133,361 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Trading accounts liabilities | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 230 | 152 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Trading accounts liabilities | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 22 | 36 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Other assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Other assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Other assets | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Other assets | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Other liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 54 | 66 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Other liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 54 | 66 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Other liabilities | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Foreign exchange contracts | Other liabilities | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Trading accounts assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 25,515 | 21,885 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Trading accounts assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 16,150 | 14,560 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Trading accounts assets | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 987 | 28 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Trading accounts assets | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 8,378 | 7,297 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Trading accounts liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 29,654 | 26,516 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Trading accounts liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 21,209 | 20,107 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Trading accounts liabilities | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 67 | 3 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Trading accounts liabilities | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 8,378 | 6,406 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Other assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Other assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Other assets | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Other assets | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Other liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Other liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Other liabilities | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Equity contracts | Other liabilities | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Commodity and other contracts | Trading accounts assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 12,417 | 18,010 |
Derivatives instruments not designated as ASC 815 hedges | Commodity and other contracts | Trading accounts assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 11,411 | 16,794 |
Derivatives instruments not designated as ASC 815 hedges | Commodity and other contracts | Trading accounts assets | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 1,006 | 1,216 |
Derivatives instruments not designated as ASC 815 hedges | Commodity and other contracts | Trading accounts liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 14,755 | 20,553 |
Derivatives instruments not designated as ASC 815 hedges | Commodity and other contracts | Trading accounts liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 13,356 | 18,641 |
Derivatives instruments not designated as ASC 815 hedges | Commodity and other contracts | Trading accounts liabilities | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 1,399 | 1,912 |
Derivatives instruments not designated as ASC 815 hedges | Commodity and other contracts | Other assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Commodity and other contracts | Other assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Commodity and other contracts | Other assets | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Commodity and other contracts | Other liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Commodity and other contracts | Other liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Commodity and other contracts | Other liabilities | Exchange traded | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 0 | 0 |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Trading accounts assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 32,932 | 34,875 |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Trading accounts assets | Purchased | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 16,313 | 17,957 |
Derivative payables | 16,968 | |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Trading accounts assets | Sold | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 16,619 | 16,918 |
Derivative payables | 17,200 | |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Trading accounts assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 29,440 | 31,072 |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Trading accounts assets | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 3,492 | 3,803 |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Trading accounts liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 33,235 | 34,168 |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Trading accounts liabilities | Purchased | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 17,435 | |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Trading accounts liabilities | Sold | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 15,800 | |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Trading accounts liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 30,066 | 30,608 |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Trading accounts liabilities | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 3,169 | 3,560 |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Other assets | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 512 | 842 |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Other assets | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 394 | 711 |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Other assets | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative receivables | 118 | 131 |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Other liabilities | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 531 | 563 |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Other liabilities | Over-the-counter | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | 229 | 245 |
Derivatives instruments not designated as ASC 815 hedges | Credit derivatives | Other liabilities | Cleared | ||
Derivative Mark-to-Market (MTM) Receivables/Payables | ||
Derivative payables | $ 302 | $ 318 |
DERIVATIVES ACTIVITIES - Gains
DERIVATIVES ACTIVITIES - Gains (Losses) Included in Other Revenue (Details) - Other revenue - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Derivative gain (losses) | ||||
Gains (losses) recognized in Other revenue related to derivatives not designated in a qualifying hedging relationship | $ (326) | $ (21) | $ (521) | $ (11) |
Interest rate contracts | ||||
Derivative gain (losses) | ||||
Gains (losses) recognized in Other revenue related to derivatives not designated in a qualifying hedging relationship | 11 | (51) | 26 | (36) |
Foreign exchange contracts | ||||
Derivative gain (losses) | ||||
Gains (losses) recognized in Other revenue related to derivatives not designated in a qualifying hedging relationship | 11 | (31) | 15 | (46) |
Credit derivatives | ||||
Derivative gain (losses) | ||||
Gains (losses) recognized in Other revenue related to derivatives not designated in a qualifying hedging relationship | $ (348) | $ 61 | $ (562) | $ 71 |
DERIVATIVES ACTIVITIES - Fair V
DERIVATIVES ACTIVITIES - Fair Value Hedges (Details) - Other revenue - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Gain (loss) on fair value hedges | ||||
Gain (loss) on the derivatives in designated and qualifying fair value hedges | $ 774 | $ (1,739) | $ 1,877 | $ 406 |
Gain (loss) on the hedged item in designated and qualifying fair value hedges | (688) | 1,718 | (1,815) | (415) |
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges | 57 | (53) | 9 | (58) |
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges | 29 | 32 | 53 | 49 |
Interest rate contracts | ||||
Gain (loss) on fair value hedges | ||||
Gain (loss) on the derivatives in designated and qualifying fair value hedges | 1,082 | (1,680) | 3,197 | (1,039) |
Gain (loss) on the hedged item in designated and qualifying fair value hedges | (1,053) | 1,606 | (3,143) | 998 |
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges | 32 | (74) | 59 | (41) |
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges | (3) | 0 | (5) | 0 |
Foreign exchange contracts | ||||
Gain (loss) on fair value hedges | ||||
Gain (loss) on the derivatives in designated and qualifying fair value hedges | (397) | 16 | (1,758) | 1,404 |
Gain (loss) on the hedged item in designated and qualifying fair value hedges | 454 | 36 | 1,761 | (1,385) |
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges | 25 | 21 | (50) | (17) |
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges | 32 | 31 | 53 | 36 |
Commodity and other contracts | ||||
Gain (loss) on fair value hedges | ||||
Gain (loss) on the derivatives in designated and qualifying fair value hedges | 89 | (75) | 438 | 41 |
Gain (loss) on the hedged item in designated and qualifying fair value hedges | (89) | 76 | (433) | (28) |
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges | $ 0 | $ 1 | $ 5 | $ 13 |
DERIVATIVES ACTIVITIES - Cash F
DERIVATIVES ACTIVITIES - Cash Flow Hedges (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Pretax change in accumulated other comprehensive income (loss) | ||||
Cash flow hedges expected to be reclassified within 12 months | $ 100 | |||
Maximum length of time hedged in cash flow hedge | 10 years | |||
Cash Flow Hedging | ||||
Pretax change in accumulated other comprehensive income (loss) | ||||
Effective portion of cash flow hedges included in AOCI | $ 199 | $ 7 | $ 638 | $ 77 |
Effective portion of cash flow hedges reclassified from AOCI to earnings | (58) | (111) | (100) | (197) |
Interest rate contracts | Cash Flow Hedging | ||||
Pretax change in accumulated other comprehensive income (loss) | ||||
Effective portion of cash flow hedges included in AOCI | 220 | 17 | 635 | 237 |
Effective portion of cash flow hedges reclassified from AOCI to earnings | (41) | (74) | (57) | (120) |
Foreign exchange contracts | Cash Flow Hedging | ||||
Pretax change in accumulated other comprehensive income (loss) | ||||
Effective portion of cash flow hedges included in AOCI | (21) | (10) | 3 | (160) |
Effective portion of cash flow hedges reclassified from AOCI to earnings | $ (17) | $ (37) | $ (43) | $ (77) |
DERIVATIVES ACTIVITIES - Net In
DERIVATIVES ACTIVITIES - Net Investment Hedges (Details) - Net Investment Hedging - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Derivative gain (losses) | ||||
Net investment hedge ineffectiveness recorded in earnings | $ 0 | |||
Gain (loss) recognized in OCI, effective portion, net | $ (47,000,000) | $ (243,000,000) | $ (1,420,000,000) | $ 757,000,000 |
DERIVATIVES ACTIVITIES - Credit
DERIVATIVES ACTIVITIES - Credit Derivatives (Details) $ in Millions | 6 Months Ended | |
Jun. 30, 2016USD ($)counterpartyagency | Dec. 31, 2015USD ($) | |
Credit Derivative | ||
Percentage of receivables from counterparties with collateral agreements | 98.00% | 98.00% |
Number of top counterparties which are banks, financial institutions, and other dealers | counterparty | 15 | |
Credit Risk Derivatives | ||
Fair values, Receivable | $ 33,444 | $ 35,717 |
Fair Values, Payable | 33,766 | 34,731 |
Notionals, Protection purchased | 1,135,288 | 1,005,214 |
Notionals, Protection sold | 1,071,410 | 950,922 |
Fair value of derivative in liability position | 29,000 | 22,000 |
Fair value of collateral already posted | $ 25,000 | 19,000 |
Number of rating agencies | agency | 3 | |
Additional collateral to be posted | $ 3,200 | |
Collateral to be segregated | 100 | |
Aggregate cash obligations and collateral requirements | 3,300 | |
Interest rate swaps | ||
Credit Risk Derivatives | ||
Amount derecognized | 1,300 | |
Cash proceeds received for assets derecognized | 1,300 | |
Fair value of derecognized assets | 1,300 | |
Fair value gross derivative assets | 21 | |
Trading derivatives, liability | 30 | |
Purchased | ||
Credit Risk Derivatives | ||
Fair values, Receivable | 16,825 | 18,799 |
Fair Values, Payable | 17,966 | 17,531 |
Sold | ||
Credit Risk Derivatives | ||
Fair values, Receivable | 16,619 | 16,918 |
Fair Values, Payable | 15,800 | 17,200 |
Within 1 year | ||
Credit Risk Derivatives | ||
Fair values, Receivable | 5,641 | 3,871 |
Fair Values, Payable | 6,412 | 3,559 |
Notionals, Protection purchased | 346,615 | 265,632 |
Notionals, Protection sold | 328,419 | 254,225 |
From 1 to 5 years | ||
Credit Risk Derivatives | ||
Fair values, Receivable | 23,864 | 27,991 |
Fair Values, Payable | 23,655 | 27,488 |
Notionals, Protection purchased | 720,154 | 669,834 |
Notionals, Protection sold | 689,587 | 639,460 |
After 5 years | ||
Credit Risk Derivatives | ||
Fair values, Receivable | 3,939 | 3,855 |
Fair Values, Payable | 3,699 | 3,684 |
Notionals, Protection purchased | 68,519 | 69,748 |
Notionals, Protection sold | 53,404 | 57,237 |
Investment grade | ||
Credit Risk Derivatives | ||
Fair values, Receivable | 13,072 | 12,694 |
Fair Values, Payable | 13,254 | 13,142 |
Notionals, Protection purchased | 859,824 | 764,040 |
Notionals, Protection sold | 810,124 | 720,521 |
Non-investment grade | ||
Credit Risk Derivatives | ||
Fair values, Receivable | 20,372 | 23,023 |
Fair Values, Payable | 20,512 | 21,589 |
Notionals, Protection purchased | 275,464 | 241,174 |
Notionals, Protection sold | 261,286 | 230,401 |
Credit default swaps and options | ||
Credit Risk Derivatives | ||
Fair values, Receivable | 31,520 | 34,849 |
Fair Values, Payable | 31,321 | 34,158 |
Notionals, Protection purchased | 1,106,801 | 981,999 |
Notionals, Protection sold | 1,057,519 | 940,650 |
Total return swaps and other | ||
Credit Risk Derivatives | ||
Fair values, Receivable | 1,924 | 868 |
Fair Values, Payable | 2,445 | 573 |
Notionals, Protection purchased | 28,487 | 23,215 |
Notionals, Protection sold | 13,891 | 10,272 |
Banks | ||
Credit Risk Derivatives | ||
Fair values, Receivable | 17,816 | 18,377 |
Fair Values, Payable | 15,918 | 16,988 |
Notionals, Protection purchased | 571,921 | 513,335 |
Notionals, Protection sold | 577,825 | 508,459 |
Broker-dealers | ||
Credit Risk Derivatives | ||
Fair values, Receivable | 4,473 | 5,895 |
Fair Values, Payable | 5,254 | 6,697 |
Notionals, Protection purchased | 144,346 | 155,195 |
Notionals, Protection sold | 139,533 | 152,604 |
Non-financial | ||
Credit Risk Derivatives | ||
Fair values, Receivable | 99 | 128 |
Fair Values, Payable | 127 | 123 |
Notionals, Protection purchased | 4,200 | 3,969 |
Notionals, Protection sold | 2,120 | 2,087 |
Insurance and other financial institutions | ||
Credit Risk Derivatives | ||
Fair values, Receivable | 11,056 | 11,317 |
Fair Values, Payable | 12,467 | 10,923 |
Notionals, Protection purchased | 414,821 | 332,715 |
Notionals, Protection sold | $ 351,932 | $ 287,772 |
FAIR VALUE MEASUREMENT - Market
FAIR VALUE MEASUREMENT - Market Valuation Adjustments (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Credit and funding valuation adjustments contra-liability (contra-asset) | |||||
Counterparty CVA | $ (2,015) | $ (2,015) | $ (1,470) | ||
Asset FVA | (679) | (679) | (584) | ||
Citigroup (own-credit) CVA | 603 | 603 | 471 | ||
Liability FVA | 154 | 154 | 106 | ||
Total CVA—derivative instruments | (1,937) | (1,937) | $ (1,477) | ||
Credit, Funding and Debt Valuation Adjustments Gain (Loss) [Abstract] | |||||
Counterparty CVA | 14 | $ (20) | (93) | $ (159) | |
Asset FVA | (15) | 94 | (95) | 52 | |
Own-credit CVA | (13) | 20 | 121 | (16) | |
Liability FVA | 18 | (12) | 48 | 45 | |
Total CVA—derivative instruments | 4 | 82 | (19) | (78) | |
DVA related to own FVO liabilities | $ 20 | $ 230 | $ 327 | $ 318 | |
Weighted average FICO score of the underlying collateral for Alt-A mortgage securities recorded at fair value, low end of range | 680 | ||||
Weighted average FICO score of the underlying collateral for Alt-A mortgage securities recorded at fair value, high end of range | 720 | ||||
Maximum percentage of underlying collateral where FICO scores are greater than 720 | 30.00% |
FAIR VALUE MEASUREMENT - Items
FAIR VALUE MEASUREMENT - Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | |
Assets, Fair Value Disclosure [Abstract] | |||
Federal funds sold and securities borrowed or purchased under agreements to resell, selected portfolios of securities purchased under agreements to resell, Netting | $ (52,981) | $ (52,981) | $ (56,390) |
Trading account assets | 271,764 | 271,764 | 249,956 |
Netting of cash collateral received | (58,945) | (58,945) | (43,227) |
Investments | 356,293 | 356,293 | 342,955 |
Loans | 4,134 | 4,134 | 5,005 |
Mortgage servicing rights (MSRs) | 1,324 | 1,324 | 1,781 |
Liabilities, Fair Value Disclosure [Abstract] | |||
Federal funds purchased and securities loaned or sold under agreements to repurchase, selected portfolios of securities sold under agreements to repurchase, Netting | (52,981) | (52,981) | (56,390) |
Netting of cash collateral paid | (53,952) | (53,952) | (42,609) |
Assets transferred from Level 1 to Level 2 | 700 | 900 | 3,300 |
Assets transferred from Level 2 to Level 1 | 1,000 | 2,300 | 4,400 |
Liabilities transferred from Level 1 to Level 2 | 0 | 0 | 400 |
Liabilities transferred from Level 2 to Level 1 | 0 | 0 | 600 |
Investments measured at net asset value excluded from Level 3 | 787 | 787 | 895 |
Accounting Standards Update 2015-07 | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Investments measured at net asset value excluded from Level 3 | 800 | 800 | 900 |
Mortgage-backed securities - U.S. agency-sponsored | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 27,562 | 27,562 | 24,767 |
Mortgage-backed securities - Commercial | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 1,536 | 1,536 | 2,855 |
Mortgage-backed securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 30,093 | 30,093 | 30,007 |
U.S. Treasury and federal agency | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 25,643 | 25,643 | 17,796 |
State and municipal securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 3,179 | 3,179 | 2,696 |
Foreign government | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 63,118 | 63,118 | 56,467 |
Corporate | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 15,156 | 15,156 | 14,579 |
