Citigroup (C) 10-Q 2019 Q3 Quarterly report

0000831001 c:FICOScoreLessthan680Member us-gaap:ConsumerPortfolioSegmentMember 2019-09-30 0000831001 us-gaap:ExternalCreditRatingNonInvestmentGradeMember us-gaap:CommercialPortfolioSegmentMember c:CommercialAndIndustrialMember 2019-09-30 0000831001 c:TradingAssetsExcludingDerivativeAssetsMember us-gaap:FairValueMeasurementsRecurringMember 2018-12-31

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(Mark One)

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

For the quarterly period ended September 30, 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 September 30, 2019: 2,183,193,940

Available on the web at www.citigroup.com

CITIGROUP’S THIRD 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	36
MANAGING GLOBAL RISK	37
INCOME TAXES	73
FUTURE APPLICATION OF ACCOUNTING   STANDARDS	74
DISCLOSURE CONTROLS AND   PROCEDURES	75
DISCLOSURE PURSUANT TO SECTION 219 OF   THE IRAN THREAT REDUCTION AND SYRIA   HUMAN RIGHTS ACT	75
FORWARD-LOOKING STATEMENTS	76
FINANCIAL STATEMENTS AND NOTES   TABLE OF CONTENTS	79
CONSOLIDATED FINANCIAL STATEMENTS	80
NOTES TO CONSOLIDATED FINANCIAL   STATEMENTS (UNAUDITED)	88
UNREGISTERED SALES OF EQUITY SECURITIES,   PURCHASES OF EQUITY SECURITIES AND   DIVIDENDS	202

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 Reports on Form 10-Q for the quarters ended March 31, 2019 (First Quarter of 2019 Form 10-Q) and June 30, 2019 (Second 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 “SEC Filings,” then “Citigroup Inc.” The SEC’s website also contains current reports on Form 8-K and other information regarding Citi at www.sec.gov.

Certain reclassifications, 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

Third Quarter of 2019—Results Demonstrated Continued Progress

As described further throughout this Executive Summary, during the third quarter of 2019, Citi continued to demonstrate steady progress toward improving its profitability and returns, despite macroeconomic headwinds:

• Citi had solid underlying revenue growth in every region in Global Consumer Banking (GCB), excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation), as well as a pretax gain on sale of approximately $250 million of an asset management business in the third quarter of 2018 in Latin America.

• Citi had balanced performance in the Institutional Clients Group (ICG), with solid results in treasury and trade solutions, investment banking and the private bank, while fixed income markets revenues were largely unchanged and equity markets revenues were negatively impacted by a challenging environment.

• Citi continued to demonstrate expense and credit discipline.

• Citi had broad-based loan and deposit growth across GCB and ICG.

• Citi continued to return capital to its shareholders, including $6.3 billion in the form of common stock dividends as well as repurchases totaling 76 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.

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 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.

Third Quarter of 2019 Results Summary

Citigroup

Citigroup reported net income of $4.9 billion, or $2.07 per share, compared to net income of $4.6 billion, or $1.73 per share, in the prior-year period. Net income increased 6% from the prior-year period, primarily driven by a lower effective tax rate and higher revenues, partially offset by higher expenses and cost of credit. Earnings per share increased 20%, primarily driven by the 10% reduction in average shares outstanding due to the common stock repurchases, and the lower effective tax rate. Results for the third quarter of 2019 include a net benefit of approximately $0.10 per share related to discrete tax items, including an approximate $180 million benefit from a reduction in Citi’s valuation allowance related to its deferred tax assets (see “Income Taxes—DTA Valuation Allowance (VA) Release” below).

Citigroup revenues of $18.6 billion in the third quarter of 2019 increased 1% from the prior-year period, or 2% excluding the gain on sale, reflecting higher revenues across GCB and ICG, partially offset by lower revenues in Corporate/Other.

Citigroup’s end-of-period loans increased 2% to $692 billion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s end-of-period loans grew 4%, as 5% 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 8% to $1.1 trillion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 9%, primarily driven by 11% growth in ICG and 5% growth in GCB. (Citi’s results of operations excluding the gain on sale as well as the impact of FX translation are non-GAAP financial measures.)

Expenses

Citigroup operating expenses of $10.5 billion increased 1% versus the prior-year period, as efficiency savings and the wind-down of legacy assets were more than offset by volume-driven growth and continued investments in the franchise. Year-over-year, GCB operating expenses were down 2%, while ICG and Corporate/Other expenses increased 4% and 6%, respectively.

Cost of Credit

Citi’s total provisions for credit losses and for benefits and claims of $2.1 billion increased 6% 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, partially offset by a lower net loan loss reserve build.

Net credit losses of $1.9 billion increased 9% versus the prior-year period. Consumer net credit losses of $1.8 billion increased 6% from the prior-year period, primarily reflecting

3

volume growth and seasoning in the North America cards portfolios. Corporate net credit losses increased to $89 million from $30 million in the prior-year period.

For additional 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 ratio was 11.6% as of September 30, 2019, compared to 11.7% as of September 30, 2018, based on the Basel III Standardized Approach for determining risk-weighted assets. The decline in the ratio primarily reflected the return of capital to common shareholders and an increase in risk-weighted assets, partially offset by net income. Citigroup’s Supplementary Leverage ratio as of September 30, 2019 was 6.3%, compared to 6.5% as of September 30, 2018. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.

Global Consumer Banking

GCB net income of $1.6 billion increased 1%. Excluding the impact of FX translation, net income increased 2%, driven by higher revenues and lower expenses, partially offset by higher cost of credit. GCB operating expenses of $4.6 billion decreased 2% versus the prior-year period. Excluding the impact of FX translation, expenses decreased 1%, as efficiency savings more than offset continued investments in the franchise and volume-driven growth.

GCB revenues of $8.7 billion were largely unchanged versus the prior-year period. Excluding the impact of FX translation and the gain on sale in the prior-year period in Latin America GCB, revenues increased 4%, driven by growth in all three regions. North America GCB revenues of $5.4 billion increased 4%, primarily driven by growth in Citi-branded cards and Citi retail services, partially offset by retail banking revenues. In North America GCB, Citi-branded cards revenues of $2.3 billion increased 11%, primarily driven by continued growth in interest-earning balances. Citi retail services revenues of $1.7 billion increased 1% versus the prior-year period, driven by organic loan growth. Retail banking revenues of $1.3 billion decreased 2% versus the prior-year period, as the benefit of stronger deposit volumes was more than offset by lower deposit spreads.

North America GCB average deposits of $186 billion increased 3% year-over-year, average retail banking loans of $59 billion increased 5% year-over-year and assets under management of $69 billion grew 8%. Average Citi-branded card loans of $91 billion increased 3%, while Citi-branded card purchase sales of $94 billion increased 7% versus the prior-year period. Average Citi retail services loans of $50 billion increased 1% versus the prior-year period, while Citi retail services purchase sales of $22 billion decreased 2%. For additional information on the results of operations of North America GCB for the third 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 declined 6% versus the prior-year period. Excluding the impact of FX translation and the gain on sale, international GCB revenues increased 4% versus the prior-year period. On this basis, Latin America GCB revenues increased 3% versus the prior-year period, primarily driven by an increase in cards revenues and improved deposit spreads. Asia GCB revenues increased 5%, driven by higher deposit and investment revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for the third 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 4%, average retail banking loans of $90 billion increased 2%, assets under management of $109 billion increased 6%, average card loans of $24 billion increased 3% and card purchase sales of $27 billion increased 7%, all excluding the impact of FX translation.

Institutional Clients Group

ICG net income of $3.2 billion increased 1%, primarily driven by higher revenues, partially offset by higher expenses and cost of credit. ICG operating expenses increased 4% to $5.4 billion, primarily driven by investments, volume growth and higher compensation costs, partially offset by efficiency savings.

ICG revenues of $9.5 billion increased 3%, reflecting a 5% increase in Banking revenues and a 1% increase in Markets and securities services revenues. The increase in Banking revenues included the impact of $33 million of losses on loan hedges within corporate lending, compared to losses of $106 million in the prior-year period.

