Citigroup (C) 10-Q 2019 Q2 Quarterly report

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(Mark One)

☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2019

OR

☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from  to

Commission file number 1-9924

Citigroup Inc.

(Exact name of registrant as specified in its charter)

Delaware			52-1568099
(State or other jurisdiction of incorporation or organization)			(I.R.S. Employer Identification No.)
388 Greenwich Street,	New York	NY	10013
(Address of principal executive offices)			(Zip code)

(212) 559-1000

(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 formatted in Inline XBRL: See Exhibit 99.01

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒    No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒  No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer	☒	Accelerated filer	☐	Non-accelerated filer	☐	Smaller reporting company	☐
						Emerging growth company	☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. Yes ☐    

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐    No ☒

Number of shares of Citigroup Inc. common stock outstanding on June 30, 2019: 2,259,056,466

Available on the web at www.citigroup.com

CITIGROUP’S SECOND QUARTER 2019—FORM 10-Q

OVERVIEW	1
MANAGEMENT'S DISCUSSION AND   ANALYSIS OF FINANCIAL CONDITION AND   RESULTS OF OPERATIONS	3
Executive Summary	3
Summary of Selected Financial Data	6
SEGMENT AND BUSINESS—INCOME (LOSS)   AND REVENUES	8
SEGMENT BALANCE SHEET	9
Global Consumer Banking (GCB)	10
North America GCB	12
Latin America GCB	14
Asia GCB	16
Institutional Clients Group	18
Corporate/Other	22
OFF-BALANCE SHEET   ARRANGEMENTS	23
CAPITAL RESOURCES	24
MANAGING GLOBAL RISK TABLE OF   CONTENTS	35
MANAGING GLOBAL RISK	36
INCOME TAXES	71
FUTURE APPLICATION OF ACCOUNTING   STANDARDS	72
DISCLOSURE CONTROLS AND   PROCEDURES	73
DISCLOSURE PURSUANT TO SECTION 219 OF   THE IRAN THREAT REDUCTION AND SYRIA   HUMAN RIGHTS ACT	73
FORWARD-LOOKING STATEMENTS	74
FINANCIAL STATEMENTS AND NOTES   TABLE OF CONTENTS	77
CONSOLIDATED FINANCIAL STATEMENTS	78
NOTES TO CONSOLIDATED FINANCIAL   STATEMENTS (UNAUDITED)	85
UNREGISTERED SALES OF EQUITY SECURITIES,   PURCHASES OF EQUITY SECURITIES AND   DIVIDENDS	197

OVERVIEW

This Quarterly Report on Form 10-Q should be read in conjunction with Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2018 (2018 Annual Report on Form 10-K) and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2019 (First Quarter of 2019 Form 10-Q).

Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s annual reports on Form 10-K, quarterly reports on Form 10-Q and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available free of charge through Citi’s website by clicking on the “Investors” page and selecting “All SEC Filings.” The SEC’s website also contains current reports on Form 8-K, and other information regarding Citi at www.sec.gov.

Certain reclassifications, including a realignment of certain businesses, have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation. For additional information on certain recent reclassifications, see Notes 1 and 3 to the Consolidated Financial Statements below and Notes 1 and 3 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.

1

Citigroup is managed pursuant to two business segments: Global Consumer Banking and Institutional Clients Group, with the remaining operations in Corporate/Other.

The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.

(1) Latin America GCB consists of Citi’s consumer banking business in Mexico.

(2) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.

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

2

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

EXECUTIVE SUMMARY

Second Quarter of 2019—Results Demonstrated Continued Progress

As described further throughout this Executive Summary, during the second quarter of 2019, Citi continued to demonstrate steady progress toward improving its profitability and returns, despite an uncertain environment. During the quarter, Citi had revenue growth and positive operating leverage in every region in Global Consumer Banking (GCB), excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation). (Citi’s results of operations excluding the impact of FX translation are non-GAAP financial measures.)

Citi also showed continued momentum across treasury and trade solutions, securities services and the private bank in the Institutional Clients Group (ICG), while investment banking and fixed income and equity markets revenues were impacted by a challenging market environment. Citi’s results in the quarter also included a pretax gain of approximately $350 million (approximately $270 million after-tax) on Citi’s investment in Tradeweb (an electronic trading platform), recorded in fixed income markets within ICG.

Citi continued to demonstrate strong expense discipline, resulting in the eleventh consecutive quarter of positive operating leverage. Citi also had deposit and loan growth in both GCB and ICG, while credit quality remained broadly stable.

In the quarter, Citi continued to return capital to its shareholders, including $4.6 billion in the form of common stock repurchases and dividends. Citi repurchased approximately 54 million common shares, contributing to a 10% reduction in average outstanding common shares from the prior-year period. Despite progress in returning capital to shareholders, Citi’s key regulatory capital metrics remained strong (see “Capital” below).

During the quarter, the Federal Reserve Board advised Citi that it did not object to the capital plan submitted as part of Citi’s 2019 Comprehensive Capital Analysis and Review (CCAR). Accordingly, Citi intends to return $21.5 billion of capital to its common shareholders over the next four quarters, beginning in the third quarter of 2019 (for additional information, see “Equity Security Repurchases” and “Dividends” below).

While global growth has continued, economic forecasts for 2019 have been lowered and various economic, political and other risks and uncertainties could create a more volatile operating environment and impact Citi’s businesses and future results. For a discussion of the risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition during the remainder of 2019, see each respective business’s results of operations and “Forward-Looking Statements” below, as well as each respective business’s results of operations and the “Managing Global Risk” and “Risk Factors” sections in Citi’s 2018 Annual Report on Form 10-K.

Second Quarter of 2019 Results Summary

Citigroup

Citigroup reported net income of $4.8 billion, or $1.95 per share, compared to net income of $4.5 billion, or $1.63 per share, in the prior-year period. Net income increased 7% from the prior-year period, primarily driven by higher revenues, lower expenses and a lower effective tax rate, partially offset by higher cost of credit. Earnings per share increased 20%, including the Tradeweb gain. Excluding the Tradeweb gain, earnings per share of $1.83 increased 12%, primarily reflecting the 10% reduction in average shares outstanding, driven by the common stock repurchases as well as the lower effective tax rate. (Citi’s results of operations excluding gains are non-GAAP financial measures.)

Citigroup revenues of $18.8 billion in the second quarter of 2019 increased 2% from the prior-year period, reflecting the Tradeweb gain and higher revenues across GCB, partially offset by declines in investment banking and fixed income and equity markets revenues, as well as mark-to-market losses on loan hedges in ICG.

Citigroup’s end-of-period loans increased 3% to $689 billion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s end-of-period loans also grew 3%, as 4% aggregate growth in GCB and ICG was partially offset by the continued wind-down of legacy assets in Corporate/Other. Citigroup’s end-of-period deposits increased 5% to $1.0 trillion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s deposits also increased 5%, primarily driven by 6% growth in ICG deposits as well as 3% growth in GCB.

Expenses

Citigroup operating expenses of $10.5 billion decreased 2% versus the prior-year period, as efficiency savings and the wind-down of legacy assets were partially offset by continued investments and volume-driven growth. Year-over-year, ICG operating expenses were down 2% and Corporate/Other operating expenses decreased 20%, while GCB operating expenses were largely unchanged.

Cost of Credit

Citi’s total provisions for credit losses and for benefits and claims of $2.1 billion increased 16% from the prior-year period. The increase was primarily driven by higher net credit losses in both Citi-branded cards and Citi retail services in North America GCB as well as normalization in credit trends in ICG.

Net credit losses of $2.0 billion increased 15% versus the prior-year period. Consumer net credit losses of $1.9 billion increased 11% from the prior-year period, primarily reflecting volume growth and seasoning in the North America cards portfolios. Corporate net credit losses increased to $70 million from a net recovery of $2 million in the prior-year period, reflecting credit normalization in ICG. For additional

3

information on Citi’s consumer and corporate credit costs and allowance for loan losses, see each respective business’s results of operations and “Credit Risk” below.

Capital

Citigroup’s Common Equity Tier 1 (CET1) Capital and Tier 1 Capital ratios were 11.9% and 13.4% as of June 30, 2019, respectively, compared to 12.1% and 13.8% as of June 30, 2018, both based on the Basel III Standardized Approach for determining risk-weighted assets. The decline in regulatory capital ratios primarily reflected the return of capital to common shareholders, partially offset by net income. Citigroup’s Supplementary Leverage ratio as of June 30, 2019 was 6.4%, compared to 6.6% as of June 30, 2018. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.

Global Consumer Banking

GCB net income of $1.4 billion increased 11%. Excluding the impact of FX translation, net income also increased 11%, driven primarily by higher revenues and a lower effective tax rate, partially offset by higher expenses and cost of credit. GCB operating expenses of $4.7 billion were largely unchanged versus the prior-year period. Excluding the impact of FX translation, expenses increased 1%, as continued investments and volume-driven expenses were largely offset by efficiency savings.

GCB revenues of $8.5 billion increased 3% versus the prior-year period. Excluding the impact of FX translation, revenues increased 4%, driven by growth in all three regions. North America GCB revenues of $5.2 billion increased 3%, primarily driven by growth in Citi-branded cards and Citi retail services, as retail banking revenues were largely unchanged. In North America GCB, Citi-branded cards revenues of $2.2 billion increased 7%, primarily driven by growth in interest-earning balances. Citi retail services revenues of $1.6 billion increased 1% versus the prior-year period, primarily reflecting loan growth, partially offset by higher contractual partner payments. Retail banking revenues of $1.4 billion were largely unchanged versus the prior-year period. Excluding mortgage revenues, retail banking revenues of $1.2 billion increased 1% from the prior-year period, as improved growth in deposit volumes was partially offset by lower deposit spreads in commercial banking.

North America GCB average deposits of $183 billion increased 2% year-over-year, average retail banking loans of $58 billion increased 4% year-over-year and assets under management of $68 billion grew 12%. Average Citi-branded card loans of $88 billion increased 2%, while Citi-branded card purchase sales of $93 billion increased 8% versus the prior-year period. Average Citi retail services loans of $49 billion increased 5% versus the prior-year period, while Citi retail services purchase sales of $23 billion increased 4%. For additional information on the results of operations of North America GCB for the second quarter of 2019, see “Global Consumer Banking—North America GCB” below.

International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes the results of operations in certain EMEA countries)) of $3.3 billion increased 3%

versus the prior-year period. Excluding the impact of FX translation, international GCB revenues increased 4% versus the prior-year period. On this basis, Latin America GCB revenues increased 3% versus the prior-year period, including the impact of the revenues associated with an asset management business in Mexico sold in the third quarter of 2018. Excluding this impact, Latin America GCB revenues increased 5%, primarily driven by an increase in cards revenues and improved deposit spreads. Asia GCB revenues increased 5%, including a gain from a building sale. Excluding this gain, revenues increased 3%, primarily driven by higher deposit revenues as well as a recovery in investment revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for the second quarter of 2019, including the impact of FX translation, see “Global Consumer Banking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below.

Year-over-year, international GCB average deposits of $130 billion increased 5%, average retail banking loans of $90 billion increased 2%, assets under management of $108 billion increased 5%, average card loans of $25 billion increased 4% and card purchase sales of $26 billion increased 6%, all excluding the impact of FX translation.

Institutional Clients Group

ICG net income of $3.3 billion increased 3%, primarily driven by a decrease in expenses and a lower effective tax rate, partially offset by higher cost of credit. ICG operating expenses decreased 2% to $5.4 billion, as efficiency savings more than offset investments and volume-related expenses.

ICG revenues of $9.7 billion were largely unchanged in the second quarter of 2019, as the Tradeweb gain was offset by a 3% decrease in Banking revenues and a 4% decrease in Markets and securities services revenues. The decrease in Banking revenues included the impact of $75 million of losses on loan hedges within corporate lending, compared to gains of $23 million in the prior-year period.

Banking revenues of $5.1 billion (excluding the impact of gains (losses) on loan hedges within corporate lending) decreased 1%, as growth in treasury and trade solutions and the private bank was more than offset by lower revenues in investment banking and corporate lending. Investment banking revenues of $1.3 billion decreased 10%, but outperformed the market wallet. Advisory revenues decreased 36% to $232 million, equity underwriting revenues decreased 6% to $314 million and debt underwriting revenues increased 2% to $737 million, all versus the prior-year period.

Treasury and trade solutions revenues of $2.4 billion increased 4% versus the prior-year period, and 7% excluding the impact of FX translation, reflecting continued strong client engagement, with growth in deposits and transaction volumes as well as improved trade spreads. Private bank revenues increased 2% to $866 million versus the prior-year period, reflecting growth with new and existing clients, which drove higher lending and deposit volumes as well as growth in assets under management, partially offset by spread compression. Corporate lending revenues decreased 24% to $463 million. Excluding the impact of gains (losses) on loan hedges,

4

corporate lending revenues decreased 9% versus the prior-year period, reflecting lower spreads and higher hedging costs.

Markets and securities services revenues of $4.7 billion increased 4% from the prior-year period, including the Tradeweb gain. Excluding the Tradeweb gain, Markets and securities services revenues decreased 4% from the prior-year period, as higher revenues in securities services were more than offset by lower fixed income and equity markets revenues. Fixed income markets revenues of $3.3 billion increased 8% from the prior-year period, including the Tradeweb gain. Excluding the Tradeweb gain, fixed income markets revenues decreased 4%, reflecting the challenging market environment, particularly in rates. Equity markets revenues of $790 million decreased 9%, primarily reflecting lower client activity in cash equities and prime finance, partially offset by strong corporate client activity in derivatives. Securities services revenues of $682 million increased 3% versus the prior-year period, and 7% excluding the impact of FX translation, reflecting higher rates as well as an increase in client activity. For additional information on the results of operations of ICG for the second quarter of 2019, see “Institutional Clients Group” below.

Corporate/Other

Corporate/Other net income was $54 million in the second quarter of 2019, compared to a net loss of $14 million in the prior-year period. Operating expenses of $481 million declined 20% from the prior-year period, largely reflecting the wind-down of legacy assets. Corporate/Other revenues of $532 million increased 1% from the prior-year period, as higher treasury revenues and gains were largely offset by the continued wind-down of legacy assets. For additional information on the results of operations of Corporate/Other for the second quarter of 2019, see “Corporate/Other” below.

5

RESULTS OF OPERATIONS

SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1

Citigroup Inc. and Consolidated Subsidiaries

	Second Quarter						Six Months
In millions of dollars, except per share amounts and ratios	2019		2018		% Change		2019		2018		% Change
Net interest revenue	$	11,950	$	11,665	2	%	$	23,709	$	22,837	4	%
Non-interest revenue	6,808		6,804		—		13,625		14,504		(6	)
Revenues, net of interest expense	$	18,758	$	18,469	2	%	$	37,334	$	37,341	—	%
Operating expenses	10,500		10,712		(2	)	21,084		21,637		(3	)
Provisions for credit losses and for benefits and claims	2,093		1,812		16		4,073		3,669		11
Income from continuing operations before income taxes	$	6,165	$	5,945	4	%	$	12,177	$	12,035	1	%
Income taxes	1,373		1,444		(5	)	2,648		2,885		(8	)
Income from continuing operations	$	4,792	$	4,501	6	%	$	9,529	$	9,150	4	%
Income from discontinued operations,   net of taxes(1)	17		15		13		15		8		88
Net income before attribution of noncontrolling   interests	$	4,809	$	4,516	6	%	$	9,544	$	9,158	4	%
Net income attributable to noncontrolling interests	10		26		(62	)	35		48		(27	)
Citigroup’s net income	$	4,799	$	4,490	7	%	$	9,509	$	9,110	4	%
Less:
Preferred dividends—Basic	$	296	$	318	(7	)%	$	558	$	590	(5	)%
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS	50		49		2		109		90		21
Income allocated to unrestricted common shareholders   for basic and diluted EPS	$	4,453	$	4,123	8	%	$	8,842	$	8,430	5	%
Earnings per share
Basic
Income from continuing operations	$	1.94	$	1.62	20	%	$	3.81	$	3.30	15	%
Net income	1.95		1.63		20		3.82		3.31		15
Diluted
Income from continuing operations	$	1.94	$	1.62	20	%	$	3.81	$	3.30	15	%
Net income	1.95		1.63		20		3.82		3.31		15
Dividends declared per common share	0.45		0.32		41		0.90		0.64		41

Table continues on the next page, including footnotes.

6

SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2

Citigroup Inc. and Consolidated Subsidiaries

	Second Quarter								Six Months
In millions of dollars, except per share amounts, ratios and direct staff	2019			2018			% Change		2019		2018		% Change
At June 30:
Total assets	$	1,988,226		$	1,912,334		4	%
Total deposits	1,045,607			996,730			5
Long-term debt	252,189			236,822			6
Citigroup common stockholders’ equity	179,379			181,059			(1	)
Total Citigroup stockholders’ equity	197,359			200,094			(1	)
Direct staff (in thousands)	200			205			(2	)
Performance metrics
Return on average assets	0.97		%	0.94		%			0.98	%	0.96	%
Return on average common stockholders’ equity(2)	10.1			9.2					10.2		9.5
Return on average total stockholders’ equity(2)	9.8			9.0					9.8		9.2
Efficiency ratio (total operating expenses/total revenues)	56.0			58.0					56.5		57.9
Basel III ratios
Common Equity Tier 1 Capital(3)	11.89		%	12.14		%
Tier 1 Capital(3)	13.43			13.77
Total Capital(3)	16.36			16.31
Supplementary Leverage ratio	6.38			6.60
Citigroup common stockholders’ equity to assets	9.02		%	9.47		%
Total Citigroup stockholders’ equity to assets	9.93			10.46
Dividend payout ratio(4)	23.1			19.6					23.6	%	19.3	%
Total payout ratio(5)	102.5			74.9					108.9		73.1
Book value per common share	$	79.40		$	71.95		10	%
Tangible book value (TBV) per share(6)	67.64			61.29			10

(1) See Note 2 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K for additional information on Citi’s discontinued operations.

(2) The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.

(3) Citi’s reportable Common Equity Tier 1 (CET1) Capital and Tier 1 Capital ratios were the lower derived under the U.S. Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the U.S. Basel III Advanced Approaches framework. This reflects the U.S. Basel III requirement to report the lower of risk-based capital ratios under both the Standardized Approach and Advanced Approaches in accordance with the Collins Amendment of the Dodd-Frank Act.

(4) Dividends declared per common share as a percentage of net income per diluted share.

(5) Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders. See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.

(6) For information on TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity” below.

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SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES

CITIGROUP INCOME

	Second Quarter							Six Months
In millions of dollars	2019		2018			% Change		2019		2018			% Change
Income from continuing operations
Global Consumer Banking
North America	$	721	$	719		—	%	$	1,490	$	1,557		(4	)%
Latin America	262		197			33		514		376			37
Asia(1)	430		360			19		846		733			15
Total	$	1,413	$	1,276		11	%	$	2,850	$	2,666		7	%
Institutional Clients Group
North America	$	1,022	$	1,030		(1	)%	$	1,736	$	1,888		(8	)%
EMEA	1,005		986			2		2,130		2,099			1
Latin America	491		517			(5	)	994		1,011			(2	)
Asia	825		708			17		1,805		1,577			14
Total	$	3,343	$	3,241		3	%	$	6,665	$	6,575		1	%
Corporate/Other	36		(16		)	NM		14		(91		)	NM
Income from continuing operations	$	4,792	$	4,501		6	%	$	9,529	$	9,150		4	%
Discontinued operations	$	17	$	15		13	%	$	15	$	8		88	%
Less: Net income attributable to noncontrolling interests	10		26			(62	)	35		48			(27	)
Citigroup’s net income	$	4,799	$	4,490		7	%	$	9,509	$	9,110		4	%

(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.

NM Not meaningful

CITIGROUP REVENUES

	Second Quarter						Six Months
In millions of dollars	2019		2018		% Change		2019		2018		% Change
Global Consumer Banking
North America	$	5,158	$	5,004	3	%	$	10,343	$	10,161	2	%
Latin America	1,432		1,375		4		2,813		2,715		4
Asia(1)	1,915		1,865		3		3,800		3,794		—
Total	$	8,505	$	8,244	3	%	$	16,956	$	16,670	2	%
Institutional Clients Group
North America	$	3,478	$	3,511	(1	)%	$	6,597	$	6,777	(3	)%
EMEA	2,960		3,043		(3	)	6,130		6,210		(1	)
Latin America	1,195		1,168		2		2,355		2,384		(1	)
Asia	2,088		1,975		6		4,333		4,181		4
Total	$	9,721	$	9,697	—	%	$	19,415	$	19,552	(1	)%
Corporate/Other	532		528		1		963		1,119		(14	)
Total Citigroup net revenues	$	18,758	$	18,469	2	%	$	37,334	$	37,341	—	%

(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.

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SEGMENT BALANCE SHEET⁽¹⁾ 

In millions of dollars	Global Consumer Banking		Institutional Clients Group		Corporate/Other and consolidating eliminations(2)			Citigroup parent company- issued long-term debt and stockholders’ equity(3)			Total Citigroup consolidated
Assets
Cash and deposits with banks	$	9,323	$	71,804	$	122,116		$	—		$	203,243
Securities borrowed and purchased under agreements to resell	175		259,341		253			—			259,769
Trading account assets	1,041		295,151		10,639			—			306,831
Investments	1,064		117,471		231,167			—			349,702
Loans, net of unearned income and   allowance for loan losses	304,569		360,298		11,337			—			676,204
Other assets	38,943		110,571		42,963			—			192,477
Net inter-segment liquid assets(4)	81,471		239,509		(320,980		)	—			—
Total assets	$	436,586	$	1,454,145	$	97,495		$	—		$	1,988,226
Liabilities and equity
Total deposits	$	315,923	$	714,759	$	14,925		$	—		$	1,045,607
Securities loaned and sold under   agreements to repurchase	4,255		176,844		34			—			181,133
Trading account liabilities	411		135,394		489			—			136,294
Short-term borrowings	370		26,646		15,426			—			42,442
Long-term debt(3)	1,752		53,783		44,513			152,141			252,189
Other liabilities	21,023		92,664		18,764			—			132,451
Net inter-segment funding (lending)(3)	92,852		254,055		2,593			(349,500		)	—
Total liabilities	$	436,586	$	1,454,145	$	96,744		$	(197,359	)	$	1,790,116
Total stockholders’ equity(5)	—		—		751			197,359			198,110
Total liabilities and equity	$	436,586	$	1,454,145	$	97,495		$	—		$	1,988,226

(1) The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of June 30, 2019. The respective segment information depicts the assets and liabilities managed by each segment as of such date.