Equity securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 47,007 | 47,007 | 56,495 |
Asset-backed securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 3,540 | 3,540 | 3,956 |
Other | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 11,815 | 11,815 | 11,776 |
Recurring | |||
Assets, Fair Value Disclosure [Abstract] | |||
Federal funds sold and securities borrowed or purchased under agreements to resell | 173,507 | 173,507 | 178,875 |
Federal funds sold and securities borrowed or purchased under agreements to resell, selected portfolios of securities purchased under agreements to resell, Netting | (28,691) | (28,691) | (40,911) |
Federal funds sold and securities borrowed or purchased under agreements to resell, selected portfolios of securities purchased under agreements to resell | 144,816 | 144,816 | 137,964 |
Investments | 313,951 | 313,951 | 300,329 |
Loans | 4,134 | 4,134 | 5,005 |
Mortgage servicing rights (MSRs) | 1,324 | 1,324 | 1,781 |
Assets before netting | 1,523,738 | 1,523,738 | 1,311,724 |
Total assets, Netting | (780,317) | (780,317) | (610,568) |
Total assets | 743,421 | 743,421 | 701,156 |
Liabilities, Fair Value Disclosure [Abstract] | |||
Interest-bearing deposits | 1,471 | 1,471 | 1,590 |
Federal funds purchased and securities loaned or sold under agreements to repurchase, selected portfolios of securities sold under agreements to repurchase, Gross | 74,835 | 74,835 | 77,754 |
Federal funds purchased and securities loaned or sold under agreements to repurchase, selected portfolios of securities sold under agreements to repurchase, Netting | (28,691) | (28,691) | (40,911) |
Federal funds purchased and securities loaned or sold under agreements to repurchase, selected portfolios of securities sold under agreements to repurchase | 46,144 | 46,144 | 36,843 |
Securities sold, not yet purchased | 72,003 | 72,003 | 57,827 |
Trading liabilities | 73,103 | 73,103 | 59,920 |
Short-term borrowings | 1,850 | 1,850 | 1,207 |
Long-term debt, at fair value | 25,931 | 25,931 | 25,293 |
Total liabilities, Gross | 988,136 | 988,136 | 792,123 |
Total liabilities, Netting | (773,571) | (773,571) | (608,054) |
Total liabilities | 214,565 | 214,565 | 184,069 |
Recurring | Trading derivatives liabilities | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 791,452 | 791,452 | 611,054 |
Cash collateral received | 16,592 | 16,592 | 13,628 |
Total trading derivatives and cash collateral, liability | 808,044 | 808,044 | 624,682 |
Netting agreements | (690,888) | (690,888) | (524,481) |
Netting of cash collateral paid | (53,952) | (53,952) | (42,609) |
Netting, Liabilities, total of netting agreements and cash collateral received | (744,840) | (744,840) | (567,090) |
Total derivative liabilities | 63,204 | 63,204 | 57,592 |
Cash collateral received, gross | 75,537 | 75,537 | 56,855 |
Recurring | Trading derivatives liabilities | Interest rate contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 542,888 | 542,888 | 395,904 |
Recurring | Trading derivatives liabilities | Foreign exchange contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 170,920 | 170,920 | 133,913 |
Recurring | Trading derivatives liabilities | Equity contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 29,654 | 29,654 | 26,516 |
Recurring | Trading derivatives liabilities | Commodity contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 14,755 | 14,755 | 20,553 |
Recurring | Trading derivatives liabilities | Credit derivatives | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 33,235 | 33,235 | 34,168 |
Recurring | Non-trading derivatives and other financial liabilities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Netting of cash collateral received | (1,949) | ||
Cash collateral paid, gross | 47 | 47 | 61 |
Liabilities, Fair Value Disclosure [Abstract] | |||
Cash collateral received | 0 | 0 | 37 |
Netting of cash collateral paid | (40) | (40) | (53) |
Netting, Liabilities, total of netting agreements and cash collateral received | (40) | (40) | |
Other liabilities, gross | 2,902 | 2,902 | 1,640 |
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross | 2,902 | 2,902 | 1,677 |
Total other assets and cash collateral, gross | 2,862 | 2,862 | 1,624 |
Cash collateral received, gross | 1,793 | 1,793 | 1,986 |
Recurring | Trading account liabilities | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading liabilities | 1,100 | 1,100 | 2,093 |
Recurring | Mortgage-backed securities - U.S. agency-sponsored | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 27,562 | 27,562 | 24,767 |
Investments | 45,497 | 45,497 | 39,714 |
Recurring | Mortgage-backed securities - Residential | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 995 | 995 | 2,385 |
Investments | 5,065 | 5,065 | 5,986 |
Recurring | Mortgage-backed securities - Commercial | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 1,536 | 1,536 | 2,855 |
Investments | 366 | 366 | 571 |
Recurring | Mortgage-backed securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 30,093 | 30,093 | 30,007 |
Investments | 50,928 | 50,928 | 46,271 |
Recurring | U.S. Treasury and federal agency | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 25,643 | 25,643 | 17,796 |
Investments | 125,568 | 125,568 | 122,915 |
Recurring | State and municipal securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 3,179 | 3,179 | 2,696 |
Investments | 11,253 | 11,253 | 11,459 |
Recurring | Foreign government | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 63,118 | 63,118 | 56,467 |
Investments | 93,839 | 93,839 | 88,674 |
Recurring | Corporate | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 15,156 | 15,156 | 14,579 |
Investments | 20,587 | 20,587 | 19,330 |
Recurring | Equity securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 47,007 | 47,007 | 56,495 |
Investments | 1,424 | 1,424 | 625 |
Recurring | Asset-backed securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 3,540 | 3,540 | 3,956 |
Investments | 8,043 | 8,043 | 9,174 |
Recurring | Other | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 11,815 | 11,815 | 11,776 |
Investments | 1,123 | 1,123 | 688 |
Recurring | Non-marketable equity securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Investments | 1,186 | 1,186 | 1,193 |
Recurring | Trading securities (excluding trading account derivatives) | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 199,551 | 199,551 | 193,772 |
Recurring | Trading account assets | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 812,754 | 812,754 | 618,981 |
Gross cash collateral paid | 9,292 | 9,292 | 4,911 |
Trading derivative, asset, gross net cash collateral paid | 822,046 | 822,046 | 623,892 |
Less: Netting agreements to assets | (690,888) | (690,888) | (524,481) |
Netting of cash collateral received | (58,945) | (58,945) | (43,227) |
Netting, Assets, total of netting agreements and cash collateral received | (749,833) | (749,833) | (567,708) |
Trading derivatives | 72,213 | 72,213 | 56,184 |
Cash collateral paid, gross | 63,244 | 63,244 | 47,520 |
Recurring | Trading account assets | Interest rate contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 566,337 | 566,337 | 414,894 |
Recurring | Trading account assets | Foreign exchange contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 175,553 | 175,553 | 129,317 |
Recurring | Trading account assets | Equity contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 25,515 | 25,515 | 21,885 |
Recurring | Trading account assets | Commodity contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 12,417 | 12,417 | 18,010 |
Recurring | Trading account assets | Credit derivatives | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 32,932 | 32,932 | 34,875 |
Recurring | Non-trading derivatives and other financial assets | |||
Assets, Fair Value Disclosure [Abstract] | |||
Netting of cash collateral received | (1,793) | (1,793) | (1,949) |
Netting, Assets, total of netting agreements and cash collateral received | (1,793) | (1,793) | (1,949) |
Other assets, gross | 9,218 | 9,218 | 8,062 |
Cash collateral paid, gross | 7 | 7 | 8 |
Total other assets and cash collateral, gross | 9,225 | 9,225 | 8,070 |
Other assets | 7,432 | 7,432 | 6,121 |
Recurring | Level 1 | |||
Assets, Fair Value Disclosure [Abstract] | |||
Federal funds sold and securities borrowed or purchased under agreements to resell | 0 | 0 | 0 |
Investments | 164,047 | 164,047 | 157,644 |
Loans | 0 | 0 | 0 |
Mortgage servicing rights (MSRs) | 0 | 0 | 0 |
Assets before netting | $ 273,336 | $ 273,336 | $ 260,938 |
Total as a percentage of gross assets | 18.00% | 18.00% | 20.00% |
Liabilities, Fair Value Disclosure [Abstract] | |||
Interest-bearing deposits | $ 0 | $ 0 | $ 0 |
Federal funds purchased and securities loaned or sold under agreements to repurchase, selected portfolios of securities sold under agreements to repurchase, Gross | 0 | 0 | 0 |
Securities sold, not yet purchased | 62,396 | 62,396 | 48,452 |
Trading liabilities | 62,396 | 62,396 | 48,452 |
Short-term borrowings | 0 | 0 | 0 |
Long-term debt, at fair value | 0 | 0 | 0 |
Total liabilities, Gross | $ 65,138 | $ 65,138 | $ 50,970 |
Total as a percentage of gross liabilities | 6.70% | 6.70% | 6.50% |
Recurring | Level 1 | Trading derivatives liabilities | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | $ 2,742 | $ 2,742 | $ 2,518 |
Recurring | Level 1 | Trading derivatives liabilities | Interest rate contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 20 | 20 | 5 |
Recurring | Level 1 | Trading derivatives liabilities | Foreign exchange contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 10 | 10 | 6 |
Recurring | Level 1 | Trading derivatives liabilities | Equity contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 2,503 | 2,503 | 2,244 |
Recurring | Level 1 | Trading derivatives liabilities | Commodity contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 209 | 209 | 263 |
Recurring | Level 1 | Trading derivatives liabilities | Credit derivatives | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 0 | 0 | 0 |
Recurring | Level 1 | Non-trading derivatives and other financial liabilities | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Other liabilities, gross | 0 | 0 | 0 |
Recurring | Level 1 | Trading account liabilities | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading liabilities | 0 | 0 | 0 |
Recurring | Level 1 | Mortgage-backed securities - U.S. agency-sponsored | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 0 | 0 | 0 |
Investments | 0 | 0 | 0 |
Recurring | Level 1 | Mortgage-backed securities - Residential | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 0 | 0 | 0 |
Investments | 0 | 0 | 0 |
Recurring | Level 1 | Mortgage-backed securities - Commercial | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 0 | 0 | 0 |
Investments | 0 | 0 | 0 |
Recurring | Level 1 | Mortgage-backed securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 0 | 0 | 0 |
Investments | 0 | 0 | 0 |
Recurring | Level 1 | U.S. Treasury and federal agency | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 21,287 | 21,287 | 14,208 |
Investments | 113,604 | 113,604 | 111,536 |
Recurring | Level 1 | State and municipal securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 0 | 0 | 0 |
Investments | 0 | 0 | 0 |
Recurring | Level 1 | Foreign government | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 43,274 | 43,274 | 35,715 |
Investments | 44,585 | 44,585 | 42,073 |
Recurring | Level 1 | Corporate | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 553 | 553 | 302 |
Investments | 4,607 | 4,607 | 3,605 |
Recurring | Level 1 | Equity securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 41,219 | 41,219 | 50,429 |
Investments | 1,251 | 1,251 | 430 |
Recurring | Level 1 | Asset-backed securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 0 | 0 | 0 |
Investments | 0 | 0 | 0 |
Recurring | Level 1 | Other | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 3 | 3 | 0 |
Investments | 0 | 0 | 0 |
Recurring | Level 1 | Non-marketable equity securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Investments | 0 | 0 | 0 |
Recurring | Level 1 | Trading securities (excluding trading account derivatives) | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 106,336 | 106,336 | 100,654 |
Recurring | Level 1 | Trading account assets | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 2,953 | 2,953 | 2,640 |
Recurring | Level 1 | Trading account assets | Interest rate contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 48 | 48 | 9 |
Recurring | Level 1 | Trading account assets | Foreign exchange contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 58 | 58 | 5 |
Recurring | Level 1 | Trading account assets | Equity contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 2,672 | 2,672 | 2,422 |
Recurring | Level 1 | Trading account assets | Commodity contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 175 | 175 | 204 |
Recurring | Level 1 | Trading account assets | Credit derivatives | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 0 | 0 | 0 |
Recurring | Level 1 | Non-trading derivatives and other financial assets | |||
Assets, Fair Value Disclosure [Abstract] | |||
Other assets, gross | 0 | 0 | 0 |
Recurring | Level 2 | |||
Assets, Fair Value Disclosure [Abstract] | |||
Federal funds sold and securities borrowed or purchased under agreements to resell | 171,688 | 171,688 | 177,538 |
Investments | 145,291 | 145,291 | 137,626 |
Loans | 2,900 | 2,900 | 2,839 |
Mortgage servicing rights (MSRs) | 0 | 0 | 0 |
Assets before netting | $ 1,210,455 | $ 1,210,455 | $ 1,013,230 |
Total as a percentage of gross assets | 79.90% | 79.90% | 77.50% |
Liabilities, Fair Value Disclosure [Abstract] | |||
Interest-bearing deposits | $ 1,038 | $ 1,038 | $ 1,156 |
Federal funds purchased and securities loaned or sold under agreements to repurchase, selected portfolios of securities sold under agreements to repurchase, Gross | 73,728 | 73,728 | 76,507 |
Securities sold, not yet purchased | 9,595 | 9,595 | 9,176 |
Trading liabilities | 10,695 | 10,695 | 11,269 |
Short-term borrowings | 1,797 | 1,797 | 1,198 |
Long-term debt, at fair value | 16,793 | 16,793 | 17,750 |
Total liabilities, Gross | $ 881,872 | $ 881,872 | $ 706,117 |
Total as a percentage of gross liabilities | 90.80% | 90.80% | 90.70% |
Recurring | Level 2 | Trading derivatives liabilities | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | $ 774,924 | $ 774,924 | $ 596,611 |
Recurring | Level 2 | Trading derivatives liabilities | Interest rate contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 539,113 | 539,113 | 393,321 |
Recurring | Level 2 | Trading derivatives liabilities | Foreign exchange contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 170,081 | 170,081 | 133,404 |
Recurring | Level 2 | Trading derivatives liabilities | Equity contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 24,757 | 24,757 | 21,875 |
Recurring | Level 2 | Trading derivatives liabilities | Commodity contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 11,577 | 11,577 | 17,329 |
Recurring | Level 2 | Trading derivatives liabilities | Credit derivatives | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 29,396 | 29,396 | 30,682 |
Recurring | Level 2 | Non-trading derivatives and other financial liabilities | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Other liabilities, gross | 2,897 | 2,897 | 1,626 |
Recurring | Level 2 | Trading account liabilities | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading liabilities | 1,100 | 1,100 | 2,093 |
Recurring | Level 2 | Mortgage-backed securities - U.S. agency-sponsored | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 26,832 | 26,832 | 24,023 |
Investments | 45,403 | 45,403 | 39,575 |
Recurring | Level 2 | Mortgage-backed securities - Residential | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 194 | 194 | 1,059 |
Investments | 5,040 | 5,040 | 5,982 |
Recurring | Level 2 | Mortgage-backed securities - Commercial | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 1,146 | 1,146 | 2,338 |
Investments | 361 | 361 | 569 |
Recurring | Level 2 | Mortgage-backed securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 28,172 | 28,172 | 27,420 |
Investments | 50,804 | 50,804 | 46,126 |
Recurring | Level 2 | U.S. Treasury and federal agency | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 4,353 | 4,353 | 3,587 |
Investments | 11,961 | 11,961 | 11,375 |
Recurring | Level 2 | State and municipal securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 3,062 | 3,062 | 2,345 |
Investments | 9,237 | 9,237 | 9,267 |
Recurring | Level 2 | Foreign government | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 19,763 | 19,763 | 20,555 |
Investments | 49,113 | 49,113 | 46,341 |
Recurring | Level 2 | Corporate | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 14,198 | 14,198 | 13,901 |
Investments | 15,520 | 15,520 | 15,122 |
Recurring | Level 2 | Equity securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 1,818 | 1,818 | 2,382 |
Investments | 45 | 45 | 71 |
Recurring | Level 2 | Asset-backed securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 870 | 870 | 1,217 |
Investments | 7,446 | 7,446 | 8,578 |
Recurring | Level 2 | Other | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 8,973 | 8,973 | 9,293 |
Investments | 1,118 | 1,118 | 688 |
Recurring | Level 2 | Non-marketable equity securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Investments | 47 | 47 | 58 |
Recurring | Level 2 | Trading securities (excluding trading account derivatives) | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 81,209 | 81,209 | 80,700 |
Recurring | Level 2 | Trading account assets | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 800,260 | 800,260 | 606,645 |
Recurring | Level 2 | Trading account assets | Interest rate contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 562,908 | 562,908 | 412,802 |
Recurring | Level 2 | Trading account assets | Foreign exchange contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 174,695 | 174,695 | 128,189 |
Recurring | Level 2 | Trading account assets | Equity contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 21,520 | 21,520 | 17,866 |
Recurring | Level 2 | Trading account assets | Commodity contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 11,290 | 11,290 | 16,706 |
Recurring | Level 2 | Trading account assets | Credit derivatives | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 29,847 | 29,847 | 31,082 |
Recurring | Level 2 | Non-trading derivatives and other financial assets | |||
Assets, Fair Value Disclosure [Abstract] | |||
Other assets, gross | 9,107 | 9,107 | 7,882 |
Recurring | Level 3 | |||
Assets, Fair Value Disclosure [Abstract] | |||
Federal funds sold and securities borrowed or purchased under agreements to resell | 1,819 | 1,819 | 1,337 |