Banking revenues of $5.0 billion (excluding the impact of gains (losses) on loan hedges within corporate lending) increased 3%, as growth in treasury and trade solutions, investment banking and the private bank were partially offset by lower revenues in corporate lending. Investment banking revenues of $1.2 billion increased 4%, largely reflecting continued strength in debt underwriting and solid results in advisory, particularly in EMEA. Advisory revenues increased 5% to $276 million, equity underwriting revenues decreased 5% to $247 million and debt underwriting revenues increased 7% to $705 million.

Treasury and trade solutions revenues of $2.4 billion increased 6% versus the prior-year period, and 7% excluding the impact of FX translation, reflecting strong client engagement and growth in transaction volumes, partially offset by spread compression. Private bank revenues of $867 million increased 2%, driven by higher lending and deposit volumes as well as higher investment activity with both new and existing clients, partially offset by spread compression. Corporate lending revenues increased 8% to $494 million. Excluding the impact of gains (losses) on loan hedges, corporate lending revenues decreased 6%, reflecting lower spreads and higher hedging costs.

Markets and securities services revenues of $4.5 billion increased 1% from the prior-year period. Fixed income markets revenues of $3.2 billion were largely unchanged from

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the prior-year period, with improved activity with both corporate and investor clients and strength in rates and currencies, particularly G10 rates. Equity markets revenues of $760 million decreased 4%, reflecting lower client activity and lower balances in prime finance, partially offset by strong client activity in derivatives. Securities services revenues of $664 million decreased 1% versus the prior-year period, but increased 2% excluding the impact of FX translation, reflecting higher volumes from new and existing clients. For additional information on the results of operations of ICG for the third quarter of 2019, see “Institutional Clients Group” below.

Corporate/Other

Corporate/Other net income was $167 million in the third quarter of 2019, compared to a net loss of $68 million in the prior-year period, primarily reflecting the benefit of a discrete tax item and a pretax loss in the current period. Operating expenses of $485 million increased 6% from the prior-year period, largely reflecting higher infrastructure costs, partially offset by the continued wind-down of legacy assets. Corporate/Other revenues of $402 million decreased 18% from the prior-year period, primarily driven by the continued wind-down of legacy assets. For additional information on the results of operations of Corporate/Other for the third quarter of 2019, see “Corporate/Other” below.

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RESULTS OF OPERATIONS

SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1

Citigroup Inc. and Consolidated Subsidiaries

	Third Quarter								Nine Months
In millions of dollars, except per share amounts and ratios	2019			2018			% Change		2019		2018		% Change
Net interest revenue	$	11,641		$	11,802		(1	)%	$	35,350	$	34,639	2	%
Non-interest revenue	6,933			6,587			5		20,558		21,091		(3	)
Revenues, net of interest expense	$	18,574		$	18,389		1	%	$	55,908	$	55,730	—	%
Operating expenses	10,464			10,311			1		31,548		31,948		(1	)
Provisions for credit losses and for benefits and claims	2,088			1,974			6		6,161		5,643		9
Income from continuing operations before income taxes	$	6,022		$	6,104		(1	)%	$	18,199	$	18,139	—	%
Income taxes	1,079			1,471			(27	)	3,727		4,356		(14	)
Income from continuing operations	$	4,943		$	4,633		7	%	$	14,472	$	13,783	5	%
Income (loss) from discontinued operations,   net of taxes(1)	(15		)	(8		)	(88	)	—		—		—
Net income before attribution of noncontrolling   interests	$	4,928		$	4,625		7	%	$	14,472	$	13,783	5	%
Net income attributable to noncontrolling interests	15			3			NM		50		51		(2	)
Citigroup’s net income	$	4,913		$	4,622		6	%	$	14,422	$	13,732	5	%
Earnings per share
Basic
Income from continuing operations	$	2.09		$	1.74		20	%	$	5.92	$	5.04	17	%
Net income	2.09			1.73			21		5.92		5.04		17
Diluted
Income from continuing operations	$	2.08		$	1.74		20	%	$	5.89	$	5.04	17	%
Net income	2.07			1.73			20		5.89		5.04		17
Dividends declared per common share	0.51			0.45			13		1.41		1.09		29
Common dividends	$	1,183		$	1,127		5	%	$	3,299	$	2,777	19	%
Preferred dividends(2)	254			270			(6	)	812		860		(6	)
Common share repurchases	$	5,120		$	5,271		(3	)	$	12,750	$	9,846	29

Table continues on the next page, including footnotes.

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SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2

Citigroup Inc. and Consolidated Subsidiaries

	Third Quarter								Nine Months
In millions of dollars, except per share amounts, ratios and direct staff	2019			2018			% Change		2019			2018
At September 30:
Total assets	$	2,014,802		$	1,925,165		5	%
Total deposits	1,087,769			1,005,176			8
Long-term debt	242,238			235,270			3
Citigroup common stockholders’ equity	176,893			177,969			(1	)
Total Citigroup stockholders’ equity	196,373			197,004			—
Average assets	2,000,082			1,922,804			4		$	1,972,873		$	1,914,710
Direct staff (in thousands)	199			206			(3	)
Performance metrics
Return on average assets	0.97		%	0.95		%			0.98		%	0.96		%
Return on average common stockholders’ equity(3)	10.4			9.6					10.2			9.5
Return on average total stockholders’ equity(3)	9.9			9.2					9.8			9.2
Return on tangible common equity (RoTCE)(4)	12.2			11.3					12.0			11.2
Efficiency ratio (total operating expenses/total revenues)	56.3			56.1					56.4			57.3
Basel III ratios
Common Equity Tier 1 Capital(5)	11.58		%	11.73		%
Tier 1 Capital(5)	13.20			13.36
Total Capital(5)	16.07			15.98
Supplementary Leverage ratio	6.27			6.50
Citigroup common stockholders’ equity to assets	8.78		%	9.24		%
Total Citigroup stockholders’ equity to assets	9.75			10.23
Dividend payout ratio(6)	24.6			26.0					23.9		%	21.6		%
Total payout ratio(7)	135.3			147.0					117.9			98.1
Book value per common share	$	81.02		$	72.88		11	%
Tangible book value (TBV) per share(4)	69.03			61.91			12

(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) Certain series of preferred stock have semi-annual payment dates. See Note 9 to the Consolidated Financial Statements.

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

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

(5) 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.

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

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

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SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES

CITIGROUP INCOME

	Third Quarter								Nine Months
In millions of dollars	2019			2018			% Change		2019		2018			% Change
Income from continuing operations
Global Consumer Banking
North America	$	926		$	850		9	%	$	2,416	$	2,407		—	%
Latin America	238			331			(28	)	752		707			6
Asia(1)	422			383			10		1,268		1,116			14
Total	$	1,586		$	1,564		1	%	$	4,436	$	4,230		5	%
Institutional Clients Group
North America	$	801		$	871		(8	)%	$	2,537	$	2,759		(8	)%
EMEA	1,060			971			9		3,190		3,070			4
Latin America	466			544			(14	)	1,460		1,555			(6	)
Asia	843			735			15		2,648		2,312			15
Total	$	3,170		$	3,121		2	%	$	9,835	$	9,696		1	%
Corporate/Other	187			(52		)	NM		201		(143		)	NM
Income from continuing operations	$	4,943		$	4,633		7	%	$	14,472	$	13,783		5	%
Discontinued operations	$	(15	)	$	(8	)	(88	)%	$	—	$	—		—	%
Less: Net income attributable to noncontrolling interests	15			3			NM		50		51			(2	)
Citigroup’s net income	$	4,913		$	4,622		6	%	$	14,422	$	13,732		5	%

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

NM Not meaningful

CITIGROUP REVENUES

	Third Quarter						Nine Months
In millions of dollars	2019		2018		% Change		2019		2018		% Change
Global Consumer Banking
North America	$	5,352	$	5,129	4	%	$	15,695	$	15,290	3	%
Latin America	1,390		1,664		(16	)	4,203		4,379		(4	)
Asia(1)	1,916		1,855		3		5,716		5,649		1
Total	$	8,658	$	8,648	—	%	$	25,614	$	25,318	1	%
Institutional Clients Group
North America	$	3,104	$	3,329	(7	)%	$	9,701	$	10,106	(4	)%
EMEA	3,138		2,927		7		9,268		9,137		1
Latin America	1,173		1,061		11		3,528		3,445		2
Asia	2,099		1,931		9		6,432		6,112		5
Total	$	9,514	$	9,248	3	%	$	28,929	$	28,800	—	%
Corporate/Other	402		493		(18	)	1,365		1,612		(15	)
Total Citigroup net revenues	$	18,574	$	18,389	1	%	$	55,908	$	55,730	—	%