(2) Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other.

(3) The total stockholders’ equity and the majority of long-term debt of Citigroup reside in the Citigroup parent company balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.

(4) Represents the attribution of Citigroup’s liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.

(5) Corporate/Other equity represents noncontrolling interests.

9

GLOBAL CONSUMER BANKING

Global Consumer Banking (GCB) consists of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking, including commercial banking, and Citi-branded cards and Citi retail services (for additional information on these businesses, see “Citigroup Segments” above). GCB is focused on its priority markets in the U.S., Mexico and Asia with 2,399 branches in 19 countries and jurisdictions as of June 30, 2019. At June 30, 2019, GCB had approximately $437 billion in assets and $316 billion in deposits.

GCB’s overall strategy is to leverage Citi’s global footprint and be the pre-eminent bank for the affluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets (including commercial banking), Citi serves customers in a somewhat broader set of segments and geographies.

	Second Quarter								Six Months
In millions of dollars, except as otherwise noted	2019			2018			% Change		2019			2018			% Change
Net interest revenue	$	7,272		$	7,019		4	%	$	14,525		$	13,999		4	%
Non-interest revenue	1,233			1,225			1		2,431			2,671			(9	)
Total revenues, net of interest expense	$	8,505		$	8,244		3	%	$	16,956		$	16,670		2	%
Total operating expenses	$	4,663		$	4,652		—	%	$	9,271		$	9,329		(1	)%
Net credit losses	$	1,889		$	1,726		9	%	$	3,780		$	3,462		9	%
Credit reserve build (release)	99			154			(36	)	175			298			(41	)
Provision (release) for unfunded lending commitments	5			3			67	%	10			2			NM
Provision for benefits and claims	19			22			(14	)	31			48			(35	)
Provisions for credit losses and for benefits and claims (LLR & PBC)	$	2,012		$	1,905		6	%	$	3,996		$	3,810		5	%
Income from continuing operations before taxes	$	1,830		$	1,687		8	%	$	3,689		$	3,531		4	%
Income taxes	417			411			1		839			865			(3	)
Income from continuing operations	$	1,413		$	1,276		11	%	$	2,850		$	2,666		7	%
Noncontrolling interests	1			1			—		1			3			(67	)
Net income	$	1,412		$	1,275		11	%	$	2,849		$	2,663		7	%
Balance Sheet data and ratios (in billions of dollars)
Total EOP assets	$	437		$	422		4	%
Average assets	431			417			3		$	429		$	420		2	%
Return on average assets	1.31		%	1.23		%			1.34		%	1.28		%
Efficiency ratio	55			56					55			56
Average deposits	$	313		$	306		2		$	312		$	307		2
Net credit losses as a percentage of average loans	2.45		%	2.28		%			2.46		%	2.29		%
Revenue by business
Retail banking	$	3,574		$	3,483		3	%	$	7,041		$	6,947		1	%
Cards(1)	4,931			4,761			4		9,915			9,723			2
Total	$	8,505		$	8,244		3	%	$	16,956		$	16,670		2	%
Income from continuing operations by business
Retail banking	$	629		$	577		9	%	$	1,155		$	1,097		5	%
Cards(1)	784			699			12		1,695			1,569			8
Total	$	1,413		$	1,276		11	%	$	2,850		$	2,666		7	%

Table continues on the next page, including footnotes.

10

Foreign currency (FX) translation impact
Total revenue—as reported	$	8,505	$	8,244		3	%	$	16,956	$	16,670		2	%
Impact of FX translation(2)	—		(29		)			—		(142		)
Total revenues—ex-FX(3)	$	8,505	$	8,215		4	%	$	16,956	$	16,528		3	%
Total operating expenses—as reported	$	4,663	$	4,652		—	%	$	9,271	$	9,329		(1	)%
Impact of FX translation(2)	—		(23		)			—		(93		)
Total operating expenses—ex-FX(3)	$	4,663	$	4,629		1	%	$	9,271	$	9,236		—	%
Total provisions for LLR & PBC—as reported	$	2,012	$	1,905		6	%	$	3,996	$	3,810		5	%
Impact of FX translation(2)	—		(2		)			—		(22		)
Total provisions for LLR & PBC—ex-FX(3)	$	2,012	$	1,903		6	%	$	3,996	$	3,788		5	%
Net income—as reported	$	1,412	$	1,275		11	%	$	2,849	$	2,663		7	%
Impact of FX translation(2)	—		(4		)			—		(19		)
Net income—ex-FX(3)	$	1,412	$	1,271		11	%	$	2,849	$	2,644		8	%

(1) Includes both Citi-branded cards and Citi retail services.

(2) Reflects the impact of FX translation into U.S. dollars at the second quarter of 2019 and year-to-date 2019 average exchange rates for all periods presented.

(3) Presentation of this metric excluding FX translation is a non-GAAP financial measure.

NM Not meaningful

11

NORTH AMERICA GCB

North America GCB provides traditional retail banking, including commercial banking, and its Citi-branded cards and Citi retail services card products to retail customers and small to mid-size businesses, as applicable, in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Citi-branded cards as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Best Buy and Macy’s) within Citi retail services.

As of June 30, 2019, North America GCB had 688 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of June 30, 2019, North America GCB had approximately 9.1 million retail banking customer accounts, $58.3 billion in retail banking loans and $184.0 billion in deposits. In addition, North America GCB had approximately 118.9 million Citi-branded and Citi retail services credit card accounts with $140.2 billion in outstanding card loan balances.

	Second Quarter								Six Months
In millions of dollars, except as otherwise noted	2019			2018			% Change		2019			2018			% Change
Net interest revenue	$	5,030		$	4,780		5	%	$	10,088		$	9,530		6	%
Non-interest revenue	128			224			(43	)	255			631			(60	)
Total revenues, net of interest expense	$	5,158		$	5,004		3	%	$	10,343		$	10,161		2	%
Total operating expenses	$	2,720		$	2,666		2	%	$	5,389		$	5,311		1	%
Net credit losses	$	1,428		$	1,278		12	%	$	2,857		$	2,574		11	%
Credit reserve build (release)	82			115			(29	)	180			238			(24	)
Provision (release) for unfunded lending commitments	6			2			NM		11			(2		)	NM
Provision for benefits and claims	6			5			20		12			11			9
Provisions for credit losses and for benefits and claims	$	1,522		$	1,400		9	%	$	3,060		$	2,821		8	%
Income from continuing operations before taxes	$	916		$	938		(2	)%	$	1,894		$	2,029		(7	)%
Income taxes	195			219			(11	)	404			472			(14	)
Income from continuing operations	$	721		$	719		—	%	$	1,490		$	1,557		(4	)%
Noncontrolling interests	—			—			—		—			—			—
Net income	$	721		$	719		—	%	$	1,490		$	1,557		(4	)%
Balance Sheet data and ratios (in billions of dollars)
Average assets	$	253		$	244		4	%	$	252		$	246		2	%
Return on average assets	1.14		%	1.18		%			1.19		%	1.28		%
Efficiency ratio	53			53					52			52
Average deposits	$	183.0		$	179.9		2		$	182.7		$	180.4		1
Net credit losses as a percentage of average loans	2.93		%	2.72		%			2.95		%	2.74		%
Revenue by business
Retail banking	$	1,351		$	1,348		—	%	$	2,667		$	2,655		—	%
Citi-branded cards	2,197			2,062			7		4,392			4,294			2
Citi retail services	1,610			1,594			1		3,284			3,212			2
Total	$	5,158		$	5,004		3	%	$	10,343		$	10,161		2	%
Income from continuing operations by business
Retail banking	$	114		$	161		(29	)%	$	197		$	301		(35	)%
Citi-branded cards	364			309			18		746			734			2
Citi retail services	243			249			(2	)	547			522			5
Total	$	721		$	719		—	%	$	1,490		$	1,557		(4	)%

NM Not meaningful

12

2Q19 vs. 2Q18

Net income was largely unchanged, as higher revenues and a lower effective tax rate were offset by higher cost of credit and higher expenses.

Revenues increased 3%, reflecting growth in Citi-branded cards and Citi retail services.

Retail banking revenues were largely unchanged. Excluding mortgage revenues (decline of 9%), revenues were up 1%, as growth in deposit volumes was partially offset by lower deposit spreads in commercial banking. Average deposits increased 2% and assets under management increased 12%. The decline in mortgage revenues was driven by spread compression, partially offset by higher volumes.

Cards revenues increased 4%. In Citi-branded cards, revenues increased 7%, primarily driven by continued growth in interest-earning balances. Average loans increased 2% and purchase sales increased 8%.

Citi retail services revenues increased 1%, primarily driven by organic loan growth and the benefit of the L.L.Bean portfolio acquisition, partially offset by higher contractual partner payments. Average loans increased 5% and purchase sales increased 4%.

Expenses increased 2%, as higher volume-related expenses and investments were largely offset by efficiency savings.

Provisions increased 9% from the prior-year period, primarily driven by higher net credit losses, partially offset by a lower net loan loss reserve build. Net credit losses increased 12%, primarily driven by higher net credit losses in Citi-branded cards (up 10% to $723 million) and Citi retail services (up 11% to $654 million). The increase in net credit losses primarily reflected volume growth and seasoning in both cards portfolios.

The net loan loss reserve build in the current quarter was $88 million, reflecting volume growth and seasoning in both cards portfolios (compared to a build of $117 million in the prior-year period).

For additional information on North America GCB’s retail banking, including commercial banking, and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.

For additional information on Citi retail services’ co-brand and private label credit card products with Sears, see “Forward-Looking Statements” below and “North America GCB” and “Risk Factors—Strategic Risks” in Citi’s 2018 Annual Report on Form 10-K.

2019 YTD vs. 2018 YTD

Year-to-date, North America GCB experienced similar trends to those described above. Net income decreased 4%, as higher cost of credit and higher expenses were partially offset by a lower effective tax rate and higher revenues.

Revenues increased 2%. Excluding the impact of the $150 million gain on the Hilton portfolio sale in the prior-year period, revenues increased 3%, reflecting higher revenues in Citi-branded cards and Citi retail services. Retail banking revenues were largely unchanged. Excluding mortgage revenues (decline of 11%), retail banking revenues increased 2%, driven by the same factors described above. Cards revenues increased 2% (4% excluding the Hilton gain). In Citi-branded cards, revenues increased 2% (6% excluding the Hilton gain), driven by the same factors described above. Citi retail services revenues increased 2%, driven by the same factors described above.

Expenses increased 1%, driven by the same factors described above.

Provisions increased 8%. Net credit losses increased 11%, driven by volume growth and seasoning in both cards portfolios. This increase was partially offset by a 19% decline in the net loan loss reserve build.

13

LATIN AMERICA GCB

Latin America GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses in Mexico through Citibanamex, one of Mexico’s largest banks.

At June 30, 2019, Latin America GCB had 1,459 retail branches in Mexico, with approximately 30.3 million retail banking customer accounts, $20.1 billion in retail banking loans and $29.2 billion in deposits. In addition, the business had approximately 5.4 million Citi-branded card accounts with $5.7 billion in outstanding card loan balances.

	Second Quarter								Six Months						% Change
In millions of dollars, except as otherwise noted	2019			2018			% Change		2019			2018
Net interest revenue	$	1,017		$	1,013		—	%	$	1,992		$	2,010		(1	)%
Non-interest revenue	415			362			15		821			705			16
Total revenues, net of interest expense	$	1,432		$	1,375		4	%	$	2,813		$	2,715		4	%
Total operating expenses	$	765		$	779		(2	)%	$	1,500		$	1,534		(2	)%
Net credit losses	$	285		$	278		3	%	$	583		$	556		5	%
Credit reserve build	10			33			(70	)	3			75			(96	)
Provision (release) for unfunded lending commitments	(1		)	—			—		(1		)	1			NM
Provision for benefits and claims	13			17			(24	)	19			37			(49	)
Provisions for credit losses and for benefits and claims (LLR & PBC)	$	307		$	328		(6	)%	$	604		$	669		(10	)%
Income from continuing operations before taxes	$	360		$	268		34	%	$	709		$	512		38	%
Income taxes	98			71			38		195			136			43
Income from continuing operations	$	262		$	197		33	%	$	514		$	376		37	%
Net income	$	262		$	197		33	%	$	514		$	376		37	%
Balance Sheet data and ratios (in billions of dollars)
Average assets	$	45		$	43		5	%	$	45		$	44		2	%
Return on average assets	2.34		%	1.84		%			2.30		%	1.72		%
Efficiency ratio	53			57					53			57
Average deposits	$	29.2		$	28.3		3		$	28.9		$	28.6		1
Net credit losses as a percentage of average loans	4.47		%	4.37		%			4.57		%	4.33		%
Revenue by business
Retail banking	$	1,015		$	993		2	%	$	2,023		$	1,952		4	%
Citi-branded cards	417			382			9		790			763			4
Total	$	1,432		$	1,375		4	%	$	2,813		$	2,715		4	%
Income from continuing operations by business
Retail banking	$	192		$	152		26	%	$	389		$	286		36	%
Citi-branded cards	70			45			56		125			90			39
Total	$	262		$	197		33	%	$	514		$	376		37	%
FX translation impact
Total revenues—as reported	$	1,432		$	1,375		4	%	$	2,813		$	2,715		4	%
Impact of FX translation(1)	—			13					—			(31		)
Total revenues—ex-FX(2)	$	1,432		$	1,388		3	%	$	2,813		$	2,684		5	%
Total operating expenses—as reported	$	765		$	779		(2	)%	$	1,500		$	1,534		(2	)%
Impact of FX translation(1)	—			6					—			(16		)
Total operating expenses—ex-FX(2)	$	765		$	785		(3	)%	$	1,500		$	1,518		(1	)%
Provisions for LLR & PBC—as reported	$	307		$	328		(6	)%	$	604		$	669		(10	)%
Impact of FX translation(1)	—			3					—			(9		)
Provisions for LLR & PBC—ex-FX(2)	$	307		$	331		(7	)%	$	604		$	660		(8	)%
Net income—as reported	$	262		$	197		33	%	$	514		$	376		37	%
Impact of FX translation(1)	—			2					—			(5		)
Net income—ex-FX(2)	$	262		$	199		32	%	$	514		$	371		39	%

14

(1) Reflects the impact of FX translation into U.S. dollars at the second quarter of 2019 and year-to-date 2019 average exchange rates for all periods presented.

(2) Presentation of this metric excluding FX translation is a non-GAAP financial measure.

NM Not meaningful

The discussion of the results of operations for Latin America GCB below excludes the impact of FX translation for all periods presented. Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a reconciliation of certain of these metrics to the reported results, see the table above.

2Q19 vs. 2Q18

Net income increased 32%, reflecting higher revenues, lower expenses and lower cost of credit.

Revenues increased 3% from the prior year. Excluding revenues associated with the sale of an asset management business in Mexico in the third quarter of 2018, revenues increased 5%, primarily driven by an increase in cards revenues and improved deposit spreads.

Retail banking revenues increased 1% compared to the prior-year period. Excluding the revenues associated with the asset management business, retail banking revenues increased 3%, as modest deposit growth (average deposits up 2%) and improved deposit spreads were partially offset by lower average loans (down 2%), reflecting the ongoing slowdown in overall economic growth and industry volumes in Mexico. Cards revenues increased 8%, primarily driven by continued volume growth, reflecting higher purchase sales (up 7%) and full-rate revolving loans, as well as higher rates. Average cards loans grew 2%.

Expenses decreased 3%, as efficiency savings more than offset ongoing investment spending and volume-driven growth.

Provisions decreased 7%, primarily driven by a lower net loan loss reserve build, reflecting lower volumes.

For additional information on Latin America GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.

2019 YTD vs. 2018 YTD

Year-to-date, Latin America GCB experienced similar trends to those described above. Net income increased 39%, driven by the same factors described above.

Revenues increased 5%, reflecting higher revenues in both retail banking and cards. Retail banking revenues increased 5%, driven by the same factors described above. Cards revenues increased 5%, driven by the same factors described above.

Expenses decreased 1%, driven by the same factors described above.

Provisions decreased 8%, driven by the same factors described above.

15

ASIA GCB

Asia GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses, as applicable. During the second quarter of 2019, Asia GCB’s most significant revenues in Asia were from Hong Kong, Korea, Singapore, India, Australia, Taiwan, Thailand, Philippines, Indonesia and Malaysia. Included within Asia GCB, traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily Poland, Russia and the United Arab Emirates.

At June 30, 2019, on a combined basis, the businesses had 252 retail branches, approximately 16.1 million retail banking customer accounts, $70.8 billion in retail banking loans and $102.6 billion in deposits. In addition, the businesses had approximately 15.2 million Citi-branded card accounts with $19.2 billion in outstanding card loan balances.

	Second Quarter								Six Months						% Change
In millions of dollars, except as otherwise noted(1)	2019			2018			% Change		2019			2018
Net interest revenue	$	1,225		$	1,226		—	%	$	2,445		$	2,459		(1	)%
Non-interest revenue	690			639			8		1,355			1,335			1
Total revenues, net of interest expense	$	1,915		$	1,865		3	%	$	3,800		$	3,794		—	%
Total operating expenses	$	1,178		$	1,207		(2	)%	$	2,382		$	2,484		(4	)%
Net credit losses	$	176		$	170		4	%	$	340		$	332		2	%
Credit reserve build (release)	7			6			17		(8		)	(15		)	47
Provision (release) for unfunded lending commitments	—			1			(100	)	—			3			(100	)
Provisions for credit losses	$	183		$	177		3	%	$	332		$	320		4	%
Income from continuing operations before taxes	$	554		$	481		15	%	$	1,086		$	990		10	%
Income taxes	124			121			2		240			257			(7	)
Income from continuing operations	$	430		$	360		19	%	$	846		$	733		15	%
Noncontrolling interests	1			1			—		1			3			(67	)
Net income	$	429		$	359		19	%	$	845		$	730		16	%
Balance Sheet data and ratios (in billions of dollars)
Average assets	$	133		$	130		2	%	$	133		$	131		2	%
Return on average assets	1.29		%	1.11		%			1.28		%	1.12		%
Efficiency ratio	62			65					63			65
Average deposits	$	100.7		$	97.6		3		$	100.0		$	98.4		2
Net credit losses as a percentage of average loans	0.80		%	0.77		%			0.77		%	0.75		%
Revenue by business
Retail banking	$	1,208		$	1,142		6	%	$	2,351		$	2,340		—	%
Citi-branded cards	707			723			(2	)	1,449			1,454			—
Total	$	1,915		$	1,865		3	%	$	3,800		$	3,794		—	%
Income from continuing operations by business
Retail banking	$	323		$	264		22	%	$	569		$	510		12	%
Citi-branded cards	107			96			11		277			223			24
Total	$	430		$	360		19	%	$	846		$	733		15	%

16

FX translation impact
Total revenues—as reported	$	1,915	$	1,865		3	%	$	3,800	$	3,794		—	%
Impact of FX translation(2)	—		(42		)			—		(111		)
Total revenues—ex-FX(3)	$	1,915	$	1,823		5	%	$	3,800	$	3,683		3	%
Total operating expenses—as reported	$	1,178	$	1,207		(2	)%	$	2,382	$	2,484		(4	)%
Impact of FX translation(2)	—		(29		)			—		(77		)
Total operating expenses—ex-FX(3)	$	1,178	$	1,178		—	%	$	2,382	$	2,407		(1	)%
Provisions for loan losses—as reported	$	183	$	177		3	%	$	332	$	320		4	%
Impact of FX translation(2)	—		(5		)			—		(13		)
Provisions for loan losses—ex-FX(3)	$	183	$	172		6	%	$	332	$	307		8	%
Net income—as reported	$	429	$	359		19	%	$	845	$	730		16	%
Impact of FX translation(2)	—		(6		)			—		(14		)
Net income—ex-FX(3)	$	429	$	353		22	%	$	845	$	716		18	%

(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.

(2) Reflects the impact of FX translation into U.S. dollars at the second quarter of 2019 and year-to-date 2019 average exchange rates for all periods presented.

(3) Presentation of this metric excluding FX translation is a non-GAAP financial measure.

The discussion of the results of operations for Asia GCB below excludes the impact of FX translation for all periods presented. Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a reconciliation of certain of these metrics to the reported results, see the table above.

2Q19 vs. 2Q18

Net income increased 22%, reflecting higher revenues and a lower effective tax rate, partially offset by higher cost of credit.

Revenues increased 5%, including a gain from a building sale. Excluding the gain, revenues increased 3%, driven by higher retail banking revenues.

Retail banking revenues increased 8% compared to the prior-year period. Excluding the gain, retail banking revenues increased 4%, primarily driven by higher deposit revenues as well as a recovery in investment revenues due to improved market sentiment. Investment sales increased 8%, while assets under management grew 10%, average deposits increased 6% and average loans increased 4%. Retail lending revenues declined 2%, as continued growth in personal loans was more than offset by lower mortgage revenues due to spread compression.

Cards revenues were largely unchanged, as continued growth in average loans (up 4%) and purchase sales (up 5%) were offset by spread compression.

Expenses were largely unchanged, as efficiency savings offset volume-driven growth and ongoing investment spending.

Provisions increased 6%, primarily driven by higher net credit losses, reflecting volume growth and seasoning. Overall credit quality continued to remain stable in the region.

For additional information on Asia GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.

2019 YTD vs. 2018 YTD

Year-to-date, Asia GCB experienced similar trends to

those described above. Net income increased 18%, due to higher revenues, lower expenses and a lower effective tax rate, partially offset by higher cost of credit.

Revenues increased 3%, driven by growth in both retail banking and cards. Retail banking revenues increased 3%, driven by growth in deposits, partially offset by lower investment and retail lending revenues. Cards revenues were up 3%, including a modest one-time gain. Excluding the gain, cards revenues were up 1%, driven by continued growth in average loans and purchase sales, partially offset by spread compression.

Expenses decreased 1%, as volume-driven growth and ongoing investment spending were more than offset by efficiency savings.

Provisions were up 8%, driven by the same factors described above.

17

INSTITUTIONAL CLIENTS GROUP

Institutional Clients Group (ICG) includes Banking and Markets and securities services (for additional information on these businesses, see “Citigroup Segments” above). ICG provides corporate, institutional, public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products. For more information on ICG’s business activities, see “Institutional Clients Group” in Citi’s 2018 Annual Report on Form 10-K.

ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 98 countries and jurisdictions. At June 30, 2019, ICG had approximately $1.5 trillion in assets and $715 billion in deposits, while two of its businesses—securities services and issuer services—managed approximately $19.0 trillion in assets under custody compared to $17.8 trillion at the end of the prior-year period.

	Second Quarter								Six Months						% Change
In millions of dollars, except as otherwise noted	2019			2018			% Change		2019			2018
Commissions and fees	$	1,046		$	1,127		(7	)%	$	2,167		$	2,340		(7	)%
Administration and other fiduciary fees	696			713			(2	)	1,366			1,407			(3	)
Investment banking	1,100			1,246			(12	)	2,212			2,231			(1	)
Principal transactions	1,930			2,339			(17	)	4,562			5,183			(12	)
Other(1)	716			179			NM		1,000			644			55
Total non-interest revenue	$	5,488		$	5,604		(2	)%	$	11,307		$	11,805		(4	)%
Net interest revenue (including dividends)	4,233			4,093			3		8,108			7,747			5
Total revenues, net of interest expense	$	9,721		$	9,697		—	%	$	19,415		$	19,552		(1	)%
Total operating expenses	$	5,356		$	5,460		(2	)%	$	10,783		$	10,966		(2	)%
Net credit losses	$	72		$	(1	)	NM		$	127		$	104		22	%
Credit reserve build (release)	47			32			47		(7		)	(143		)	95
Provision (release) for unfunded lending commitments	(16		)	(6		)	NM		4			23			(83	)
Provisions for credit losses	$	103		$	25		NM		$	124		$	(16	)	NM
Income from continuing operations before taxes	$	4,262		$	4,212		1	%	$	8,508		$	8,602		(1	)%
Income taxes	919			971			(5	)	1,843			2,027			(9	)
Income from continuing operations	$	3,343		$	3,241		3	%	$	6,665		$	6,575		1	%
Noncontrolling interests	10			12			(17	)	21			27			(22	)
Net income	$	3,333		$	3,229		3	%	$	6,644		$	6,548		1	%
EOP assets (in billions of dollars)	$	1,454		$	1,397		4	%
Average assets (in billions of dollars)	1,450			1,406			3		$	1,432		$	1,397		3	%
Return on average assets	0.92		%	0.92		%			0.94		%	0.95		%
Efficiency ratio	55			56					56			56
Revenues by region
North America	$	3,478		$	3,511		(1	)%	$	6,597		$	6,777		(3	)%
EMEA	2,960			3,043			(3	)	6,130			6,210			(1	)
Latin America	1,195			1,168			2		2,355			2,384			(1	)
Asia	2,088			1,975			6		4,333			4,181			4
Total	$	9,721		$	9,697		—	%	$	19,415		$	19,552		(1	)%
Income from continuing operations by region
North America	$	1,022		$	1,030		(1	)%	$	1,736		$	1,888		(8	)%
EMEA	1,005			986			2		2,130			2,099			1
Latin America	491			517			(5	)	994			1,011			(2	)
Asia	825			708			17		1,805			1,577			14
Total	$	3,343		$	3,241		3	%	$	6,665		$	6,575		1	%

18

Average loans by region (in billions of dollars)
North America	$	178	$	165	8	%	$	176	$	162	9	%
EMEA	85		80		6		85		79		8
Latin America	33		33		—		34		34		—
Asia	63		68		(7	)	63		68		(7	)
Total	$	359	$	346	4	%	$	358	$	343	4	%
EOP deposits by business (in billions of dollars)
Treasury and trade solutions	$	488	$	459	6	%
All other ICG businesses	227		217		5
Total	$	715	$	676	6	%

(1) The second quarter of 2019 includes an approximate $350 million gain on Citi's investment in Tradeweb.

NM Not meaningful

ICG Revenue Details

	Second Quarter								Six Months						% Change
In millions of dollars	2019			2018			% Change		2019			2018
Investment banking revenue details
Advisory	$	232		$	361		(36	)%	$	610		$	576		6	%
Equity underwriting	314			335			(6	)	486			551			(12	)
Debt underwriting	737			726			2		1,541			1,425			8
Total investment banking	$	1,283		$	1,422		(10	)%	$	2,637		$	2,552		3	%
Treasury and trade solutions	2,441			2,336			4		4,836			4,604			5
Corporate lending—excluding gains (losses) on loan hedges(1)	538			589			(9	)	1,107			1,110			—
Private bank	866			848			2		1,746			1,752			—
Total banking revenues (ex-gains (losses) on loan hedges)	$	5,128		$	5,195		(1	)%	$	10,326		$	10,018		3	%
Corporate lending—gains (losses) on loan hedges(1)	$	(75	)	$	23		NM		$	(306	)	$	46		NM
Total banking revenues (including gains (losses) on loan hedges), net of interest expense	$	5,053		$	5,218		(3	)%	$	10,020		$	10,064		—	%
Fixed income markets(2)	$	3,323		$	3,082		8	%	$	6,775		$	6,507		4	%
Equity markets	790			864			(9	)	1,632			1,967			(17	)
Securities services	682			665			3		1,320			1,306			1
Other	(127		)	(132		)	4		(332		)	(292		)	(14	)
Total markets and securities services revenues, net of interest expense	$	4,668		$	4,479		4	%	$	9,395		$	9,488		(1	)%
Total revenues, net of interest expense	$	9,721		$	9,697		—	%	$	19,415		$	19,552		(1	)%
Commissions and fees	$	198		$	182		9	%	$	372		$	357		4	%
Principal transactions(3)	1,870			2,114			(12	)	4,247			4,306			(1	)
Other(2)	533			28			NM		683			303			NM
Total non-interest revenue	$	2,601		$	2,324		12	%	$	5,302		$	4,966		7	%
Net interest revenue	722			758			(5	)	1,473			1,541			(4	)
Total fixed income markets	$	3,323		$	3,082		8	%	$	6,775		$	6,507		4	%
Rates and currencies	$	2,118		$	2,241		(5	)%	$	4,520		$	4,718		(4	)%
Spread products/other fixed income	1,205			841			43		2,255			1,789			26
Total fixed income markets	$	3,323		$	3,082		8	%	$	6,775		$	6,507		4	%
Commissions and fees	$	274		$	308		(11	)%	$	567		$	669		(15	)%
Principal transactions(3)	7			101			(93	)	403			638			(37	)
Other	10			20			(50	)	17			100			(83	)
Total non-interest revenue	$	291		$	429		(32	)%	$	987		$	1,407		(30	)%
Net interest revenue	499			435			15		645			560			15
Total equity markets	$	790		$	864		(9	)%	$	1,632		$	1,967		(17	)%

19

(1) Credit derivatives are used to economically hedge a portion of the corporate loan portfolio that includes both accrual loans and loans at fair value. Gains (losses) on loan hedges include the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.

(2) The second quarter of 2019 includes an approximate $350 million gain on Citi's investment in Tradeweb.

(3) Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.

NM Not meaningful

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

2Q19 vs. 2Q18

Net income increased 3%, primarily driven by a decrease in expenses and a lower effective tax rate, partially offset by an increase in cost of credit.

• Revenues were largely unchanged, as the Tradeweb gain was offset by lower revenues in Banking (decrease of 3%, including the impact of the gains (losses) on loan hedges) and Markets and securities services (decrease of 4%, excluding the Tradeweb gain). Excluding the Tradeweb gain, revenues decreased 3%. Banking revenues were down 3%. Excluding the impact of the gains (losses) on loan hedges, Banking revenues decreased 1%, as higher revenues in treasury and trade solutions and the private bank were more than offset by lower revenues in investment banking and corporate lending. Markets and securities services revenues were up 4% versus the prior-year period, including the Tradeweb gain. Excluding the Tradeweb gain, Markets and securities services revenues decreased 4%, as higher revenues in securities services were more than offset by lower fixed income and equity markets revenues. Citi expects that revenues in its markets and investment banking businesses will likely continue to reflect the overall market environment in the near term.

Within Banking:

• Investment banking revenues declined 10%, while outperforming the market wallet, as strength in debt underwriting was more than offset by a strong prior-year comparison in advisory. Advisory revenues declined 36%, primarily reflecting a decline in the market wallet as well as the strong prior-year period comparison. Equity underwriting revenues declined 6%, largely in line with the decline in market wallet. Debt underwriting revenues increased 2%, reflecting gains in wallet share, particularly in North America.

• Treasury and trade solutions revenues increased 4%. Excluding the impact of FX translation, revenues increased 7%, driven by growth in both the cash and trade businesses, reflecting both higher net interest and fee revenues. Average deposit balances increased 8% (10% excluding the impact of FX translation), reflecting strong growth across all regions. Revenue growth in the cash business was primarily driven by continued growth in deposit balances, as deposit spreads remained stable. Revenue growth in the trade business was driven primarily by improved loan spreads and higher episodic fees, modestly offset by lower average trade loans.

• Corporate lending revenues decreased from $612 million to $463 million. Excluding the impact of gains (losses) on

loan hedges, revenues decreased 9%, driven by higher hedging costs and lower spreads.

• Private bank revenues increased 2%, driven primarily by North America and Asia, partially offset by Latin America.  The increase in revenues reflected strong client activity, which drove higher lending, deposit and assets under management volumes, partially offset by spread compression.

Within Markets and securities services:

• Fixed income markets revenues increased 8%, including the Tradeweb gain. Excluding the Tradeweb gain, revenues decreased 4%, as growth across Asia and Latin America was more than offset by lower revenues in North America. The decrease in revenues reflected both lower net interest and non-interest revenues. Net interest revenues declined reflecting higher funding costs, given the higher interest rate environment. The decrease in non-interest revenues was largely driven by lower principal transactions revenues, reflecting lower investor client activity, particularly in rates and currencies, in a challenging market environment.

Rates and currencies revenues decreased 5%, as lower revenues in G10 rates and currencies, primarily in North America, were partially offset by higher local markets rates and currencies revenues, while corporate client activity was broadly stable. The decrease in rates reflected the challenging market environment, particularly in North America, as well as lower investor client activity in EMEA.

Spread products and other fixed income revenues increased 43%, including the Tradeweb gain. Excluding the Tradeweb gain, revenues increased 1%, as an increase in client activity in financing and flow products was largely offset by a continued challenging market environment in structured products, particularly in North America.

• Equity markets revenues decreased 9%, reflecting lower revenues in cash equities and prime finance, primarily in North America and Asia, partially offset by higher revenues in equity derivatives. The decline in cash equities revenues reflected lower client volumes. The decline in prime finance revenues was driven by lower client financing balances. Equity derivatives revenues increased, reflecting strong corporate client activity as well as improved volatility. Non-interest revenues decreased, primarily driven by lower principal

20

transactions revenues, reflecting a change in the mix of trading positions in support of client activity, partially offset by an increase in net interest revenues.

• Securities services revenues increased 3%. Excluding the impact of FX translation, revenues increased 7%, driven by higher client volumes and an increase in interest revenues due to higher interest rates.

Expenses decreased 2%, as efficiency savings and a benefit from FX translation more than offset ongoing investments and volume-related growth.

Provisions increased $78 million to $103 million, largely driven by higher net credit losses (up $73 million). The increase in net credit losses largely reflected a normalization of credit trends compared to the prior-year period that benefited from ratings upgrades. Citi expects this normalization of credit costs will likely continue in the near term.

2019 YTD vs. 2018 YTD

Net income increased 1%, primarily driven by lower expenses and a lower effective tax rate, partially offset by lower revenues and higher credit costs.

• Revenues decreased 1%, driven by a 1% decrease in Markets and securities services revenues (including the Tradeweb gain), while Banking revenues (including the impact of the gains (losses) on loan hedges) were largely unchanged. Excluding the impact of the gains (losses) on loan hedges, Banking revenues increased 3%, driven by higher revenues in treasury and trade solutions and investment banking. Markets and securities services revenues decreased 1%, as the Tradeweb gain and higher securities services revenues were more than offset by lower fixed income and equity markets revenues.

Within Banking:

• Investment banking revenues increased 3%. Advisory revenues increased 6%, reflecting gains in wallet share despite a decline in overall market wallet. Equity underwriting revenues decreased 12%, reflecting market wallet declines, particularly in EMEA and Asia. Debt underwriting revenues increased 8%, reflecting gains in wallet share, primarily in North America.

• Treasury and trade solutions revenues increased 5%. Excluding the impact of FX translation, revenues increased 8%, reflecting growth in both the cash and trade businesses, driven by continued growth in deposit volumes and improved loan spreads as well as strong fee growth across most cash products.

• Corporate lending revenues decreased from $1.2 billion to $801 million. Excluding the impact of gains (losses) on loan hedges, revenues were largely unchanged.

• Private bank revenues were largely unchanged versus the

prior-year period, as higher loan and deposit volumes were offset by lower managed investments revenues and spread compression.

Within Markets and securities services:

• Fixed income markets revenues increased 4%, including the Tradeweb gain. Excluding the Tradeweb gain, revenues decreased 1%, largely reflecting lower revenues in North America. Rates and currencies revenues decreased 4%, driven by the challenging market environment. Spread products and other fixed income revenues increased 26%, including the Tradeweb gain. Excluding the Tradeweb gain, revenues increased 6%, as strong flow trading and financing revenues were partially offset by lower revenues in structured products.

• Equity markets revenues decreased 17%, driven by North America and Asia, reflecting lower client activity as well as comparison to a strong prior-year period characterized by higher market volatility.

• Securities services revenues increased 1%. Excluding the impact of FX translation, revenues increased 6%, reflecting growth in both client volumes and assets under custody, as well as higher net interest revenue, driven by higher deposit volumes and higher interest rates.

Expenses decreased 2%, driven by the same factors described above.

Provisions increased $140 million to $124 million, primarily due to a lower loan loss reserve release (release of $3 million) as compared to the prior-year period (release of $120 million).

21

CORPORATE/OTHER

Corporate/Other includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as Corporate Treasury, certain North America legacy consumer loan portfolios, other legacy assets and discontinued operations (for additional information on Corporate/Other, see “Citigroup Segments” above). At June 30, 2019, Corporate/Other had $97 billion in assets.

	Second Quarter								Six Months						% Change
In millions of dollars	2019			2018			% Change		2019			2018
Net interest revenue	$	445		$	553		(20	)%	$	1,076		$	1,091		(1	)%
Non-interest revenue	87			(25		)	NM		(113		)	28			NM
Total revenues, net of interest expense	$	532		$	528		1	%	$	963		$	1,119		(14	)%
Total operating expenses	$	481		$	600		(20	)%	$	1,030		$	1,342		(23	)%
Net credit losses (recoveries)	$	2		$	(21	)	NM		$	4		$	5		(20	)%
Credit reserve build (release)	(20		)	(95		)	79	%	(46		)	(128		)	64
Provision (release) for unfunded lending commitments	(4		)	(1		)	NM		(5		)	(1		)	NM
Provision for benefits and claims	—			(1		)	NM		—			(1		)	100
Provisions (release) for credit losses and for benefits and claims	$	(22	)	$	(118	)	81	%	$	(47	)	$	(125	)	62	%
Income (loss) from continuing operations before taxes	$	73		$	46		59	%	$	(20	)	$	(98	)	80	%
Income taxes (benefits)	37			62			(40	)	(34		)	(7		)	NM
Income (loss) from continuing operations	$	36		$	(16	)	NM		$	14		$	(91	)	NM
Income (loss) from discontinued operations, net of taxes	17			15			13	%	15			8			88	%
Net income (loss) before attribution of noncontrolling interests	$	53		$	(1	)	NM		$	29		$	(83	)	NM
Noncontrolling interests	(1		)	13			NM		13			18			(28	)%
Net income (loss)	$	54		$	(14	)	NM		$	16		$	(101	)	NM

NM Not meaningful

2Q19 vs. 2Q18

Net income was $54 million, compared to a net loss of $14 million in the prior-year period. Net income was largely driven by lower expenses and a lower effective tax rate, partially offset by a lower net loan loss reserve release in the current period.

Revenues increased 1%, as higher treasury revenues and gains were largely offset by the wind-down of legacy assets.

Expenses decreased 20%, primarily driven by the wind-down of legacy assets.

Provisions increased $96 million to a net benefit of $22 million, primarily due to a lower net loan loss reserve release and absence of net recoveries in the prior-year period related to the continued wind-down in the legacy North America mortgage portfolio.

2019 YTD vs. 2018 YTD

Net income was $16 million, compared to a net loss of $101 million in the prior-year period, reflecting lower expenses, partially offset by a lower net loan loss reserve release and lower revenues.

Revenues decreased 14%, primarily driven by the wind-down of legacy assets.

Expenses decreased 23%, primarily driven by the wind-down of legacy assets.

Provisions increased $78 million to a net benefit of $47 million, primarily due to a lower net loan loss reserve release, driven by the same factors described above.

22

OFF-BALANCE SHEET ARRANGEMENTS

The table below shows where a discussion of Citi’s various off-balance sheet arrangements in this Form 10-Q may be found. For additional information, see “Off-Balance Sheet Arrangements” and Notes 1, 21 and 26 to the Consolidated Financial Statements in Citigroup’s 2018 Annual Report on Form 10-K.

Types of Off-Balance Sheet Arrangements Disclosures in this Form 10-Q

Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEs	See Note 18 to the Consolidated Financial Statements.
Letters of credit, and lending and other commitments	See Note 22 to the Consolidated Financial Statements.
Guarantees	See Note 22 to the Consolidated Financial Statements.

23

CAPITAL RESOURCES

For additional information about capital resources, including Citi’s capital management, the stress testing component of capital planning, current regulatory capital standards and regulatory capital standards developments, see “Capital Resources” and “Risk Factors” in Citi’s 2018 Annual Report on Form 10-K.

During the second quarter of 2019, Citi returned a total of $4.6 billion of capital to common shareholders in the form of share repurchases (approximately 54 million common shares) and dividends.

The following tables set forth Citi’s capital components and ratios:

	Effective Minimum Requirement(1)				Advanced Approaches									Standardized Approach
In millions of dollars, except ratios	2019		2018		Jun. 30, 2019			Mar. 30, 2019			Dec. 31, 2018			Jun. 30, 2019			Mar. 30, 2019			Dec. 31, 2018
Common Equity Tier 1 Capital					$	141,125		$	140,355		$	139,252		$	141,125		$	140,355		$	139,252
Tier 1 Capital					159,447			158,712			158,122			159,447			158,712			158,122
Total Capital (Tier 1 Capital     + Tier 2 Capital)					185,498			184,418			183,144			197,679			196,452			195,440
Total Risk-Weighted Assets					1,133,593			1,121,645			1,131,933			1,187,328			1,178,628			1,174,448
Credit Risk					$	763,600		$	752,804		$	758,887		$	1,127,714		$	1,118,057		$	1,109,007
Market Risk					58,824			59,200			63,987			59,614			60,571			65,441
Operational Risk					311,169			309,641			309,059			—			—			—
Common Equity Tier 1 Capital     ratio(2)	10.0	%	8.625	%	12.45		%	12.51		%	12.30		%	11.89		%	11.91		%	11.86		%
Tier 1 Capital ratio(2)	11.5		10.125		14.07			14.15			13.97			13.43			13.47			13.46
Total Capital ratio(2)	13.5		12.125		16.36			16.44			16.18			16.65			16.67			16.64

In millions of dollars, except ratios	Effective Minimum Requirement		Jun. 30, 2019			Mar. 30, 2019			Dec. 31, 2018
Quarterly Adjusted Average Total Assets(3)			$	1,939,611		$	1,899,790		$	1,896,959
Total Leverage Exposure(4)			2,500,128			2,463,958			2,465,641
Tier 1 Leverage ratio	4.0	%	8.22		%	8.35		%	8.34		%
Supplementary Leverage ratio	5.0		6.38			6.44			6.41

(1) Citi’s effective minimum risk-based capital requirements during 2019 and 2018 are inclusive of the 100% and 75% phase-in, respectively, of both the 2.5% Capital Conservation Buffer and the 3.0% GSIB surcharge (all of which must be composed of Common Equity Tier 1 Capital).

(2) Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework for all periods presented.

(3) Tier 1 Leverage ratio denominator.

(4) Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s risk-based capital ratios at June 30, 2019 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of June 30, 2019.

Common Equity Tier 1 Capital Ratio

Citi’s Common Equity Tier 1 Capital ratio was 11.9% at June 30, 2019, unchanged from March 31, 2019 and December 31, 2018, as net income and beneficial net movements in Accumulated other comprehensive income (AOCI) were offset by the return of capital to common shareholders and an increase in credit risk-weighted assets during the three and six months ended June 30, 2019.

24

Components of Citigroup Capital

In millions of dollars	June 30, 2019			December 31, 2018
Common Equity Tier 1 Capital
Citigroup common stockholders’ equity(1)	$	179,534		$	177,928
Add: Qualifying noncontrolling interests	154			147
Regulatory Capital Adjustments and Deductions:
Less: Accumulated net unrealized losses on cash flow hedges, net of tax	75			(728		)
Less: Cumulative unrealized net gain (loss) related to changes in fair value of    financial liabilities attributable to own creditworthiness, net of tax	(85		)	580
Less: Intangible assets:
Goodwill, net of related DTLs(2)	21,793			21,778
Identifiable intangible assets other than MSRs, net of related DTLs	4,264			4,402
Less: Defined benefit pension plan net assets	969			806
Less: DTAs arising from net operating loss, foreign tax credit and general    business credit carry-forwards(3)	11,547			11,985
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)	$	141,125		$	139,252
Additional Tier 1 Capital
Qualifying noncumulative perpetual preferred stock(1)	$	17,825		$	18,292
Qualifying trust preferred securities(4)	1,388			1,384
Qualifying noncontrolling interests	49			55
Regulatory Capital Deductions:
Less: Permitted ownership interests in covered funds(5)	900			806
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(6)	40			55
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)	$	18,322		$	18,870
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)    (Standardized Approach and Advanced Approaches)	$	159,447		$	158,122
Tier 2 Capital
Qualifying subordinated debt	$	24,062		$	23,324
Qualifying trust preferred securities(7)	321			321
Qualifying noncontrolling interests	48			47
Eligible allowance for credit losses(8)	13,841			13,681
Regulatory Capital Deduction:
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(6)	40			55
Total Tier 2 Capital (Standardized Approach)	$	38,232		$	37,318
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)	$	197,679		$	195,440
Adjustment for excess of eligible credit reserves over expected credit losses(8)	$	(12,181	)	$	(12,296	)
Total Tier 2 Capital (Advanced Approaches)	$	26,051		$	25,022
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)	$	185,498		$	183,144

(1) Issuance costs of $155 million as of June 30, 2019 and $168 million as of December 31, 2018 are related to outstanding noncumulative perpetual preferred stock, are excluded from common stockholders’ equity and are netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.