Investments | 4,613 | 4,613 | 5,059 |
Loans | 1,234 | 1,234 | 2,166 |
Mortgage servicing rights (MSRs) | 1,324 | 1,324 | 1,781 |
Assets before netting | $ 30,648 | $ 30,648 | $ 32,637 |
Total as a percentage of gross assets | 2.00% | 2.00% | 2.50% |
Liabilities, Fair Value Disclosure [Abstract] | |||
Interest-bearing deposits | $ 433 | $ 433 | $ 434 |
Federal funds purchased and securities loaned or sold under agreements to repurchase, selected portfolios of securities sold under agreements to repurchase, Gross | 1,107 | 1,107 | 1,247 |
Securities sold, not yet purchased | 12 | 12 | 199 |
Trading liabilities | 12 | 12 | 199 |
Short-term borrowings | 53 | 53 | 9 |
Long-term debt, at fair value | 9,138 | 9,138 | 7,543 |
Total liabilities, Gross | $ 24,534 | $ 24,534 | $ 21,371 |
Total as a percentage of gross liabilities | 2.50% | 2.50% | 2.70% |
Recurring | Level 3 | Trading derivatives liabilities | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | $ 13,786 | $ 13,786 | $ 11,925 |
Recurring | Level 3 | Trading derivatives liabilities | Interest rate contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 3,755 | 3,755 | 2,578 |
Recurring | Level 3 | Trading derivatives liabilities | Foreign exchange contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 829 | 829 | 503 |
Recurring | Level 3 | Trading derivatives liabilities | Equity contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 2,394 | 2,394 | 2,397 |
Recurring | Level 3 | Trading derivatives liabilities | Commodity contracts | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 2,969 | 2,969 | 2,961 |
Recurring | Level 3 | Trading derivatives liabilities | Credit derivatives | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading derivatives, liability | 3,839 | 3,839 | 3,486 |
Recurring | Level 3 | Non-trading derivatives and other financial liabilities | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Other liabilities, gross | 5 | 5 | 14 |
Recurring | Level 3 | Trading account liabilities | |||
Liabilities, Fair Value Disclosure [Abstract] | |||
Trading liabilities | 0 | 0 | 0 |
Recurring | Level 3 | Mortgage-backed securities - U.S. agency-sponsored | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 730 | 730 | 744 |
Investments | 94 | 94 | 139 |
Recurring | Level 3 | Mortgage-backed securities - Residential | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 801 | 801 | 1,326 |
Investments | 25 | 25 | 4 |
Recurring | Level 3 | Mortgage-backed securities - Commercial | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 390 | 390 | 517 |
Investments | 5 | 5 | 2 |
Recurring | Level 3 | Mortgage-backed securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 1,921 | 1,921 | 2,587 |
Investments | 124 | 124 | 145 |
Recurring | Level 3 | U.S. Treasury and federal agency | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 3 | 3 | 1 |
Investments | 3 | 3 | 4 |
Recurring | Level 3 | State and municipal securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 117 | 117 | 351 |
Investments | 2,016 | 2,016 | 2,192 |
Recurring | Level 3 | Foreign government | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 81 | 81 | 197 |
Investments | 141 | 141 | 260 |
Recurring | Level 3 | Corporate | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 405 | 405 | 376 |
Investments | 460 | 460 | 603 |
Recurring | Level 3 | Equity securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 3,970 | 3,970 | 3,684 |
Investments | 128 | 128 | 124 |
Recurring | Level 3 | Asset-backed securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 2,670 | 2,670 | 2,739 |
Investments | 597 | 597 | 596 |
Recurring | Level 3 | Other | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 2,839 | 2,839 | 2,483 |
Investments | 5 | 5 | 0 |
Recurring | Level 3 | Non-marketable equity securities | |||
Assets, Fair Value Disclosure [Abstract] | |||
Investments | 1,139 | 1,139 | 1,135 |
Recurring | Level 3 | Trading securities (excluding trading account derivatives) | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading account assets | 12,006 | 12,006 | 12,418 |
Recurring | Level 3 | Trading account assets | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 9,541 | 9,541 | 9,696 |
Recurring | Level 3 | Trading account assets | Interest rate contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 3,381 | 3,381 | 2,083 |
Recurring | Level 3 | Trading account assets | Foreign exchange contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 800 | 800 | 1,123 |
Recurring | Level 3 | Trading account assets | Equity contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 1,323 | 1,323 | 1,597 |
Recurring | Level 3 | Trading account assets | Commodity contracts | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 952 | 952 | 1,100 |
Recurring | Level 3 | Trading account assets | Credit derivatives | |||
Assets, Fair Value Disclosure [Abstract] | |||
Trading derivatives, asset, Gross | 3,085 | 3,085 | 3,793 |
Recurring | Level 3 | Non-trading derivatives and other financial assets | |||
Assets, Fair Value Disclosure [Abstract] | |||
Other assets, gross | $ 111 | $ 111 | $ 180 |
FAIR VALUE MEASUREMENT - Level
FAIR VALUE MEASUREMENT - Level 3 Fair Value Rollforward (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Trading account assets and liabilities | ||||
Fair value, Derivative assets (liabilities) measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset (liability), net | $ (3,606) | $ (2,854) | $ (2,229) | $ (2,661) |
Net realized/unrealized gains (losses) included in principal transactions | (842) | (210) | (2,328) | (1,042) |
Transfers into Level 3 | 104 | (94) | 214 | 54 |
Transfers out of Level 3 | (513) | (167) | (498) | 14 |
Purchases | 645 | 156 | 692 | 342 |
Issuances | 20 | 0 | 20 | 0 |
Sales | (516) | 8 | (617) | (155) |
Settlements | 463 | 473 | 501 | 760 |
Balance at end of period, asset (liability), net | (4,245) | (2,688) | (4,245) | (2,688) |
Unrealized gains (losses) still held | (909) | (514) | (1,993) | (636) |
Trading account assets and liabilities | Interest rate contracts | ||||
Fair value, Derivative assets (liabilities) measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset (liability), net | (755) | (334) | (495) | (211) |
Net realized/unrealized gains (losses) included in principal transactions | 182 | (358) | (326) | (428) |
Transfers into Level 3 | 144 | (2) | 309 | (136) |
Transfers out of Level 3 | (51) | (46) | 39 | (39) |
Purchases | 137 | 12 | 142 | 18 |
Issuances | (18) | 0 | (18) | 0 |
Sales | (100) | 169 | (103) | 166 |
Settlements | 87 | 136 | 78 | 207 |
Balance at end of period, asset (liability), net | (374) | (423) | (374) | (423) |
Unrealized gains (losses) still held | 136 | (152) | (154) | (58) |
Trading account assets and liabilities | Foreign exchange contracts | ||||
Fair value, Derivative assets (liabilities) measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset (liability), net | 295 | 646 | 620 | 778 |
Net realized/unrealized gains (losses) included in principal transactions | (324) | (123) | (677) | (424) |
Transfers into Level 3 | 1 | (42) | 4 | (1) |
Transfers out of Level 3 | (90) | (85) | (60) | (81) |
Purchases | 89 | 83 | 106 | 174 |
Issuances | 0 | 0 | 0 | 0 |
Sales | (52) | (83) | (91) | (178) |
Settlements | 52 | (5) | 69 | 123 |
Balance at end of period, asset (liability), net | (29) | 391 | (29) | 391 |
Unrealized gains (losses) still held | (428) | (153) | (572) | (63) |
Trading account assets and liabilities | Equity contracts | ||||
Fair value, Derivative assets (liabilities) measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset (liability), net | (876) | (774) | (800) | (863) |
Net realized/unrealized gains (losses) included in principal transactions | 76 | 351 | 108 | 322 |
Transfers into Level 3 | (11) | 0 | 64 | (23) |
Transfers out of Level 3 | (284) | 15 | (428) | 116 |
Purchases | 22 | 61 | 46 | 150 |
Issuances | 38 | 0 | 38 | 0 |
Sales | (12) | (75) | (71) | (140) |
Settlements | (24) | 67 | (28) | 83 |
Balance at end of period, asset (liability), net | (1,071) | (355) | (1,071) | (355) |
Unrealized gains (losses) still held | 108 | (70) | 107 | (166) |
Trading account assets and liabilities | Commodity contracts | ||||
Fair value, Derivative assets (liabilities) measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset (liability), net | (1,949) | (1,729) | (1,861) | (1,622) |
Net realized/unrealized gains (losses) included in principal transactions | (139) | (56) | (281) | (390) |
Transfers into Level 3 | 3 | 1 | (49) | 183 |
Transfers out of Level 3 | (36) | (6) | (26) | 10 |
Purchases | 356 | 0 | 356 | 0 |
Issuances | 0 | 0 | 0 | 0 |
Sales | (352) | 0 | (352) | 0 |
Settlements | 100 | 63 | 196 | 92 |
Balance at end of period, asset (liability), net | (2,017) | (1,727) | (2,017) | (1,727) |
Unrealized gains (losses) still held | (122) | 89 | (288) | (158) |
Trading account assets and liabilities | Credit derivatives | ||||
Fair value, Derivative assets (liabilities) measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset (liability), net | (321) | (663) | 307 | (743) |
Net realized/unrealized gains (losses) included in principal transactions | (637) | (24) | (1,152) | (122) |
Transfers into Level 3 | (33) | (51) | (114) | 31 |
Transfers out of Level 3 | (52) | (45) | (23) | 8 |
Purchases | 41 | 0 | 42 | 0 |
Issuances | 0 | 0 | 0 | 0 |
Sales | 0 | (3) | 0 | (3) |
Settlements | 248 | 212 | 186 | 255 |
Balance at end of period, asset (liability), net | (754) | (574) | (754) | (574) |
Unrealized gains (losses) still held | (603) | (228) | (1,086) | (191) |
Interest-bearing deposits | ||||
Fair value, liabilities measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, liability | 191 | 465 | 434 | 486 |
Net realized/unrealized gains (losses) included in principal transactions, liabilities | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, liabilities | 39 | 101 | 35 | 101 |
Transfers into Level 3, liabilities | 318 | 0 | 322 | 0 |
Transfers out of Level 3, liabilities | 0 | 0 | (209) | 0 |
Purchases, liability | 0 | 0 | 0 | 0 |
Issuance, liability | 1 | 0 | 5 | 0 |
Sales, liability | 0 | 0 | 0 | 0 |
Settlements, liability | (38) | (17) | (84) | (38) |
Balance at end of period, liability | 433 | 347 | 433 | 347 |
Unrealized gains (losses) still held, liabilities | 39 | (164) | 39 | (265) |
Federal funds purchased and securities loaned or sold under agreements to repurchase | ||||
Fair value, liabilities measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, liability | 1,238 | 1,060 | 1,247 | 1,043 |
Net realized/unrealized gains (losses) included in principal transactions, liabilities | 4 | 29 | (21) | (23) |
Net realized/unrealized gains (losses) included in locations other than principal transactions, liabilities | 0 | 0 | 0 | 0 |
Transfers into Level 3, liabilities | 0 | 0 | 0 | 0 |
Transfers out of Level 3, liabilities | 0 | 0 | 0 | 0 |
Purchases, liability | 0 | 0 | 0 | 0 |
Issuance, liability | 0 | 0 | 0 | 0 |
Sales, liability | 0 | (8) | 16 | (7) |
Settlements, liability | (127) | (58) | (177) | (94) |
Balance at end of period, liability | 1,107 | 965 | 1,107 | 965 |
Unrealized gains (losses) still held, liabilities | 4 | 25 | (25) | 15 |
Trading account liabilities | Securities sold, not yet purchased | ||||
Fair value, liabilities measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, liability | 118 | 223 | 199 | 424 |
Net realized/unrealized gains (losses) included in principal transactions, liabilities | (11) | (12) | 14 | (22) |
Net realized/unrealized gains (losses) included in locations other than principal transactions, liabilities | 0 | 0 | 0 | 0 |
Transfers into Level 3, liabilities | 38 | 105 | 97 | 197 |
Transfers out of Level 3, liabilities | (18) | (144) | (43) | (187) |
Purchases, liability | (61) | 0 | (61) | 0 |
Issuance, liability | (41) | 0 | (41) | 0 |
Sales, liability | 34 | 87 | 70 | 157 |
Settlements, liability | (69) | (26) | (195) | (356) |
Balance at end of period, liability | 12 | 257 | 12 | 257 |
Unrealized gains (losses) still held, liabilities | (30) | (38) | (29) | (50) |
Short-term borrowings | ||||
Fair value, liabilities measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, liability | 46 | 120 | 9 | 344 |
Net realized/unrealized gains (losses) included in principal transactions, liabilities | (24) | 17 | (27) | 10 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, liabilities | 0 | 0 | 0 | 0 |
Transfers into Level 3, liabilities | 12 | 16 | 17 | 17 |
Transfers out of Level 3, liabilities | 0 | (3) | (4) | (15) |
Purchases, liability | 0 | 0 | 0 | 0 |
Issuance, liability | 7 | 33 | 41 | 49 |
Sales, liability | 0 | 0 | 0 | 0 |
Settlements, liability | (36) | (16) | (37) | (252) |
Balance at end of period, liability | 53 | 133 | 53 | 133 |
Unrealized gains (losses) still held, liabilities | (15) | (1) | (19) | (3) |
Long-term debt | ||||
Fair value, liabilities measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, liability | 8,736 | 7,196 | 7,543 | 7,290 |
Net realized/unrealized gains (losses) included in principal transactions, liabilities | (48) | 82 | (26) | 368 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, liabilities | 0 | 0 | 0 | 0 |
Transfers into Level 3, liabilities | 712 | 374 | 1,221 | 1,086 |
Transfers out of Level 3, liabilities | (756) | (1,091) | (1,843) | (2,038) |
Purchases, liability | 0 | 0 | 0 | 0 |
Issuance, liability | 990 | 1,452 | 2,872 | 2,401 |
Sales, liability | 61 | 0 | 61 | 0 |
Settlements, liability | (653) | (184) | (742) | (706) |
Balance at end of period, liability | 9,138 | 7,665 | 9,138 | 7,665 |
Unrealized gains (losses) still held, liabilities | (48) | 213 | (86) | (17) |
Other financial liabilities | ||||
Fair value, liabilities measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, liability | 14 | 8 | 14 | 7 |
Net realized/unrealized gains (losses) included in principal transactions, liabilities | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, liabilities | 1 | (4) | (7) | (7) |
Transfers into Level 3, liabilities | 0 | 0 | 0 | 0 |
Transfers out of Level 3, liabilities | (6) | (4) | (10) | (4) |
Purchases, liability | (2) | (1) | (6) | (2) |
Issuance, liability | 1 | 2 | 2 | 2 |
Sales, liability | 0 | 0 | 0 | 0 |
Settlements, liability | (1) | (5) | (2) | (6) |
Balance at end of period, liability | 5 | 4 | 5 | 4 |
Unrealized gains (losses) still held, liabilities | (1) | (4) | (3) | (3) |
Federal funds sold and securities borrowed or purchased under agreements to resell | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 1,909 | 4,022 | 1,337 | 3,398 |
Net realized/unrealized gains (losses) included in principal transactions | (62) | (95) | 8 | (135) |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3, assets | (28) | (2,756) | (28) | (2,856) |
Purchases, assets | 0 | 20 | 503 | 784 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | 0 | 0 | 0 | 0 |
Settlements, assets | 0 | (121) | (1) | (121) |
Balance at end of period, asset | 1,819 | 1,070 | 1,819 | $ 1,070 |
Threshold Tenor Of Repo Curves To Classify Structured Reverse Repos As Level 3 | 5 years | |||
Unrealized gains (losses) still held, assets | (54) | 0 | (55) | $ 0 |
Trading non-derivative assets | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 12,863 | 15,220 | 12,418 | 15,357 |
Net realized/unrealized gains (losses) included in principal transactions | (365) | 561 | (220) | 686 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 1,165 | 1,093 | 2,710 | 1,973 |
Transfers out of Level 3, assets | (1,687) | (2,295) | (2,817) | (3,633) |
Purchases, assets | 3,260 | 3,784 | 5,239 | 7,638 |
Issuance, assets | (13) | 19 | (2) | 32 |
Sales, assets | (3,205) | (4,069) | (5,303) | (7,683) |
Settlements, assets | (12) | (14) | (19) | (71) |
Balance at end of period, asset | 12,006 | 14,299 | 12,006 | 14,299 |
Unrealized gains (losses) still held, assets | (562) | 250 | (636) | 209 |
Trading non-derivative assets | U.S. government-sponsored agency guaranteed | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 1,039 | 818 | 744 | 1,085 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 26 | 12 | 29 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 83 | 188 | 418 | 482 |
Transfers out of Level 3, assets | (362) | (340) | (582) | (850) |
Purchases, assets | 405 | 172 | 761 | 339 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (443) | (267) | (634) | (488) |
Settlements, assets | 8 | 14 | 11 | 14 |
Balance at end of period, asset | 730 | 611 | 730 | 611 |
Unrealized gains (losses) still held, assets | 0 | 7 | (3) | 5 |
Trading non-derivative assets | Mortgage-backed securities - Residential | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 1,192 | 2,130 | 1,326 | 2,680 |
Net realized/unrealized gains (losses) included in principal transactions | (61) | 129 | (12) | 206 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 25 | 133 | 129 | 178 |
Transfers out of Level 3, assets | (44) | (66) | (87) | (282) |
Purchases, assets | 46 | 631 | 257 | 1,129 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (351) | (751) | (806) | (1,705) |
Settlements, assets | (6) | 0 | (6) | 0 |
Balance at end of period, asset | 801 | 2,206 | 801 | 2,206 |
Unrealized gains (losses) still held, assets | (72) | 14 | (40) | (91) |
Trading non-derivative assets | Mortgage-backed securities - Commercial | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 581 | 599 | 517 | 440 |
Net realized/unrealized gains (losses) included in principal transactions | 4 | (2) | 13 | 13 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 123 | 68 | 179 | 156 |
Transfers out of Level 3, assets | (75) | (65) | (102) | (78) |
Purchases, assets | 107 | 92 | 352 | 412 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (350) | (324) | (569) | (575) |
Settlements, assets | 0 | 0 | 0 | 0 |
Balance at end of period, asset | 390 | 368 | 390 | 368 |
Unrealized gains (losses) still held, assets | (5) | (1) | (13) | (8) |
Trading non-derivative assets | Mortgage-backed securities | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 2,812 | 3,547 | 2,587 | 4,205 |
Net realized/unrealized gains (losses) included in principal transactions | (57) | 153 | 13 | 248 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 231 | 389 | 726 | 816 |
Transfers out of Level 3, assets | (481) | (471) | (771) | (1,210) |
Purchases, assets | 558 | 895 | 1,370 | 1,880 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (1,144) | (1,342) | (2,009) | (2,768) |
Settlements, assets | 2 | 14 | 5 | 14 |
Balance at end of period, asset | 1,921 | 3,185 | 1,921 | 3,185 |
Unrealized gains (losses) still held, assets | (77) | 20 | (56) | (94) |
Trading non-derivative assets | U.S. Treasury and federal agency | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 3 | 0 | 1 | 0 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 0 | 0 | 2 | 0 |
Transfers out of Level 3, assets | 0 | 0 | 0 | 0 |