(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⁾—SEPTEMBER 30, 2019

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	$	7,037	$	72,772	$	140,634		$	—		$	220,443
Securities borrowed and purchased under agreements to resell	129		260,730		266			—			261,125
Trading account assets	1,229		294,037		11,558			—			306,824
Investments	1,077		120,417		236,889			—			358,383
Loans, net of unearned income and   allowance for loan losses	305,304		363,359		10,550			—			679,213
Other assets	40,007		109,917		38,890			—			188,814
Net inter-segment liquid assets(4)	85,411		257,871		(343,282		)	—			—
Total assets	$	440,194	$	1,479,103	$	95,505		$	—		$	2,014,802
Liabilities and equity
Total deposits	$	322,126	$	752,640	$	13,003		$	—		$	1,087,769
Securities loaned and sold under   agreements to repurchase	4,479		190,469		99			—			195,047
Trading account liabilities	688		134,585		323			—			135,596
Short-term borrowings	395		25,393		9,442			—			35,230
Long-term debt(3)	1,666		57,888		37,342			145,342			242,238
Other liabilities	20,544		84,705		16,603			—			121,852
Net inter-segment funding (lending)(3)	90,296		233,423		17,996			(341,715		)	—
Total liabilities	$	440,194	$	1,479,103	$	94,808		$	(196,373	)	$	1,817,732
Total stockholders’ equity(5)	—		—		697			196,373			197,070
Total liabilities and equity	$	440,194	$	1,479,103	$	95,505		$	—		$	2,014,802

(1) The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of September 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 on the Citigroup parent company balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.

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

(5) Corporate/Other equity represents noncontrolling interests.

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 2,394 branches in 19 countries and jurisdictions as of September 30, 2019. At September 30, 2019, GCB had approximately $440 billion in assets and $322 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.

	Third Quarter								Nine Months
In millions of dollars, except as otherwise noted	2019			2018			% Change		2019			2018			% Change
Net interest revenue	$	7,431		$	7,236		3	%	$	21,956		$	21,235		3	%
Non-interest revenue	1,227			1,412			(13	)	3,658			4,083			(10	)
Total revenues, net of interest expense	$	8,658		$	8,648		—	%	$	25,614		$	25,318		1	%
Total operating expenses	$	4,561		$	4,658		(2	)%	$	13,832		$	13,987		(1	)%
Net credit losses	$	1,823		$	1,714		6	%	$	5,603		$	5,176		8	%
Credit reserve build (release)	172			186			(8	)	347			484			(28	)
Provision (release) for unfunded lending commitments	—			6			(100	)	10			8			25
Provision for benefits and claims	17			27			(37	)	48			75			(36	)
Provisions for credit losses and for benefits and claims (LLR & PBC)	$	2,012		$	1,933		4	%	$	6,008		$	5,743		5	%
Income from continuing operations before taxes	$	2,085		$	2,057		1	%	$	5,774		$	5,588		3	%
Income taxes	499			493			1		1,338			1,358			(1	)
Income from continuing operations	$	1,586		$	1,564		1	%	$	4,436		$	4,230		5	%
Noncontrolling interests	2			1			100		3			4			(25	)
Net income	$	1,584		$	1,563		1	%	$	4,433		$	4,226		5	%
Balance Sheet data and ratios (in billions of dollars)
Total EOP assets	$	440		$	427		3	%
Average assets	438			424			3		$	432		$	421		3	%
Return on average assets	1.43		%	1.46		%			1.37		%	1.34		%
Efficiency ratio	53			54					54			55
Average deposits	$	316		$	307		3		$	313		$	307		2
Net credit losses as a percentage of average loans	2.31		%	2.22		%			2.41		%	2.27		%
Revenue by business
Retail banking	$	3,486		$	3,711		(6	)%	$	10,527		$	10,658		(1	)%
Cards(1)	5,172			4,937			5		15,087			14,660			3
Total	$	8,658		$	8,648		—	%	$	25,614		$	25,318		1	%
Income from continuing operations by business
Retail banking	$	575		$	663		(13	)%	$	1,730		$	1,760		(2	)%
Cards(1)	1,011			901			12		2,706			2,470			10
Total	$	1,586		$	1,564		1	%	$	4,436		$	4,230		5	%

Table continues on the next page, including footnotes.

10

Foreign currency (FX) translation impact
Total revenue—as reported	$	8,658	$	8,648		—	%	$	25,614	$	25,318		1	%
Impact of FX translation(2)	—		(82		)			—		(220		)
Total revenues—ex-FX(3)	$	8,658	$	8,566		1	%	$	25,614	$	25,098		2	%
Total operating expenses—as reported	$	4,561	$	4,658		(2	)%	$	13,832	$	13,987		(1	)%
Impact of FX translation(2)	—		(44		)			—		(135		)
Total operating expenses—ex-FX(3)	$	4,561	$	4,614		(1	)%	$	13,832	$	13,852		—	%
Total provisions for LLR & PBC—as reported	$	2,012	$	1,933		4	%	$	6,008	$	5,743		5	%
Impact of FX translation(2)	—		(20		)			—		(41		)
Total provisions for LLR & PBC—ex-FX(3)	$	2,012	$	1,913		5	%	$	6,008	$	5,702		5	%
Net income—as reported	$	1,584	$	1,563		1	%	$	4,433	$	4,226		5	%
Impact of FX translation(2)	—		(14		)			—		(30		)
Net income—ex-FX(3)	$	1,584	$	1,549		2	%	$	4,433	$	4,196		6	%

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

(2) Reflects the impact of FX translation into U.S. dollars at the third 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.

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 September 30, 2019, North America GCB had 687 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of September 30, 2019, North America GCB had approximately 9.1 million retail banking customer accounts, $59.2 billion in retail banking loans and $191.6 billion in deposits. In addition, North America GCB had approximately 117.7 million Citi-branded and Citi retail services credit card accounts with $141.5 billion in outstanding card loan balances.

	Third Quarter								Nine Months
In millions of dollars, except as otherwise noted	2019			2018			% Change		2019			2018			% Change
Net interest revenue	$	5,189		$	4,984		4	%	$	15,277		$	14,514		5	%
Non-interest revenue	163			145			12		418			776			(46	)
Total revenues, net of interest expense	$	5,352		$	5,129		4	%	$	15,695		$	15,290		3	%
Total operating expenses	$	2,612		$	2,668		(2	)%	$	8,001		$	7,979		—	%
Net credit losses	$	1,355		$	1,242		9	%	$	4,212		$	3,816		10	%
Credit reserve build (release)	175			116			51		355			354			—
Provision (release) for unfunded lending commitments	(1		)	5			NM		10			3			NM
Provision for benefits and claims	4			5			(20	)	16			16			—
Provisions for credit losses and for benefits and claims	$	1,533		$	1,368		12	%	$	4,593		$	4,189		10	%
Income from continuing operations before taxes	$	1,207		$	1,093		10	%	$	3,101		$	3,122		(1	)%
Income taxes	281			243			16		685			715			(4	)
Income from continuing operations	$	926		$	850		9	%	$	2,416		$	2,407		—	%
Noncontrolling interests	—			—			—		—			—			—
Net income	$	926		$	850		9	%	$	2,416		$	2,407		—	%
Balance Sheet data and ratios (in billions of dollars)
Average assets	$	258		$	249		4	%	$	254		$	247		3	%
Return on average assets	1.42		%	1.35		%			1.27		%	1.30		%
Efficiency ratio	49			52					51			52
Average deposits	$	186.0		$	180.2		3		$	183.8		$	180.3		2
Net credit losses as a percentage of average loans	2.70		%	2.56		%			2.87		%	2.68		%
Revenue by business
Retail banking	$	1,304		$	1,329		(2	)%	$	3,971		$	3,984		—	%
Citi-branded cards	2,334			2,108			11		6,726			6,402			5
Citi retail services	1,714			1,692			1		4,998			4,904			2
Total	$	5,352		$	5,129		4	%	$	15,695		$	15,290		3	%
Income from continuing operations by business
Retail banking	$	109		$	131		(17	)%	$	306		$	432		(29	)%
Citi-branded cards	441			375			18		1,187			1,109			7
Citi retail services	376			344			9		923			866			7
Total	$	926		$	850		9	%	$	2,416		$	2,407		—	%

NM Not meaningful

12

3Q19 vs. 3Q18

Net income increased 9%, as higher revenues and lower expenses were partially offset by higher cost of credit.