(2) Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.

(3) Of Citi’s $22.3 billion of net DTAs at June 30, 2019, $11.9 billion was includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $10.4 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of June 30, 2019 was $11.5 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, which was reduced by $1.1 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under the U.S. Basel III rules. Citi’s DTAs arising from temporary differences are less than the 10% limitation under the U.S. Basel III rules and therefore not subject to deduction from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.

(4) Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.

Footnotes continue on the following page.

25

(5) Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds.

(6) 50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.

(7) Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.

(8) Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $1.7 billion and $1.4 billion at June 30, 2019 and December 31, 2018, respectively.

26

Citigroup Capital Rollforward

In millions of dollars	Three Months Ended   June 30, 2019			Six Months Ended     June 30, 2019
Common Equity Tier 1 Capital, beginning of period	$	140,355		$	139,252
Net income	4,799			9,509
Common and preferred dividends declared	(1,337		)	(2,674		)
Net increase in treasury stock	(3,566		)	(7,057		)
Net change in common stock and additional paid-in capital	106			(278		)
Net increase in foreign currency translation gains net of hedges, net of tax	91			149
Net decrease in unrealized losses on debt securities AFS, net of tax	703			1,838
Net increase in defined benefit plans liability adjustment, net of tax	(253		)	(317		)
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax	21			97
Net increase in ASC 815—excluded component of fair value hedges	44			62
Net increase in goodwill, net of related DTLs	(25		)	(15		)
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs	126			138
Net increase in defined benefit pension plan net assets	(158		)	(163		)
Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards	209			438
Other	10			146
Net increase in Common Equity Tier 1 Capital	$	770		$	1,873
Common Equity Tier 1 Capital, end of period     (Standardized Approach and Advanced Approaches)	$	141,125		$	141,125
Additional Tier 1 Capital, beginning of period	$	18,357		$	18,870
Net decrease in qualifying perpetual preferred stock	—			(467		)
Net increase in qualifying trust preferred securities	2			4
Net increase in permitted ownership interest in covered funds	(52		)	(94		)
Other	15			9
Net decrease in Additional Tier 1 Capital	$	(35	)	$	(548	)
Tier 1 Capital, end of period     (Standardized Approach and Advanced Approaches)	$	159,447		$	159,447
Tier 2 Capital, beginning of period (Standardized Approach)	$	37,740		$	37,318
Net increase in qualifying subordinated debt	358			738
Net increase in eligible allowance for credit losses	122			160
Other	12			16
Net increase in Tier 2 Capital (Standardized Approach)	$	492		$	914
Tier 2 Capital, end of period (Standardized Approach)	$	38,232		$	38,232
Total Capital, end of period (Standardized Approach)	$	197,679		$	197,679
Tier 2 Capital, beginning of period (Advanced Approaches)	$	25,706		$	25,022
Net increase in qualifying subordinated debt	358			738
Net change in excess of eligible credit reserves over expected credit losses	(25		)	275
Other	12			16
Net increase in Tier 2 Capital (Advanced Approaches)	$	345		$	1,029
Tier 2 Capital, end of period (Advanced Approaches)	$	26,051		$	26,051
Total Capital, end of period (Advanced Approaches)	$	185,498		$	185,498

27

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

In millions of dollars	Three Months Ended   June 30, 2019			Six Months Ended     June 30, 2019
Total Risk-Weighted Assets, beginning of period	$	1,178,628		$	1,174,448
Changes in Credit Risk-Weighted Assets
General credit risk exposures(1)	9,078			2,006
Repo-style transactions(2)	331			8,061
Securitization exposures(3)	(6,933		)	398
Equity exposures(4)	1,702			3,541
Over-the-counter (OTC) derivatives(5)	2,898			2,964
Other exposures(6)	1,536			7,444
Off-balance sheet exposures(7)	1,045			(5,707		)
Net change in Credit Risk-Weighted Assets	$	9,657		$	18,707
Changes in Market Risk-Weighted Assets
Risk levels(8)	$	(1,252	)	$	(5,765	)
Model and methodology updates	295			(62		)
Net decrease in Market Risk-Weighted Assets	$	(957	)	$	(5,827	)
Total Risk-Weighted Assets, end of period	$	1,187,328		$	1,187,328

(1) General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three months ended June 30, 2019 primarily due to growth in retail and commercial loans.

(2) Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.

(3) Securitization exposures decreased during the three months ended June 30, 2019 primarily due to decreased exposures from existing deals.

(4) Equity exposures increased during the three months and six months ended June 30, 2019 primarily due to an increase in market value of investments.

(5) OTC derivatives increased during the three months and six months ended June 30, 2019 primarily due to notional increases.

(6) Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures increased during the six months ended June 30, 2019 primarily due to the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019, and increases in various other assets.

(7) Off-balance sheet exposures decreased during the six months ended June 30, 2019 primarily due to decreases in standby letters of credit and loan commitments.

(8) Risk levels decreased during the six months ended June 30, 2019 primarily due to decreases in exposure levels subject to Stressed Value at Risk and Value at Risk.

28

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

In millions of dollars	Three Months Ended   June 30, 2019			Six Months Ended     June 30, 2019
Total Risk-Weighted Assets, beginning of period	$	1,121,645		$	1,131,933
Changes in Credit Risk-Weighted Assets
Retail exposures	(654		)	(2,166		)
Wholesale exposures(1)	2,751			(9,556		)
Repo-style transactions(2)	4,288			3,318
Securitization exposures(3)	(4,090		)	(229		)
Equity exposures(4)	1,697			3,391
Over-the-counter (OTC) derivatives(5)	2,038			2,946
Derivatives CVA	648			634
Other exposures(6)	3,544			6,144
Supervisory 6% multiplier	574			231
Net increase in Credit Risk-Weighted Assets	$	10,796		$	4,713
Changes in Market Risk-Weighted Assets
Risk levels(7)	$	(671	)	$	(5,101	)
Model and methodology updates	295			(62		)
Net decrease in Market Risk-Weighted Assets	$	(376	)	$	(5,163	)
Net increase in Operational Risk-Weighted Assets	$	1,528		$	2,110
Total Risk-Weighted Assets, end of period	$	1,133,593		$	1,133,593

(1) Wholesale exposures decreased during the six months ended June 30, 2019 primarily due to annual model parameter updates reflecting Citi’s loss experience.

(2) Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.

(3) Securitization exposures decreased during the three months ended June 30, 2019 primarily due to decreased exposures from existing deals.

(4) Equity exposures increased during the three months and six months ended June 30, 2019 primarily due to an increase in market value of investments.

(5) OTC derivatives increased during the three months and six months ended June 30, 2019 primarily due to notional increases.

(6) Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures increased during the six months ended June 30, 2019 primarily due to the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019, and increases in various other assets.

(7) Risk levels decreased during the six months ended June 30, 2019 primarily due to decreases in exposure levels subject to Stressed Value at Risk and Value at Risk.

As set forth in the table above, total risk-weighted assets under the Basel III Standardized Approach increased from year-end 2018 primarily due to higher credit risk-weighted assets, partially offset by a decrease in market risk-weighted assets. The increase in credit risk-weighted assets was primarily due to increases in repo-style transactions, the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019 and increased equity exposures. The increase in credit risk-weighted assets was partially offset by decreases in standby letters of credit and loan commitments.

As set forth in the table above, total risk-weighted assets under the Basel III Advanced Approaches increased from year-end 2018 primarily due to higher credit and operational risk-weighted assets partially offset by a decrease in market risk-weighted assets. The increase in credit risk-weighted assets was primarily due to the recognition of ROU assets in accordance with the adoption of ASU 2016-02, increases in equity exposures and repo-style transactions, partially offset by decreases due to annual wholesale parameter updates.

Market risk-weighted assets under both the Basel III Standardized Approach and Basel III Advanced Approaches decreased from year-end 2018 primarily due to reductions in exposure levels subject to Stressed Value at Risk and Value at Risk.

29

Supplementary Leverage Ratio

As set forth in the table below, Citigroup’s Supplementary Leverage ratio was 6.4% for the second quarter of 2019. The ratio remained largely unchanged from the first quarter of 2019 and the fourth quarter of 2018, as the return of capital to common shareholders and an increase in Total Leverage Exposure (TLE) primarily due to growth in average on-balance sheet assets were offset by net income as well as beneficial net movements in AOCI during the three and six months ended June 30, 2019.

The following table sets forth Citi’s Supplementary Leverage ratio and related components:

In millions of dollars, except ratios	June 30, 2019			March 31, 2019			December 31, 2018
Tier 1 Capital	$	159,447		$	158,712		$	158,122
Total Leverage Exposure
On-balance sheet assets(1)	$	1,979,124		$	1,939,414		$	1,936,791
Certain off-balance sheet exposures:(2)
Potential future exposure on derivative contracts	179,880			184,115			187,130
Effective notional of sold credit derivatives, net(3)	42,319			44,506			49,402
Counterparty credit risk for repo-style transactions(4)	21,416			20,696			23,715
Unconditionally cancellable commitments	70,750			70,252			69,630
Other off-balance sheet exposures	246,152			244,599			238,805
Total of certain off-balance sheet exposures	$	560,517		$	564,168		$	568,682
Less: Tier 1 Capital deductions	(39,513		)	(39,624		)	(39,832		)
Total Leverage Exposure	$	2,500,128		$	2,463,958		$	2,465,641
Supplementary Leverage ratio	6.38		%	6.44		%	6.41		%

(1) Represents the daily average of on-balance sheet assets for the quarter.

(2) Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.

(3) Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.

(4) Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.

30

Capital Resources of Citigroup’s Subsidiary U.S. Depository Institutions

Citigroup’s subsidiary U.S. depository institutions, including Citibank, are also subject to regulatory capital standards issued by their respective primary federal bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.

The following tables set forth Citibank’s capital components and ratios:

	Effective Minimum Requirement(1)				Advanced Approaches									Standardized Approach
In millions of dollars, except ratios	2019		2018		Jun. 30, 2019			Mar. 30, 2019			Dec. 31, 2018			Jun. 30, 2019			Mar. 30, 2019			Dec. 31, 2018
Common Equity Tier 1 Capital					$	130,742		$	130,051		$	129,091		$	130,742		$	130,051		$	129,091
Tier 1 Capital					132,875			132,169			131,215			132,875			132,169			131,215
Total Capital (Tier 1 Capital     + Tier 2 Capital)(2)					145,554			145,516			144,358			156,304			156,132			155,154
Total Risk-Weighted Assets					934,661			926,758			926,229			1,041,349			1,041,251			1,032,809
Credit Risk					$	660,569		$	651,979		$	654,962		$	1,006,835		$	1,001,334		$	994,294
Market Risk					34,421			39,463			38,144			34,514			39,917			38,515
Operational Risk					239,671			235,316			233,123			—			—			—
Common Equity Tier 1 Capital     ratio(3)(4)	7.0	%	6.375	%	13.99		%	14.03		%	13.94		%	12.56		%	12.49		%	12.50		%
Tier 1 Capital ratio(3)(4)	8.5		7.875		14.22			14.26			14.17			12.76			12.69			12.70
Total Capital ratio(3)(4)	10.5		9.875		15.57			15.70			15.59			15.01			14.99			15.02

In millions of dollars, except ratios	Effective Minimum Requirement		Jun. 30, 2019			Mar. 30, 2019			Dec. 31, 2018
Quarterly Adjusted Average Total Assets(5)			$	1,427,576		$	1,397,703		$	1,398,875
Total Leverage Exposure(6)			1,932,340			1,909,587			1,914,663
Tier 1 Leverage ratio(4)	4.0	%	9.31		%	9.46		%	9.38		%
Supplementary Leverage ratio(4)	6.0		6.88			6.92			6.85

(1) Citibank’s effective minimum risk-based capital requirements during 2019 and 2018 are inclusive of the 100% and 75% phase-in, respectively, of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).

(2) Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.

(3) Citibank’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Standardized Approach for all periods presented.

(4) Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.” For additional information, see “Capital Resources—Current Regulatory Capital Standards—Prompt Corrective Action Framework” in Citigroup’s 2018 Annual Report on Form 10-K.

(5) Tier 1 Leverage ratio denominator.

(6) Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank’s capital ratios at June 30, 2019 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of June 30, 2019 under the revised PCA regulations.

31

Impact of Changes on Citigroup and Citibank Capital Ratios

The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in

Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of June 30, 2019. This information is provided for the purpose of analyzing the impact that a change in Citigroup’s or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.

	Common Equity Tier 1 Capital ratio		Tier 1 Capital ratio		Total Capital ratio
In basis points	Impact of $100 million change in Common Equity Tier 1 Capital	Impact of $1 billion change in risk- weighted assets	Impact of $100 million change in Tier 1 Capital	Impact of $1 billion change in risk- weighted assets	Impact of $100 million change in Total Capital	Impact of $1 billion change in risk- weighted assets
Citigroup
Advanced Approaches	0.9	1.1	0.9	1.2	0.9	1.4
Standardized Approach	0.8	1.0	0.8	1.1	0.8	1.4
Citibank
Advanced Approaches	1.1	1.5	1.1	1.5	1.1	1.7
Standardized Approach	1.0	1.2	1.0	1.2	1.0	1.4

	Tier 1 Leverage ratio		Supplementary Leverage ratio
In basis points	Impact of $100 million change in Tier 1 Capital	Impact of $1 billion change in quarterly adjusted average total assets	Impact of $100 million change in Tier 1 Capital	Impact of $1 billion change in Total Leverage Exposure
Citigroup	0.5	0.4	0.4	0.3
Citibank	0.7	0.7	0.5	0.4

32

Citigroup Broker-Dealer Subsidiaries

At June 30, 2019, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of $9.9 billion, which exceeded the minimum requirement by $7.1 billion.

Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total capital of $21.4 billion at June 30, 2019, which exceeded the PRA's minimum regulatory capital requirements.

In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at June 30, 2019.

Total Loss-Absorbing Capacity (TLAC)

As previously disclosed, effective January 1, 2019, U.S. global systemically important bank holding companies (GSIBs), including Citi, are required to maintain minimum levels of TLAC and eligible long-term debt (LTD), each set by reference to the GSIB’s consolidated risk-weighted assets and Total Leverage Exposure.

The table below details Citi’s eligible external TLAC and LTD amounts and ratios, and each effective minimum TLAC and LTD ratio requirement, as well as the surplus amount in dollars in excess of each requirement. As of June 30, 2019, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $13 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.

	June 30, 2019
In billions of dollars, except ratios	External TLAC			LTD
Total eligible amount	$	288		$	125
% of Standardized Approach risk-   weighted assets	24.3		%	10.6		%
Effective minimum requirement(1)(2)	22.5		%	9.0		%
Surplus amount	$	21		$	19
% of Total Leverage Exposure	11.5		%	5.0		%
Effective minimum requirement	9.5		%	4.5		%
Surplus amount	$	51		$	13

(1) External TLAC includes Method 1 GSIB surcharge of 2.0%.

(2) LTD includes Method 2 GSIB surcharge of 3.0%.

For additional information on Citi’s TLAC-related requirements, see “Liquidity Risk—Long-Term Debt—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance, Conduct and Legal Risks” in Citi’s 2018 Annual Report on Form 10-K.

Regulatory Capital Standards Developments

Leverage Ratio Treatment of Client Cleared Derivatives

In June 2019, the Basel Committee on Banking Supervision issued a final standard that revises its leverage ratio framework to align the leverage ratio measurement of client cleared derivatives with the measurement as determined per the Basel Committee’s standardized approach for measuring counterparty credit risk exposures, as used for risk-based capital requirements. Under the Basel Committee’s leverage ratio framework, the leverage ratio exposure measure is generally not adjusted for physical or financial collateral, guarantees or other credit risk mitigation techniques, including initial margin received from clients. However, the final rule permits both cash and non-cash forms of initial margin and variation margin received from clients to mitigate replacement cost and potential future exposure for client-cleared derivatives only. The Basel Committee stated in the rule that this revision balances the robustness of the leverage ratio as a non-risk based safeguard against unsustainable sources of leverage with the policy objective of promoting central clearing of standardized derivative contracts.

In the U.S., the Basel Committee’s leverage ratio framework and leverage ratio exposure measure are most closely aligned with the Supplementary Leverage Ratio and Total Leverage Exposure, respectively. If the U.S. agencies were to amend the Supplementary Leverage Ratio requirements in a manner similar to the Basel Committee, Citi’s Supplementary Leverage Ratio would likely benefit modestly. However, the impact from and timing of any actions undertaken by the U.S. banking agencies in this regard remains uncertain.

33

Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity

Tangible common equity (TCE), as defined by Citi, represents common stockholders’ equity less goodwill and identifiable intangible assets (other than MSRs). Other companies may calculate TCE in a different manner. TCE, tangible book value (TBV) per share and returns on average TCE are non-GAAP financial measures.

In millions of dollars or shares, except per share amounts	June 30, 2019		December 31, 2018
Total Citigroup stockholders’ equity	$	197,359	$	196,220
Less: Preferred stock	17,980		18,460
Common stockholders’ equity	$	179,379	$	177,760
Less:
Goodwill	22,065		22,046
Identifiable intangible assets (other than MSRs)	4,518		4,636
Tangible common equity (TCE)	$	152,796	$	151,078
Common shares outstanding (CSO)	2,259.1		2,368.5
Book value per share (common equity/CSO)	$	79.40	$	75.05
Tangible book value per share (TCE/CSO)	67.64		63.79

In millions of dollars	Three Months Ended June 30, 2019			Three Months Ended June 30, 2018			Six Months Ended June 30, 2019			Six Months Ended June 30, 2018
Net income available to common shareholders	$	4,503		$	4,172		$	8,951		$	8,520
Average common stockholders’ equity	$	178,257		$	181,229		$	177,814		$	181,429
Average TCE	$	152,193		$	154,921		$	151,821		$	154,818
Return on average common stockholders’ equity	10.1		%	9.2		%	10.2		%	9.5		%
Return on average TCE (RoTCE)(1)	11.9			10.8			11.9			11.1

(1) RoTCE represents annualized net income available to common shareholders as a percentage of average TCE.

34

Managing Global Risk Table of Contents

MANAGING GLOBAL RISK	36
CREDIT RISK(1)	36
Consumer Credit	36
Corporate Credit	42
Additional Consumer and Corporate Credit Details	44
Loans Outstanding	44
Details of Credit Loss Experience	45
Allowance for Loan Losses	46
Non-Accrual Loans and Assets and Renegotiated Loans	47
LIQUIDITY RISK	50
High-Quality Liquid Assets (HQLA)	50
Liquidity Coverage Ratio (LCR)	50
Loans	51
Deposits	51
Long-Term Debt	52
Secured Funding Transactions and Short-Term Borrowings	54
Credit Ratings	55
MARKET RISK(1)	57
Market Risk of Non-Trading Portfolios	57
Market Risk of Trading Portfolios	68
STRATEGIC RISK	70
Country Risk	70
Venezuela	71
Potential Exit of U.K. from EU	71

(1) For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi’s Pillar 3 Basel III Advanced Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi’s Investor Relations website.

35

MANAGING GLOBAL RISK

For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to identify, monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s mission and value proposition, the key principles that guide it and Citi's risk appetite.

For more information on Citi’s management of global risk, including its three lines of defense, see “Managing Global Risk” in Citi’s 2018 Annual Report on Form 10-K.

CREDIT RISK

For additional information on credit risk, including Citi’s credit risk management, measurement and stress testing, and Citi’s consumer and corporate credit portfolios, see “Credit Risk” and “Risk Factors” in Citi’s 2018 Annual Report on Form 10-K.

CONSUMER CREDIT

The following table shows Citi’s quarterly end-of-period consumer loans:⁽¹⁾ 

In billions of dollars	2Q’18			3Q’18			4Q’18			1Q’19			2Q’19
Retail banking:
Mortgages	$	80.5		$	80.9		$	80.6		$	80.8		$	81.9
Commercial banking	36.5			37.2			36.3			37.1			37.6
Personal and other	28.1			28.7			28.8			29.1			29.7
Total retail banking	$	145.1		$	146.8		$	145.7		$	147.0		$	149.2
Cards:
Citi-branded cards	$	112.3		$	112.8		$	116.8		$	111.4		$	115.5
Citi retail services	48.6			49.4			52.7			48.9			49.6
Total cards	$	160.9		$	162.2		$	169.5		$	160.3		$	165.1
Total GCB	$	306.0		$	309.0		$	315.2		$	307.3		$	314.3
GCB regional distribution:
North America	63		%	62		%	64		%	63		%	63		%
Latin America	8			9			8			8			8
Asia(2)	29			29			28			29			29
Total GCB	100		%	100		%	100		%	100		%	100		%
Corporate/Other(3)	$	17.6		$	16.5		$	15.3		$	12.6		$	11.7
Total consumer loans	$	323.6		$	325.5		$	330.5		$	319.9		$	326.0

(1) End-of-period loans include interest and fees on credit cards.

(2) Asia includes loans and leases in certain EMEA countries for all periods presented.

(3) Primarily consists of legacy assets, principally North America consumer mortgages.

For information on changes to Citi’s end-of-period consumer loans, see “Liquidity Risk—Loans” below.

36

Overall Consumer Credit Trends

The following charts show the quarterly trends in delinquencies and net credit losses across both retail banking, including commercial banking, and cards for total GCB and by region.

Global Consumer Banking

North America GCB

As of June 30, 2019, approximately 70% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which generally drives the overall credit performance of North America GCB (for additional information on North America GCB’s cards portfolios, including delinquency and net credit loss rates, see “Credit Card Trends” below).

As shown in the chart above, the 90+ days past due delinquency rate decreased quarter-over-quarter in North America GCB, primarily driven by seasonality in the cards portfolios, while it remained broadly stable year-over-year.

The net credit loss rate decreased quarter-over-quarter, primarily driven by the absence of an episodic charge-off in the commercial portfolio in the first quarter of 2019. The net credit loss rate increased year-over-year, primarily driven by the seasoning of more recent vintages in North America cards as well as an increase in net flow rates in later delinquency buckets in Citi retail services.