Purchases, assets | 0 | 0 | 0 | 0 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | 0 | 0 | 0 | 0 |
Settlements, assets | 0 | 0 | 0 | 0 |
Balance at end of period, asset | 3 | 0 | 3 | 0 |
Unrealized gains (losses) still held, assets | 0 | 0 | (1) | 0 |
Trading non-derivative assets | State and municipal securities | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 209 | 247 | 351 | 241 |
Net realized/unrealized gains (losses) included in principal transactions | 1 | (2) | 8 | (10) |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 5 | 13 | 18 | 27 |
Transfers out of Level 3, assets | (57) | 0 | (216) | (7) |
Purchases, assets | 65 | 0 | 168 | 9 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (106) | (9) | (212) | (11) |
Settlements, assets | 0 | 0 | 0 | 0 |
Balance at end of period, asset | 117 | 249 | 117 | 249 |
Unrealized gains (losses) still held, assets | (2) | 1 | (1) | 2 |
Trading non-derivative assets | Foreign government | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 219 | 115 | 197 | 206 |
Net realized/unrealized gains (losses) included in principal transactions | (7) | 0 | (8) | (3) |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 0 | 0 | 2 | 27 |
Transfers out of Level 3, assets | (13) | (8) | (17) | (100) |
Purchases, assets | 34 | 39 | 75 | 105 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (152) | (59) | (168) | (99) |
Settlements, assets | 0 | (5) | 0 | (54) |
Balance at end of period, asset | 81 | 82 | 81 | 82 |
Unrealized gains (losses) still held, assets | (2) | (2) | 1 | 4 |
Trading non-derivative assets | Corporate | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 477 | 767 | 376 | 820 |
Net realized/unrealized gains (losses) included in principal transactions | 272 | 128 | 284 | 204 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 35 | 41 | 80 | 54 |
Transfers out of Level 3, assets | (60) | (26) | (76) | (85) |
Purchases, assets | 165 | 164 | 334 | 511 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (479) | (355) | (588) | (785) |
Settlements, assets | (5) | (11) | (5) | (11) |
Balance at end of period, asset | 405 | 708 | 405 | 708 |
Unrealized gains (losses) still held, assets | 77 | (45) | 89 | 48 |
Trading non-derivative assets | Equity securities | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 3,755 | 2,598 | 3,684 | 2,219 |
Net realized/unrealized gains (losses) included in principal transactions | (491) | (25) | (535) | (46) |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 174 | 38 | 267 | 162 |
Transfers out of Level 3, assets | (26) | (173) | (60) | (188) |
Purchases, assets | 670 | 360 | 749 | 742 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (112) | (57) | (135) | (148) |
Settlements, assets | 0 | 0 | 0 | 0 |
Balance at end of period, asset | 3,970 | 2,741 | 3,970 | 2,741 |
Unrealized gains (losses) still held, assets | (438) | 66 | (474) | 55 |
Trading non-derivative assets | Asset-backed securities | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 2,814 | 3,553 | 2,739 | 3,294 |
Net realized/unrealized gains (losses) included in principal transactions | 6 | 106 | 134 | 233 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 40 | 505 | 157 | 570 |
Transfers out of Level 3, assets | (181) | (81) | (195) | (115) |
Purchases, assets | 694 | 1,696 | 1,186 | 2,759 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (703) | (1,543) | (1,351) | (2,505) |
Settlements, assets | 0 | 0 | 0 | 0 |
Balance at end of period, asset | 2,670 | 4,236 | 2,670 | 4,236 |
Unrealized gains (losses) still held, assets | 5 | 181 | 29 | 179 |
Trading non-derivative assets | Other | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 2,574 | 4,393 | 2,483 | 4,372 |
Net realized/unrealized gains (losses) included in principal transactions | (89) | 201 | (116) | 60 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 680 | 107 | 1,458 | 317 |
Transfers out of Level 3, assets | (869) | (1,536) | (1,482) | (1,928) |
Purchases, assets | 1,074 | 630 | 1,357 | 1,632 |
Issuance, assets | (13) | 19 | (2) | 32 |
Sales, assets | (509) | (704) | (840) | (1,367) |
Settlements, assets | (9) | (12) | (19) | (20) |
Balance at end of period, asset | 2,839 | 3,098 | 2,839 | 3,098 |
Unrealized gains (losses) still held, assets | (125) | 29 | (223) | 15 |
Investments | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 4,880 | 5,818 | 5,059 | 6,273 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 268 | (3) | 261 | (30) |
Transfers into Level 3 | 153 | 180 | 502 | 341 |
Transfers out of Level 3, assets | (428) | (198) | (916) | (497) |
Purchases, assets | 332 | 560 | 729 | 1,000 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (518) | (501) | (929) | (860) |
Settlements, assets | (74) | (177) | (93) | (548) |
Balance at end of period, asset | 4,613 | 5,679 | 4,613 | 5,679 |
Unrealized gains (losses) still held, assets | 172 | (6) | 96 | 70 |
Investments | U.S. government-sponsored agency guaranteed | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 111 | 70 | 139 | 38 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 6 | 1 | (25) | 0 |
Transfers into Level 3 | 5 | 59 | 12 | 104 |
Transfers out of Level 3, assets | (23) | (33) | (62) | (45) |
Purchases, assets | 1 | 0 | 40 | 0 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (6) | (1) | (9) | (1) |
Settlements, assets | 0 | 0 | (1) | 0 |
Balance at end of period, asset | 94 | 96 | 94 | 96 |
Unrealized gains (losses) still held, assets | 1 | 1 | 41 | (1) |
Investments | Mortgage-backed securities - Residential | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 0 | 10 | 4 | 8 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | (3) | 1 | (1) |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3, assets | 0 | 0 | 0 | 0 |
Purchases, assets | 25 | 11 | 25 | 11 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | 0 | (8) | (5) | (8) |
Settlements, assets | 0 | 0 | 0 | 0 |
Balance at end of period, asset | 25 | 10 | 25 | 10 |
Unrealized gains (losses) still held, assets | 0 | 0 | 0 | 1 |
Investments | Mortgage-backed securities - Commercial | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 3 | 2 | 2 | 1 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 3 | 0 | 6 | 2 |
Transfers out of Level 3, assets | (1) | (2) | (3) | (3) |
Purchases, assets | 0 | 0 | 0 | 0 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | 0 | 0 | 0 | 0 |
Settlements, assets | 0 | 0 | 0 | 0 |
Balance at end of period, asset | 5 | 0 | 5 | 0 |
Unrealized gains (losses) still held, assets | 0 | 0 | 0 | 0 |
Investments | Mortgage-backed securities | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 114 | 82 | 145 | 47 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 6 | (2) | (24) | (1) |
Transfers into Level 3 | 8 | 59 | 18 | 106 |
Transfers out of Level 3, assets | (24) | (35) | (65) | (48) |
Purchases, assets | 26 | 11 | 65 | 11 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (6) | (9) | (14) | (9) |
Settlements, assets | 0 | 0 | (1) | 0 |
Balance at end of period, asset | 124 | 106 | 124 | 106 |
Unrealized gains (losses) still held, assets | 1 | 1 | 41 | 0 |
Investments | U.S. Treasury and federal agency | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 3 | 5 | 4 | 6 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3, assets | 0 | 0 | 0 | 0 |
Purchases, assets | 0 | 0 | 0 | 0 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | 0 | 0 | (1) | (1) |
Settlements, assets | 0 | 0 | 0 | 0 |
Balance at end of period, asset | 3 | 5 | 3 | 5 |
Unrealized gains (losses) still held, assets | 0 | 0 | 0 | 0 |
Investments | State and municipal securities | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 2,098 | 2,247 | 2,192 | 2,180 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 127 | (39) | 162 | (7) |
Transfers into Level 3 | 130 | 54 | 391 | 159 |
Transfers out of Level 3, assets | (374) | (99) | (783) | (238) |
Purchases, assets | 89 | 166 | 240 | 399 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (54) | (176) | (186) | (340) |
Settlements, assets | 0 | 0 | 0 | 0 |
Balance at end of period, asset | 2,016 | 2,153 | 2,016 | 2,153 |
Unrealized gains (losses) still held, assets | 99 | (43) | 118 | (31) |
Investments | Foreign government | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 175 | 575 | 260 | 678 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 17 | (3) | 19 | 48 |
Transfers into Level 3 | 0 | (8) | 33 | (8) |
Transfers out of Level 3, assets | 0 | 0 | 0 | (105) |
Purchases, assets | 41 | 310 | 103 | 484 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (89) | (223) | (271) | (334) |
Settlements, assets | (3) | (158) | (3) | (270) |
Balance at end of period, asset | 141 | 493 | 141 | 493 |
Unrealized gains (losses) still held, assets | 0 | 4 | (106) | 5 |
Investments | Corporate | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 498 | 584 | 603 | 672 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 31 | 72 | 45 | 46 |
Transfers into Level 3 | 0 | 0 | 5 | 2 |
Transfers out of Level 3, assets | (8) | (3) | (45) | (44) |
Purchases, assets | 93 | 55 | 94 | 69 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (154) | (9) | (242) | (13) |
Settlements, assets | 0 | (1) | 0 | (34) |
Balance at end of period, asset | 460 | 698 | 460 | 698 |
Unrealized gains (losses) still held, assets | (5) | 0 | (1) | 0 |
Investments | Equity securities | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 126 | 519 | 124 | 681 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 2 | 0 | (86) |
Transfers into Level 3 | 2 | 0 | 4 | 7 |
Transfers out of Level 3, assets | 0 | (7) | 0 | (10) |
Purchases, assets | 0 | 0 | 0 | 0 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | 0 | (31) | 0 | (109) |
Settlements, assets | 0 | 0 | 0 | 0 |
Balance at end of period, asset | 128 | 483 | 128 | 483 |
Unrealized gains (losses) still held, assets | 0 | (1) | 0 | 0 |
Investments | Asset-backed securities | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 701 | 517 | 596 | 549 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 61 | 20 | 35 | (20) |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3, assets | (22) | (48) | (23) | (58) |
Purchases, assets | 72 | 14 | 204 | 33 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | (215) | 0 | (215) | (1) |
Settlements, assets | 0 | 0 | 0 | 0 |
Balance at end of period, asset | 597 | 503 | 597 | 503 |
Unrealized gains (losses) still held, assets | 51 | 22 | 24 | 22 |
Investments | Other | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3, assets | 0 | 0 | 0 | 0 |
Purchases, assets | 5 | 0 | 5 | 0 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | 0 | 0 | 0 | 0 |
Settlements, assets | 0 | 0 | 0 | 0 |
Balance at end of period, asset | 5 | 0 | 5 | 0 |
Unrealized gains (losses) still held, assets | 0 | 0 | 0 | 0 |
Investments | Non-marketable equity securities | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 1,165 | 1,289 | 1,135 | 1,460 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 26 | (53) | 24 | (10) |
Transfers into Level 3 | 13 | 75 | 51 | 75 |
Transfers out of Level 3, assets | 0 | (6) | 0 | 6 |
Purchases, assets | 6 | 4 | 18 | 4 |
Issuance, assets | 0 | 0 | 0 | 0 |
Sales, assets | 0 | (53) | 0 | (53) |
Settlements, assets | (71) | (18) | (89) | (244) |
Balance at end of period, asset | 1,139 | 1,238 | 1,139 | 1,238 |
Unrealized gains (losses) still held, assets | 26 | 11 | 20 | 74 |
Loans | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 1,723 | 3,906 | 2,166 | 3,108 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 19 | (20) | (58) | (74) |
Transfers into Level 3 | 0 | 0 | 89 | 689 |
Transfers out of Level 3, assets | 0 | (85) | (538) | (85) |
Purchases, assets | 211 | 365 | 570 | 574 |
Issuance, assets | 58 | 42 | 219 | 363 |
Sales, assets | (297) | (278) | (675) | (375) |
Settlements, assets | (480) | (90) | (539) | (360) |
Balance at end of period, asset | 1,234 | 3,840 | 1,234 | 3,840 |
Unrealized gains (losses) still held, assets | (34) | 26 | (63) | 29 |
MSRs | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 1,524 | 1,685 | 1,781 | 1,845 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | (137) | 270 | (362) | 193 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3, assets | 0 | 0 | 0 | 0 |
Purchases, assets | 0 | 0 | 0 | 0 |
Issuance, assets | 35 | 68 | 68 | 111 |
Sales, assets | 0 | (9) | 14 | (41) |
Settlements, assets | (98) | (90) | (177) | (184) |
Balance at end of period, asset | 1,324 | 1,924 | 1,324 | 1,924 |
Unrealized gains (losses) still held, assets | (154) | (77) | (154) | (390) |
Other financial assets measured on a recurring basis | ||||
Fair value, assets measured on recurring basis, level 3 fair-value category reconciliation | ||||
Balance at beginning of period, asset | 57 | 148 | 180 | 78 |
Net realized/unrealized gains (losses) included in principal transactions | 0 | 0 | 0 | 0 |
Net realized/unrealized gains (losses) included in locations other than principal transactions, assets | 16 | 10 | 33 | 16 |
Transfers into Level 3 | 37 | 14 | 40 | 80 |
Transfers out of Level 3, assets | (2) | (5) | (5) | (7) |
Purchases, assets | 0 | 0 | 0 | 3 |
Issuance, assets | 67 | 38 | 130 | 98 |
Sales, assets | (4) | (9) | (124) | (14) |
Settlements, assets | (60) | (57) | (143) | (115) |
Balance at end of period, asset | 111 | 139 | 111 | 139 |
Unrealized gains (losses) still held, assets | $ (61) | $ 348 | $ (277) | $ 596 |
FAIR VALUE MEASUREMENT - Valuat
FAIR VALUE MEASUREMENT - Valuation Techniques and Inputs for Level 3 Fair Value Measurements (Details) - Level 3 - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Interest-bearing deposits | Model-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total Liabilities | $ 433,000,000 | $ 434,000,000 |
Interest-bearing deposits | Model-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 0.47% | |
IR lognormal volatility (as a percent) | 61.89% | |
Forward price (as a percent) | 35.09% | |
Commodity volatility (as a percent) | 5.00% | |
Commodity correlation (as a percent) | (57.00%) | |
Equity-IR correlation (as a percent) | 23.00% | |
Interest-bearing deposits | Model-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 1.83% | |
IR lognormal volatility (as a percent) | 151.86% | |
Forward price (as a percent) | 299.32% | |
Commodity volatility (as a percent) | 83.00% | |
Commodity correlation (as a percent) | 91.00% | |
Equity-IR correlation (as a percent) | 39.00% | |
Interest-bearing deposits | Model-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 1.55% | |
IR lognormal volatility (as a percent) | 82.56% | |
Forward price (as a percent) | 112.72% | |
Commodity volatility (as a percent) | 24.00% | |
Commodity correlation (as a percent) | 30.00% | |
Equity-IR correlation (as a percent) | 34.51% | |
Federal funds purchased and securities loaned or sold under agreements to repurchase | Model-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total Liabilities | $ 1,107,000,000 | $ 1,245,000,000 |
Federal funds purchased and securities loaned or sold under agreements to repurchase | Model-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 0.99% | 1.27% |
Federal funds purchased and securities loaned or sold under agreements to repurchase | Model-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 1.14% | 2.02% |
Federal funds purchased and securities loaned or sold under agreements to repurchase | Model-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 1.10% | 1.92% |
Short-term borrowings and long-term debt | Model-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total Liabilities | $ 9,279,000,000 | $ 7,004,000,000 |
Short-term borrowings and long-term debt | Model-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
IR lognormal volatility (as a percent) | 61.89% | |
Mean reversion (as a percent) | 1.00% | (5.52%) |
Equity volatility (as a percent) | 15.05% | 9.55% |
Equity forward (as a percent) | 66.94% | 82.72% |
Equity-FX correlation (as a percent) | (88.20%) | (88.20%) |
Forward price (as a percent) | 35.09% | |
Equity-Equity correlation (as a percent) | (81.18%) | (80.54%) |
Short-term borrowings and long-term debt | Model-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
IR lognormal volatility (as a percent) | 151.86% | |
Mean reversion (as a percent) | 20.00% | 20.00% |
Equity volatility (as a percent) | 61.31% | 42.56% |
Equity forward (as a percent) | 102.58% | 100.80% |
Equity-FX correlation (as a percent) | 56.90% | 56.85% |
Forward price (as a percent) | 299.32% | |
Equity-Equity correlation (as a percent) | 100.00% | 100.00% |
Short-term borrowings and long-term debt | Model-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
IR lognormal volatility (as a percent) | 82.56% | |
Mean reversion (as a percent) | 10.50% | 7.80% |
Equity volatility (as a percent) | 27.89% | 22.26% |
Equity forward (as a percent) | 94.32% | 94.48% |
Equity-FX correlation (as a percent) | (21.73%) | (31.76%) |
Forward price (as a percent) | 106.32% | |
Equity-Equity correlation (as a percent) | 49.17% | 49.16% |
Trading account assets and liabilities | Interest rate contracts | Model-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Derivatives (gross) | $ 7,548,000,000 | $ 4,553,000,000 |
Trading account assets and liabilities | Interest rate contracts | Model-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
IR lognormal volatility (as a percent) | 61.89% | 17.41% |
Mean reversion (as a percent) | 1.00% | (5.52%) |
Trading account assets and liabilities | Interest rate contracts | Model-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
IR lognormal volatility (as a percent) | 151.86% | 137.02% |
Mean reversion (as a percent) | 20.00% | 20.00% |
Trading account assets and liabilities | Interest rate contracts | Model-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
IR lognormal volatility (as a percent) | 82.56% | 37.60% |
Mean reversion (as a percent) | 10.50% | 0.71% |
Trading account assets and liabilities | Foreign exchange contracts | Model-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Derivatives (gross) | $ 1,457,000,000 | $ 1,326,000,000 |
Trading account assets and liabilities | Foreign exchange contracts | Model-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Foreign exchange (FX) volatility (as a percent) | 3.64% | 0.38% |
Trading account assets and liabilities | Foreign exchange contracts | Model-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Foreign exchange (FX) volatility (as a percent) | 58.13% | 25.73% |
Trading account assets and liabilities | Foreign exchange contracts | Model-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Foreign exchange (FX) volatility (as a percent) | 17.05% | 11.63% |
Trading account assets and liabilities | Foreign exchange contracts | Cash flow | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Derivatives (gross) | $ 172,000,000 | $ 275,000,000 |