Revenues increased 4%, reflecting growth in Citi-branded cards and Citi retail services, partially offset by lower retail banking revenues.

Retail banking revenues decreased 2%, as the benefit of stronger deposit volumes was more than offset by lower deposit spreads, reflecting lower interest rates. Average deposits increased 3% and assets under management increased 8%. Citi expects that retail banking revenues will likely continue to be impacted by the lower interest rate environment in the near term.

Cards revenues increased 7%. In Citi-branded cards, revenues increased 11%, primarily driven by continued growth in interest-earning balances. Average loans increased 3% and purchase sales increased 7%.

Citi retail services revenues increased 1%, primarily driven by organic loan growth. Average loans increased 1%, while purchase sales decreased 2%.

Expenses decreased 2%, as efficiency savings more than offset ongoing investments and higher volume-related expenses.

Provisions increased 12% from the prior-year period, driven by higher net credit losses and a higher net loan loss reserve build. Net credit losses increased 9%, primarily driven by higher net credit losses in Citi-branded cards (up 11% to $712 million) and Citi retail services (up 6% to $598 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 $174 million, reflecting volume growth and seasoning in both cards portfolios (compared to a build of $121 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 was largely unchanged, as higher revenues were offset by higher cost of credit, while expenses were largely unchanged.

Revenues increased 3%. Excluding the impact of the $150 million gain on the Hilton portfolio sale in the prior-year period, revenues increased 4%, reflecting higher revenues in Citi-branded cards and Citi retail services. Retail banking revenues were largely unchanged. Cards revenues increased 4% (5% excluding the Hilton gain). In Citi-branded cards, revenues increased 5% (8% excluding the Hilton gain), driven by the same factors described above. Citi retail services revenues increased 2%, driven by organic loan growth and the benefit of the L.L.Bean portfolio acquisition.

Expenses were largely unchanged, as efficiency savings were offset by ongoing investments and higher volume-related expenses.

Provisions increased 10%. Net credit losses increased 10%, driven by volume growth and seasoning in both cards portfolios. The net loan loss reserve build increased 2% from the prior-year period, driven by the same factors described above.

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 September 30, 2019, Latin America GCB had 1,458 retail branches in Mexico, with approximately 30.3 million retail banking customer accounts, $19.3 billion in retail banking loans and $28.3 billion in deposits. In addition, the business had approximately 5.3 million Citi-branded card accounts with $5.5 billion in outstanding card loan balances.

	Third Quarter								Nine Months						% Change
In millions of dollars, except as otherwise noted	2019			2018			% Change		2019			2018
Net interest revenue	$	1,017		$	1,042		(2	)%	$	3,009		$	3,052		(1	)%
Non-interest revenue	373			622			(40	)	1,194			1,327			(10	)
Total revenues, net of interest expense	$	1,390		$	1,664		(16	)%	$	4,203		$	4,379		(4	)%
Total operating expenses	$	781		$	825		(5	)%	$	2,281		$	2,359		(3	)%
Net credit losses	$	285		$	307		(7	)%	$	868		$	863		1	%
Credit reserve build	(8		)	31			NM		(5		)	106			NM
Provision (release) for unfunded lending commitments	—			—			—		(1		)	1			NM
Provision for benefits and claims	13			22			(41	)	32			59			(46	)
Provisions for credit losses and for benefits and claims (LLR & PBC)	$	290		$	360		(19	)%	$	894		$	1,029		(13	)%
Income from continuing operations before taxes	$	319		$	479		(33	)%	$	1,028		$	991		4	%
Income taxes	81			148			(45	)	276			284			(3	)
Income from continuing operations	$	238		$	331		(28	)%	$	752		$	707		6	%
Net income	$	238		$	331		(28	)%	$	752		$	707		6	%
Balance Sheet data and ratios (in billions of dollars)
Average assets	$	47		$	45		4	%	$	45		$	44		2	%
Return on average assets	2.01		%	2.92		%			2.23		%	2.15		%
Efficiency ratio	56			50					54			54
Average deposits	$	29.2		$	29.4		(1	)	$	29.0		$	28.9		—
Net credit losses as a percentage of average loans	4.45		%	4.63		%			4.55		%	4.44		%
Revenue by business
Retail banking	$	972		$	1,259		(23	)%	$	2,995		$	3,211		(7	)%
Citi-branded cards	418			405			3		1,208			1,168			3
Total	$	1,390		$	1,664		(16	)%	$	4,203		$	4,379		(4	)%
Income from continuing operations by business
Retail banking	$	155		$	276		(44	)%	$	544		$	562		(3	)%
Citi-branded cards	83			55			51		208			145			43
Total	$	238		$	331		(28	)%	$	752		$	707		6	%
FX translation impact
Total revenues—as reported	$	1,390		$	1,664		(16	)%	$	4,203		$	4,379		(4	)%
Impact of FX translation(1)	—			(59		)			—			(86		)
Total revenues—ex-FX(2)	$	1,390		$	1,605		(13	)%	$	4,203		$	4,293		(2	)%
Total operating expenses—as reported	$	781		$	825		(5	)%	$	2,281		$	2,359		(3	)%
Impact of FX translation(1)	—			(26		)			—			(41		)
Total operating expenses—ex-FX(2)	$	781		$	799		(2	)%	$	2,281		$	2,318		(2	)%
Provisions for LLR & PBC—as reported	$	290		$	360		(19	)%	$	894		$	1,029		(13	)%
Impact of FX translation(1)	—			(14		)			—			(22		)
Provisions for LLR & PBC—ex-FX(2)	$	290		$	346		(16	)%	$	894		$	1,007		(11	)%
Net income—as reported	$	238		$	331		(28	)%	$	752		$	707		6	%
Impact of FX translation(1)	—			(14		)			—			(16		)
Net income—ex-FX(2)	$	238		$	317		(25	)%	$	752		$	691		9	%

14

(1) Reflects the impact of FX translation into U.S. dollars at the third 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.

3Q19 vs. 3Q18

Net income decreased 25%, reflecting lower revenues, partially offset by lower expenses and lower cost of credit.

Revenues decreased 13%, including a gain on sale (approximately $250 million) of an asset management business in the prior-year period. Excluding the gain on sale, revenues increased 3%, primarily driven by an increase in cards revenues and improved deposit spreads.

Retail banking revenues decreased 20%. Excluding the gain on sale, retail banking revenues increased 1%, as improved deposit spreads were largely offset by lower average loans (down 2%), reflecting the ongoing slowdown in overall economic growth and industry volumes in Mexico. Average deposits were up 2%. Cards revenues increased 7%, primarily driven by continued volume growth, reflecting higher purchase sales (up 6%) and full-rate revolving loans, as well as higher rates. Average cards loans grew 2%.

Expenses decreased 2%, as efficiency savings more than offset ongoing investment spending and volume-driven growth.

Provisions decreased 16%, primarily driven by a modest net loan loss reserve release (compared to a net loan loss reserve build in the prior-year period) and lower net credit losses, 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 9%, driven by the same factors described above.

Revenues decreased 2%, including the gain on sale. Excluding the gain on sale, revenues increased 4%, reflecting higher revenues in both retail banking and cards. Retail banking revenues increased 3% (excluding the gain on sale), driven by the same factors described above. Cards revenues increased 5%, driven by the same factors described above.

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

Provisions decreased 11%, primarily driven by a modest net loan loss reserve release (compared to a net loan loss reserve build in the prior-year period).

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. During the third quarter of 2019, Asia GCB’s most significant revenues in Asia were from Hong Kong, Singapore, India, Taiwan, Korea, Australia, 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 September 30, 2019, on a combined basis, the businesses had 249 retail branches, approximately 16.4 million retail banking customer accounts, $70.7 billion in retail banking loans and $102.3 billion in deposits. In addition, the businesses had approximately 15.2 million Citi-branded card accounts with $18.8 billion in outstanding card loan balances.