Latin America GCB

As shown in the chart above, the 90+ days past due delinquency rate increased quarter-over-quarter in Latin America GCB due to seasonality, while it remained broadly stable year-over-year.

The net credit loss rate decreased quarter-over-quarter, primarily due to seasonality in the cards portfolio. The net credit loss rate increased year-over-year, primarily driven by the seasoning of more recent vintages in the cards portfolio.

Asia⁽¹⁾ GCB

(1) Asia includes GCB activities in certain EMEA countries for all periods presented.

As shown in the chart above, the 90+ days past due delinquency rate remained broadly stable in Asia GCB quarter-over-quarter and year-over-year. The net credit loss rate increased quarter-over-quarter, primarily due to seasonality in cards, while it remained broadly stable year-over-year. This stability reflects the strong credit profiles in Asia GCB’s target customer segments. In addition, regulatory changes in many markets in Asia over the past few years have resulted in stable portfolio credit quality.

For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.

37

Credit Card Trends

The following charts show the quarterly trends in delinquencies and net credit losses for total GCB cards, North America Citi-branded cards and Citi retail services portfolios as well as for Latin America and Asia Citi-branded cards portfolios.

Global Cards

North America Citi-Branded Cards

As shown in the chart above, the 90+ days past due delinquency rate decreased quarter-over-quarter, primarily due to seasonality, while it increased year-over-year primarily due to seasoning of the portfolio.

The net credit loss rate remained broadly stable quarter-over-quarter, while it increased year-over-year primarily due to seasoning of more recent vintages in the portfolio.

North America Citi Retail Services

As shown in the chart above, the 90+ days past due delinquency rate decreased quarter-over-quarter, primarily due to seasonality, while the net credit loss rate remained broadly stable.

The delinquency and net credit loss rates increased year-over-year, primarily due to seasoning of more recent vintages as well as an increase in net flow rates in later delinquency buckets.

Latin America Citi-Branded Cards

As shown in the chart above, the 90+ days past due delinquency rate remained broadly stable quarter-over-quarter and year-over-year. The net credit loss rate decreased quarter-over-quarter primarily due to seasonality, while the year-over-increase was primarily due to seasoning of more recent vintages.

38

Asia Citi-Branded Cards⁽¹⁾

(1) Asia includes loans and leases in certain EMEA countries for all periods presented.

As set forth in the chart above, the 90+ days past due delinquency rate remained broadly stable quarter-over-quarter and year-over-year, driven by the mature and well-diversified cards portfolios. The net credit loss rate increased quarter-over-quarter primarily due to seasonality, while it remained stable year-over-year.

For additional information on cost of credit, delinquency and other information for Citi’s cards portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.

North America Cards FICO Distribution

The following tables show the current FICO score distributions for Citi’s North America cards portfolios based on end-of-period receivables. FICO scores are updated monthly for substantially all of the portfolio and on a quarterly basis for the remaining portfolio.

Citi-Branded Cards

FICO distribution	June 30, 2019		March 31, 2019		June 30, 2018
> 760	42	%	41	%	43	%
680–760	41		41		40
< 680	17		18		17
Total	100	%	100	%	100	%

Citi Retail Services

FICO distribution	June 30, 2019		March 31, 2019		June 30, 2018
> 760	24	%	23	%	24	%
680–760	43		43		43
< 680	33		34		33
Total	100	%	100	%	100	%

The FICO distribution of both cards portfolios remained broadly stable, compared to the prior quarter and prior year, demonstrating strong underlying credit quality. For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.

39

Additional Consumer Credit Details

Consumer Loan Delinquency Amounts and Ratios

	EOP loans(1)		90+ days past due(2)									30–89 days past due(2)
In millions of dollars, except EOP loan amounts in billions	June 30, 2019		June 30, 2019			March 31, 2019			June 30, 2018			June 30, 2019			March 31, 2019			June 30, 2018
Global Consumer Banking(3)(4)
Total	$	314.3	$	2,466		$	2,585		$	2,345		$	2,821		$	2,776		$	2,558
Ratio			0.79		%	0.84		%	0.77		%	0.90		%	0.91		%	0.84		%
Retail banking
Total	$	149.2	$	456		$	474		$	500		$	869		$	769		$	754
Ratio			0.31		%	0.32		%	0.35		%	0.58		%	0.53		%	0.52		%
North America	58.3		145			179			179			361			269			252
Ratio			0.25		%	0.32		%	0.33		%	0.63		%	0.47		%	0.46		%
Latin America	20.1		124			114			132			206			201			183
Ratio			0.62		%	0.58		%	0.66		%	1.02		%	1.02		%	0.91		%
Asia(5)	70.8		187			181			189			302			299			319
Ratio			0.26		%	0.26		%	0.27		%	0.43		%	0.43		%	0.46		%
Cards
Total	$	165.1	$	2,010		$	2,111		$	1,845		$	1,952		$	2,007		$	1,804
Ratio			1.22		%	1.32		%	1.15		%	1.18		%	1.25		%	1.12		%
North America—Citi-branded	90.6		799			828			712			705			731			627
Ratio			0.88		%	0.95		%	0.81		%	0.78		%	0.84		%	0.71		%
North America—Citi retail services	49.6		840			918			781			831			859			761
Ratio			1.69		%	1.88		%	1.61		%	1.68		%	1.76		%	1.57		%
Latin America	5.7		169			165			160			159			161			156
Ratio			2.96		%	2.95		%	2.96		%	2.79		%	2.88		%	2.89		%
Asia(5)	19.2		202			200			192			257			256			260
Ratio			1.05		%	1.06		%	1.02		%	1.34		%	1.36		%	1.38		%
Corporate/Other—Consumer(6)
North America	$	11.7	$	327		$	354		$	415		$	334		$	348		$	355
Ratio			3.00		%	2.97		%	2.49		%	3.06		%	2.92		%	2.13		%
Total Citigroup	$	326.0	$	2,793		$	2,939		$	2,760		$	3,155		$	3,124		$	2,913
Ratio			0.86		%	0.92		%	0.86		%	0.97		%	0.98		%	0.90		%

(1) End-of-period (EOP) loans include interest and fees on credit cards.

(2) The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.

(3) The 90+ days past due balances for North America—Citi-branded and North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.

(4) The 90+ days past due and 30–89 days past due and related ratios for North America GCB exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides with the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $151 million ($0.6 billion), $163 million ($0.6 billion) and $244 million ($0.7 billion) as of June 30, 2019, March 31, 2019 and June 30, 2018, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) were $83 million ($0.6 billion), $71 million ($0.6 billion) and $87 million ($0.7 billion) as of June 30, 2019, March 31, 2019 and June 30, 2018, respectively.

(5) Asia includes delinquencies and loans in certain EMEA countries for all periods presented.

(6) The loans 90+ days past due and related ratios exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and (EOP loans) for each period were $0.3 billion ($0.7 billion), $0.3 billion ($0.7 billion) and $0.4 billion ($0.9 billion) as of June 30, 2019, March 31, 2019 and June 30, 2018, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) for each period were $0.1 billion ($0.7 billion), $0.1 billion ($0.7 billion) and $0.1 billion ($0.9 billion) as of June 30, 2019, March 31, 2019 and June 30, 2018, respectively.

40

Consumer Loan Net Credit Losses and Ratios

	Average loans(1)		Net credit losses(2)
In millions of dollars, except average loan amounts in billions	2Q19		2Q19			1Q19			2Q18
Global Consumer Banking
Total	$	309.4	$	1,889		$	1,891		$	1,726
Ratio			2.45		%	2.48		%	2.28		%
Retail banking
Total	$	147.4	$	244		$	256		$	228
Ratio			0.66		%	0.71		%	0.63		%
North America	57.9		51			60			32
Ratio			0.35		%	0.43		%	0.23		%
Latin America	20.0		129			138			138
Ratio			2.59		%	2.81		%	2.75		%
Asia(3)	69.5		64			58			58
Ratio			0.37		%	0.34		%	0.33		%
Cards
Total	$	162.0	$	1,645		$	1,635		$	1,498
Ratio			4.07		%	4.08		%	3.81		%
North America—Citi-branded	88.4		723			706			657
Ratio			3.28		%	3.26		%	3.04		%
North America—Citi retail services	49.1		654			663			589
Ratio			5.34		%	5.36		%	5.07		%
Latin America	5.6		156			160			140
Ratio			11.17		%	11.38		%	10.40		%
Asia(3)	18.9		112			106			112
Ratio			2.38		%	2.25		%	2.38		%
Corporate/Other—Consumer
Total	$	12.4	$	4		$	1		$	(20	)
Ratio			0.13		%	0.03		%	(0.41		)%
International	—		—			—			19
Ratio			—		%	—		%	6.93		%
North America	12.4		4			1			(39		)
Ratio			0.13		%	0.03		%	(0.85		)%
Total Citigroup	$	321.8	$	1,893		$	1,892		$	1,706
Ratio			2.36		%	2.38		%	2.12		%

(1) Average loans include interest and fees on credit cards.

(2) The ratios of net credit losses are calculated based on average loans, net of unearned income.

(3) Asia includes NCLs and average loans in certain EMEA countries for all periods presented.

41

CORPORATE CREDIT

The following table sets forth Citi’s corporate credit portfolio within ICG (excluding private bank), before consideration of collateral or hedges, by remaining tenor for the periods indicated:

	At June 30, 2019								March 31, 2019								December 31, 2018
In billions of dollars	Due within 1 year		Greater than 1 year but within 5 years		Greater than 5 years		Total exposure		Due within 1 year		Greater than 1 year but within 5 years		Greater than 5 years		Total exposure		Due within 1 year		Greater than 1 year but within 5 years		Greater than 5 years		Total exposure
Direct outstandings (on-balance sheet)(1)	$	134	$	107	$	21	$	262	$	135	$	109	$	20	$	264	$	128	$	110	$	20	$	258
Unfunded lending commitments (off-balance sheet)(2)	123		244		15		382		121		240		23		384		106		245		19		370
Total exposure	$	257	$	351	$	36	$	644	$	256	$	349	$	43	$	648	$	234	$	355	$	39	$	628

(1) Includes drawn loans, overdrafts, bankers’ acceptances and leases.

(2) Includes unused commitments to lend, letters of credit and financial guarantees.

Portfolio Mix—Geography, Counterparty and Industry

Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region based on Citi’s internal management geography:

	June 30, 2019		March 31, 2019		December 31, 2018
North America	56	%	54	%	55	%
EMEA	27		28		27
Asia	11		11		11
Latin America	6		7		7
Total	100	%	100	%	100	%

The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived by leveraging validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of the obligor and factors that affect the loss-given-default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are considered investment grade, while those below are considered non-investment grade.

Citigroup also has incorporated environmental factors like climate risk assessment and reporting criteria for certain

obligors, as necessary. Factors evaluated include consideration of climate risk to an obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.

The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:

	Total exposure
	June 30, 2019		March 31, 2019		December 31, 2018
AAA/AA/A	49	%	49	%	49	%
BBB	35		35		34
BB/B	15		15		16
CCC or below	1		1		1
Total	100	%	100	%	100	%

Note: Total exposure includes direct outstandings and unfunded lending commitments.

42

Citi’s corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi’s total corporate credit portfolio by industry:

	Total exposure
	June 30, 2019		March 31, 2019		December 31, 2018
Transportation and industrial	21	%	21	%	21	%
Consumer retail and health	15		15		15
Technology, media and telecom	12		11		13
Power, chemicals, metals and mining	10		11		10
Energy and commodities	8		8		8
Banks/broker-dealers/finance companies	8		8		8
Real estate	9		9		8
Public sector	4		4		5
Insurance and special purpose entities	4		4		4
Hedge funds	4		4		4
Other industries	5		5		4
Total	100	%	100	%	100	%

For additional information on Citi’s corporate credit portfolio, see Note 13 to the Consolidated Financial Statements.

Credit Risk Mitigation

As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Principal transactions in the Consolidated Statement of Income.

At June 30, 2019, December 31, 2018 and June 30, 2018, $30.4 billion, $30.8 billion and $27.4 billion, respectively, of the corporate credit portfolio was economically hedged. Citigroup’s expected loss model used in the calculation of its loan loss reserve does not include the favorable impact of credit derivatives and other mitigants that are marked to market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure

	June 30, 2019		March 31, 2019		December 31, 2018
AAA/AA/A	35	%	36	%	35	%
BBB	47		48		50
BB/B	17		15		14
CCC or below	1		1		1
Total	100	%	100	%	100	%

The credit protection was economically hedging underlying corporate credit portfolio exposures with the following industry distribution:

Industry of Hedged Exposure

	June 30, 2019		March 31, 2019		December 31, 2018
Transportation and industrial	23	%	22	%	23	%
Technology, media and telecom	18		18		17
Consumer retail and health	16		16		16
Power, chemicals, metals and mining	14		15		15
Energy and commodities	10		10		11
Insurance and special purpose entities	5		6		6
Banks/broker-dealers/finance companies	4		4		4
Public sector	4		4		3
Real estate	4		4		4
Other industries	2		1		1
Total	100	%	100	%	100	%

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ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding

	2nd Qtr.			1st Qtr.			4th Qtr.			3rd Qtr.			2nd Qtr.
In millions of dollars	2019			2019			2018			2018			2018
Consumer loans
In North America offices(1)
Residential first mortgages(2)	$	45,474		$	45,351		$	47,412		$	47,707		$	47,904
Home equity loans(2)	10,404			10,937			11,543			12,131			12,861
Credit cards	140,266			135,908			144,557			137,872			136,741
Installment and other	3,245			3,314			3,454			3,528			3,454
Commercial banking	10,690			10,360			9,728			9,279			9,104
Total	$	210,079		$	205,870		$	216,694		$	210,517		$	210,064
In offices outside North America(1)
Residential first mortgages(2)	$	36,580		$	36,114		$	35,972		$	36,282		$	36,134
Credit cards	24,975			24,343			24,926			24,414			24,157
Installment and other	27,321			26,744			26,134			26,281			25,791
Commercial banking	27,040			26,816			26,761			27,975			27,486
Total	$	115,916		$	114,017		$	113,793		$	114,952		$	113,568
Consumer loans, net of unearned income(3)	$	325,995		$	319,887		$	330,487		$	325,469		$	323,632
Corporate loans
In North America offices(1)
Commercial and industrial	$	54,519		$	56,698		$	52,063		$	51,365		$	53,260
Financial institutions	47,610			49,985			48,447			46,255			42,867
Mortgage and real estate(2)	51,321			49,746			50,124			47,629			46,310
Installment, revolving credit and other	33,555			31,960			32,425			31,414			31,861
Lease financing	1,385			1,405			1,429			1,445			1,445
Total	$	188,390		$	189,794		$	184,488		$	178,108		$	175,743
In offices outside North America(1)
Commercial and industrial	$	98,351		$	97,844		$	94,701		$	98,281		$	98,068
Financial institutions	37,523			39,155			36,837			37,851			38,312
Mortgage and real estate(2)	7,577			7,005			7,376			7,344			7,261
Installment, revolving credit and other	27,333			24,868			25,684			22,827			22,755
Lease financing	92			95			103			131			139
Governments and official institutions	3,409			3,698			4,520			4,898			5,270
Total	$	174,285		$	172,665		$	169,221		$	171,332		$	171,805
Corporate loans, net of unearned income(4)	$	362,675		$	362,459		$	353,709		$	349,440		$	347,548
Total loans—net of unearned income	$	688,670		$	682,346		$	684,196		$	674,909		$	671,180
Allowance for loan losses—on drawn exposures	(12,466		)	(12,329		)	(12,315		)	(12,336		)	(12,126		)
Total loans—net of unearned income  and allowance for credit losses	$	676,204		$	670,017		$	671,881		$	662,573		$	659,054
Allowance for loan losses as a percentage of total loans— net of unearned income(5)	1.82		%	1.82		%	1.81		%	1.84		%	1.81		%
Allowance for consumer loan losses as a percentage of total consumer loans—net of unearned income(5)	3.10		%	3.13		%	3.01		%	3.07		%	3.03		%
Allowance for corporate loan losses as a percentage of total corporate loans—net of unearned income(5)	0.66		%	0.64		%	0.67		%	0.68		%	0.68		%

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

(2) Loans secured primarily by real estate.

(3) Consumer loans are net of unearned income of $713 million, $701 million, $708 million, $712 million and $711 million at June 30, 2019, March 31, 2019, December 31, 2018, September 30, 2018 and June 30, 2018, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.

(4) Corporate loans are net of unearned income of $(815) million, $(808) million, $(822) million, $(787) million and $(802) million at June 30, 2019, March 31, 2019, December 31, 2018, September 30, 2018 and June 30, 2018, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.

(5) All periods exclude loans that are carried at fair value.

44

Details of Credit Loss Experience

	2nd Qtr.			1st Qtr.			4th Qtr.			3rd Qtr.			2nd Qtr.
In millions of dollars	2019			2019			2018			2018			2018
Allowance for loan losses at beginning of period	$	12,329		$	12,315		$	12,336		$	12,126		$	12,354
Provision for loan losses
Consumer	$	1,972		$	1,942		$	1,774		$	1,869		$	1,764
Corporate	117			2			76			37			31
Total	$	2,089		$	1,944		$	1,850		$	1,906		$	1,795
Gross credit losses
Consumer
In U.S. offices	$	1,680		$	1,670		$	1,495		$	1,462		$	1,490
In offices outside the U.S.	591			602			595			596			599
Corporate
In U.S. offices	41			33			23			15			5
In offices outside the U.S.	42			40			53			21			15
Total	$	2,354		$	2,345		$	2,166		$	2,094		$	2,109
Credit recoveries(1)
Consumer
In U.S. offices	$	255		$	246		$	217		$	212		$	255
In offices outside the U.S.	123			134			132			120			128
Corporate
In U.S. offices	5			3			24			1			5
In offices outside the U.S.	8			14			7			5			17
Total	$	391		$	397		$	380		$	338		$	405
Net credit losses
In U.S. offices	$	1,461		$	1,454		$	1,277		$	1,264		$	1,235
In offices outside the U.S.	502			494			509			492			469
Total	$	1,963		$	1,948		$	1,786		$	1,756		$	1,704
Other—net(2)(3)(4)(5)(6)(7)	$	11		$	18		$	(85	)	$	60		$	(319	)
Allowance for loan losses at end of period	$	12,466		$	12,329		$	12,315		$	12,336		$	12,126
Allowance for loan losses as a percentage of total loans(8)	1.82		%	1.82		%	1.81		%	1.84		%	1.81		%
Allowance for unfunded lending commitments(9)	$	1,376		$	1,391		$	1,367		$	1,321		$	1,278
Total allowance for loan losses and unfunded lending commitments	$	13,842		$	13,720		$	13,682		$	13,657		$	13,404
Net consumer credit losses	$	1,893		$	1,892		$	1,741		$	1,726		$	1,706
As a percentage of average consumer loans	2.36		%	2.38		%	2.13		%	2.11		%	2.12		%
Net corporate credit losses (recoveries)	$	70		$	56		$	45		$	30		$	(2	)
As a percentage of average corporate loans	0.08		%	0.07		%	0.06		%	0.03		%	—		%
Allowance by type at end of period(10)
Consumer	$	10,113		$	10,026		$	9,950		$	9,997		$	9,796
Corporate	2,353			2,303			2,365			2,339			2,330
Total	$	12,466		$	12,329		$	12,315		$	12,336		$	12,126

(1) Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.

(2) Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.

(3) The second quarter of 2019 includes an increase of approximately $13 million related to FX translation.

(4) The first quarter of 2019 includes an increase of approximately $26 million related to FX translation.

(5) The fourth quarter of 2018 includes a reduction of approximately $4 million related to the sale or transfers to held-for-sale (HFS) of various loan portfolios, including a reduction of $3 million related to the transfers of a real estate loan portfolio to HFS. Additionally, the fourth quarter includes a decrease of approximately $76 million related to FX translation.

(6) The third quarter of 2018 includes a reduction of approximately $5 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of $2 million related to the transfers of a real estate loan portfolio to HFS. Additionally, the third quarter includes an increase of approximately $62 million related to FX translation.

45

(7) The second quarter of 2018 includes a reduction of approximately $137 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $33 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes a decrease of approximately $164 million related to FX translation.

(8) June 30, 2019, March 31, 2019, December 31, 2018, September 30, 2018 and June 30, 2018 exclude $3.8 billion, $3.9 billion, $3.2 billion, $4.2 billion and $3.0 billion, respectively, of loans which are carried at fair value.

(9) Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.

(10) Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and troubled debt restructurings. See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.

Allowance for Loan Losses

The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios:

	June 30, 2019
In billions of dollars	Allowance for loan losses		Loans, net of unearned income		Allowance as a percentage of loans(1)
North America cards(2)	$	6.7	$	140.2	4.8	%
North America mortgages(3)	0.4		55.9		0.7
North America other	0.3		14.0		2.1
International cards	0.6		25.0		2.4
International other(4)	2.1		90.9		2.3
Total consumer	$	10.1	$	326.0	3.1	%
Total corporate	2.4		362.7		0.7
Total Citigroup	$	12.5	$	688.7	1.8	%

(1) Allowance as a percentage of loans excludes loans that are carried at fair value.

(2) Includes both Citi-branded cards and Citi retail services. The $6.7 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.

(3) Of the $0.4 billion, nearly all was allocated to North America mortgages in Corporate/Other, of which $0.1 billion and $0.3 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $55.9 billion in loans, approximately $53.4 billion and $2.4 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.

(4) Includes mortgages and other retail loans.

	December 31, 2018
In billions of dollars	Allowance for loan losses		Loans, net of unearned income		Allowance as a percentage of loans(1)
North America cards(2)	$	6.5	$	144.6	4.5	%
North America mortgages(3)	0.4		58.9		0.7
North America other	0.3		13.2		2.3
International cards	0.7		24.9		2.8
International other(4)	2.0		88.9		2.2
Total consumer	$	9.9	$	330.5	3.0	%
Total corporate	2.4		353.7		0.7
Total Citigroup	$	12.3	$	684.2	1.8	%

(1) Allowance as a percentage of loans excludes loans that are carried at fair value.

(2) Includes both Citi-branded cards and Citi retail services. The $6.5 billion of loan loss reserves represented approximately 16 months of coincident net credit loss coverage.