Trading account assets and liabilities | Foreign exchange contracts | Cash flow | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 7.50% | |
Credit spread (as a percent) | 0.03% | |
IR-IR correlation (as a percent) | (51.00%) | (51.00%) |
IR-FX correlation (as a percent) | 40.00% | (20.30%) |
IR Basis | (0.90%) | |
Forward price (as a percent) | 1.48% | |
Trading account assets and liabilities | Foreign exchange contracts | Cash flow | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 7.50% | |
Credit spread (as a percent) | 5.15% | |
IR-IR correlation (as a percent) | 40.00% | 77.94% |
IR-FX correlation (as a percent) | 60.00% | 60.00% |
IR Basis | (0.40%) | |
Forward price (as a percent) | 138.09% | |
Trading account assets and liabilities | Foreign exchange contracts | Cash flow | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 7.50% | |
Credit spread (as a percent) | 2.35% | |
IR-IR correlation (as a percent) | 35.23% | 32.91% |
IR-FX correlation (as a percent) | 50.00% | 48.85% |
IR Basis | (0.83%) | |
Forward price (as a percent) | 56.80% | |
Trading account assets and liabilities | Equity contracts | Model-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Derivatives (gross) | $ 3,370,000,000 | $ 3,976,000,000 |
Trading account assets and liabilities | Equity contracts | Model-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
WAL (in years) | 4 years | |
Equity volatility (as a percent) | 12.05% | 11.87% |
Equity forward (as a percent) | 66.94% | 82.72% |
Equity-FX correlation (as a percent) | (88.20%) | (88.17%) |
Equity-Equity correlation (as a percent) | (81.18%) | (80.54%) |
Trading account assets and liabilities | Equity contracts | Model-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
WAL (in years) | 4 years | |
Equity volatility (as a percent) | 61.31% | 49.57% |
Equity forward (as a percent) | 106.31% | 100.53% |
Equity-FX correlation (as a percent) | 56.90% | 65.00% |
Equity-Equity correlation (as a percent) | 100.00% | 100.00% |
Trading account assets and liabilities | Equity contracts | Model-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
WAL (in years) | 4 years | |
Equity volatility (as a percent) | 30.75% | 27.33% |
Equity forward (as a percent) | 95.53% | 95.20% |
Equity-FX correlation (as a percent) | (21.74%) | (21.09%) |
Equity-Equity correlation (as a percent) | 57.09% | 49.54% |
Trading account assets and liabilities | Commodity contracts | Model-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Derivatives (gross) | $ 3,921,000,000 | $ 4,061,000,000 |
Trading account assets and liabilities | Commodity contracts | Model-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Forward price (as a percent) | 42.87% | 35.09% |
Commodity volatility (as a percent) | 2.00% | 5.00% |
Commodity correlation (as a percent) | (51.05%) | (57.00%) |
Trading account assets and liabilities | Commodity contracts | Model-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Forward price (as a percent) | 191.93% | 299.32% |
Commodity volatility (as a percent) | 53.36% | 83.00% |
Commodity correlation (as a percent) | 92.17% | 91.00% |
Trading account assets and liabilities | Commodity contracts | Model-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Forward price (as a percent) | 115.58% | 112.98% |
Commodity volatility (as a percent) | 23.44% | 24.00% |
Commodity correlation (as a percent) | 56.68% | 30.00% |
Trading account assets and liabilities | Credit derivatives | Model-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Derivatives (gross) | $ 6,195,000,000 | $ 5,849,000,000 |
Trading account assets and liabilities | Credit derivatives | Model-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Recovery rate (as a percent) | 10.00% | 1.00% |
Trading account assets and liabilities | Credit derivatives | Model-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Recovery rate (as a percent) | 75.00% | 75.00% |
Trading account assets and liabilities | Credit derivatives | Model-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Recovery rate (as a percent) | 33.49% | 32.49% |
Trading account assets and liabilities | Credit derivatives | Price-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Derivatives (gross) | $ 927,000,000 | $ 1,424,000,000 |
Trading account assets and liabilities | Credit derivatives | Price-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | $ 0 | $ 0.33 |
Credit spread (as a percent) | 0.01% | 0.01% |
Credit correlation (as a percent) | 50.00% | 5.00% |
Upfront points | 4.48% | 7.00% |
Trading account assets and liabilities | Credit derivatives | Price-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | $ 105 | $ 101 |
Credit spread (as a percent) | 17.05% | 9.67% |
Credit correlation (as a percent) | 95.00% | 90.00% |
Upfront points | 100.00% | 99.92% |
Trading account assets and liabilities | Credit derivatives | Price-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | $ 45.43 | $ 61.52 |
Credit spread (as a percent) | 4.49% | 1.33% |
Credit correlation (as a percent) | 52.14% | 43.48% |
Upfront points | 64.24% | 66.75% |
Nontrading derivatives and other financial assets and liabilities | Model-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Derivatives (gross) | $ 117,000,000 | $ 194,000,000 |
Nontrading derivatives and other financial assets and liabilities | Model-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 5.26% | |
Recovery rate (as a percent) | 33.00% | 7.00% |
Upfront points | 22.00% | |
Redemption rate (as a percent) | 6.10% | 27.00% |
Nontrading derivatives and other financial assets and liabilities | Model-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 5.28% | |
Recovery rate (as a percent) | 40.00% | 40.00% |
Upfront points | 22.00% | |
Redemption rate (as a percent) | 99.50% | 99.50% |
Nontrading derivatives and other financial assets and liabilities | Model-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 5.27% | |
Recovery rate (as a percent) | 33.59% | 10.72% |
Upfront points | 22.00% | |
Redemption rate (as a percent) | 74.35% | 74.80% |
Securities sold, not yet purchased | Trading account liabilities | Price-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total Liabilities | $ 152,000,000 | |
Securities sold, not yet purchased | Trading account liabilities | Price-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | 0 | |
Securities sold, not yet purchased | Trading account liabilities | Price-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | 217 | |
Securities sold, not yet purchased | Trading account liabilities | Price-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | 87.78 | |
Securities sold, not yet purchased | Trading account liabilities | Yield analysis | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total Liabilities | $ 7,000,000 | |
Securities sold, not yet purchased | Trading account liabilities | Yield analysis | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | $ 0 | |
Yield (as a percent) | 1.51% | |
Equity volatility (as a percent) | 10.15% | |
Commodity volatility (as a percent) | 2.00% | |
Credit correlation (as a percent) | (51.05%) | |
Forward price | $ 42.87 | |
Securities sold, not yet purchased | Trading account liabilities | Yield analysis | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | $ 109.29 | |
Yield (as a percent) | 2.22% | |
Equity volatility (as a percent) | 40.42% | |
Commodity volatility (as a percent) | 53.36% | |
Credit correlation (as a percent) | 92.17% | |
Forward price | $ 191.93 | |
Securities sold, not yet purchased | Trading account liabilities | Yield analysis | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | $ 199.85 | |
Yield (as a percent) | 1.83% | |
Equity volatility (as a percent) | 23.29% | |
Commodity volatility (as a percent) | 23.44% | |
Credit correlation (as a percent) | 56.68% | |
Forward price | $ 112.58 | |
Fixed income instruments | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price for instrument valued at par | 100 | |
Mortgage-backed securities | Price-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total assets | 1,021,000,000 | 1,287,000,000 |
Mortgage-backed securities | Price-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | 6 | 3.45 |
Mortgage-backed securities | Price-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | 119.62 | 109.21 |
Mortgage-backed securities | Price-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | 76.52 | 78.25 |
Mortgage-backed securities | Yield analysis | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total assets | $ 972,000,000 | $ 1,377,000,000 |
Mortgage-backed securities | Yield analysis | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Yield (as a percent) | 0.90% | 0.50% |
Mortgage-backed securities | Yield analysis | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Yield (as a percent) | 14.62% | 14.07% |
Mortgage-backed securities | Yield analysis | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Yield (as a percent) | 4.06% | 4.83% |
State and municipal, foreign government, corporate, and other debt securities | Cash flow | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total assets | $ 1,750,000,000 | $ 1,719,000,000 |
State and municipal, foreign government, corporate, and other debt securities | Cash flow | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Credit spread (as a percent) | 0.35% | 0.20% |
State and municipal, foreign government, corporate, and other debt securities | Cash flow | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Credit spread (as a percent) | 6.00% | 6.00% |
State and municipal, foreign government, corporate, and other debt securities | Cash flow | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Credit spread (as a percent) | 2.29% | 2.51% |
State and municipal, foreign government, corporate, and other debt securities | Price-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total assets | $ 3,828,000,000 | $ 3,761,000,000 |
State and municipal, foreign government, corporate, and other debt securities | Price-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | 0.01 | 0 |
State and municipal, foreign government, corporate, and other debt securities | Price-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | 141.45 | 217 |
State and municipal, foreign government, corporate, and other debt securities | Price-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | 92.24 | 79.41 |
Equity securities | Model-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total assets | $ 3,796,000,000 | $ 3,499,000,000 |
Equity securities | Model-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 2.86% | |
WAL (in years) | 4 years | 1 year 6 months |
Redemption rate (as a percent) | 41.21% | |
Equity securities | Model-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 10.75% | |
WAL (in years) | 29 years | 1 year 6 months |
Redemption rate (as a percent) | 41.21% | |
Equity securities | Model-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 3.63% | |
WAL (in years) | 4 years 5 months 27 days | 1 year 6 months |
Redemption rate (as a percent) | 41.21% | |
Asset-backed securities | Price-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total assets | $ 3,008,000,000 | $ 3,075,000,000 |
Asset-backed securities | Price-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | 5 | 5.55 |
Asset-backed securities | Price-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | 100 | 100.21 |
Asset-backed securities | Price-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | 70.39 | 71.57 |
Non-marketable equity securities | Price-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total assets | 519,000,000 | 473,000,000 |
Non-marketable equity securities | Price-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | $ 0 | $ 0 |
Discount to price (as a percent) | 0.00% | 0.00% |
Price-to-book ratio | 0 | 0.19 |
Non-marketable equity securities | Price-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | $ 28.28 | $ 132.78 |
Discount to price (as a percent) | 90.00% | 90.00% |
Price-to-book ratio | 0.0216 | 1.09 |
Non-marketable equity securities | Price-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | $ 2.32 | $ 46.66 |
Discount to price (as a percent) | 10.85% | 10.89% |
Price-to-book ratio | 0.0110 | 0.60 |
Non-marketable equity securities | Comparables Analysis | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total assets | $ 581,000,000 | $ 633,000,000 |
Non-marketable equity securities | Comparables Analysis | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
EBITDA multiples | 7 | 6.80 |
Non-marketable equity securities | Comparables Analysis | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
EBITDA multiples | 10.35 | 10.80 |
Non-marketable equity securities | Comparables Analysis | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
EBITDA multiples | 8.79 | 9.05 |
Federal funds sold and securities borrowed or purchased under agreements to resell | Model-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total assets | $ 804,000,000 | $ 1,337,000,000 |
Federal funds sold and securities borrowed or purchased under agreements to resell | Model-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | (0.44%) | 0.00% |
IR lognormal volatility (as a percent) | 29.02% | |
Federal funds sold and securities borrowed or purchased under agreements to resell | Model-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 2.74% | 2.03% |
IR lognormal volatility (as a percent) | 137.02% | |
Federal funds sold and securities borrowed or purchased under agreements to resell | Model-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Interest rate (as a percent) | 1.61% | 0.27% |
IR lognormal volatility (as a percent) | 37.90% | |
Loans | Model-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total assets | $ 624,000,000 | $ 892,000,000 |
Loans | Model-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | 0 | 0 |
Loans | Model-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | 107.39 | 106.98 |
Loans | Model-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Price | $ 31.68 | 40.69 |
Loans | Cash flow | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total assets | $ 524,000,000 | |
Loans | Cash flow | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Credit spread (as a percent) | 0.46% | 0.29% |
Loans | Cash flow | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Credit spread (as a percent) | 5.00% | 5.00% |
Loans | Cash flow | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Credit spread (as a percent) | 1.08% | 1.05% |
Loans | Price-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total assets | $ 598,000,000 | $ 750,000,000 |
Loans | Price-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Yield (as a percent) | 1.50% | |
Loans | Price-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Yield (as a percent) | 4.50% | |
Loans | Price-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Yield (as a percent) | 2.52% | |
MSRs | Model-based | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total assets | $ 289 | |
MSRs | Model-based | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
WAL (in years) | 3 years 4 days | |
MSRs | Model-based | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
WAL (in years) | 5 years 10 months 17 days | |
MSRs | Model-based | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
WAL (in years) | 4 years 5 months 27 days | |
MSRs | Cash flow | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Total assets | $ 1,232,000,000 | $ 1,690,000,000 |
MSRs | Cash flow | Minimum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Yield (as a percent) | 0.00% | 0.00% |
WAL (in years) | 3 years 4 months 17 days | |
MSRs | Cash flow | Maximum | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Yield (as a percent) | 23.32% | 23.32% |
WAL (in years) | 7 years 5 months 23 days | |
MSRs | Cash flow | Weighted Average | ||
Fair Value Inputs Assets Liabilities Quantitative Information | ||
Yield (as a percent) | 6.85% | 6.83% |
WAL (in years) | 5 years 6 months |
FAIR VALUE MEASUREMENT - Ite134
FAIR VALUE MEASUREMENT - Items Measured at Fair Value on a Nonrecurring Basis (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Nonrecurring | Level 2 | ||
Items Measured at Fair Value on a Nonrecurring Basis | ||
Loans held-for-sale | $ 5,814 | $ 6,752 |
Other real estate owned | 16 | 15 |
Loans | 464 | 836 |
Other Assets | 2,991 | 0 |
Total assets | 9,285 | 7,603 |
Nonrecurring | Level 3 | ||
Items Measured at Fair Value on a Nonrecurring Basis | ||
Loans held-for-sale | 1,735 | 3,574 |
Other real estate owned | 69 | 92 |
Loans | 1,038 | 337 |
Other Assets | 0 | 0 |
Total assets | 2,842 | 4,003 |
Fair value | ||
Items Measured at Fair Value on a Nonrecurring Basis | ||
Other Assets | 215,400 | 186,500 |
Fair value | Level 2 | ||
Items Measured at Fair Value on a Nonrecurring Basis | ||
Other Assets | 143,600 | 126,200 |
Fair value | Level 3 | ||
Items Measured at Fair Value on a Nonrecurring Basis | ||
Other Assets | 65,300 | 53,400 |
Fair value | Nonrecurring | ||
Items Measured at Fair Value on a Nonrecurring Basis | ||
Loans held-for-sale | 7,549 | 10,326 |
Other real estate owned | 85 | 107 |
Loans | 1,502 | 1,173 |
Other Assets | 2,991 | 0 |
Total assets | $ 12,127 | $ 11,606 |
FAIR VALUE MEASUREMENT - Val135
FAIR VALUE MEASUREMENT - Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements (Details) - Nonrecurring - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Nonrecurring fair value changes included in earnings | |||||
Nonrecurring fair value measurements included in earnings | $ (110,000,000) | $ (84,000,000) | $ (353,000,000) | $ (131,000,000) | |
Loans held-for-sale | |||||
Nonrecurring fair value changes included in earnings | |||||
Nonrecurring fair value measurements included in earnings | (35,000,000) | (20,000,000) | (32,000,000) | (20,000,000) | |
Loans | |||||
Nonrecurring fair value changes included in earnings | |||||
Nonrecurring fair value measurements included in earnings | (48,000,000) | (61,000,000) | (105,000,000) | (107,000,000) | |
Other real estate owned | |||||
Nonrecurring fair value changes included in earnings | |||||
Nonrecurring fair value measurements included in earnings | (4,000,000) | (3,000,000) | (5,000,000) | (4,000,000) | |
Other Assets | |||||
Nonrecurring fair value changes included in earnings | |||||
Nonrecurring fair value measurements included in earnings | (23,000,000) | $ 0 | (211,000,000) | $ 0 | |
Level 3 | |||||
Valuation techniques and inputs | |||||
Total assets | 2,842,000,000 | 2,842,000,000 | $ 4,003,000,000 | ||
Level 3 | Loans held-for-sale | Price-based | |||||
Valuation techniques and inputs | |||||
Total assets | 2,047,000,000 | 2,047,000,000 | 3,486,000,000 | ||
Level 3 | Loans held-for-sale | Price-based | Minimum | |||||
Valuation techniques and inputs | |||||
Price | 0 | 0 | |||
Level 3 | Loans held-for-sale | Price-based | Maximum | |||||