	Third Quarter								Nine Months						% Change
In millions of dollars, except as otherwise noted(1)	2019			2018			% Change		2019			2018
Net interest revenue	$	1,225		$	1,210		1	%	$	3,670		$	3,669		—	%
Non-interest revenue	691			645			7		2,046			1,980			3
Total revenues, net of interest expense	$	1,916		$	1,855		3	%	$	5,716		$	5,649		1	%
Total operating expenses	$	1,168		$	1,165		—	%	$	3,550		$	3,649		(3	)%
Net credit losses	$	183		$	165		11	%	$	523		$	497		5	%
Credit reserve build (release)	5			39			(87	)	(3		)	24			NM
Provision (release) for unfunded lending commitments	1			1			—		1			4			(75	)
Provisions for credit losses	$	189		$	205		(8	)%	$	521		$	525		(1	)%
Income from continuing operations before taxes	$	559		$	485		15	%	$	1,645		$	1,475		12	%
Income taxes	137			102			34		377			359			5
Income from continuing operations	$	422		$	383		10	%	$	1,268		$	1,116		14	%
Noncontrolling interests	2			1			100		3			4			(25	)
Net income	$	420		$	382		10	%	$	1,265		$	1,112		14	%
Balance Sheet data and ratios (in billions of dollars)
Average assets	$	133		$	130		2	%	$	133		$	130		2	%
Return on average assets	1.25		%	1.17		%			1.27		%	1.14		%
Efficiency ratio	61			63					62			65
Average deposits	$	100.6		$	97.6		3		$	100.2		$	98.1		2
Net credit losses as a percentage of average loans	0.82		%	0.75		%			0.79		%	0.75		%
Revenue by business
Retail banking	$	1,210		$	1,123		8	%	$	3,561		$	3,463		3	%
Citi-branded cards	706			732			(4	)	2,155			2,186			(1	)
Total	$	1,916		$	1,855		3	%	$	5,716		$	5,649		1	%
Income from continuing operations by business
Retail banking	$	311		$	256		21	%	$	880		$	766		15	%
Citi-branded cards	111			127			(13	)	388			350			11
Total	$	422		$	383		10	%	$	1,268		$	1,116		14	%

16

FX translation impact
Total revenues—as reported	$	1,916	$	1,855		3	%	$	5,716	$	5,649		1	%
Impact of FX translation(2)	—		(23		)			—		(134		)
Total revenues—ex-FX(3)	$	1,916	$	1,832		5	%	$	5,716	$	5,515		4	%
Total operating expenses—as reported	$	1,168	$	1,165		—	%	$	3,550	$	3,649		(3	)%
Impact of FX translation(2)	—		(18		)			—		(94		)
Total operating expenses—ex-FX(3)	$	1,168	$	1,147		2	%	$	3,550	$	3,555		—	%
Provisions for loan losses—as reported	$	189	$	205		(8	)%	$	521	$	525		(1	)%
Impact of FX translation(2)	—		(6		)			—		(19		)
Provisions for loan losses—ex-FX(3)	$	189	$	199		(5	)%	$	521	$	506		3	%
Net income—as reported	$	420	$	382		10	%	$	1,265	$	1,112		14	%
Impact of FX translation(2)	—		—					—		(14		)
Net income—ex-FX(3)	$	420	$	382		10	%	$	1,265	$	1,098		15	%

(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 third 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.

3Q19 vs. 3Q18

Net income increased 10%, reflecting higher revenues and lower cost of credit, partially offset by higher expenses.

Revenues increased 5%, driven by higher investment and deposit revenues, partially offset by lower cards revenues.

Retail banking revenues increased 9% compared to the prior-year period, primarily driven by higher investment revenues due to improved market sentiment as well as higher deposit revenues. Investment sales increased 25%, assets under management grew 8%, average deposits increased 5% and average loans increased 4%. Retail lending revenues were largely unchanged, as continued growth in personal loans was offset by spread compression.

Cards revenues decreased 2%, as continued growth in average loans (up 3%) and purchase sales (up 7%) were more than offset by spread compression.

Expenses increased 2%, as efficiency savings were more than offset by ongoing investment spending and volume-driven growth.

Provisions decreased 5%, reflecting a lower net loan loss reserve build in the current quarter, partially offset 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

Net income increased 15%, primarily driven by higher revenues, partially offset by higher cost of credit.

Revenues increased 4%, driven by growth in both retail banking and cards. Retail banking revenues increased 5% from the prior-year period, reflecting growth in deposits, partially offset by lower investment and retail lending revenues. Cards revenues were up 1%, driven by continued growth in average loans and purchase sales, partially offset by spread compression.

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

Provisions increased 3%, as higher net credit losses, reflecting volume growth and seasoning, were partially offset by a modest net loan loss reserve release in the current period versus a net loan loss reserve build in the prior-year period.

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 September 30, 2019, ICG had approximately $1.5 trillion in assets and $753 billion in deposits, while two of its businesses—securities services and issuer services—managed approximately $19.2 trillion in assets under custody compared to $18.0 trillion at the end of the prior-year period.

	Third Quarter								Nine Months						% Change
In millions of dollars, except as otherwise noted	2019			2018			% Change		2019			2018
Commissions and fees	$	1,091		$	1,085		1	%	$	3,258		$	3,425		(5	)%
Administration and other fiduciary fees	693			686			1		2,059			2,093			(2	)
Investment banking	1,044			1,029			1		3,256			3,260			—
Principal transactions	2,578			2,252			14		7,140			7,435			(4	)
Other(1)	310			184			68		1,310			828			58
Total non-interest revenue	$	5,716		$	5,236		9	%	$	17,023		$	17,041		—	%
Net interest revenue (including dividends)	3,798			4,012			(5	)	11,906			11,759			1
Total revenues, net of interest expense	$	9,514		$	9,248		3	%	$	28,929		$	28,800		—	%
Total operating expenses	$	5,418		$	5,194		4	%	$	16,201		$	16,160		—	%
Net credit losses	$	89		$	23		NM		$	216		$	127		70	%
Credit reserve build (release)	(7		)	7			NM		(14		)	(136		)	90
Provision (release) for unfunded lending commitments	9			41			(78	)%	13			64			(80	)
Provisions for credit losses	$	91		$	71		28	%	$	215		$	55		NM
Income from continuing operations before taxes	$	4,005		$	3,983		1	%	$	12,513		$	12,585		(1	)%
Income taxes	835			862			(3	)	2,678			2,889			(7	)
Income from continuing operations	$	3,170		$	3,121		2	%	$	9,835		$	9,696		1	%
Noncontrolling interests	8			(6		)	NM		29			21			38
Net income	$	3,162		$	3,127		1	%	$	9,806		$	9,675		1	%
EOP assets (in billions of dollars)	$	1,479		$	1,404		5	%
Average assets (in billions of dollars)	1,465			1,402			4		$	1,443		$	1,399		3	%
Return on average assets	0.86		%	0.88		%			0.91		%	0.92		%
Efficiency ratio	57			56					56			56
Revenues by region
North America	$	3,104		$	3,329		(7	)%	$	9,701		$	10,106		(4	)%
EMEA	3,138			2,927			7		9,268			9,137			1
Latin America	1,173			1,061			11		3,528			3,445			2
Asia	2,099			1,931			9		6,432			6,112			5
Total	$	9,514		$	9,248		3	%	$	28,929		$	28,800		—	%
Income from continuing operations by region
North America	$	801		$	871		(8	)%	$	2,537		$	2,759		(8	)%
EMEA	1,060			971			9		3,190			3,070			4
Latin America	466			544			(14	)	1,460			1,555			(6	)
Asia	843			735			15		2,648			2,312			15
Total	$	3,170		$	3,121		2	%	$	9,835		$	9,696		1	%

18

Average loans by region (in billions of dollars)
North America	$	179	$	166	8	%	$	177	$	164	8	%
EMEA	88		82		7		86		80		8
Latin America	31		33		(6	)	33		33		—
Asia	63		65		(3	)	63		67		(6	)
Total	$	361	$	346	4	%	$	359	$	344	4	%
EOP deposits by business (in billions of dollars)
Treasury and trade solutions	$	506	$	470	8	%
All other ICG businesses	247		215		15
Total	$	753	$	685	10	%