(3) Of the $0.4 billion, nearly all was allocated to North America mortgages in Corporate/Other, including $0.1 billion and $0.3 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $58.9 billion in loans, approximately $56.3 billion and $2.5 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.

(4) Includes mortgages and other retail loans.

46

Non-Accrual Loans and Assets and Renegotiated Loans

For additional information on Citi’s non-accrual loans and assets and renegotiated loans, see “Non-Accrual Loans and Assets and Renegotiated Loans” in Citi’s 2018 Annual Report on Form 10-K.

Non-Accrual Loans

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

	Jun. 30,		Mar. 31,		Dec. 31,		Sept. 30,		Jun. 30,
In millions of dollars	2019		2019		2018		2018		2018
Corporate non-accrual loans(1)(2)
North America	$	779	$	922	$	483	$	679	$	784
EMEA	321		317		375		362		391
Latin America	259		225		230		266		204
Asia	51		18		223		233		244
Total corporate non-accrual loans	$	1,410	$	1,482	$	1,311	$	1,540	$	1,623
Consumer non-accrual loans(1)
North America	$	1,216	$	1,230	$	1,241	$	1,323	$	1,373
Latin America	723		694		715		764		726
Asia(3)	289		281		270		287		284
Total consumer non-accrual loans	$	2,228	$	2,205	$	2,226	$	2,374	$	2,383
Total non-accrual loans	$	3,638	$	3,687	$	3,537	$	3,914	$	4,006

(1) Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $123 million at June 30, 2019, $125 million at March 31, 2019, $128 million at December 31, 2018, $131 million at September 30, 2018 and $149 million at June 30, 2018.

(2) Approximately 46%, 55% and 65% of Citi’s corporate non-accrual loans were performing at June 30, 2019, December 31, 2018 and March 31, 2018, respectively.

(3) Asia GCB includes balances in certain EMEA countries for all periods presented.

The changes in Citigroup’s non-accrual loans were as follows:

	Three Months Ended									Three Months Ended
	June 30, 2019									June 30, 2018
In millions of dollars	Corporate			Consumer			Total			Corporate			Consumer			Total
Non-accrual loans at beginning of period	$	1,482		$	2,205		$	3,687		$	1,668		$	2,575		$	4,243
Additions	499			823			1,322			628			791			1,419
Sales and transfers to HFS	—			(22		)	(22		)	(8		)	(68		)	(76		)
Returned to performing	(11		)	(92		)	(103		)	(36		)	(146		)	(182		)
Paydowns/settlements	(499		)	(286		)	(785		)	(613		)	(327		)	(940		)
Charge-offs	(37		)	(406		)	(443		)	(14		)	(372		)	(386		)
Other	(24		)	6			(18		)	(2		)	(70		)	(72		)
Ending balance	$	1,410		$	2,228		$	3,638		$	1,623		$	2,383		$	4,006

47

	Six Months Ended									Six Months Ended
	June 30, 2019									June 30, 2018
In millions of dollars	Corporate			Consumer			Total			Corporate			Consumer			Total
Non-accrual loans at beginning of period	$	1,311		$	2,226		$	3,537		$	1,942		$	2,690		$	4,632
Additions	1,222			1,545			2,767			1,453			1,652			3,105
Sales and transfers to HFS	(5		)	(56		)	(61		)	(28		)	(153		)	(181		)
Returned to performing	(39		)	(234		)	(273		)	(104		)	(354		)	(458		)
Paydowns/settlements	(983		)	(460		)	(1,443		)	(1,497		)	(597		)	(2,094		)
Charge-offs	(72		)	(808		)	(880		)	(120		)	(826		)	(946		)
Other	(24		)	15			(9		)	(23		)	(29		)	(52		)
Ending balance	$	1,410		$	2,228		$	3,638		$	1,623		$	2,383		$	4,006

The table below summarizes Citigroup’s other real estate owned (OREO) assets as of the periods indicated. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:

	Jun. 30,			Mar. 31,			Dec. 31,			Sept. 30,			Jun. 30,
In millions of dollars	2019			2019			2018			2018			2018
OREO
North America	$	47		$	63		$	64		$	76		$	66
EMEA	1			1			1			1			1
Latin America	14			13			12			25			24
Asia	20			21			22			7			10
Total OREO	$	82		$	98		$	99		$	109		$	101
Non-accrual assets
Corporate non-accrual loans	$	1,410		$	1,482		$	1,311		$	1,540		$	1,623
Consumer non-accrual loans	2,228			2,205			2,226			2,374			2,383
Non-accrual loans (NAL)	$	3,638		$	3,687		$	3,537		$	3,914		$	4,006
OREO	$	82		$	98		$	99		$	109		$	101
Non-accrual assets (NAA)	$	3,720		$	3,785		$	3,636		$	4,023		$	4,107
NAL as a percentage of total loans	0.53		%	0.54		%	0.52		%	0.58		%	0.60		%
NAA as a percentage of total assets	0.19			0.19			0.19			0.21			0.21
Allowance for loan losses as a percentage of NAL(1)	343			334			348			315			303

(1) The allowance for loan losses includes the allowance for Citi’s credit card portfolios and purchased distressed loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios) and purchased distressed loans as these continue to accrue interest until charge-off.

48

Renegotiated Loans

The following table presents Citi’s loans modified in TDRs:

In millions of dollars	Jun. 30, 2019		Dec. 31, 2018
Corporate renegotiated loans(1)
In U.S. offices
Commercial and industrial(2)	$	182	$	188
Mortgage and real estate	90		111
Financial institutions	1		16
Other	6		2
Total	$	279	$	317
In offices outside the U.S.
Commercial and industrial(2)	$	242	$	226
Mortgage and real estate	22		12
Financial institutions	9		9
Other	—		—
Total	$	273	$	247
Total corporate renegotiated loans	$	552	$	564
Consumer renegotiated loans(3)(4)(5)
In U.S. offices
Mortgage and real estate	$	2,370	$	2,520
Cards	1,399		1,338
Installment and other	88		86
Total	$	3,857	$	3,944
In offices outside the U.S.
Mortgage and real estate	$	325	$	311
Cards	474		480
Installment and other	410		415
Total	$	1,209	$	1,206
Total consumer renegotiated loans	$	5,066	$	5,150

(1) Includes $465 million and $466 million of non-accrual loans included in the non-accrual loans table above at June 30, 2019 and December 31, 2018, respectively. The remaining loans are accruing interest.

(2) In addition to modifications reflected as TDRs at June 30, 2019, Citi also modified $26 million of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices outside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession.

(3) Includes $1,002 million and $1,015 million of non-accrual loans included in the non-accrual loans table above at June 30, 2019 and December 31, 2018, respectively. The remaining loans are accruing interest.

(4) Includes $21 million and $17 million of commercial real estate loans at June 30, 2019 and December 31, 2018, respectively.

(5) Includes $98 million and $101 million of other commercial loans at June 30, 2019 and December 31, 2018, respectively.

49

LIQUIDITY RISK

For additional information on funding and liquidity at Citigroup, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors” in Citi’s 2018 Annual Report on Form 10-K.

High-Quality Liquid Assets (HQLA)

	Citibank						Non-Bank and Other						Total
In billions of dollars	Jun. 30, 2019		Mar. 31, 2019		Jun. 30, 2018		Jun. 30, 2019		Mar. 31, 2019		Jun. 30, 2018		Jun. 30, 2019		Mar. 31, 2019		Jun. 30, 2018
Available cash	$	102.1	$	94.7	$	97.3	$	42.1	$	34.9	$	27.4	$	144.2	$	129.6	$	124.7
U.S. sovereign	93.8		94.9		101.4		37.0		29.5		28.7		130.8		124.4		130.1
U.S. agency/agency MBS	57.5		59.3		59.5		4.8		5.3		6.7		62.3		64.6		66.2
Foreign government debt(1)	61.9		67.7		73.5		4.0		3.5		10.9		65.9		71.2		84.4
Other investment grade	3.1		3.5		0.1		0.7		1.6		1.1		3.8		5.1		1.2
Total HQLA (AVG)	$	318.4	$	320.1	$	331.8	$	88.6	$	74.8	$	74.8	$	407.0	$	394.9	$	406.6

Note: The amounts set forth in the table above are presented on an average basis. For securities, the amounts represent the liquidity value that potentially could be realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts that would be required for securities financing transactions. The table above incorporates various restrictions that could limit the transferability of liquidity between legal entities, including Section 23A of the Federal Reserve Act.

(1) Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Hong Kong, Singapore, Korea, Taiwan, India, Mexico and Canada.

The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated Liquidity Coverage Ratio (LCR), pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities and any amounts in excess of these minimums that are assumed to be transferable to other entities within Citigroup. Citigroup’s HQLA increased modestly year-over-year, as well as sequentially, largely reflecting cash from non-bank long-term debt issuances. While available liquidity resources at Citibank increased both year-over-year and sequentially, the amount of HQLA included in the table above declined both year-over-year and sequentially, as less HQLA in Citibank was eligible for inclusion in the consolidated metric.

Citi’s HQLA as set forth above does not include Citi’s available borrowing capacity from the Federal Home Loan Banks (FHLBs) of which Citi is a member, which was approximately $32 billion as of June 30, 2019 (compared to $25 billion as of March 31, 2019 and $21 billion as of June 30, 2018) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.

Liquidity Coverage Ratio

In addition to internal 30-day liquidity stress testing performed for Citi’s major entities, operating subsidiaries and countries, Citi also monitors its liquidity by reference to the LCR. The table below details the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:

In billions of dollars	Jun. 30, 2019			Mar. 31, 2019			Jun. 30, 2018
HQLA	$	407.0		$	394.9		$	406.6
Net outflows	353.5			331.6			341.5
LCR	115		%	119		%	119		%
HQLA in excess of net outflows	$53.5			$	63.3		$	65.1

Note: The amounts are presented on an average basis.

Citi’s average LCR decreased both year-over-year and sequentially, due to changes in the amount of Citibank HQLA available for inclusion in the consolidated metric.

50

Loans

The table below details the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:

In billions of dollars	Jun. 30, 2019		Mar. 31, 2019		Jun. 30, 2018
Global Consumer Banking
North America	$	195.4	$	195.0	$	188.8
Latin America	25.6		25.6		25.5
Asia(1)	88.4		88.6		88.8
Total	$	309.4	$	309.2	$	303.1
Institutional Clients Group
Corporate lending	$	132.9	$	133.1	$	135.5
Treasury and trade solutions (TTS)	73.2		75.1		77.7
Private bank	101.2		97.2		90.7
Markets and securities services   and other	50.6		51.1		43.0
Total	$	357.9	$	356.5	$	346.9
Total Corporate/Other	$	12.3	$	13.5	$	19.7
Total Citigroup loans (AVG)	$	679.6	$	679.2	$	669.7
Total Citigroup loans (EOP)	$	688.7	$	682.3	$	671.2

(1) Includes loans in certain EMEA countries for all periods presented.

End-of-period loans increased 3% year-over-year and 1% sequentially. On an average basis, loans increased 1% year-over-year and remained largely unchanged sequentially.

Excluding the impact of FX translation, average loans increased 3% year-over-year and 4% in aggregate across GCB and ICG. Average GCB loans grew 3% year-over-year, driven by continued growth in North America GCB and Asia GCB. Average loans in Latin America GCB declined 1% year-over-year, reflecting a deceleration in GDP growth in Mexico and a slowdown in overall industry volumes.

Excluding the impact of FX translation, average ICG loans increased 5% year-over-year. TTS loans declined 4% year-over-year, despite continued strong origination volumes, as Citi continued to utilize its distribution capabilities to optimize the balance sheet and drive returns. Corporate lending loans were flat year-over-year, reflecting both the episodic nature of clients’ strategic financing needs, as well as lower activity in Asia where corporate client sentiment has become more cautious. Private bank loans increased 12%, driven by both new client onboarding, as well as the deepening of relationships with existing clients. Finally, continued strong year-over-year Markets and securities services loan growth was driven primarily by residential and commercial real-estate warehouse lending, as well as Community Reinvestment Act-related lending.

Average Corporate/Other loans continued to decline (down 37%), driven by the wind-down of legacy assets.

Deposits

The table below details the average deposits, by business and/or segment, and the total end-of-period deposits for each of the periods indicated:

In billions of dollars	Jun. 30, 2019		Mar. 31, 2019		Jun. 30, 2018
Global Consumer Banking
North America	$	183.0	$	182.3	$	179.9
Latin America	29.2		28.6		28.3
Asia(1)	100.7		99.3		97.6
Total	$	312.9	$	310.2	$	305.8
Institutional Clients Group
Treasury and trade solutions (TTS)	$	484.2	$	472.4	$	448.7
Banking ex-TTS	133.2		130.2		125.5
Markets and securities services	94.0		90.0		88.2
Total	$	711.4	$	692.6	$	662.4
Corporate/Other	$	15.5	$	14.4	$	18.0
Total Citigroup deposits (AVG)	$	1,039.9	$	1,017.2	$	986.2
Total Citigroup deposits (EOP)	$	1,045.6	$	1,030.4	$	996.7

(1) Includes deposits in certain EMEA countries for all periods presented.

End-of-period deposits increased 5% year-over-year and 1% sequentially. On an average basis, deposits increased 5% year-over-year and 2% sequentially.

Excluding the impact of FX translation, average deposits grew 7% from the prior-year period with contribution across businesses and regions. In GCB, deposits increased 3%, driven by growth across all regions.

Within ICG, average deposits grew 9% year-over-year, primarily driven by continued deposit growth in TTS.

51

Long-Term Debt

The weighted-average maturity of unsecured long-term debt issued by Citigroup and its affiliates (including Citibank) with a remaining life greater than one year was approximately 8.5 years as of June 30, 2019, compared to 8.3 years as of the prior-year period and 8.6 as of the prior quarter. The weighted-average maturity is calculated based on the contractual maturity of each security. For securities which are redeemable prior to maturity at the option of the holder, the weighted-average maturity is calculated based on the earliest date an option becomes exercisable.

Citi’s long-term debt outstanding at the Citigroup parent company includes senior and subordinated debt and what Citi refers to as customer-related debt, consisting of structured notes, such as equity- and credit-linked notes, as well as non-structured notes. Citi’s issuance of customer-related debt is generally driven by customer demand and complements benchmark debt issuance as a source of funding for Citi’s non-bank entities. Citi’s long-term debt at the bank includes benchmark senior debt, FHLB advances and securitizations.

Long-Term Debt Outstanding

The following table sets forth Citi’s end-of-period total long-term debt outstanding for each of the dates indicated:

In billions of dollars	Jun. 30, 2019		Mar. 31, 2019		Jun. 30, 2018
Parent and other(1)
Benchmark debt:
Senior debt	$	111.2	$	109.7	$	107.8
Subordinated debt	25.5		24.9		25.3
Trust preferred	1.7		1.7		1.7
Customer-related debt	47.9		42.4		34.3
Local country and other(2)	3.3		3.4		3.7
Total parent and other	$	189.6	$	182.1	$	172.8
Bank
FHLB borrowings	$	7.7	$	10.5	$	13.7
Securitizations(3)	25.9		25.9		28.5
Citibank benchmark senior debt	25.4		21.4		18.5
Local country and other(2)	3.6		3.7		3.3
Total bank	$	62.6	$	61.5	$	64.0
Total long-term debt	$	252.2	$	243.6	$	236.8

Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.

(1) “Parent and other” includes long-term debt issued to third parties by the parent holding company (Citigroup) and Citi’s non-bank subsidiaries (including broker-dealer subsidiaries) that are consolidated into Citigroup. As of June 30, 2019, “parent and other” included $37.4 billion of long-term debt issued by Citi’s broker-dealer subsidiaries.

(2) Local country debt includes debt issued by Citi’s affiliates in support of their local operations.

(3) Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

Citi’s total long-term debt outstanding increased year-over-year, primarily driven by the issuance of customer-related debt at the non-bank entities and unsecured senior benchmark debt at the bank, partially offset by a decline in FHLB advances and securitizations. Sequentially, Citi’s total long-term debt outstanding increased, primarily driven by the issuance of unsecured senior benchmark debt at the bank and customer-related debt at the non-bank entities, partially offset by a decline in FHLB advances.

As part of its liability management, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such repurchases help reduce Citi’s overall funding costs. During the second quarter of 2019, Citi repurchased and called an aggregate of approximately $1.7 billion of its outstanding long-term debt.

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Long-Term Debt Issuances and Maturities

The table below details Citi’s long-term debt issuances and maturities (including repurchases and redemptions) during the periods presented:

	2Q19				1Q19				2Q18
In billions of dollars	Maturities		Issuances		Maturities		Issuances		Maturities		Issuances
Parent and other
Benchmark debt:
Senior debt	$	5.1	$	4.5	$	0.2	$	4.6	$	7.2	$	4.9
Subordinated debt	—		—		—		—		0.3		0.3
Trust preferred	—		—		—		—		—		—
Customer-related debt	3.2		7.5		1.0		5.2		1.5		4.7
Local country and other	0.3		0.1		—		0.3		0.2		2.1
Total parent and other	$	8.6	$	12.2	$	1.2	$	10.1	$	9.1	$	12.0
Bank
FHLB borrowings	$	2.8	$	—	$	—	$	—	$	4.5	$	2.5
Securitizations	0.1		—		2.6		—		2.7		1.1
Citibank benchmark senior debt	—		3.9		2.5		5.0		—		3.5
Local country and other	0.3		0.2		0.3		0.5		0.9		0.9
Total bank	$	3.2	$	4.1	$	5.4	$	5.5	$	8.1	$	8.0
Total	$	11.9	$	16.3	$	6.6	$	15.6	$	17.2	$	20.0

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2019, as well as its aggregate expected remaining long-term debt maturities by year as of June 30, 2019:

	2019 YTD		Maturities
In billions of dollars			2019		2020		2021		2022		2023		2024		Thereafter		Total
Parent and other
Benchmark debt:
Senior debt	$	5.3	$	8.9	$	8.9	$	14.3	$	9.3	$	12.6	$	7.1	$	50.0	$	111.2
Subordinated debt	—		—		—		—		0.7		1.1		0.9		22.8		$	25.5
Trust preferred	—		—		—		—		—		—		—		1.7		1.7
Customer-related debt	4.2		2.5		8.2		4.1		3.5		4.1		2.8		22.8		47.9
Local country and other	0.4		1.4		—		0.1		0.1		0.1		—		1.6		3.3
Total parent and other	$	9.8	$	12.7	$	17.1	$	18.5	$	13.6	$	17.9	$	10.8	$	99.0	$	189.6
Bank
FHLB borrowings	$	2.8	$	2.8	$	4.9	$	—	$	—	$	—	$	—	$	—	$	7.7
Securitizations	2.6		5.2		4.6		7.2		2.2		2.5		1.2		3.1		25.9
Citibank benchmark debt	2.5		2.2		8.7		6.1		5.6		—		2.7		—		25.4
Local country and other	0.7		0.1		0.7		1.6		0.3		0.2		0.1		0.5		3.6
Total bank	$	8.6	$	10.3	$	18.9	$	14.9	$	8.2	$	2.7	$	4.0	$	3.6	$	62.6
Total long-term debt	$	18.4	$	23.1	$	36.0	$	33.4	$	21.8	$	20.6	$	14.8	$	102.6	$	252.2

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Secured Funding Transactions and Short-Term Borrowings

Citi supplements its primary sources of funding with short-term financings which generally include (i) secured funding transactions (securities loaned or sold under agreements to repurchase, or repos) and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants.

Secured Funding Transactions

Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both secured lending activity and a portion of the securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which is typically collateralized by foreign government debt securities. Generally, daily changes in the level of Citi’s secured funding are primarily due to fluctuations in secured lending activity in the matched book (as described below) and securities inventory.

Secured funding of $181 billion as of June 30, 2019 increased 2% from the prior-year period and declined 5% sequentially. Excluding the impact of FX translation, secured funding increased 3% from the prior-year period and declined 5% sequentially, both driven by normal business activity. Average balances for secured funding were approximately $189 billion for the quarter ended June 30, 2019.

The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less-liquid securities, including equity securities, corporate bonds and asset-backed securities. The tenor of Citi’s matched book liabilities is generally equal to or longer than the tenor of the corresponding matched book assets.

The remainder of the secured funding activity in the broker-dealer subsidiaries serves to fund securities inventory held in the context of market making and customer activities. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral and stipulating financing tenor. The weighted average maturity of Citi’s secured funding of less-liquid securities inventory was greater than 110 days as of June 30, 2019.

Citi manages the risks in its secured funding 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. Citi generally sources secured funding from more than 150 counterparties.

Short-Term Borrowings

Citi’s short-term borrowings of $42 billion increased 14% year-over-year and 8% sequentially. Both the year-over-year and sequential increases reflected growth in commercial paper outstanding. Sequentially, the increase was also driven by FHLB advances (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).

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Credit Ratings

While not included in the table below, the long- and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were BBB+/A-2 at Standard & Poor’s and A/F1 at Fitch as of June 30, 2019.

Ratings as of June 30, 2019

	Citigroup Inc.			Citibank, N.A.
	Senior debt	Commercial paper	Outlook	Long- term	Short- term	Outlook
Fitch Ratings (Fitch)	A	F1	Stable	A+	F1	Stable
Moody’s Investors Service (Moody’s)	A3	P-2	Stable	Aa3	P-1	Stable
Standard & Poor’s (S&P)	BBB+	A-2	Stable	A+	A-1	Stable

Recent Credit Ratings Developments

On June 12, 2019 Fitch Ratings affirmed Citigroup Inc.'s Long-Term Issuer Default Rating (IDR) at 'A' and Citibank, N.A.'s IDR at 'A+'. The Rating Outlooks for the Long-Term IDRs are Stable.

Potential Impacts of Ratings Downgrades

Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including derivative triggers, which could take the form of cash obligations and collateral requirements.

The following information is provided for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank of a hypothetical, simultaneous

ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, judgments and uncertainties. Uncertainties include potential ratings limitations that certain entities may have with respect to permissible counterparties, as well as general subjective counterparty behavior. For example, certain corporate customers and markets counterparties could re-evaluate their business relationships with Citi and limit transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi’s funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors— Liquidity Risks” in Citi’s 2018 Annual Report on Form 10-K.

Citigroup Inc. and Citibank—Potential Derivative Triggers

As of June 30, 2019, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.3 billion, unchanged from March 31, 2019. Other funding sources, such as secured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.