Valuation techniques and inputs | |||||
Price | 100 | 100 | |||
Level 3 | Loans held-for-sale | Price-based | Weighted Average | |||||
Valuation techniques and inputs | |||||
Price | 33.27 | 81.05 | |||
Level 3 | Other real estate owned, discount to price input | Price-based | |||||
Valuation techniques and inputs | |||||
Total assets | 68,000,000 | $ 68,000,000 | $ 90,000,000 | ||
Level 3 | Other real estate owned, discount to price input | Price-based | Minimum | |||||
Valuation techniques and inputs | |||||
Discount to price (as a percent) | 0.34% | 0.34% | |||
Level 3 | Other real estate owned, discount to price input | Price-based | Maximum | |||||
Valuation techniques and inputs | |||||
Discount to price (as a percent) | 13.00% | 13.00% | |||
Level 3 | Other real estate owned, discount to price input | Price-based | Weighted Average | |||||
Valuation techniques and inputs | |||||
Discount to price (as a percent) | 2.45% | 2.86% | |||
Level 3 | Other real estate owned, appraised value | Price-based | |||||
Valuation techniques and inputs | |||||
Total assets | $ 2,000,000 | ||||
Level 3 | Other real estate owned, appraised value | Price-based | Minimum | |||||
Valuation techniques and inputs | |||||
Appraised value | 0 | ||||
Level 3 | Other real estate owned, appraised value | Price-based | Maximum | |||||
Valuation techniques and inputs | |||||
Appraised value | 8,518,230 | ||||
Level 3 | Other real estate owned, appraised value | Price-based | Weighted Average | |||||
Valuation techniques and inputs | |||||
Appraised value | 3,813,045 | ||||
Level 3 | Loans | Price-based | |||||
Valuation techniques and inputs | |||||
Total assets | 183,000,000 | $ 183,000,000 | $ 87,000,000 | ||
Level 3 | Loans | Price-based | Minimum | |||||
Valuation techniques and inputs | |||||
Discount to price (as a percent) | 13.00% | 13.00% | |||
Level 3 | Loans | Price-based | Maximum | |||||
Valuation techniques and inputs | |||||
Discount to price (as a percent) | 35.00% | 34.00% | |||
Level 3 | Loans | Price-based | Weighted Average | |||||
Valuation techniques and inputs | |||||
Discount to price (as a percent) | 8.90% | 7.99% | |||
Level 3 | Loans | Recovery Analysis | |||||
Valuation techniques and inputs | |||||
Total assets | $ 576,000,000 | $ 576,000,000 | $ 157,000,000 | ||
Level 3 | Loans | Recovery Analysis | Minimum | |||||
Valuation techniques and inputs | |||||
Recovery rate (as a percent) | 0.00% | 11.79% | |||
Level 3 | Loans | Recovery Analysis | Maximum | |||||
Valuation techniques and inputs | |||||
Recovery rate (as a percent) | 97.85% | 60.00% | |||
Level 3 | Loans | Recovery Analysis | Weighted Average | |||||
Valuation techniques and inputs | |||||
Recovery rate (as a percent) | 83.69% | 23.49% |
FAIR VALUE MEASUREMENT - Estima
FAIR VALUE MEASUREMENT - Estimate Fair Value of Financial Instruments Not Carried at Fair Value (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Assets | ||||||
Loans | $ 4,134 | $ 5,005 | ||||
Liabilities | ||||||
Deposits | 937,852 | 907,887 | ||||
Allowance for loan losses | 12,304 | $ 12,712 | 12,626 | $ 14,075 | $ 14,598 | $ 15,994 |
Lease finance receivables | 1,900 | 2,400 | ||||
Corporate | ||||||
Assets | ||||||
Loans | 4,102 | 4,971 | ||||
Carrying value | ||||||
Assets | ||||||
Investments | 41,600 | 41,700 | ||||
Federal funds sold and securities borrowed or purchased under agreements to resell | 83,900 | 81,700 | ||||
Loans | 615,100 | 597,500 | ||||
Other financial assets | 215,400 | 186,500 | ||||
Liabilities | ||||||
Deposits | 936,400 | 906,300 | ||||
Federal funds purchased and securities loaned or sold under agreements to repurchase | 111,900 | 109,700 | ||||
Long-term debt | 181,500 | 176,000 | ||||
Other financial liabilities | 108,200 | 97,600 | ||||
Fair value | ||||||
Assets | ||||||
Investments | 43,100 | 42,700 | ||||
Federal funds sold and securities borrowed or purchased under agreements to resell | 83,900 | 81,700 | ||||
Loans | 617,500 | 599,400 | ||||
Other financial assets | 215,400 | 186,500 | ||||
Liabilities | ||||||
Deposits | 935,100 | 896,700 | ||||
Federal funds purchased and securities loaned or sold under agreements to repurchase | 111,900 | 109,700 | ||||
Long-term debt | 185,100 | 180,800 | ||||
Other financial liabilities | 108,200 | 97,600 | ||||
Fair value | Level 1 | ||||||
Assets | ||||||
Investments | 1,700 | 3,500 | ||||
Federal funds sold and securities borrowed or purchased under agreements to resell | 0 | 0 | ||||
Loans | 0 | 0 | ||||
Other financial assets | 6,500 | 6,900 | ||||
Liabilities | ||||||
Deposits | 0 | 0 | ||||
Federal funds purchased and securities loaned or sold under agreements to repurchase | 0 | 0 | ||||
Long-term debt | 0 | 0 | ||||
Other financial liabilities | 0 | 0 | ||||
Fair value | Level 2 | ||||||
Assets | ||||||
Investments | 37,500 | 36,400 | ||||
Federal funds sold and securities borrowed or purchased under agreements to resell | 80,800 | 77,400 | ||||
Loans | 6,800 | 6,000 | ||||
Other financial assets | 143,600 | 126,200 | ||||
Liabilities | ||||||
Deposits | 784,100 | 749,400 | ||||
Federal funds purchased and securities loaned or sold under agreements to repurchase | 111,500 | 109,400 | ||||
Long-term debt | 158,600 | 153,800 | ||||
Other financial liabilities | 14,700 | 18,000 | ||||
Fair value | Level 3 | ||||||
Assets | ||||||
Investments | 3,900 | 2,800 | ||||
Federal funds sold and securities borrowed or purchased under agreements to resell | 3,100 | 4,300 | ||||
Loans | 610,700 | 593,400 | ||||
Other financial assets | 65,300 | 53,400 | ||||
Liabilities | ||||||
Deposits | 151,000 | 147,300 | ||||
Federal funds purchased and securities loaned or sold under agreements to repurchase | 400 | 300 | ||||
Long-term debt | 26,500 | 27,000 | ||||
Other financial liabilities | 93,500 | 79,600 | ||||
Fair value | Level 3 | Corporate | ||||||
Fair value measurements additional disclosures | ||||||
Unfunded lending commitments | $ 6,400 | $ 7,000 |
FAIR VALUE ELECTIONS - Changes
FAIR VALUE ELECTIONS - Changes in Fair Value Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Federal funds sold and securities borrowed or purchased under agreements to resell selected portfolios of securities purchased under agreements to resell and securities borrowed | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | $ 19 | $ (95) | $ 47 | $ (93) |
Trading account assets | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | (320) | 136 | (62) | 227 |
Investments | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | (22) | 4 | (21) | 49 |
Corporate | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | 36 | 40 | 60 | (9) |
Consumer loans | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | 0 | 0 | (1) | 2 |
Loans | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | 36 | 40 | 59 | (7) |
MSRs | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | (137) | 262 | (362) | 191 |
Certain mortgage loans held for sale | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | 91 | 70 | 171 | 172 |
Other assets | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | 0 | 0 | 370 | 0 |
Total other assets | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | (46) | 332 | 179 | 363 |
Total assets | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | (333) | 417 | 202 | 539 |
Interest-bearing deposits | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | (18) | 23 | (68) | 33 |
Federal funds purchased and securities loaned or sold under agreements to repurchase selected portfolios of securities sold under agreements to repurchase and securities loaned | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | (2) | 0 | (8) | 2 |
Trading account liabilities | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | 3 | (44) | 97 | (15) |
Short-term borrowings | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | (114) | (67) | (34) | (68) |
Long-term debt | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | (117) | 707 | (540) | 896 |
Total liabilities | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions. | ||||
Fair value elections, changes in fair value gains (losses) | $ (248) | $ 619 | $ (553) | $ 848 |
FAIR VALUE ELECTIONS - Valuatio
FAIR VALUE ELECTIONS - Valuation Adjustments, Fair Value Option for Financial Assets and Financial Liabilities (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Fair Value Option Quantitative Disclosures | |||||
Gain on change in estimated fair value of debt liabilities due to change in company's own credit risk | $ 20 | $ 231 | $ 327 | $ 318 | |
Balance of non-accrual loans or loans more than 90 days past due | 0 | 0 | $ 0 | ||
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due | 0 | 0 | 0 | ||
Certain loans and other credit product | |||||
Fair Value Option Quantitative Disclosures | |||||
Changes in fair value due to instrument-specific credit risk gain (loss) | 56 | $ (27) | |||
Certain loans and other credit product | Trading assets | |||||
Fair Value Option Quantitative Disclosures | |||||
Aggregate fair value in excess of unpaid principal balance | 744 | 744 | 980 | ||
Balance of non-accrual loans or loans more than 90 days past due | 4 | 4 | 5 | ||
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due | 9 | 9 | 13 | ||
Certain loans and other credit product | Loans | |||||
Fair Value Option Quantitative Disclosures | |||||
Aggregate fair value in excess of unpaid principal balance | 84 | 84 | 280 | ||
Balance of non-accrual loans or loans more than 90 days past due | 2 | 2 | 2 | ||
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due | 1 | 1 | 1 | ||
Certain debt host contracts across unallocated precious metals accounts | |||||
Fair Value Option Quantitative Disclosures | |||||
Carrying amount reported on the Consolidated Balance Sheet | 800 | 800 | 600 | ||
Certain Investments in Unallocated Precious Metals | Forward derivative contract | Purchased | |||||
Fair Value Option Quantitative Disclosures | |||||
Derivative notionals | 18,100 | 18,100 | |||
Certain Investments in Unallocated Precious Metals | Forward derivative contract | Sold | |||||
Fair Value Option Quantitative Disclosures | |||||
Derivative notionals | 11,400 | 11,400 | |||
Mortgage loans | |||||
Fair Value Option Quantitative Disclosures | |||||
Aggregate fair value in excess of unpaid principal balance | 49 | 49 | 20 | ||
Carrying amount | Certain loans and other credit product | Trading assets | |||||
Fair Value Option Quantitative Disclosures | |||||
Carrying amount reported on the Consolidated Balance Sheet | 9,321 | 9,321 | 9,314 | ||
Carrying amount | Certain loans and other credit product | Loans | |||||
Fair Value Option Quantitative Disclosures | |||||
Carrying amount reported on the Consolidated Balance Sheet | 4,134 | 4,134 | 5,005 | ||
Carrying amount | Certain mortgage loans held for sale | |||||
Fair Value Option Quantitative Disclosures | |||||
Carrying amount reported on the Consolidated Balance Sheet | 1,122 | 1,122 | 745 | ||
Fair value | Certain loans and other credit product | |||||
Fair Value Option Quantitative Disclosures | |||||
Unfunded lending commitments | $ 1,855 | $ 1,855 | $ 2,113 |
FAIR VALUE ELECTIONS - Certain
FAIR VALUE ELECTIONS - Certain Structured and Non-Structured Liabilities (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Carrying value of structured notes, disaggregated by type of embedded derivative instrument | ||
Carrying value of structured notes | $ 23,700 | $ 22,800 |
Long-term debt | ||
Certain non-structured liabilities | ||
Aggregate unpaid principal balance in excess of (less than) fair value, long-term | 564 | 1,569 |
Long-term debt | Carrying amount | ||
Certain non-structured liabilities | ||
Carrying amount reported on the Consolidated Balance Sheet | 25,931 | 25,293 |
Short-term borrowings | ||
Certain non-structured liabilities | ||
Aggregate unpaid principal balance in excess of (less than) fair value, short-term | 6 | 130 |
Short-term borrowings | Carrying amount | ||
Certain non-structured liabilities | ||
Carrying amount reported on the Consolidated Balance Sheet | 1,850 | 1,207 |
Interest rate linked | ||
Carrying value of structured notes, disaggregated by type of embedded derivative instrument | ||
Carrying value of structured notes | 10,300 | 9,600 |
Foreign exchange linked | ||
Carrying value of structured notes, disaggregated by type of embedded derivative instrument | ||
Carrying value of structured notes | 200 | 300 |
Equity linked | ||
Carrying value of structured notes, disaggregated by type of embedded derivative instrument | ||
Carrying value of structured notes | 11,100 | 9,900 |
Commodity linked | ||
Carrying value of structured notes, disaggregated by type of embedded derivative instrument | ||
Carrying value of structured notes | 1,100 | 1,400 |
Credit linked | ||
Carrying value of structured notes, disaggregated by type of embedded derivative instrument | ||
Carrying value of structured notes | $ 1,000 | $ 1,600 |
GUARANTEES AND COMMITMENTS - Gu
GUARANTEES AND COMMITMENTS - Guarantees (Details) | 6 Months Ended | |
Jun. 30, 2016USD ($)trustmargin | Dec. 31, 2015USD ($)trust | |
Maximum potential amount of future payments | ||
Expire within 1 year | $ 202,400,000,000 | $ 198,000,000,000 |
Expire after 1 year | 195,900,000,000 | 203,900,000,000 |
Total amount outstanding | 398,300,000,000 | 401,900,000,000 |
Carrying value | 1,558,000,000 | 2,027,000,000 |
Compensation for standard representations and warranties | 0 | |
Stated or notional amounts included in the indemnification clauses | 0 | |
Liability related to VTNs | $ 0 | $ 0 |
Number of trusts funded by the reinsurer | trust | 2 | 2 |
Fair value of securities in trusts funded by reinsurer relating to indemnification | $ 7,300,000,000 | $ 6,300,000,000 |
Liability related to long-term care insurance indemnification | 0 | 0 |
Cash collateral available to reimburse losses realized under guarantees and indemnifications | 51,000,000,000 | 52,000,000,000 |
Securities and other marketable assets held as collateral, the majority of which collateral is held to reimburse losses realized under securities lending indemnifications | 36,000,000,000 | 33,000,000,000 |
Letters of credit in favor of the Company held as collateral | 4,000,000,000 | 4,200,000,000 |
Investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 117,000,000,000 | 127,400,000,000 |
Non-investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 23,300,000,000 | 19,600,000,000 |
Not rated | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 258,000,000,000 | 254,900,000,000 |
Financial standby letters of credit | ||
Maximum potential amount of future payments | ||
Expire within 1 year | 25,500,000,000 | 23,800,000,000 |
Expire after 1 year | 69,900,000,000 | 73,000,000,000 |
Total amount outstanding | 95,400,000,000 | 96,800,000,000 |
Carrying value | 146,000,000 | 152,000,000 |
Financial standby letters of credit | Investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 63,800,000,000 | 69,200,000,000 |
Financial standby letters of credit | Non-investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 18,900,000,000 | 15,400,000,000 |
Financial standby letters of credit | Not rated | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 12,700,000,000 | 12,200,000,000 |
Performance guarantees | ||
Maximum potential amount of future payments | ||
Expire within 1 year | 7,700,000,000 | 7,400,000,000 |
Expire after 1 year | 3,800,000,000 | 4,100,000,000 |
Total amount outstanding | 11,500,000,000 | 11,500,000,000 |
Carrying value | 21,000,000 | 23,000,000 |
Performance guarantees | Investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 6,400,000,000 | 6,600,000,000 |
Performance guarantees | Non-investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 4,300,000,000 | 4,100,000,000 |
Performance guarantees | Not rated | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 800,000,000 | 800,000,000 |
Derivative instruments deemed to be guarantees | ||
Maximum potential amount of future payments | ||
Expire within 1 year | 4,600,000,000 | 3,600,000,000 |
Expire after 1 year | 73,900,000,000 | 74,900,000,000 |
Total amount outstanding | 78,500,000,000 | 78,500,000,000 |
Carrying value | 1,113,000,000 | 1,779,000,000 |
Derivative instruments deemed to be guarantees | Investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 0 | 0 |
Derivative instruments deemed to be guarantees | Non-investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 0 | 0 |
Derivative instruments deemed to be guarantees | Not rated | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 78,500,000,000 | 78,500,000,000 |
Loans sold with recourse | ||
Maximum potential amount of future payments | ||
Expire within 1 year | 0 | 0 |
Expire after 1 year | 200,000,000 | 200,000,000 |
Total amount outstanding | 200,000,000 | 200,000,000 |
Carrying value | 14,000,000 | 17,000,000 |
Repurchase reserve for Consumer mortgages representations and warranties | 121,000,000 | 152,000,000 |
Loans sold with recourse | Investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 0 | 0 |
Loans sold with recourse | Non-investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 0 | 0 |
Loans sold with recourse | Not rated | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 200,000,000 | 200,000,000 |
Securities lending indemnifications | ||
Maximum potential amount of future payments | ||
Expire within 1 year | 83,200,000,000 | 79,000,000,000 |
Expire after 1 year | 0 | 0 |
Total amount outstanding | 83,200,000,000 | 79,000,000,000 |
Carrying value | 0 | 0 |
Securities lending indemnifications | Investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 0 | 0 |
Securities lending indemnifications | Non-investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 0 | 0 |
Securities lending indemnifications | Not rated | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 83,200,000,000 | 79,000,000,000 |
Credit card merchant processing | ||
Maximum potential amount of future payments | ||
Expire within 1 year | 81,100,000,000 | 84,200,000,000 |
Expire after 1 year | 0 | 0 |
Total amount outstanding | 81,100,000,000 | 84,200,000,000 |
Carrying value | 0 | 0 |
Maximum potential contingent liability related to bankcard and private-label merchant processing services | 81,000,000,000 | 84,000,000,000 |
Credit card merchant processing | Investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 0 | 0 |
Credit card merchant processing | Non-investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 0 | 0 |
Credit card merchant processing | Not rated | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 81,100,000,000 | 84,200,000,000 |
Credit card arrangements with partners | ||
Maximum potential amount of future payments | ||
Expire within 1 year | 0 | |
Expire after 1 year | 1,500,000,000 | |
Total amount outstanding | 1,500,000,000 | |
Carrying value | 206,000,000 | |