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

NM Not meaningful

ICG Revenue Details

	Third Quarter								Nine Months						% Change
In millions of dollars	2019			2018			% Change		2019			2018
Investment banking revenue details
Advisory	$	276		$	262		5	%	$	886		$	838		6	%
Equity underwriting	247			259			(5	)	733			810			(10	)
Debt underwriting	705			660			7		2,246			2,085			8
Total investment banking	$	1,228		$	1,181		4	%	$	3,865		$	3,733		4	%
Treasury and trade solutions	2,410			2,283			6		7,246			6,887			5
Corporate lending—excluding gains (losses) on loan hedges(1)	527			563			(6	)	1,634			1,673			(2	)
Private bank	867			849			2		2,613			2,601			—
Total Banking revenues (ex-gains (losses) on loan hedges)	$	5,032		$	4,876		3	%	$	15,358		$	14,894		3	%
Corporate lending—gains (losses) on loan hedges(1)	$	(33	)	$	(106	)	69	%	$	(339	)	$	(60	)	NM
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense	$	4,999		$	4,770		5	%	$	15,019		$	14,834		1	%
Fixed income markets(2)	$	3,211		$	3,206		—	%	$	9,986		$	9,713		3	%
Equity markets	760			792			(4	)	2,392			2,759			(13	)
Securities services	664			672			(1	)	1,984			1,978			—
Other	(120		)	(192		)	38		(452		)	(484		)	7
Total Markets and securities services revenues, net of interest expense	$	4,515		$	4,478		1	%	$	13,910		$	13,966		—	%
Total revenues, net of interest expense	$	9,514		$	9,248		3	%	$	28,929		$	28,800		—	%
Commissions and fees	$	194		$	164		18	%	$	566		$	521		9	%
Principal transactions(3)	2,080			2,026			3		6,327			6,332			—
Other(2)	183			86			NM		866			389			NM
Total non-interest revenue	$	2,457		$	2,276		8	%	$	7,759		$	7,242		7	%
Net interest revenue	754			930			(19	)	2,227			2,471			(10	)
Total fixed income markets(4)	$	3,211		$	3,206		—	%	$	9,986		$	9,713		3	%
Rates and currencies	$	2,491		$	2,353		6	%	$	7,011		$	7,071		(1	)%
Spread products/other fixed income	720			853			(16	)	2,975			2,642			13
Total fixed income markets	$	3,211		$	3,206		—	%	$	9,986		$	9,713		3	%
Commissions and fees	$	287		$	285		1	%	$	854		$	954		(10	)%
Principal transactions(3)	388			284			37		791			922			(14	)
Other	2			(4		)	NM		19			96			(80	)
Total non-interest revenue	$	677		$	565		20	%	$	1,664		$	1,972		(16	)%
Net interest revenue	83			227			(63	)	728			787			(7	)
Total equity markets(4)	$	760		$	792		(4	)%	$	2,392		$	2,759		(13	)%

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 nine months 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.

(4) Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net interest revenue may be risk managed by derivatives that are recorded in Principal transactions revenue. For a description of the composition of these revenue line items, see Notes 4, 5 and 6 to the Consolidated Financial Statements.

NM Not meaningful

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

3Q19 vs. 3Q18

Net income increased 1%, as revenue growth was partially offset by higher expenses and higher cost of credit.

• Revenues were up 3%, primarily reflecting higher Banking revenues (increase of 5%, including the impact of the gains (losses) on loan hedges) and higher Markets and securities services revenues (increase of 1%). Excluding the impact of the gains (losses) on loan hedges, Banking revenues were up 3%, driven by higher revenues in treasury and trade solutions, investment banking and the private bank, partially offset by lower revenues in corporate lending. Markets and securities services revenues were up 1%, although fixed income markets revenues were largely unchanged and equity markets revenues decreased.

Citi expects that ICG’s revenues will likely be impacted by the lower interest rate environment in the near term.

Within Banking:

• Investment banking revenues increased 4%, outperforming the market wallet, as strength in debt underwriting and advisory revenues more than offset lower equity underwriting revenues. Advisory revenues increased 5%, primarily driven by strength in EMEA. Equity underwriting revenues decreased 5%, driven by a decline in market share in the quarter, while share is up year-to-date. Debt underwriting revenues increased 7%, reflecting gains in wallet share, particularly in investment-grade underwriting.

• Treasury and trade solutions revenues increased 6%. 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 10% (11% excluding the impact of FX translation), reflecting strong growth across all regions. Revenue growth in the cash business reflected continued growth in deposits and transaction volumes, partially offset by spread compression. Revenue growth in the trade business was driven primarily by improved loan spreads and higher episodic fees, modestly offset by lower average trade loans (for additional information, see “Liquidity Risk—Loans” below).

• Corporate lending revenues increased 8%. Excluding the impact of gains (losses) on loan hedges, revenues

decreased 6%, driven by lower spreads and higher hedging costs.

• Private bank revenues increased 2%, reflecting growth in North America and Asia, partially offset by lower revenues in EMEA. The increase in revenues reflected strong client activity, which drove higher loan and deposit volumes and higher investments revenues, partially offset by spread compression.

Within Markets and securities services:

• Fixed income markets revenues were largely unchanged, as lower revenues in North America were offset by higher revenues in EMEA, Asia and Latin America. Net interest revenues declined due to a change in the mix of trading positions in support of client activity. This decrease was offset by higher non-interest revenues, reflecting higher corporate and investor client activity in both rates and flow products.

Rates and currencies revenues increased 6%, primarily driven by higher revenues in G10 rates and local markets rates and currencies. The increase in G10 rates revenues was driven by higher revenues in North America, reflecting a more favorable operating environment along with higher investor client activity. The increase in local markets rates and currencies revenues reflected higher corporate and investor client activity, given improved currency volatility.

Spread products and other fixed income revenues decreased 16%, as higher client activity in flow products and financing was more than offset by a continued challenging market environment in structured products, particularly in North America.

• Equity markets revenues decreased 4%, primarily reflecting lower revenues in prime finance, partially offset by higher revenues in equity derivatives, while revenues in cash equities were largely unchanged. Prime finance revenues declined across all regions, reflecting lower client activity and lower balances. Equity derivatives revenues increased, reflecting strong investor and corporate client activity as well as improved volatility. Net interest revenues decreased, partially offset by higher principal transactions revenues, reflecting a change in the mix of trading positions in support of client activity.

• Securities services revenues decreased 1%. Excluding the impact of FX translation, revenues increased 2%, driven

20

by higher client volumes as well as higher interest rates in emerging markets.

Expenses increased 4%, as investments, volume-related growth and higher compensation costs were partially offset by efficiency savings.

Provisions increased $20 million to $91 million, largely driven by higher net credit losses (up $66 million), partially offset by a lower net loan loss reserve build (build of $2 million) as compared to the prior-year period (build of $48 million).

2019 YTD vs. 2018 YTD

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

• Revenues were largely unchanged, as Banking revenues increased 1% (including the impact of the gains (losses) on loan hedges), while Markets and securities services revenues were largely unchanged. Excluding the impact of the gains (losses) on loan hedges, Banking revenues increased 3%, primarily driven by higher revenues in treasury and trade solutions and investment banking, partially offset by lower revenues in corporate lending.

Within Banking:

• Investment banking revenues increased 4%. Advisory revenues increased 6%, reflecting gains in wallet share despite a decline in overall market wallet. Equity underwriting revenues decreased 10%, reflecting market wallet declines. Debt underwriting revenues increased 8%, reflecting gains in wallet share, primarily in investment-grade underwriting.

• 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 20%. Excluding the impact of gains (losses) on loan hedges, revenues decreased 2%, driven by higher hedging costs and lower spreads.

• Private bank revenues were largely unchanged versus the prior-year period, as higher loan and deposit volumes were offset by spread compression.

Within Markets and securities services:

• Fixed income markets revenues increased 3%, including the Tradeweb gain, primarily reflecting higher revenues in Asia and EMEA. Rates and currencies revenues decreased 1%, driven by the challenging market environment. Spread products and other fixed income revenues increased 13%, reflecting the Tradeweb gain as well as strong flow trading revenues, partially offset by lower structured products revenues.

• Equity markets revenues decreased 13%, driven by North America and Asia, reflecting a challenging operating

environment with lower client revenues as well as comparison to a strong prior-year period characterized by higher market volatility.