As of June 30, 2019, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity by approximately $0.5 billion, unchanged from March 31, 2019.

In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, across all three major rating agencies, could result in increased aggregate cash obligations and collateral requirements of approximately $0.8 billion unchanged from March 31, 2019 (see also Note 19 to the Consolidated Financial Statements). As detailed under “High-Quality Liquid Assets” above, the liquidity resources that are eligible for inclusion in the calculation of Citi’s consolidated HQLA were approximately $318 billion for Citibank and approximately $89 billion for Citi’s non-bank and other entities, for a total of approximately $407 billion for the quarter ended June 30, 2019. These liquidity resources are available in part as a contingency for the potential events described above.

In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could

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substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.

Citibank—Additional Potential Impacts

In addition to the above derivative triggers, Citi believes that a potential downgrade of Citibank’s senior debt/long-term rating across any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of June 30, 2019, Citibank had liquidity commitments of approximately $12.9 billion to consolidated asset-backed commercial paper conduits, compared to $13.1 billion as of March 31, 2019 (as referenced in Note 18 to the Consolidated Financial Statements).

In addition to the above-referenced liquidity resources of certain Citibank entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.

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MARKET RISK

Market risk emanates from both Citi’s trading and non-trading portfolios. For additional information on market risk and market risk management at Citi, see “Market Risk” and “Risk Factors” in Citi’s 2018 Annual Report on Form 10-K.

Market Risk of Non-Trading Portfolios

The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point (bps) increase in interest rates:

In millions of dollars, except as otherwise noted	Jun. 30, 2019			Mar. 31, 2019			Jun. 30, 2018
Estimated annualized impact to net interest revenue
U.S. dollar(1)	$	404		$	527		$	1,046
All other currencies	659			677			635
Total	$	1,063		$	1,204		$	1,681
As a percentage of average interest-earning assets	0.06		%	0.07		%	0.10		%
Estimated initial impact to AOCI (after-tax)(2)	$	(3,738	)	$	(3,828	)	$	(4,713	)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)	(23		)	(25		)	(32		)

(1) Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the estimated impact to net interest revenue in the table, since these exposures are managed economically in combination with mark-to-market positions. The U.S. dollar interest rate exposure associated with these businesses was $(230) million for a 100 bps instantaneous increase in interest rates as of June 30, 2019.

(2) Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

The estimated impact to net interest revenue decreased on a sequential basis, reflecting changes in balance sheet composition and Citi Treasury positioning. The decrease in the estimated impact to AOCI primarily reflected changes to the positioning of Citi Treasury’s investment securities and related interest rate derivatives portfolio.

In the event of an unanticipated parallel instantaneous 100 bps increase in interest rates, Citi expects that the negative impact to AOCI would be offset in stockholders’ equity through the combination of expected incremental net interest revenue and the expected recovery of the impact on AOCI through accretion of Citi’s investment portfolio over a period

of time. As of June 30, 2019, Citi expects that the negative $3.7 billion impact to AOCI in such a scenario could potentially be offset over approximately 26 months.

The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis) under five different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies.

In millions of dollars, except as otherwise noted	Scenario 1			Scenario 2			Scenario 3			Scenario 4			Scenario 5
Overnight rate change (bps)	100			100			—			—			(100		)
10-year rate change (bps)	100			—			100			(100		)	(100		)
Estimated annualized impact to net interest revenue
U.S. dollar	$	404		$	452		$	50		$	(81	)	$	(864	)
All other currencies	659			632			38			(38		)	(450		)
Total	$	1,063		$	1,084		$	88		$	(119	)	$	(1,314	)
Estimated initial impact to AOCI (after-tax)(1)	$	(3,738	)	$	(2,394	)	$	(1,364	)	$	940		$	3,082
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)	(23		)	(15		)	(9		)	5			17

Note: Each scenario assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated.

(1) Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

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As shown in the table above, the magnitude of the impact to Citi’s net interest revenue and AOCI is greater under scenario 2 as compared to scenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter- and intermediate-term maturities.

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital

As of June 30, 2019, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.6 billion, or 1.0%, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the Euro and the Indian rupee.

This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further affect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.

The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 17 to the Consolidated Financial Statements.

	For the quarter ended
In millions of dollars, except as otherwise noted	Jun. 30, 2019			Mar. 31, 2019			Jun. 30, 2018
Change in FX spot rate(1)	0.4		%	0.4		%	(5.8		)%
Change in TCE due to FX translation, net of hedges	$	56		$	65		$	(2,241	)
As a percentage of TCE	—		%	—		%	(1.5		)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due   to changes in FX translation, net of hedges (bps)	—			—			—

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

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Interest Revenue/Expense and Net Interest Margin (NIM)

	2nd Qtr.				1st Qtr.				2nd Qtr.				Change
In millions of dollars, except as otherwise noted	2019				2019				2018				2Q19 vs. 2Q18
Interest revenue(1)	$	19,761			$	19,140			$	17,613			12	%
Interest expense(2)	7,762				7,317				5,885				32
Net interest revenue	$	11,999			$	11,823			$	11,728			2	%
Interest revenue—average rate(3)	4.40		%		4.40		%		4.05		%		35		bps
Interest expense—average rate	2.14				2.10				1.73				41		bps
Net interest margin(3)(4)	2.67				2.72				2.70				(3	)	bps
Interest-rate benchmarks
Two-year U.S. Treasury note—average rate	2.13		%		2.49		%		2.48		%		(35	)	bps
10-year U.S. Treasury note—average rate	2.34				2.65				2.92				(58	)	bps
10-year vs. two-year spread	21			bps	16			bps	44			bps

Note: All interest expense amounts include FDIC, as well as other similar deposit insurance assessments outside of the U.S. As of the fourth quarter of 2018, Citi’s FDIC surcharge was eliminated (approximately $130 million per quarter).

(1) Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rates of 21% in 2019 and 2018) of $49 million, $64 million and $63 million for the three months ended June 30, 2019, March 31, 2019 and June 30, 2018, respectively.

(2) Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated Statement of Income and is therefore not reflected in Interest expense in the table above.

(3) The average rate on interest revenue and net interest margin reflects the taxable equivalent gross-up adjustment. See footnote 1 on “Average Balances and Interest Rates—Assets” below.

(4) Citi’s net interest margin (NIM) is calculated by dividing net interest revenue by average interest-earning assets.

Citi’s net interest revenue in the second quarter of 2019 increased 2% to $12.0 billion (as set forth in the table above, also up 2% on a taxable equivalent basis) versus the prior-year period. Excluding the impact of FX translation, net interest revenue increased 4%, or approximately $450 million. The increase in net interest revenue primarily reflected higher rates, loan growth and a favorable loan mix as well as higher trading-related net interest revenue, along with the absence of the FDIC surcharge.

As set forth above, Citi’s NIM was 2.67% on a taxable equivalent basis in the second quarter of 2019, a decrease of 5 basis points from the prior quarter, as higher net interest revenue was more than offset by higher cash balances reflecting strong deposit growth in the current quarter.

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Additional Interest Rate Details

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

Taxable Equivalent Basis

	Average volume						Interest revenue						% Average rate
	2nd Qtr.		1st Qtr.		2nd Qtr.		2nd Qtr.		1st Qtr.		2nd Qtr.		2nd Qtr.		1st Qtr.		2nd Qtr.
In millions of dollars, except rates	2019		2019		2018		2019		2019		2018		2019		2019		2018
Assets
Deposits with banks(4)	$	192,483	$	171,369	$	176,151	$	736	$	607	$	493	1.53	%	1.44	%	1.12	%
Securities borrowed or purchased under agreements to resell(5)
In U.S. offices	$	147,677	$	152,530	$	153,273	$	1,345	$	1,262	$	838	3.65	%	3.36	%	2.19	%
In offices outside the U.S.(4)	118,973		123,109		118,098		552		528		498		1.86		1.74		1.69
Total	$	266,650	$	275,639	$	271,371	$	1,897	$	1,790	$	1,336	2.85	%	2.63	%	1.97	%
Trading account assets(6)(7)
In U.S. offices	$	108,993	$	95,904	$	92,791	$	1,014	$	940	$	851	3.73	%	3.98	%	3.68	%
In offices outside the U.S.(4)	136,733		124,673		117,840		1,129		752		922		3.31		2.45		3.14
Total	$	245,726	$	220,577	$	210,631	$	2,143	$	1,692	$	1,773	3.50	%	3.11	%	3.38	%
Investments
In U.S. offices
Taxable	$	217,593	$	225,733	$	225,886	$	1,273	$	1,509	$	1,315	2.35	%	2.71	%	2.34	%
Exempt from U.S. income tax	15,233		16,287		17,339		196		129		180		5.16		3.21		4.16
In offices outside the U.S.(4)	114,575		108,988		104,562		1,060		940		913		3.71		3.50		3.50
Total	$	347,401	$	351,008	$	347,787	$	2,529	$	2,578	$	2,408	2.92	%	2.98	%	2.78	%
Loans (net of unearned income)(8)
In U.S. offices	$	393,694	$	393,398	$	382,972	$	7,614	$	7,649	$	6,958	7.76	%	7.89	%	7.29	%
In offices outside the U.S.(4)	285,928		285,811		286,772		4,385		4,341		4,251		6.15		6.16		5.95
Total	$	679,622	$	679,209	$	669,744	$	11,999	$	11,990	$	11,209	7.08	%	7.16	%	6.71	%
Other interest-earning assets(9)	$	67,885	$	66,925	$	69,341	$	457	$	483	$	394	2.70	%	2.93	%	2.28	%
Total interest-earning assets	$	1,799,767	$	1,764,727	$	1,745,025	$	19,761	$	19,140	$	17,613	4.40	%	4.40	%	4.05	%
Non-interest-earning assets(6)	$	179,357	$	174,687	$	172,077
Total assets	$	1,979,124	$	1,939,414	$	1,917,102

(1) Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rates of 21% in 2019 and 2018) of $49 million, $64 million and $63 million for the three months ended June 30, 2019, March 31, 2019 and June 30, 2018, respectively.

(2) Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.

(3) Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.

(4) Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(5) Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.

(6) The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.

(7) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(8) Includes cash-basis loans.

(9) Includes Brokerage receivables.

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

Taxable Equivalent Basis

	Average volume						Interest expense						% Average rate
	2nd Qtr.		1st Qtr.		2nd Qtr.		2nd Qtr.		1st Qtr.		2nd Qtr.		2nd Qtr.		1st Qtr.		2nd Qtr.
In millions of dollars, except rates	2019		2019		2018		2019		2019		2018		2019		2019		2018
Liabilities
Deposits
In U.S. offices(4)	$	377,651	$	366,247	$	332,595	$	1,627	$	1,489	$	1,041	1.73	%	1.65	%	1.26	%
In offices outside the U.S.(5)	485,069		473,142		453,025		1,657		1,538		1,203		1.37		1.32		1.07
Total	$	862,720	$	839,389	$	785,620	$	3,284	$	3,027	$	2,244	1.53	%	1.46	%	1.15	%
Securities loaned or sold under   agreements to repurchase(6)
In U.S. offices	$	112,386	$	111,033	$	102,517	$	1,149	$	1,107	$	796	4.10	%	4.04	%	3.11	%
In offices outside the U.S.(5)	76,659		72,904		68,556		575		482		428		3.01		2.68		2.50
Total	$	189,045	$	183,937	$	171,073	$	1,724	$	1,589	$	1,224	3.66	%	3.50	%	2.87	%
Trading account liabilities(7)(8)
In U.S. offices	$	35,939	$	40,163	$	36,103	$	215	$	196	$	140	2.40	%	1.98	%	1.56	%
In offices outside the U.S.(5)	59,065		55,127		61,048		105		131		96		0.71		0.96		0.63
Total	$	95,004	$	95,290	$	97,151	$	320	$	327	$	236	1.35	%	1.39	%	0.97	%
Short-term borrowings(9)
In U.S. offices	$	84,091	$	75,440	$	84,338	$	630	$	571	$	439	3.00	%	3.07	%	2.09	%
In offices outside the U.S.(5)	22,114		23,740		23,854		85		81		84		1.54		1.38		1.41
Total	$	106,205	$	99,180	$	108,192	$	715	$	652	$	523	2.70	%	2.67	%	1.94	%
Long-term debt(10)
In U.S. offices	$	197,578	$	191,903	$	198,291	$	1,685	$	1,685	$	1,620	3.42	%	3.56	%	3.28	%
In offices outside the U.S.(5)	4,946		5,060		4,980		34		37		38		2.76		2.97		3.06
Total	$	202,524	$	196,963	$	203,271	$	1,719	$	1,722	$	1,658	3.40	%	3.55	%	3.27	%
Total interest-bearing liabilities	$	1,455,498	$	1,414,759	$	1,365,307	$	7,762	$	7,317	$	5,885	2.14	%	2.10	%	1.73	%
Demand deposits in U.S. offices	$	29,929	$	26,893	$	33,737
Other non-interest-bearing liabilities(7)	296,747		301,259		316,907
Total liabilities	$	1,782,174	$	1,742,911	$	1,715,951
Citigroup stockholders’ equity	$	196,237	$	195,705	$	200,295
Noncontrolling interest	713		798		856
Total equity	$	196,950	$	196,503	$	201,151
Total liabilities and stockholders’ equity	$	1,979,124	$	1,939,414	$	1,917,102
Net interest revenue as a percentage of average interest-earning assets(11)
In U.S. offices	$	1,015,979	$	996,867	$	983,786	$	7,029	$	7,232	$	6,710	2.77	%	2.94	%	2.74	%
In offices outside the U.S.(6)	783,788		768,160		761,239		4,970		4,591		5,018		2.54		2.42		2.64
Total	$	1,799,767	$	1,765,027	$	1,745,025	$	11,999	$	11,823	$	11,728	2.67	%	2.72	%	2.70	%

(1) Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rates of 21% in 2019 and 2018) of $49 million, $64 million and $63 million for the three months ended June 30, 2019, March 31, 2019 and June 30, 2018, respectively.

(2) Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.

(3) Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.

(4) Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.

(5) Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(6) Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of ASC 210-20-45.

(7) The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.

(8) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

61

(9) Includes Brokerage payables.

(10) Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as the changes in fair value for these obligations are recorded in Principal transactions.

(11) Includes allocations for capital and funding costs based on the location of the asset.

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

Taxable Equivalent Basis

	Average volume				Interest revenue				% Average rate
	Six Months		Six Months		Six Months		Six Months		Six Months		Six Months
In millions of dollars, except rates	2019		2018		2019		2018		2019		2018
Assets
Deposits with banks(4)	$	181,926	$	173,509	$	1,343	$	925	1.49	%	1.08	%
Securities borrowed or purchased under agreements to resell(5)
In U.S. offices	$	150,104	$	146,816	$	2,607	$	1,551	3.50	%	2.13	%
In offices outside the U.S.(4)	121,041		116,009		1,080		824		1.80		1.43
Total	$	271,145	$	262,825	$	3,687	$	2,375	2.74	%	1.82	%
Trading account assets(6)(7)
In U.S. offices	$	102,449	$	95,175	$	1,954	$	1,720	3.85	%	3.64	%
In offices outside the U.S.(4)	130,703		118,222		1,881		1,434		2.90		2.45
Total	$	233,152	$	213,397	$	3,835	$	3,154	3.32	%	2.98	%
Investments
In U.S. offices
Taxable	$	221,663	$	227,647	$	2,782	$	2,539	2.53	%	2.25	%
Exempt from U.S. income tax	15,760		17,435		325		350		4.16		4.05
In offices outside the U.S.(4)	111,782		104,935		2,000		1,790		3.61		3.44
Total	$	349,205	$	350,017	$	5,107	$	4,679	2.95	%	2.70	%
Loans (net of unearned income)(8)
In U.S. offices	$	393,546	$	381,665	$	15,263	$	13,690	7.82	%	7.23	%
In offices outside the U.S.(4)	285,870		287,170		8,726		8,428		6.16		5.92
Total	$	679,416	$	668,835	$	23,989	$	22,118	7.12	%	6.67	%
Other interest-earning assets(9)	$	67,405	$	68,051	$	940	$	758	2.81	%	2.25	%
Total interest-earning assets	$	1,782,249	$	1,736,634	$	38,901	$	34,009	4.40	%	3.95	%
Non-interest-earning assets(6)	$	177,022	$	174,032
Total assets	$	1,959,271	$	1,910,666

(1) Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rates of 21% in 2019 and 2018) of $113 million and $127 million for the six months ended June 30, 2019 and 2018, respectively.

(2) Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.

(3) Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.

(4) Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(5) Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest revenue excludes the impact of ASC 210-20-45.

(6) The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.

(7) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(8) Includes cash-basis loans.

(9) Includes Brokerage receivables.

62

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

Taxable Equivalent Basis

	Average volume				Interest expense				% Average rate
	Six Months		Six Months		Six Months		Six Months		Six Months		Six Months
In millions of dollars, except rates	2019		2018		2019		2018		2019		2018
Liabilities
Deposits
In U.S. offices(4)	$	371,949	$	327,974	$	3,118	$	1,938	1.69	%	1.19	%
In offices outside the U.S.(5)	479,106		449,721		3,193		2,303		1.34		1.03
Total	$	851,055	$	777,695	$	6,311	$	4,241	1.50	%	1.10	%
Securities loaned or sold under agreements to repurchase(6)
In U.S. offices	$	111,709	$	100,766	$	2,256	$	1,400	4.07	%	2.80	%
In offices outside the U.S.(5)	74,782		67,003		1,057		773		2.85		2.33
Total	$	186,491	$	167,769	$	3,313	$	2,173	3.58	%	2.61	%
Trading account liabilities(7)(8)
In U.S. offices	$	38,051	$	35,050	$	411	$	267	2.18	%	1.54	%
In offices outside the U.S.(5)	57,096		59,387		236		184		0.83		0.62
Total	$	95,147	$	94,437	$	647	$	451	1.37	%	0.96	%
Short-term borrowings(9)
In U.S. offices	$	79,766	$	86,770	$	1,201	$	828	3.04	%	1.92	%
In offices outside the U.S.(5)	22,927		23,668		166		166		1.46		1.41
Total	$	102,693	$	110,438	$	1,367	$	994	2.68	%	1.82	%
Long-term debt(10)
In U.S. offices	$	194,741	$	199,108	$	3,370	$	3,102	3.49	%	3.14	%
In offices outside the U.S.(5)	5,003		4,667		71		84		2.86		3.63
Total	$	199,744	$	203,775	$	3,441	$	3,186	3.47	%	3.15	%
Total interest-bearing liabilities	$	1,435,130	$	1,354,114	$	15,079	$	11,045	2.12	%	1.64	%
Demand deposits in U.S. offices	$	28,411	$	34,633
Other non-interest-bearing liabilities(7)	299,003		320,455
Total liabilities	$	1,762,544	$	1,709,202
Citigroup stockholders’ equity(11)	$	195,971	$	200,564
Noncontrolling interest	756		899
Total equity(11)	$	196,727	$	201,463
Total liabilities and stockholders’ equity	$	1,959,271	$	1,910,665
Net interest revenue as a percentage of average interest-earning assets
In U.S. offices	$	1,006,273	$	978,772	$	14,261	$	13,427	2.86	%	2.77	%
In offices outside the U.S.(5)	775,974		757,862		9,561		9,537		2.48		2.54
Total	$	1,782,247	$	1,736,634	$	23,822	$	22,964	2.70	%	2.67	%

(1) Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rates of 21% in 2019 and 2018) of $113 million and $127 million for the six months ended June 30, 2019 and 2018, respectively.

(2) Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.

(3) Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.

(4) Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance fees and charges.

(5) Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(6) Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest expense excludes the impact of ASC 210-20-45.

(7) The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.

(8) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(9) Includes Brokerage payables.

(10) Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as these obligations are accounted for in changes in fair value recorded in Principal transactions.

(11) Includes allocations for capital and funding costs based on the location of the asset.

63

Analysis of Changes in Interest Revenue^(1)(2)(3) 

	2nd Qtr. 2019 vs. 1st Qtr. 2019									2nd Qtr. 2019 vs. 2nd Qtr. 2018
	Increase (decrease) due to change in:									Increase (decrease) due to change in:
In millions of dollars	Average volume			Average rate			Net change			Average volume			Average rate		Net change
Deposits with banks(3)	$	78		$	51		$	129		$	49		$	194	$	243
Securities borrowed or purchased under agreements to resell
In U.S. offices	$	(41	)	$	124		$	83		$	(32	)	$	539	$	507
In offices outside the U.S.(3)	(18		)	42			24			4			50		54
Total	$	(59	)	$	166		$	107		$	(28	)	$	589	$	561
Trading account assets(4)
In U.S. offices	$	124		$	(50	)	$	74		$	151		$	12	$	163
In offices outside the U.S.(3)	78			299			377			154			53		207
Total	$	202		$	249		$	451		$	305		$	65	$	370
Investments(1)
In U.S. offices	$	(61	)	$	(108	)	$	(169	)	$	(65	)	$	39	$	(26	)
In offices outside the U.S.(3)	50			70			120			91			56		147
Total	$	(11	)	$	(38	)	$	(49	)	$	26		$	95	$	121
Loans (net of unearned income)(5)
In U.S. offices	$	6		$	(41	)	$	(35	)	$	199		$	457	$	656
In offices outside the U.S.(3)	2			42			44			(13		)	147		134
Total	$	8		$	1		$	9		$	186		$	604	$	790
Other interest-earning assets(6)	$	7		$	(33	)	$	(26	)	$	(8	)	$	71	$	63
Total interest revenue	$	225		$	396		$	621		$	530		$	1,618	$	2,148

(1) The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rates of 21% in 2019 and 2018 and is included in this presentation.

(2) Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.

(3) Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(4) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(5) Includes cash-basis loans.

(6) Includes Brokerage receivables.