Credit card arrangements with partners | Investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 0 | |
Credit card arrangements with partners | Non-investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 0 | |
Credit card arrangements with partners | Not rated | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 1,500,000,000 | |
Custody indemnifications and other | ||
Maximum potential amount of future payments | ||
Expire within 1 year | 300,000,000 | 0 |
Expire after 1 year | 46,600,000,000 | 51,700,000,000 |
Total amount outstanding | 46,900,000,000 | 51,700,000,000 |
Carrying value | 58,000,000 | 56,000,000 |
Custody indemnifications and other | Investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 46,800,000,000 | 51,600,000,000 |
Custody indemnifications and other | Non-investment grade | ||
Maximum potential amount of future payments | ||
Total amount outstanding | 100,000,000 | 100,000,000 |
Custody indemnifications and other | Not rated | ||
Maximum potential amount of future payments | ||
Total amount outstanding | $ 0 | 0 |
Futures and over-the-counter derivatives clearing | ||
Maximum potential amount of future payments | ||
Number of types of margin | margin | 2 | |
Amount of cash initial margin collected and remitted | $ 4,500,000,000 | $ 4,300,000,000 |
GUARANTEES AND COMMITMENTS - Cr
GUARANTEES AND COMMITMENTS - Credit Commitments and Lines of Credit (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Dec. 31, 2015 |
Guarantor Obligations | ||
Credit commitments | $ 968,112 | $ 888,661 |
Commercial and similar letters of credit | ||
Guarantor Obligations | ||
Credit commitments | 5,325 | 6,102 |
One- to four-family residential mortgages | ||
Guarantor Obligations | ||
Credit commitments | 3,411 | 3,196 |
Revolving open-end loans secured by one- to four-family residential properties | ||
Guarantor Obligations | ||
Credit commitments | 14,449 | 14,726 |
Commercial real estate, construction and land development | ||
Guarantor Obligations | ||
Credit commitments | 9,220 | 10,522 |
Credit card lines | ||
Guarantor Obligations | ||
Credit commitments | 669,389 | 573,057 |
Commercial and other consumer loan commitments | ||
Guarantor Obligations | ||
Credit commitments | 256,592 | 271,076 |
Other commitments and contingencies | ||
Guarantor Obligations | ||
Credit commitments | 9,726 | $ 9,982 |
U.S. | ||
Guarantor Obligations | ||
Credit commitments | 764,560 | |
U.S. | Commercial and similar letters of credit | ||
Guarantor Obligations | ||
Credit commitments | 1,204 | |
U.S. | One- to four-family residential mortgages | ||
Guarantor Obligations | ||
Credit commitments | 1,604 | |
U.S. | Revolving open-end loans secured by one- to four-family residential properties | ||
Guarantor Obligations | ||
Credit commitments | 12,361 | |
U.S. | Commercial real estate, construction and land development | ||
Guarantor Obligations | ||
Credit commitments | 7,940 | |
U.S. | Credit card lines | ||
Guarantor Obligations | ||
Credit commitments | 571,146 | |
U.S. | Commercial and other consumer loan commitments | ||
Guarantor Obligations | ||
Credit commitments | 167,467 | |
U.S. | Other commitments and contingencies | ||
Guarantor Obligations | ||
Credit commitments | 2,838 | |
Outside of U.S. | ||
Guarantor Obligations | ||
Credit commitments | 203,552 | |
Outside of U.S. | Commercial and similar letters of credit | ||
Guarantor Obligations | ||
Credit commitments | 4,121 | |
Outside of U.S. | One- to four-family residential mortgages | ||
Guarantor Obligations | ||
Credit commitments | 1,807 | |
Outside of U.S. | Revolving open-end loans secured by one- to four-family residential properties | ||
Guarantor Obligations | ||
Credit commitments | 2,088 | |
Outside of U.S. | Commercial real estate, construction and land development | ||
Guarantor Obligations | ||
Credit commitments | 1,280 | |
Outside of U.S. | Credit card lines | ||
Guarantor Obligations | ||
Credit commitments | 98,243 | |
Outside of U.S. | Commercial and other consumer loan commitments | ||
Guarantor Obligations | ||
Credit commitments | 89,125 | |
Outside of U.S. | Other commitments and contingencies | ||
Guarantor Obligations | ||
Credit commitments | $ 6,888 |
CONTINGENCIES (Details)
CONTINGENCIES (Details) $ in Millions | May 25, 2016USD ($) | May 09, 2016plaintiff | Mar. 31, 2016USD ($) |
Loss Contingencies [Line Items] | |||
Possible loss, high end of range | $ 3,000 | ||
CFTC - LIBOR/TIBOR | |||
Loss Contingencies [Line Items] | |||
Settlement amount | $ 175 | ||
CFTC - ISDAFIX | |||
Loss Contingencies [Line Items] | |||
Settlement amount | $ 250 | ||
Oceanografia Fraud and Related Matters | |||
Loss Contingencies [Line Items] | |||
Number of plaintiffs, characterized as trade creditors of, investors in, or lenders of institution | plaintiff | 39 |
CONDENSED CONSOLIDATING FINA143
CONDENSED CONSOLIDATING FINANCIAL STATEMENTS - Condensed Consolidating Statements of Income and Comprehensive Income (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Revenues | ||||
Dividends from subsidiaries | $ 0 | $ 0 | $ 0 | $ 0 |
Interest revenue | 14,356 | 14,873 | 28,523 | 29,473 |
Interest revenue—intercompany | 0 | 0 | 0 | 0 |
Interest expense | 3,120 | 3,051 | 6,060 | 6,079 |
Interest expense—intercompany | 0 | 0 | 0 | 0 |
Net interest revenue | 11,236 | 11,822 | 22,463 | 23,394 |
Commissions and fees | 2,725 | 3,194 | 5,188 | 6,364 |
Commissions and fees—intercompany | 0 | 0 | 0 | 0 |
Principal transactions | 1,816 | 2,173 | 3,656 | 4,144 |
Principal transactions—intercompany | 0 | 0 | 0 | 0 |
Other income | 1,771 | 2,281 | 3,796 | 5,304 |
Other income—intercompany | 0 | 0 | 0 | 0 |
Total non-interest revenues | 6,312 | 7,648 | 12,640 | 15,812 |
Total revenues, net of interest expense | 17,548 | 19,470 | 35,103 | 39,206 |
Provisions for credit losses and for benefits and claims | 1,409 | 1,648 | 3,454 | 3,563 |
Operating expenses | ||||
Compensation and benefits | 5,229 | 5,483 | 10,785 | 11,003 |
Compensation and benefits—intercompany | 0 | 0 | 0 | 0 |
Other operating | 5,140 | 5,445 | 10,107 | 10,809 |
Other operating—intercompany | 0 | 0 | 0 | 0 |
Total operating expenses | 10,369 | 10,928 | 20,892 | 21,812 |
Income from continuing operations before income taxes | 5,770 | 6,894 | 10,757 | 13,831 |
Provision for income taxes | 1,723 | 2,036 | 3,202 | 4,156 |
Equity in undistributed income of subsidiaries | 0 | 0 | 0 | 0 |
Income from continuing operations | 4,047 | 4,858 | 7,555 | 9,675 |
Loss from discontinued operations, net of taxes | (23) | 6 | (25) | 1 |
Net income before attribution of noncontrolling interests | 4,024 | 4,864 | 7,530 | 9,676 |
Noncontrolling interests | 26 | 18 | 31 | 60 |
Citigroup’s net income | 3,998 | 4,846 | 7,499 | 9,616 |
Comprehensive income | ||||
Other comprehensive income (loss) | 511 | (413) | 3,244 | (1,888) |
Citigroup’s comprehensive income | 4,509 | 4,433 | 10,743 | 7,728 |
Reportable legal entities | Citigroup Inc. | ||||
Revenues | ||||
Dividends from subsidiaries | 2,900 | 3,500 | 5,700 | 4,600 |
Interest revenue | 1 | 2 | 3 | 5 |
Interest revenue—intercompany | 668 | 711 | 1,540 | 1,383 |
Interest expense | 1,094 | 1,154 | 2,164 | 2,309 |
Interest expense—intercompany | 38 | (155) | 79 | (331) |
Net interest revenue | (463) | (286) | (700) | (590) |
Commissions and fees | 0 | 0 | 0 | 0 |
Commissions and fees—intercompany | (17) | 0 | (19) | 0 |
Principal transactions | (186) | 790 | (395) | 457 |
Principal transactions—intercompany | (217) | (340) | 41 | (669) |
Other income | (585) | 1,161 | (3,679) | 3,176 |
Other income—intercompany | 736 | (1,194) | 3,996 | (2,614) |
Total non-interest revenues | (269) | 417 | (56) | 350 |
Total revenues, net of interest expense | 2,168 | 3,631 | 4,944 | 4,360 |
Provisions for credit losses and for benefits and claims | 0 | 0 | 0 | 0 |
Operating expenses | ||||
Compensation and benefits | (16) | 13 | (8) | 48 |
Compensation and benefits—intercompany | 23 | 23 | 26 | 30 |
Other operating | 213 | (189) | 480 | (40) |
Other operating—intercompany | 79 | 73 | 80 | 130 |
Total operating expenses | 299 | (80) | 578 | 168 |
Income from continuing operations before income taxes | 1,869 | 3,711 | 4,366 | 4,192 |
Provision for income taxes | (420) | (97) | (480) | (726) |
Equity in undistributed income of subsidiaries | 1,709 | 1,038 | 2,653 | 4,698 |
Income from continuing operations | 3,998 | 4,846 | 7,499 | 9,616 |
Loss from discontinued operations, net of taxes | 0 | 0 | 0 | 0 |
Net income before attribution of noncontrolling interests | 3,998 | 4,846 | 7,499 | 9,616 |
Noncontrolling interests | 0 | 0 | 0 | 0 |
Citigroup’s net income | 3,998 | 4,846 | 7,499 | 9,616 |
Comprehensive income | ||||
Other comprehensive income (loss) | 511 | (413) | 3,244 | (1,888) |
Citigroup’s comprehensive income | 4,509 | 4,433 | 10,743 | 7,728 |
Reportable legal entities | CGMHI | ||||
Revenues | ||||
Dividends from subsidiaries | 0 | 0 | 0 | 0 |
Interest revenue | 1,251 | 1,240 | 2,397 | 2,247 |
Interest revenue—intercompany | 139 | 67 | 275 | 120 |
Interest expense | 401 | 277 | 765 | 505 |
Interest expense—intercompany | 416 | 304 | 845 | 601 |
Net interest revenue | 573 | 726 | 1,062 | 1,261 |
Commissions and fees | 1,119 | 1,319 | 2,079 | 2,664 |
Commissions and fees—intercompany | (24) | 44 | (30) | 103 |
Principal transactions | 2,394 | 873 | 2,257 | 2,189 |
Principal transactions—intercompany | (1,791) | (575) | (1,043) | (834) |
Other income | 51 | (71) | 127 | 27 |
Other income—intercompany | 339 | 47 | 199 | 540 |
Total non-interest revenues | 2,088 | 1,637 | 3,589 | 4,689 |
Total revenues, net of interest expense | 2,661 | 2,363 | 4,651 | 5,950 |
Provisions for credit losses and for benefits and claims | 0 | 0 | 0 | 0 |
Operating expenses | ||||
Compensation and benefits | 1,202 | 1,243 | 2,491 | 2,511 |
Compensation and benefits—intercompany | 0 | 0 | 0 | 0 |
Other operating | 412 | 491 | 798 | 948 |
Other operating—intercompany | 322 | 200 | 629 | 605 |
Total operating expenses | 1,936 | 1,934 | 3,918 | 4,064 |
Income from continuing operations before income taxes | 725 | 429 | 733 | 1,886 |
Provision for income taxes | 157 | (255) | 194 | 269 |
Equity in undistributed income of subsidiaries | 0 | 0 | 0 | 0 |
Income from continuing operations | 568 | 684 | 539 | 1,617 |
Loss from discontinued operations, net of taxes | 0 | 0 | 0 | 0 |
Net income before attribution of noncontrolling interests | 568 | 684 | 539 | 1,617 |
Noncontrolling interests | (3) | (1) | (1) | (3) |
Citigroup’s net income | 571 | 685 | 540 | 1,620 |
Comprehensive income | ||||
Other comprehensive income (loss) | 58 | (48) | 105 | (86) |
Citigroup’s comprehensive income | 629 | 637 | 645 | 1,534 |
Reportable legal entities | Other Citigroup subsidiaries and eliminations | ||||
Revenues | ||||
Dividends from subsidiaries | 0 | 0 | 0 | 0 |
Interest revenue | 13,104 | 13,631 | 26,123 | 27,221 |
Interest revenue—intercompany | (807) | (778) | (1,815) | (1,503) |
Interest expense | 1,625 | 1,620 | 3,131 | 3,265 |
Interest expense—intercompany | (454) | (149) | (924) | (270) |
Net interest revenue | 11,126 | 11,382 | 22,101 | 22,723 |
Commissions and fees | 1,606 | 1,875 | 3,109 | 3,700 |
Commissions and fees—intercompany | 41 | (44) | 49 | (103) |
Principal transactions | (392) | 510 | 1,794 | 1,498 |
Principal transactions—intercompany | 2,008 | 915 | 1,002 | 1,503 |
Other income | 2,305 | 1,191 | 7,348 | 2,101 |
Other income—intercompany | (1,075) | 1,147 | (4,195) | 2,074 |
Total non-interest revenues | 4,493 | 5,594 | 9,107 | 10,773 |
Total revenues, net of interest expense | 15,619 | 16,976 | 31,208 | 33,496 |
Provisions for credit losses and for benefits and claims | 1,409 | 1,648 | 3,454 | 3,563 |
Operating expenses | ||||
Compensation and benefits | 4,043 | 4,227 | 8,302 | 8,444 |
Compensation and benefits—intercompany | (23) | (23) | (26) | (30) |
Other operating | 4,515 | 5,143 | 8,829 | 9,901 |
Other operating—intercompany | (401) | (273) | (709) | (735) |
Total operating expenses | 8,134 | 9,074 | 16,396 | 17,580 |
Income from continuing operations before income taxes | 6,076 | 6,254 | 11,358 | 12,353 |
Provision for income taxes | 1,986 | 2,388 | 3,488 | 4,613 |
Equity in undistributed income of subsidiaries | 0 | 0 | 0 | 0 |
Income from continuing operations | 4,090 | 3,866 | 7,870 | 7,740 |
Loss from discontinued operations, net of taxes | (23) | 6 | (25) | 1 |
Net income before attribution of noncontrolling interests | 4,067 | 3,872 | 7,845 | 7,741 |
Noncontrolling interests | 29 | 19 | 32 | 63 |
Citigroup’s net income | 4,038 | 3,853 | 7,813 | 7,678 |
Comprehensive income | ||||
Other comprehensive income (loss) | 569 | (711) | 3,608 | (2,297) |
Citigroup’s comprehensive income | 4,607 | 3,142 | 11,421 | 5,381 |
Consolidating adjustments | ||||
Revenues | ||||
Dividends from subsidiaries | (2,900) | (3,500) | (5,700) | (4,600) |
Interest revenue | 0 | 0 | 0 | 0 |
Interest revenue—intercompany | 0 | 0 | 0 | 0 |
Interest expense | 0 | 0 | 0 | 0 |
Interest expense—intercompany | 0 | 0 | 0 | 0 |
Net interest revenue | 0 | 0 | 0 | 0 |
Commissions and fees | 0 | 0 | 0 | 0 |
Commissions and fees—intercompany | 0 | 0 | 0 | 0 |
Principal transactions | 0 | 0 | 0 | 0 |
Principal transactions—intercompany | 0 | 0 | 0 | 0 |
Other income | 0 | 0 | 0 | 0 |
Other income—intercompany | 0 | 0 | 0 | 0 |
Total non-interest revenues | 0 | 0 | 0 | 0 |
Total revenues, net of interest expense | (2,900) | (3,500) | (5,700) | (4,600) |
Provisions for credit losses and for benefits and claims | 0 | 0 | 0 | 0 |
Operating expenses | ||||
Compensation and benefits | 0 | 0 | 0 | 0 |
Compensation and benefits—intercompany | 0 | 0 | 0 | 0 |
Other operating | 0 | 0 | 0 | 0 |
Other operating—intercompany | 0 | 0 | 0 | 0 |
Total operating expenses | 0 | 0 | 0 | 0 |
Income from continuing operations before income taxes | (2,900) | (3,500) | (5,700) | (4,600) |
Provision for income taxes | 0 | 0 | 0 | 0 |
Equity in undistributed income of subsidiaries | (1,709) | (1,038) | (2,653) | (4,698) |
Income from continuing operations | (4,609) | (4,538) | (8,353) | (9,298) |
Loss from discontinued operations, net of taxes | 0 | 0 | 0 | 0 |
Net income before attribution of noncontrolling interests | (4,609) | (4,538) | (8,353) | (9,298) |
Noncontrolling interests | 0 | 0 | 0 | 0 |
Citigroup’s net income | (4,609) | (4,538) | (8,353) | (9,298) |
Comprehensive income | ||||
Other comprehensive income (loss) | (627) | 759 | (3,713) | 2,383 |
Citigroup’s comprehensive income | $ (5,236) | $ (3,779) | $ (12,066) | $ (6,915) |
CONDENSED CONSOLIDATING FINA144
CONDENSED CONSOLIDATING FINANCIAL STATEMENTS - Condensed Consolidating Balance Sheets (Details) - USD ($) $ in Millions | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Assets | ||||||
Cash | $ 22,140 | $ 20,900 | $ 23,413 | $ 32,108 | ||
Cash and due from banks—intercompany | 0 | 0 | ||||
Federal funds sold and securities borrowed or purchased under agreements to resell (including $144,816 and $137,964 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 228,683 | 219,675 | ||||
Federal funds sold and resale agreements—intercompany | 0 | 0 | ||||
Trading account assets | 271,764 | 249,956 | ||||
Trading account assets—intercompany | 0 | 0 | ||||
Investments | 356,293 | 342,955 | ||||
Loans, net of unearned income | 633,515 | 617,617 | ||||
Loans, net of unearned income—intercompany | 0 | 0 | ||||
Allowance for loan losses | (12,304) | $ (12,712) | (12,626) | (14,075) | $ (14,598) | $ (15,994) |
Total loans, net | 621,211 | 604,991 | ||||
Advances to subsidiaries | 0 | 0 | ||||
Investments in subsidiaries | 0 | 0 | ||||
Other assets | 318,680 | 292,733 | ||||
Other assets—intercompany | 0 | 0 | ||||
Total assets | 1,818,771 | 1,731,210 | ||||
Liabilities and equity | ||||||
Deposits | 937,852 | 907,887 | ||||
Deposits—intercompany | 0 | 0 | ||||
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $46,144 and $36,843 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 158,001 | 146,496 | ||||
Federal funds purchased and securities loaned or sold—intercompany | 0 | 0 | ||||
Trading account liabilities | 136,307 | 117,512 | ||||
Trading account liabilities—intercompany | 0 | 0 | ||||
Short-term borrowings, at fair value | 18,408 | 21,079 | ||||
Short-term borrowings—intercompany | 0 | 0 | ||||
Long-term debt, at fair value | 207,448 | 201,275 | ||||
Long-term debt—intercompany | 0 | 0 | ||||
Advances from subsidiaries | 0 | 0 | ||||
Other liabilities | 127,734 | 113,869 | ||||
Other liabilities—intercompany | 0 | 0 | ||||
Stockholders’ equity | 233,021 | 223,092 | $ 220,825 | |||
Total liabilities and equity | 1,818,771 | 1,731,210 | ||||
Other | 124,495 | 125,002 | ||||
Citigroup Inc. | ||||||
Liabilities and equity | ||||||
Long-term debt, at fair value | 148,686 | 142,157 | ||||
Citibank, N.A. | ||||||
Liabilities and equity | ||||||
Other | 17,400 | 21,800 | ||||
Reportable legal entities | Citigroup Inc. | ||||||
Assets | ||||||
Cash | 0 | 0 | ||||
Cash and due from banks—intercompany | 133 | 124 | ||||
Federal funds sold and securities borrowed or purchased under agreements to resell (including $144,816 and $137,964 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 0 | 0 | ||||
Federal funds sold and resale agreements—intercompany | 0 | 0 | ||||
Trading account assets | 20 | (8) | ||||
Trading account assets—intercompany | 801 | 1,032 | ||||
Investments | 438 | 484 | ||||
Loans, net of unearned income | 0 | 0 | ||||
Loans, net of unearned income—intercompany | 0 | 0 | ||||
Allowance for loan losses | 0 | 0 | ||||
Total loans, net | 0 | 0 | ||||
Advances to subsidiaries | 117,175 | 104,405 | ||||
Investments in subsidiaries | 232,490 | 221,362 | ||||
Other assets | 27,200 | 25,819 | ||||
Other assets—intercompany | 55,579 | 58,207 | ||||
Total assets | 433,836 | 411,425 | ||||
Liabilities and equity | ||||||
Deposits | 0 | 0 | ||||
Deposits—intercompany | 0 | 0 | ||||
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $46,144 and $36,843 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 0 | 0 | ||||
Federal funds purchased and securities loaned or sold—intercompany | 185 | 185 | ||||
Trading account liabilities | 0 | 0 | ||||
Trading account liabilities—intercompany | 612 | 1,036 | ||||
Short-term borrowings, at fair value | 4 | 146 | ||||
Short-term borrowings—intercompany | 0 | 0 | ||||
Long-term debt, at fair value | 148,431 | 141,914 | ||||
Long-term debt—intercompany | 0 | 0 | ||||
Advances from subsidiaries | 39,579 | 36,453 | ||||
Other liabilities | 3,766 | 3,560 | ||||
Other liabilities—intercompany | 9,371 | 6,274 | ||||
Stockholders’ equity | 231,888 | 221,857 | ||||
Total liabilities and equity | 433,836 | 411,425 | ||||
Reportable legal entities | CGMHI | ||||||
Assets | ||||||
Cash | 348 | 592 | ||||
Cash and due from banks—intercompany | 2,644 | 1,403 | ||||
Federal funds sold and securities borrowed or purchased under agreements to resell (including $144,816 and $137,964 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 188,567 | 178,178 | ||||