• Securities services revenues were largely unchanged. Excluding the impact of FX translation, revenues increased 5%, as strength in Asia was offset by lower revenues in North America and EMEA, 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 were largely unchanged, as efficiency savings offset investments, higher compensation and volume-driven growth.

Provisions increased $160 million to $215 million, due to higher net credit losses (up $89 million), as well as a lower net loan loss reserve release (release of $1 million) as compared to the prior-year period (release of $72 million), reflecting a normalization of credit costs.

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 September 30, 2019, Corporate/Other had $96 billion in assets.

	Third Quarter								Nine Months						% Change
In millions of dollars	2019			2018			% Change		2019			2018
Net interest revenue	$	412		$	554		(26	)%	$	1,488		$	1,645		(10	)%
Non-interest revenue	(10		)	(61		)	84		(123		)	(33		)	NM
Total revenues, net of interest expense	$	402		$	493		(18	)%	$	1,365		$	1,612		(15	)%
Total operating expenses	$	485		$	459		6	%	$	1,515		$	1,801		(16	)%
Net credit losses (recoveries)	$	1		$	19		(95	)%	$	5		$	24		(79	)%
Credit reserve build (release)	(16		)	(43		)	63		(62		)	(171		)	64
Provision (release) for unfunded lending commitments	—			(5		)	100		(5		)	(6		)	17
Provision for benefits and claims	—			(1		)	100		—			(2		)	100
Provisions (release) for credit losses and for benefits and claims	$	(15	)	$	(30	)	50	%	$	(62	)	$	(155	)	60	%
Income (loss) from continuing operations before taxes	$	(68	)	$	64		NM		$	(88	)	$	(34	)	NM
Income taxes (benefits)	(255		)	116			NM		(289		)	109			NM
Income (loss) from continuing operations	$	187		$	(52	)	NM		$	201		$	(143	)	NM
Income (loss) from discontinued operations, net of taxes	(15		)	(8		)	(88	)%	—			—			—	%
Net income (loss) before attribution of noncontrolling interests	$	172		$	(60	)	NM		$	201		$	(143	)	NM
Noncontrolling interests	5			8			(38	)%	18			26			(31	)%
Net income (loss)	$	167		$	(68	)	NM		$	183		$	(169	)	NM

NM Not meaningful

3Q19 vs. 3Q18

Net income was $167 million, compared to a net loss of $68 million in the prior-year period. Net income was largely driven by an income tax benefit of $255 million, compared to income tax of $116 million in the prior-year period, primarily reflecting the tax benefit of the reduction in the valuation allowance related to Citi’s deferred tax assets and a pretax loss in the current period (see “Income Taxes—DTA Valuation Allowance (VA) Release” below). The pretax loss was driven by lower revenue, higher expenses and a lower net loan loss reserve release in the current period.

Revenues decreased 18%, primarily driven by the wind-down of legacy assets.

Expenses increased 6%, primarily reflecting higher infrastructure costs, partially offset by the wind-down of legacy assets.

Provisions increased $15 million to a net benefit of $15 million, primarily due to a lower net loan loss reserve release and lower net credit losses, reflecting the continued wind-down in the legacy North America mortgage portfolio.

2019 YTD vs. 2018 YTD

Net income was $183 million, compared to a net loss of $169 million in the prior-year period, primarily reflecting the tax benefit of the reduction in the valuation allowance in the current period, compared to income taxes in the prior-year period.

Revenues decreased 15%, primarily driven by the wind-down of legacy assets.

Expenses decreased 16%, primarily driven by the wind-down of legacy assets.

Provisions increased $93 million to a net benefit of $62 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 third quarter of 2019, Citi returned a total of $6.3 billion of capital to common shareholders in the form of share repurchases (approximately 76 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		Sept. 30, 2019			Jun. 30, 2019			Dec. 31, 2018			Sept. 30, 2019			Jun. 30, 2019			Dec. 31, 2018
Common Equity Tier 1 Capital					$	138,581		$	141,125		$	139,252		$	138,581		$	141,125		$	139,252
Tier 1 Capital					158,033			159,447			158,122			158,033			159,447			158,122
Total Capital (Tier 1 Capital     + Tier 2 Capital)					183,996			185,498			183,144			196,354			197,679			195,440
Total Risk-Weighted Assets					1,145,091			1,133,593			1,131,933			1,197,050			1,187,328			1,174,448
Credit Risk					$	776,367		$	763,600		$	758,887		$	1,134,584		$	1,127,714		$	1,109,007
Market Risk					61,125			58,824			63,987			62,466			59,614			65,441
Operational Risk					307,599			311,169			309,059			—			—			—
Common Equity Tier 1   Capital ratio(2)	10.0	%	8.625	%	12.10		%	12.45		%	12.30		%	11.58		%	11.89		%	11.86		%
Tier 1 Capital ratio(2)	11.5		10.125		13.80			14.07			13.97			13.20			13.43			13.46
Total Capital ratio(2)	13.5		12.125		16.07			16.36			16.18			16.40			16.65			16.64

In millions of dollars, except ratios	Effective Minimum Requirement		Sept. 30, 2019			Jun. 30, 2019			Dec. 31, 2018
Quarterly Adjusted Average Total Assets(3)			$	1,960,675		$	1,939,611		$	1,896,959
Total Leverage Exposure(4)			2,520,352			2,500,128			2,465,641
Tier 1 Leverage ratio	4.0	%	8.06		%	8.22		%	8.34		%
Supplementary Leverage ratio	5.0		6.27			6.38			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. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.

(4) Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s risk-based capital ratios at September 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 September 30, 2019.

24

Common Equity Tier 1 Capital Ratio

Citi’s Common Equity Tier 1 Capital ratio was 11.6% at September 30, 2019, compared to 11.9% at June 30, 2019 and December 31, 2018. The ratio decreased from the second quarter of 2019 primarily due to the return of $6.3 billion of capital to common shareholders, increases in credit and market risk-weighted assets and adverse net movements in Accumulated other comprehensive income (AOCI), partially offset by quarterly net income of $4.9 billion. Citi’s Common Equity Tier 1 Capital ratio declined from year-end 2018 primarily due to the return of $16.0 billion of capital to common shareholders and an increase in credit risk-weighted assets, partially offset by year-to-date net income of $14.4 billion and beneficial net movements in AOCI.

25

Components of Citigroup Capital

In millions of dollars	September 30, 2019			December 31, 2018
Common Equity Tier 1 Capital
Citigroup common stockholders’ equity(1)	$	177,052		$	177,928
Add: Qualifying noncontrolling interests	145			147
Regulatory capital adjustments and deductions:
Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax	328			(728		)
Less: Cumulative unrealized net gain (loss) related to changes in fair value of    financial liabilities attributable to own creditworthiness, net of tax	181			580
Less: Intangible assets:
Goodwill, net of related DTLs(2)	21,498			21,778
Identifiable intangible assets other than MSRs, net of related DTLs	4,132			4,402
Less: Defined benefit pension plan net assets	990			806
Less: DTAs arising from net operating loss, foreign tax credit and general    business credit carry-forwards(3)	11,487			11,985
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)	$	138,581		$	139,252
Additional Tier 1 Capital
Qualifying noncumulative perpetual preferred stock(1)	$	19,321		$	18,292
Qualifying trust preferred securities(4)	1,389			1,384
Qualifying noncontrolling interests	42			55
Regulatory capital deductions:
Less: Permitted ownership interests in covered funds(5)	1,265			806
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(6)	35			55
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)	$	19,452		$	18,870
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)    (Standardized Approach and Advanced Approaches)	$	158,033		$	158,122
Tier 2 Capital
Qualifying subordinated debt	$	24,081		$	23,324
Qualifying trust preferred securities(7)	317			321
Qualifying noncontrolling interests	44			47
Eligible allowance for credit losses(8)	13,914			13,681
Regulatory capital deduction:
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(6)	35			55
Total Tier 2 Capital (Standardized Approach)	$	38,321		$	37,318
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)	$	196,354		$	195,440
Adjustment for excess of eligible credit reserves over expected credit losses(8)	$	(12,358	)	$	(12,296	)
Total Tier 2 Capital (Advanced Approaches)	$	25,963		$	25,022
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)	$	183,996		$	183,144

(1) Issuance costs of $159 million as of September 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 $22.5 billion of net DTAs at September 30, 2019, $12.3 billion was includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $10.2 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of September 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 $1.3 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.