64

Analysis of Changes in Interest Expense and Net Interest Revenue^(1)(2)(3) 

	2nd Qtr. 2019 vs. 1st Qtr. 2019									2nd Qtr. 2019 vs. 2nd Qtr. 2018
	Increase (decrease) due to change in:									Increase (decrease) due to change in:
In millions of dollars	Average volume			Average rate			Net change			Average volume			Average rate			Net change
Deposits
In U.S. offices	$	47		$	91		$	138		$	155		$	431		$	586
In offices outside the U.S.(3)	39			80			119			90			364			454
Total	$	86		$	171		$	257		$	245		$	795		$	1,040
Securities loaned or sold under agreements to repurchase
In U.S. offices	$	14		$	28		$	42		$	82		$	271		$	353
In offices outside the U.S.(3)	26			67			93			54			93			147
Total	$	40		$	95		$	135		$	136		$	364		$	500
Trading account liabilities(4)
In U.S. offices	$	(22	)	$	41		$	19		$	(1	)	$	76		$	75
In offices outside the U.S.(3)	9			(35		)	(26		)	(3		)	12			9
Total	$	(13	)	$	6		$	(7	)	$	(4	)	$	88		$	84
Short-term borrowings(5)
In U.S. offices	$	65		$	(6	)	$	59		$	(1	)	$	192		$	191
In offices outside the U.S.(3)	(6		)	10			4			(6		)	7			1
Total	$	59		$	4		$	63		$	(7	)	$	199		$	192
Long-term debt
In U.S. offices	$	49		$	(49	)	$	—		$	(6	)	$	71		$	65
In offices outside the U.S.(3)	(1		)	(2		)	(3		)	—			(4		)	(4		)
Total	$	48		$	(51	)	$	(3	)	$	(6	)	$	67		$	61
Total interest expense	$	220		$	225		$	445		$	364		$	1,513		$	1,877
Net interest revenue	$	4		$	172		$	176		$	165		$	106		$	271

(1) The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rates of 21% in 2019 and 2018 and is included in this presentation.

(2) Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.

(3) Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(4) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(5) Includes Brokerage payables.

65

Analysis of Changes in Interest Revenue^(1)(2)(3) 

	Six Months 2019 vs. Six Months 2018
	Increase (decrease) due to change in:
In millions of dollars	Average volume			Average rate		Net change
Deposits with banks(3)	$	47		$	371	$	418
Securities borrowed or purchased under agreements to resell
In U.S. offices	$	35		$	1,021	$	1,056
In offices outside the U.S.(3)	37			219		256
Total	$	72		$	1,240	$	1,312
Trading account assets(4)
In U.S. offices	$	136		$	98	$	234
In offices outside the U.S.(3)	162			285		447
Total	$	298		$	383	$	681
Investments(1)
In U.S. offices	$	(92	)	$	310	$	218
In offices outside the U.S.(3)	120			90		210
Total	$	28		$	400	$	428
Loans (net of unearned income)(5)
In U.S. offices	$	436		$	1,137	$	1,573
In offices outside the U.S.(3)	(38		)	336		298
Total	$	398		$	1,473	$	1,871
Other interest-earning assets(6)	$	(7	)	$	189	$	182
Total interest revenue	$	836		$	4,056	$	4,892

(1) The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rates of 21% in 2019 and 2018 and is included in this presentation.

(2) Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.

(3) Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(4) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(5) Includes cash-basis loans.

(6) Includes Brokerage receivables.

66

Analysis of Changes in Interest Expense and Net Interest Revenue^(1)(2)(3) 

	Six Months 2019 vs. Six Months 2018
	Increase (decrease) due to change in:
In millions of dollars	Average volume			Average rate			Net change
Deposits
In U.S. offices	$	286		$	892		$	1,178
In offices outside the U.S.(3)	159			733			892
Total	$	445		$	1,625		$	2,070
Securities loaned or sold under agreements to repurchase
In U.S. offices	$	165		$	691		$	856
In offices outside the U.S.(3)	97			187			284
Total	$	262		$	878		$	1,140
Trading account liabilities(4)
In U.S. offices	$	24		$	120		$	144
In offices outside the U.S.(3)	(7		)	59			52
Total	$	17		$	179		$	196
Short-term borrowings(5)
In U.S. offices	$	(72	)	$	445		$	373
In offices outside the U.S.(3)	(5		)	5			—
Total	$	(77	)	$	450		$	373
Long-term debt
In U.S. offices	$	(69	)	$	337		$	268
In offices outside the U.S.(3)	6			(19		)	(13		)
Total	$	(63	)	$	318		$	255
Total interest expense	$	584		$	3,450		$	4,034
Net interest revenue	$	252		$	606		$	858

(1) The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rates of 21% in 2019 and 2018 and is included in this presentation.

(2) Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.

(3) Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(4) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(5) Includes Brokerage payables.

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Market Risk of Trading Portfolios

Value at Risk

As of June 30, 2019, Citi estimates that the conservative features of its VAR calibration contributed an approximate 25% add-on to what would be a VAR estimated under the assumption of stable and perfectly normal distributed markets. As of March 31, 2019, the add-on was 26%.

As set forth in the table below, Citi's average trading VAR decreased from March 31, 2019 to June 30, 2019. The decrease was mainly due to a decrease in exposure and a reduction in credit spread risk in the Markets businesses within ICG.

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

				Second Quarter						First Quarter						Second Quarter
In millions of dollars	June 30, 2019			2019 Average			March 31, 2019			2019 Average			June 30, 2018			2018 Average
Interest rate	$	40		$	36		$	32		$	37		$	60		$	61
Credit spread	46			43			43			48			46			47
Covariance adjustment(1)	(24		)	(20		)	(21		)	(23		)	(25		)	(26		)
Fully diversified interest rate and credit spread(2)	$	62		$	59		$	54		$	62		$	81		$	82
Foreign exchange	29			25			15			26			29			30
Equity	22			13			20			17			23			20
Commodity	25			25			30			28			16			17
Covariance adjustment(1)	(69		)	(63		)	(66		)	(67		)	(74		)	(69		)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)	$	69		$	59		$	53		$	66		$	75		$	80
Specific risk-only component(3)	$	2		$	2		$	2		$	3		$	2		$	3
Total trading VAR—general market risk factors only (excluding credit portfolios)	$	67		$	57		$	51		$	63		$	73		$	77
Incremental impact of the credit portfolio(4)	$	7		$	10		$	14		$	15		$	16		$	10
Total trading and credit portfolio VAR	$	76		$	69		$	67		$	81		$	91		$	90

(1) Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each individual risk type. The benefit reflects the fact that the risks within each and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each individual risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.

(2) The total trading VAR includes mark-to-market and certain fair value option trading positions in ICG, with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.

(3) The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.

(4) The credit portfolio is composed of mark-to-market positions associated with non-trading business units including Citi Treasury, the CVA relating to derivative counterparties and all associated CVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges to the loan portfolio, fair value option loans and hedges to the leveraged finance pipeline within capital markets origination in ICG.

68

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

	Second Quarter				First Quarter				Second Quarter
	2019				2019				2018
In millions of dollars	Low		High		Low		High		Low		High
Interest rate	$	27	$	47	$	30	$	58	$	38	$	91
Credit spread	39		48		41		55		43		52
Fully diversified interest rate and credit spread	$	49	$	72	$	51	$	89	$	59	$	118
Foreign exchange	20		32		15		34		20		44
Equity	7		22		10		29		15		26
Commodity	20		33		19		43		13		22
Total trading	$	46	$	69	$	53	$	87	$	57	$	120
Total trading and credit portfolio	59		77		62		103		69		123

Note: No covariance adjustment can be inferred from the above table as the high and low for each market factor will be from different close-of-business dates.

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

In millions of dollars	Jun. 30, 2019
Total—all market risk factors, including   general and specific risk
Average—during quarter	$	58
High—during quarter	68
Low—during quarter	46

Regulatory VAR Back-testing

In accordance with Basel III, Citi is required to perform back-testing to evaluate the effectiveness of its Regulatory VAR model. Regulatory VAR back-testing is the process in which the daily one-day VAR, at a 99% confidence interval, is compared to the buy-and-hold profit and loss (i.e., the profit and loss impact if the portfolio is held constant at the end of the day and re-priced the following day). Buy-and-hold profit and loss represents the daily mark-to-market profit and loss attributable to price movements in covered positions from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, fees and commissions, intra-day trading profit and loss and changes in reserves.

Based on a 99% confidence level, Citi would expect two to three days in any one year where buy-and-hold losses exceeded the Regulatory VAR. Given the conservative calibration of Citi’s VAR model (as a result of taking the greater of short- and long-term volatilities and fat-tail scaling of volatilities), Citi would expect fewer exceptions under normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.

As of June 30, 2019, there were no back-testing exceptions observed for Citi’s Regulatory VAR for the prior 12 months.

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STRATEGIC RISK

For additional information on strategic risk at Citi, see “Strategic Risk” in Citi’s 2018 Annual Report on Form 10-K.

Country Risk

Top 25 Country Exposures

The following table presents Citi’s top 25 exposures by

country (excluding the U.S.) as of June 30, 2019. The total exposure as of June 30, 2019 to the top 25 countries disclosed below, in combination with the U.S., would represent approximately 95% of Citi’s exposure to all countries. For purposes of the table, loan amounts are reflected in the country where the loan is booked, which is generally based on the domicile of the borrower. For example, a loan to a Chinese subsidiary of a Switzerland-based corporation will generally be categorized as a loan in China. In addition, Citi has

developed regional booking centers in certain countries, most significantly in the United Kingdom (U.K.) and Ireland, in order to more efficiently serve its corporate customers. As an

example, with respect to the U.K., only 29% of corporate

loans presented in the table below are to U.K. domiciled

entities (29% for unfunded commitments), with the balance of

the loans predominately to European domiciled counterparties.

Approximately 85% of the total U.K. funded loans and 90% of

the total U.K. unfunded commitments were investment grade

as of June 30, 2019. Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.

For additional information on strategic risk at Citi, see “Strategic Risk” in Citi’s 2018 Annual Report on Form 10-K.

In billions of dollars	ICG loans(1)		GCB loans		Other funded(2)		Unfunded(3)		Net MTM on derivatives/repos(4)		Total hedges (on loans and CVA)			Investment securities(5)		Trading account assets(6)			Total as of 2Q19		Total as of 1Q19		Total as of 2Q18		Total as a % of Citi as of 2Q19
United Kingdom	$	42.4	$	—	$	10.3	$	55.2	$	11.0	$	(4.4	)	$	5.6	$	(2.4	)	$	117.7	$	122.3	$	125.8	7.2	%
Mexico	10.3		25.8		0.3		8.4		1.2		(0.7		)	14.9		6.6			66.8		63.4		60.2		4.1
Hong Kong	17.8		14.0		0.7		7.3		1.4		(0.4		)	7.5		1.2			49.5		50.3		45.1		3.0
Singapore	13.2		13.2		0.2		4.8		1.0		(0.1		)	8.7		1.7			42.7		41.0		41.2		2.6
Ireland	13.4		—		0.5		18.1		0.3		—			—		0.6			32.9		33.5		31.3		2.0
Korea	1.7		17.7		0.2		2.5		1.1		(0.4		)	8.0		0.8			31.6		33.7		35.0		1.9
India	4.3		7.3		1.0		5.6		1.9		(0.6		)	9.9		1.9			31.3		32.0		27.6		1.9
Brazil	12.3		—		—		3.5		3.9		(1.0		)	4.2		3.5			26.4		26.8		24.4		1.6
Australia	4.8		9.9		—		6.7		1.2		(0.4		)	1.5		(1.9		)	21.8		22.9		23.2		1.3
Japan	2.7		—		0.1		2.5		4.5		(1.6		)	6.2		4.6			19.0		14.4		15.9		1.2
Germany	0.8		—		—		6.2		2.4		(3.3		)	8.8		3.9			18.8		22.2		16.8		1.2
China	6.1		4.7		0.4		1.8		1.1		(0.4		)	4.3		0.3			18.3		17.4		19.5		1.1
Taiwan	5.0		8.8		0.1		1.0		0.3		(0.1		)	0.8		1.7			17.6		17.6		19.0		1.1
Canada	2.3		0.7		0.4		7.5		2.3		(0.4		)	2.9		0.7			16.4		15.3		15.8		1.0
Poland	3.7		2.0		0.1		3.3		0.2		(0.1		)	5.1		1.0			15.3		15.3		13.0		0.9
Jersey	7.2		—		0.1		5.5		—		—			—		—			12.8		9.9		10.0		0.8
United Arab Emirates	6.9		1.4		0.1		3.1		0.4		(0.1		)	—		—			11.8		12.4		10.2		0.7
Malaysia	1.8		4.5		0.2		1.0		0.1		(0.1		)	1.7		0.5			9.7		10.0		9.7		0.6
Thailand	0.8		2.6		0.2		1.7		0.1		—			1.9		1.2			8.5		6.8		6.9		0.5
Indonesia	2.3		1.0		0.1		1.4		0.1		(0.1		)	1.2		0.2			6.2		6.1		6.2		0.4
Italy	0.3		—		—		2.1		4.6		(1.5		)	—		0.6			6.1		2.6		3.2		0.4
Russia	1.9		0.9		—		0.8		0.7		(0.1		)	0.9		0.3			5.4		4.7		4.6		0.3
Philippines	0.7		1.4		—		0.5		0.2		—			1.9		0.5			5.2		5.9		5.2		0.3
South Africa	1.4		—		0.1		0.7		0.3		(0.1		)	1.6		0.1			4.1		3.9		5.3		0.3
Czech Republic	0.9		—		—		0.7		2.4		—			—		—			4.0		3.3		2.2		0.2
Total as a % of Citi’s Total Exposure																									36.6	%
Total as a % of Citi’s non-U.S. Total Exposure																									90.4	%

(1) ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of June 30, 2019, private bank loans in the table above totaled $27.8 billion, concentrated in Hong Kong ($8.9 billion), Singapore ($7.0 billion) and the U.K. ($6.7 billion).                     

70

(2) Other funded includes other direct exposure such as accounts receivable, loans HFS, other loans in Corporate/Other and investments accounted for under the equity method.                                        

(3) Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.            

(4) Net mark-to-market counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.

(5) Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost.    

(6) Trading account assets are shown on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country.

Venezuela

Citi continues to monitor the political and economic environment and uncertainties in Venezuela. As of June 30, 2019, Citi’s net investment in its on-shore Venezuelan operations was approximately $40 million.

Potential Exit of U.K. from EU

As widely reported, the U.K. and EU agreed to extend the U.K.’s scheduled exit from the EU to October 31, 2019. For additional information regarding the U.K’s potential exit from the EU, see “Risk Factors—Strategic Risk” and “Strategic Risk—Potential Exit of U.K. from EU” in Citi’s 2018 Annual Report on Form 10-K.

INCOME TAXES

Deferred Tax Assets

For additional information on Citi’s deferred tax assets (DTAs), see “Risk Factors—Strategic Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and Notes 1 and 9 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

At June 30, 2019, Citigroup had recorded net DTAs of approximately $22.3 billion, a decrease of $0.5 billion from March 31, 2019 and a decrease of $0.6 billion from December 31, 2018. The decrease for the quarter was primarily driven by gains in Other comprehensive income and taxable earnings.

The table below summarizes Citi’s net DTAs balance:

Jurisdiction/Component	DTAs balance
In billions of dollars	June 30, 2019		December 31, 2018
Total U.S.	$	20.4	$	20.7
Total foreign	1.9		2.2
Total	$	22.3	$	22.9

Of Citi’s total net DTAs of $22.3 billion as of June 30, 2019, $10.4 billion (primarily relating to net operating losses, foreign tax credits and general business credit carry-forwards, which Citi reduced by $0.2 billion in the current quarter) was deducted in calculating Citi’s regulatory capital. Net DTAs resulting from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” above). For the quarter ended June 30, 2019, Citi did not have any such DTAs. Accordingly, the remaining $11.9 billion of net DTAs as of June 30, 2019 was not deducted in calculating regulatory capital pursuant to Basel III standards and was appropriately risk weighted under those rules.

Effective Tax Rate

Citi’s effective tax rate for the second quarter of 2019 was 22.3%, compared to 24.3% in the prior-year period. The tax rate for the remainder of the year is expected to be between 22% and 23%.

71

FUTURE APPLICATION OF ACCOUNTING STANDARDS

Accounting for Financial Instruments—Credit Losses

In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU introduces a new credit loss methodology, the Current Expected Credit Losses (CECL) methodology, which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.

The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities and other receivables measured at amortized cost at the time the financial asset is originated or acquired. The allowance for credit losses is adjusted each period for changes in expected lifetime credit losses. This methodology replaces the multiple existing impairment methods in current GAAP, which generally require that a loss be incurred before it is recognized. Within the life cycle of a loan or other financial asset, the ASU will generally result in the earlier recognition of the provision for credit losses and the related allowance for credit losses than current practice. For available-for-sale debt securities that Citi intends to hold and where fair value is less than cost, credit-related impairment, if any, will be recognized through an allowance for credit losses and adjusted each period for changes in credit risk.

The CECL methodology represents a significant change 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 impact of the ASU will, among other things, depend upon the state of the economy, forecasted macroeconomic conditions and Citi’s portfolios at the date of adoption. Based on a preliminary analysis performed in the second quarter of 2019 and forecasts of macroeconomic conditions and exposures at that time, the overall impact is estimated to be an approximate 20% to 30% increase in expected credit loss reserves. The ASU will be effective for Citi as of January 1, 2020. This increase would be reflected as a decrease to opening Retained earnings, net of income taxes, at January 1, 2020.

Implementation efforts have been underway, including model development and validation, fulfillment of additional data needs for new disclosures and reporting requirements, and drafting of accounting policies. Substantial progress has been made in model development. Model validations and user acceptance testing commenced in the first quarter of 2019, with parallel runs to begin in the third quarter of 2019. The Company intends to utilize a single macroeconomic scenario in estimating expected credit losses. Reasonable and supportable forecast periods and methods to revert to historical averages to arrive at lifetime expected credit losses vary by product.

For additional information on regulatory capital treatment, see “Capital Resources—Regulatory Capital

Standards Developments-Regulatory Capital Treatment—Implementation and Transition of the Current Expected Credit

Losses (CECL) Methodology” in Citi’s 2018 Annual Report on Form 10-K.

Subsequent Measurement of Goodwill

In January 2017, the FASB issued ASU No. 2017-04, Intangibles—Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment. The ASU simplifies the subsequent measurement of goodwill impairment by eliminating the requirement to calculate the implied fair value of goodwill (i.e., the current Step 2 of the goodwill impairment test) to measure a goodwill impairment charge. Under the ASU, the impairment test is the comparison of the fair value of a reporting unit with its carrying amount (the current Step 1), with the impairment charge being the deficit in fair value but not exceeding the total amount of goodwill allocated to that reporting unit. The simplified one-step impairment test applies to all reporting units (including those with zero or negative carrying amounts).

The ASU will be effective for Citi as of January 1, 2020. The impact of the ASU will depend upon the performance of Citi’s reporting units and the market conditions impacting the fair value of each reporting unit going forward.

See Note 1 to the Consolidated Financial Statements for a discussion of “Accounting Changes.”

72

DISCLOSURE CONTROLS AND PROCEDURES

Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.

Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.

Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of June 30, 2019 and, based on that evaluation, the CEO and CFO have concluded that at that date, Citigroup’s disclosure controls and procedures were effective.

DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT

Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act of 2012, which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with individuals or entities that are subject to sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law. Citi disclosed reportable activities pursuant to Section 219 in the first quarter of 2019.

During the second quarter of 2019, and as a result of an operational error, on March 28, 2019, the Czech Republic branch of Citibank Europe plc (“CEP Czech Republic”), a non-U.S. subsidiary of Citigroup Inc., on behalf of its client, provided a performance bond for the benefit of Mapna Europe GmbH (“Mapna”), an entity that appears to be majority owned by the Government of Iran. The aggregate value of  the bond was EUR 100,670.00 (approximately $113,118.62). Mapna did not make any claims against the bond and CEP Czech Republic did not make any payments to Mapna. Citi realized CZK 106,273.59 (approximately $4,673.91) in administrative fees from its client. The transaction was voluntarily self-disclosed to the U.S. Office of Foreign Asset Control (OFAC) on June 10, 2019.

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FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-Q, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the rules and regulations of the SEC. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.

Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events. Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, target, illustrative, and similar expressions or future or conditional verbs such as will, should, would and could.

Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within each individual business’s discussion and analysis of its results of operations above and in Citi’s 2018 Annual Report on Form 10-K and other SEC filings; (ii) the factors listed and described under “Risk Factors” in Citi’s 2018 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:

• the potential impact on Citi’s ability to return capital to common shareholders, consistent with its capital planning efforts and targets, due to, among other things, regulatory approval, Citi’s results of operations, financial condition and effectiveness in managing its level of risk-weighted assets and GSIB surcharge, potential changes to the regulatory capital framework, the CCAR process and the results of regulatory stress tests, such as the proposed integration of the annual stress testing requirements with ongoing regulatory capital requirements, including introduction of a firm-specific “stress capital buffer” (SCB), and any resulting year-to-year variability in the SCB, impact on Citi’s estimated management buffer and the impact of incorporating CECL in future stress testing requirements;

• the ongoing regulatory and other uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, such as potential fiscal, monetary and regulatory changes from the U.S. Presidential administration and Congress, potential changes to various aspects of the regulatory capital framework and the terms of and other uncertainties resulting from the U.K.’s potential exit from the European Union, and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, strategy or organizational structure and compliance risks and costs;

• Citi’s ability to utilize its DTAs (including the foreign tax credit component of its DTAs) and thus reduce the negative impact of the DTAs on Citi’s regulatory capital, including as a result of its ability to generate U.S. taxable income and by the provisions of and guidance issued in connection with Tax Reform;

• the potential impact to Citi if its interpretation or application of the complex tax laws to which it is subject, such as withholding tax obligations and stamp and other transactional taxes, differs from those of the relevant governmental authorities;

• Citi’s ability to achieve its expected results from its continued investments and efficiency initiatives, such as revenue growth and expense savings, as part of Citi’s operational and financial objectives and targets, including as a result of factors that Citi cannot control;

• the potential impact from a deterioration in or failure to maintain Citi’s co-branding or private label credit card relationships, for example with Sears, due to, among other things, the general economic environment, declining sales and revenues or other operational difficulties of the retailer or merchant, termination of a particular relationship, or other factors, such as bankruptcies, liquidations, restructurings, consolidations or other similar events;

• the potential impact to Citi’s businesses, credit costs, revenues or other results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties and volatilities, including, among others, changes in U.S. trade policies and resulting retaliatory measures from other countries, including imposition of tariffs, geopolitical tensions and conflicts and the terms or conditions regarding the U.K.’s potential withdrawal from the European Union;

• the various risks faced by Citi as a result of weakening economic conditions or changes in governmental fiscal or monetary actions by central banks, such as interest rates and other policies, in the U.S. or Citi’s other target markets;

• the various ri