Federal funds sold and resale agreements—intercompany | 8,901 | 15,035 | ||||
Trading account assets | 136,124 | 124,731 | ||||
Trading account assets—intercompany | 3,676 | 1,765 | ||||
Investments | 357 | 402 | ||||
Loans, net of unearned income | 845 | 1,068 | ||||
Loans, net of unearned income—intercompany | 0 | 0 | ||||
Allowance for loan losses | 0 | (3) | ||||
Total loans, net | 845 | 1,065 | ||||
Advances to subsidiaries | 0 | 0 | ||||
Investments in subsidiaries | 0 | 0 | ||||
Other assets | 42,046 | 36,860 | ||||
Other assets—intercompany | 40,706 | 30,737 | ||||
Total assets | 424,214 | 390,768 | ||||
Liabilities and equity | ||||||
Deposits | 0 | 0 | ||||
Deposits—intercompany | 0 | 0 | ||||
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $46,144 and $36,843 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 137,985 | 122,459 | ||||
Federal funds purchased and securities loaned or sold—intercompany | 20,066 | 22,042 | ||||
Trading account liabilities | 78,093 | 62,386 | ||||
Trading account liabilities—intercompany | 2,973 | 2,045 | ||||
Short-term borrowings, at fair value | 771 | 188 | ||||
Short-term borrowings—intercompany | 36,771 | 34,916 | ||||
Long-term debt, at fair value | 5,094 | 2,530 | ||||
Long-term debt—intercompany | 40,990 | 51,171 | ||||
Advances from subsidiaries | 0 | 0 | ||||
Other liabilities | 59,368 | 55,482 | ||||
Other liabilities—intercompany | 9,974 | 10,967 | ||||
Stockholders’ equity | 32,129 | 26,582 | ||||
Total liabilities and equity | 424,214 | 390,768 | ||||
Reportable legal entities | Other Citigroup subsidiaries and eliminations | ||||||
Assets | ||||||
Cash | 21,792 | 20,308 | ||||
Cash and due from banks—intercompany | (2,777) | (1,527) | ||||
Federal funds sold and securities borrowed or purchased under agreements to resell (including $144,816 and $137,964 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 40,116 | 41,497 | ||||
Federal funds sold and resale agreements—intercompany | (8,901) | (15,035) | ||||
Trading account assets | 135,620 | 125,233 | ||||
Trading account assets—intercompany | (4,477) | (2,797) | ||||
Investments | 355,498 | 342,069 | ||||
Loans, net of unearned income | 632,670 | 616,549 | ||||
Loans, net of unearned income—intercompany | 0 | 0 | ||||
Allowance for loan losses | (12,304) | (12,623) | ||||
Total loans, net | 620,366 | 603,926 | ||||
Advances to subsidiaries | (117,175) | (104,405) | ||||
Investments in subsidiaries | 0 | 0 | ||||
Other assets | 249,434 | 230,054 | ||||
Other assets—intercompany | (96,285) | (88,944) | ||||
Total assets | 1,193,211 | 1,150,379 | ||||
Liabilities and equity | ||||||
Deposits | 937,852 | 907,887 | ||||
Deposits—intercompany | 0 | 0 | ||||
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $46,144 and $36,843 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 20,016 | 24,037 | ||||
Federal funds purchased and securities loaned or sold—intercompany | (20,251) | (22,227) | ||||
Trading account liabilities | 58,214 | 55,126 | ||||
Trading account liabilities—intercompany | (3,585) | (3,081) | ||||
Short-term borrowings, at fair value | 17,633 | 20,745 | ||||
Short-term borrowings—intercompany | (36,771) | (34,916) | ||||
Long-term debt, at fair value | 53,923 | 56,831 | ||||
Long-term debt—intercompany | (40,990) | (51,171) | ||||
Advances from subsidiaries | (39,579) | (36,453) | ||||
Other liabilities | 64,600 | 54,827 | ||||
Other liabilities—intercompany | (19,345) | (17,241) | ||||
Stockholders’ equity | 201,494 | 196,015 | ||||
Total liabilities and equity | 1,193,211 | 1,150,379 | ||||
Consolidating adjustments | ||||||
Assets | ||||||
Cash | 0 | 0 | ||||
Cash and due from banks—intercompany | 0 | 0 | ||||
Federal funds sold and securities borrowed or purchased under agreements to resell (including $144,816 and $137,964 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 0 | 0 | ||||
Federal funds sold and resale agreements—intercompany | 0 | 0 | ||||
Trading account assets | 0 | 0 | ||||
Trading account assets—intercompany | 0 | 0 | ||||
Investments | 0 | 0 | ||||
Loans, net of unearned income | 0 | 0 | ||||
Loans, net of unearned income—intercompany | 0 | 0 | ||||
Allowance for loan losses | 0 | 0 | ||||
Total loans, net | 0 | 0 | ||||
Advances to subsidiaries | 0 | 0 | ||||
Investments in subsidiaries | (232,490) | (221,362) | ||||
Other assets | 0 | 0 | ||||
Other assets—intercompany | 0 | 0 | ||||
Total assets | (232,490) | (221,362) | ||||
Liabilities and equity | ||||||
Deposits | 0 | 0 | ||||
Deposits—intercompany | 0 | 0 | ||||
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $46,144 and $36,843 as of June 30, 2016 and December 31, 2015, respectively, at fair value) | 0 | 0 | ||||
Federal funds purchased and securities loaned or sold—intercompany | 0 | 0 | ||||
Trading account liabilities | 0 | 0 | ||||
Trading account liabilities—intercompany | 0 | 0 | ||||
Short-term borrowings, at fair value | 0 | 0 | ||||
Short-term borrowings—intercompany | 0 | 0 | ||||
Long-term debt, at fair value | 0 | 0 | ||||
Long-term debt—intercompany | 0 | 0 | ||||
Advances from subsidiaries | 0 | 0 | ||||
Other liabilities | 0 | 0 | ||||
Other liabilities—intercompany | 0 | 0 | ||||
Stockholders’ equity | (232,490) | (221,362) | ||||
Total liabilities and equity | (232,490) | (221,362) | ||||
Up to 30 days | Citibank, N.A. | ||||||
Liabilities and equity | ||||||
Placements with term of less than 30 days | $ 9,500 | $ 13,900 |
CONDENSED CONSOLIDATING FINA145
CONDENSED CONSOLIDATING FINANCIAL STATEMENTS - Condensed Consolidating Statement of Cash Flows (Details) - USD ($) $ in Millions | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | ||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash provided by operating activities of continuing operations | $ 21,067 | $ 18,346 | |
Cash flows from investing activities of continuing operations | |||
Purchases of investments | (108,359) | (140,945) | |
Proceeds from sales of investments | 66,138 | 89,707 | |
Proceeds from maturities of investments | 33,383 | 44,732 | |
Change in deposits with banks | (15,796) | (2,911) | |
Change in loans | (30,170) | (9,945) | |
Proceeds from sales and securitizations of loans | 7,021 | 6,377 | |
Proceeds from significant disposals | [1] | 265 | 0 |
Change in federal funds sold and securities borrowed or purchased under agreements to resell | (9,008) | 5,516 | |
Changes in investments and advances—intercompany | 0 | 0 | |
Other investing activities | (987) | (1,143) | |
Net cash used in investing activities of continuing operations | (57,513) | (8,612) | |
Cash flows from financing activities of continuing operations | |||
Dividends paid | (828) | (514) | |
Issuance of preferred stock | 2,498 | 3,486 | |
Treasury stock acquired | (2,634) | (1,850) | |
Proceeds (repayments) from issuance of long-term debt, net | 287 | 1,124 | |
Proceeds (repayments) from issuance of long-term debt—intercompany, net | 0 | 0 | |
Change in deposits | 29,965 | 8,705 | |
Change in federal funds purchased and securities loaned or sold under agreements to repurchase | 11,505 | 3,574 | |
Change in short-term borrowings | (2,671) | (32,428) | |
Net change in short-term borrowings and other advances—intercompany | 0 | 0 | |
Capital contributions from parent | 0 | ||
Other financing activities | (312) | (423) | |
Net cash provided by (used in) financing activities of continuing operations | 37,810 | (18,326) | |
Effect of exchange rate changes on cash and cash equivalents | (124) | (103) | |
Change in cash and due from banks | 1,240 | (8,695) | |
Cash and due from banks at beginning of period | 20,900 | 32,108 | |
Cash and due from banks at end of period | 22,140 | 23,413 | |
Supplemental disclosure of cash flow information for continuing operations | |||
Cash paid during the period for income taxes | 2,045 | 2,863 | |
Cash paid during the period for interest | 5,726 | 5,478 | |
Non-cash investing activities | |||
Decrease in net loans associated with significant disposals reclassified to HFS | 0 | (8,874) | |
Decrease in investments associated with significant disposals reclassified to HFS | 0 | (1,444) | |
Transfers to loans HFS from loans | 6,000 | 15,900 | |
Transfers to OREO and other repossessed assets | 97 | 158 | |
Non-cash financing activities | |||
Decrease in long-term debt associated with significant disposals reclassified to HFS | 0 | (5,923) | |
Reportable legal entities | Citigroup Inc. | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash provided by operating activities of continuing operations | 13,794 | 16,287 | |
Cash flows from investing activities of continuing operations | |||
Purchases of investments | 0 | 0 | |
Proceeds from sales of investments | 0 | 0 | |
Proceeds from maturities of investments | 46 | 181 | |
Change in deposits with banks | 0 | 0 | |
Change in loans | 0 | 0 | |
Proceeds from sales and securitizations of loans | 0 | 0 | |
Proceeds from significant disposals | 0 | ||
Change in federal funds sold and securities borrowed or purchased under agreements to resell | 0 | 0 | |
Changes in investments and advances—intercompany | (16,412) | (20,724) | |
Other investing activities | 0 | 1 | |
Net cash used in investing activities of continuing operations | (16,366) | (20,542) | |
Cash flows from financing activities of continuing operations | |||
Dividends paid | (828) | (514) | |
Issuance of preferred stock | 2,498 | 3,486 | |
Treasury stock acquired | (2,634) | (1,850) | |
Proceeds (repayments) from issuance of long-term debt, net | 890 | 7,046 | |
Proceeds (repayments) from issuance of long-term debt—intercompany, net | 0 | 0 | |
Change in deposits | 0 | 0 | |
Change in federal funds purchased and securities loaned or sold under agreements to repurchase | 0 | 0 | |
Change in short-term borrowings | (160) | (349) | |
Net change in short-term borrowings and other advances—intercompany | 3,127 | (3,126) | |
Capital contributions from parent | 0 | ||
Other financing activities | (312) | (423) | |
Net cash provided by (used in) financing activities of continuing operations | 2,581 | 4,270 | |
Effect of exchange rate changes on cash and cash equivalents | 0 | 0 | |
Change in cash and due from banks | 9 | 15 | |
Cash and due from banks at beginning of period | 124 | 125 | |
Cash and due from banks at end of period | 133 | 140 | |
Supplemental disclosure of cash flow information for continuing operations | |||
Cash paid during the period for income taxes | (323) | (248) | |
Cash paid during the period for interest | 2,040 | 2,332 | |
Non-cash investing activities | |||
Decrease in net loans associated with significant disposals reclassified to HFS | 0 | ||
Decrease in investments associated with significant disposals reclassified to HFS | 0 | ||
Transfers to loans HFS from loans | 0 | 0 | |
Transfers to OREO and other repossessed assets | 0 | 0 | |
Non-cash financing activities | |||
Decrease in long-term debt associated with significant disposals reclassified to HFS | 0 | ||
Reportable legal entities | CGMHI | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash provided by operating activities of continuing operations | 2,380 | (9,008) | |
Cash flows from investing activities of continuing operations | |||
Purchases of investments | 0 | (4) | |
Proceeds from sales of investments | 0 | 53 | |
Proceeds from maturities of investments | 0 | 0 | |
Change in deposits with banks | (5,390) | (10,181) | |
Change in loans | 0 | 0 | |
Proceeds from sales and securitizations of loans | 0 | 0 | |
Proceeds from significant disposals | 0 | ||
Change in federal funds sold and securities borrowed or purchased under agreements to resell | (4,256) | 2,883 | |
Changes in investments and advances—intercompany | (5,125) | 2,602 | |
Other investing activities | 0 | (43) | |
Net cash used in investing activities of continuing operations | (14,771) | (4,690) | |
Cash flows from financing activities of continuing operations | |||
Dividends paid | 0 | 0 | |
Issuance of preferred stock | 0 | 0 | |
Treasury stock acquired | 0 | 0 | |
Proceeds (repayments) from issuance of long-term debt, net | 2,512 | 12,514 | |
Proceeds (repayments) from issuance of long-term debt—intercompany, net | (10,112) | (232) | |
Change in deposits | 0 | 0 | |
Change in federal funds purchased and securities loaned or sold under agreements to repurchase | 13,550 | 4,511 | |
Change in short-term borrowings | 583 | (1,212) | |
Net change in short-term borrowings and other advances—intercompany | 1,855 | (1,144) | |
Capital contributions from parent | 5,000 | ||
Other financing activities | 0 | 0 | |
Net cash provided by (used in) financing activities of continuing operations | 13,388 | 14,437 | |
Effect of exchange rate changes on cash and cash equivalents | 0 | 0 | |
Change in cash and due from banks | 997 | 739 | |
Cash and due from banks at beginning of period | 1,995 | 1,751 | |
Cash and due from banks at end of period | 2,992 | 2,490 | |
Supplemental disclosure of cash flow information for continuing operations | |||
Cash paid during the period for income taxes | 40 | 348 | |
Cash paid during the period for interest | 1,666 | 1,101 | |
Non-cash investing activities | |||
Decrease in net loans associated with significant disposals reclassified to HFS | 0 | ||
Decrease in investments associated with significant disposals reclassified to HFS | 0 | ||
Transfers to loans HFS from loans | 0 | 0 | |
Transfers to OREO and other repossessed assets | 0 | 0 | |
Non-cash financing activities | |||
Decrease in long-term debt associated with significant disposals reclassified to HFS | 0 | ||
Reportable legal entities | Other Citigroup subsidiaries and eliminations | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash provided by operating activities of continuing operations | 4,893 | 11,067 | |
Cash flows from investing activities of continuing operations | |||
Purchases of investments | (108,359) | (140,941) | |
Proceeds from sales of investments | 66,138 | 89,654 | |
Proceeds from maturities of investments | 33,337 | 44,551 | |
Change in deposits with banks | (10,406) | 7,270 | |
Change in loans | (30,170) | (9,945) | |
Proceeds from sales and securitizations of loans | 7,021 | 6,377 | |
Proceeds from significant disposals | 265 | ||
Change in federal funds sold and securities borrowed or purchased under agreements to resell | (4,752) | 2,633 | |
Changes in investments and advances—intercompany | 21,537 | 18,122 | |
Other investing activities | (987) | (1,101) | |
Net cash used in investing activities of continuing operations | (26,376) | 16,620 | |
Cash flows from financing activities of continuing operations | |||
Dividends paid | 0 | 0 | |
Issuance of preferred stock | 0 | 0 | |
Treasury stock acquired | 0 | 0 | |
Proceeds (repayments) from issuance of long-term debt, net | (3,115) | (18,436) | |
Proceeds (repayments) from issuance of long-term debt—intercompany, net | 10,112 | 232 | |
Change in deposits | 29,965 | 8,705 | |
Change in federal funds purchased and securities loaned or sold under agreements to repurchase | (2,045) | (937) | |
Change in short-term borrowings | (3,094) | (30,867) | |
Net change in short-term borrowings and other advances—intercompany | (4,982) | 4,270 | |
Capital contributions from parent | (5,000) | ||
Other financing activities | 0 | 0 | |
Net cash provided by (used in) financing activities of continuing operations | 21,841 | (37,033) | |
Effect of exchange rate changes on cash and cash equivalents | (124) | (103) | |
Change in cash and due from banks | 234 | (9,449) | |
Cash and due from banks at beginning of period | 18,781 | 30,232 | |
Cash and due from banks at end of period | 19,015 | 20,783 | |
Supplemental disclosure of cash flow information for continuing operations | |||
Cash paid during the period for income taxes | 2,328 | 2,763 | |
Cash paid during the period for interest | 2,020 | 2,045 | |
Non-cash investing activities | |||
Decrease in net loans associated with significant disposals reclassified to HFS | (8,874) | ||
Decrease in investments associated with significant disposals reclassified to HFS | (1,444) | ||
Transfers to loans HFS from loans | 6,000 | 15,900 | |
Transfers to OREO and other repossessed assets | 97 | 158 | |
Non-cash financing activities | |||
Decrease in long-term debt associated with significant disposals reclassified to HFS | (5,923) | ||
Consolidating adjustments | |||
Condensed Cash Flow Statements, Captions [Line Items] | |||
Net cash provided by operating activities of continuing operations | 0 | 0 | |
Cash flows from investing activities of continuing operations | |||
Purchases of investments | 0 | 0 | |
Proceeds from sales of investments | 0 | 0 | |
Proceeds from maturities of investments | 0 | 0 | |
Change in deposits with banks | 0 | 0 | |
Change in loans | 0 | 0 | |
Proceeds from sales and securitizations of loans | 0 | 0 | |
Proceeds from significant disposals | 0 | ||
Change in federal funds sold and securities borrowed or purchased under agreements to resell | 0 | 0 | |
Changes in investments and advances—intercompany | 0 | 0 | |
Other investing activities | 0 | 0 | |
Net cash used in investing activities of continuing operations | 0 | 0 | |
Cash flows from financing activities of continuing operations | |||
Dividends paid | 0 | 0 | |
Issuance of preferred stock | 0 | 0 | |
Treasury stock acquired | 0 | 0 | |
Proceeds (repayments) from issuance of long-term debt, net | 0 | 0 | |
Proceeds (repayments) from issuance of long-term debt—intercompany, net | 0 | 0 | |
Change in deposits | 0 | 0 | |
Change in federal funds purchased and securities loaned or sold under agreements to repurchase | 0 | 0 | |
Change in short-term borrowings | 0 | 0 | |
Net change in short-term borrowings and other advances—intercompany | 0 | 0 | |
Capital contributions from parent | 0 | ||
Other financing activities | 0 | 0 | |
Net cash provided by (used in) financing activities of continuing operations | 0 | 0 | |
Effect of exchange rate changes on cash and cash equivalents | 0 | 0 | |
Change in cash and due from banks | 0 | 0 | |
Cash and due from banks at beginning of period | 0 | 0 | |
Cash and due from banks at end of period | 0 | 0 | |
Supplemental disclosure of cash flow information for continuing operations | |||
Cash paid during the period for income taxes | 0 | 0 | |
Cash paid during the period for interest | 0 | 0 | |
Non-cash investing activities | |||
Decrease in net loans associated with significant disposals reclassified to HFS | 0 | ||
Decrease in investments associated with significant disposals reclassified to HFS | 0 | ||
Transfers to loans HFS from loans | 0 | 0 | |
Transfers to OREO and other repossessed assets | $ 0 | 0 | |
Non-cash financing activities | |||
Decrease in long-term debt associated with significant disposals reclassified to HFS | $ 0 | ||
[1] | See Note 2 for further information on significant disposals. |