26

(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 $1.6 billion and $1.4 billion at September 30, 2019 and December 31, 2018, respectively.

27

Citigroup Capital Rollforward

In millions of dollars	Three Months Ended   September 30, 2019			Nine Months Ended     September 30, 2019
Common Equity Tier 1 Capital, beginning of period	$	141,125		$	139,252
Net income	4,913			14,422
Common and preferred dividends declared	(1,437		)	(4,111		)
Net increase in treasury stock	(5,114		)	(12,171		)
Net change in common stock and additional paid-in capital	88			(190		)
Net change in foreign currency translation adjustment net of hedges, net of tax	(1,442		)	(1,293		)
Net decrease in unrealized losses on debt securities AFS, net of tax	307			2,145
Net increase in defined benefit plans liability adjustment, net of tax	(250		)	(567		)
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax	(56		)	41
Net change in ASC 815—excluded component of fair value hedges	(10		)	52
Net decrease in goodwill, net of related DTLs	295			280
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs	132			270
Net increase in defined benefit pension plan net assets	(21		)	(184		)
Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards	60			498
Other	(9		)	137
Net decrease in Common Equity Tier 1 Capital	$	(2,544	)	$	(671	)
Common Equity Tier 1 Capital, end of period     (Standardized Approach and Advanced Approaches)	$	138,581		$	138,581
Additional Tier 1 Capital, beginning of period	$	18,322		$	18,870
Net increase in qualifying perpetual preferred stock	1,496			1,029
Net increase in qualifying trust preferred securities	1			5
Net increase in permitted ownership interest in covered funds	(365		)	(459		)
Other	(2		)	7
Net increase in Additional Tier 1 Capital	$	1,130		$	582
Tier 1 Capital, end of period     (Standardized Approach and Advanced Approaches)	$	158,033		$	158,033
Tier 2 Capital, beginning of period (Standardized Approach)	$	38,232		$	37,318
Net increase in qualifying subordinated debt	19			757
Net increase in eligible allowance for credit losses	73			233
Other	(3		)	13
Net increase in Tier 2 Capital (Standardized Approach)	$	89		$	1,003
Tier 2 Capital, end of period (Standardized Approach)	$	38,321		$	38,321
Total Capital, end of period (Standardized Approach)	$	196,354		$	196,354
Tier 2 Capital, beginning of period (Advanced Approaches)	$	26,051		$	25,022
Net increase in qualifying subordinated debt	19			757
Net change in excess of eligible credit reserves over expected credit losses	(104		)	171
Other	(3		)	13
Net change in Tier 2 Capital (Advanced Approaches)	$	(88	)	$	941
Tier 2 Capital, end of period (Advanced Approaches)	$	25,963		$	25,963
Total Capital, end of period (Advanced Approaches)	$	183,996		$	183,996

28

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

In millions of dollars	Three Months Ended   September 30, 2019			Nine Months Ended     September 30, 2019
Total Risk-Weighted Assets, beginning of period	$	1,187,328		$	1,174,448
Changes in Credit Risk-Weighted Assets
General credit risk exposures(1)	5,550			7,555
Repo-style transactions(2)	4,200			12,261
Securitization exposures	859			1,257
Equity exposures(3)	(118		)	3,424
Over-the-counter (OTC) derivatives(4)	3,651			6,615
Other exposures(5)	(2,796		)	4,648
Off-balance sheet exposures(6)	(4,476		)	(10,183		)
Net increase in Credit Risk-Weighted Assets	$	6,870		$	25,577
Changes in Market Risk-Weighted Assets
Risk levels(7)	$	3,637		$	(2,128	)
Model and methodology updates	(785		)	(847		)
Net change in Market Risk-Weighted Assets	$	2,852		$	(2,975	)
Total Risk-Weighted Assets, end of period	$	1,197,050		$	1,197,050

(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 and nine months ended September 30, 2019 primarily due to growth in commercial and retail loans and increases in investment securities.

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

(3) Equity exposures increased during the nine months ended September 30, 2019 primarily due to an increase in market value of investments.

(4) OTC derivatives increased during the three months and nine months ended September 30, 2019 primarily due to increases in notionals.

(5) Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures decreased during the three months ended September 30, 2019 primarily due to decreases in centrally cleared derivatives. Other exposures increased during the nine months ended September 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.

(6) Off-balance sheet exposures decreased during the three months ended September 30, 2019 primarily due to a decrease in standby letters of credit. Off-balance sheet exposures decreased during the nine months ended September 30, 2019 primarily due to decreases in standby letters of credit and loan commitments.

(7) Risk levels increased during the three months ended September 30, 2019 due to an increase in exposures subject to Standard Specific Risk charges. Risk levels decreased during the nine months ended September 30, 2019 primarily due to decreases in exposure levels subject to Stressed Value at Risk and Value at Risk, partially offset by an increase in exposures subject to Standard Specific Risk charges.

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, loan exposures, investment securities, and changes in OTC derivatives trade activities as well as 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, partially offset by decreases in standby letters of credit and loan commitments. Market risk-weighted assets decreased from year-end 2018 primarily due to a net reduction in exposure levels.

29

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

In millions of dollars	Three Months Ended   September 30, 2019			Nine Months Ended     September 30, 2019
Total Risk-Weighted Assets, beginning of period	$	1,133,593		$	1,131,933
Changes in Credit Risk-Weighted Assets
Retail exposures	985			(1,181		)
Wholesale exposures(1)	3,275			(6,281		)
Repo-style transactions(2)	2,259			5,577
Securitization exposures(3)	5,965			5,736
Equity exposures(4)	(231		)	3,160
Over-the-counter (OTC) derivatives(5)	8,554			11,500
Derivatives CVA(6)	(9,017		)	(8,383		)
Other exposures(7)	(256		)	5,888
Supervisory 6% multiplier	1,233			1,464
Net increase in Credit Risk-Weighted Assets	$	12,767		$	17,480
Changes in Market Risk-Weighted Assets
Risk levels(8)	$	3,086		$	(2,015	)
Model and methodology updates	(785		)	(847		)
Net change in Market Risk-Weighted Assets	$	2,301		$	(2,862	)
Net decrease in Operational Risk-Weighted Assets	$	(3,570	)	$	(1,460	)
Total Risk-Weighted Assets, end of period	$	1,145,091		$	1,145,091

(1) Wholesale exposures increased during the three months ended September 30, 2019 primarily due to increases in commercial loans and investment securities. Wholesale exposures decreased during the nine months ended September 30, 2019 primarily due to annual model parameter updates reflecting Citi’s loss experience, partially offset by increases in commercial loans and investment securities.

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

(3) Securitization exposures increased during the three months and nine months ended September 30, 2019 primarily due to increased exposures from existing deals.

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

(5) OTC derivatives increased during the three months and nine months ended September 30, 2019 primarily due to approved model changes.

(6) Derivatives CVA decreased during the three months and nine months ended September 30, 2019 primarily due to approved model changes.

(7) Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures increased during the nine months ended September 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.

(8) Risk levels increased during the three months ended September 30, 2019 due to an increase in exposures subject to Standard Specific Risk charges. Risk levels decreased during the nine months ended September 30, 2019 primarily due to decreases in exposure levels subject to Stressed Value at Risk and Value at Risk, partially offset by an increase in exposures subject to Standard Specific Risk charges.

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 risk-weighted assets, partially offset by decreases in market and operational risk-weighted assets. The increase in credit risk-weighted assets was primarily due to increases in securitization exposures, repo-style transactions, equity exposures, as well as the recognition of ROU assets in accordance with the adoption of ASU 2016-02 and increases in various other assets, partially offset by decreases in wholesale exposures due to annual model parameter updates. Market risk-weighted assets decreased from year-end 2018 primarily due to a net reduction in exposure levels.

30

Supplementary Leverage Ratio

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

In millions of dollars, except ratios	September 30, 2019			June 30, 2019			December 31, 2018
Tier 1 Capital	$	158,033		$	159,447		$	158,122
Total Leverage Exposure
On-balance sheet assets(1)	$	2,000,082		$	1,979,124		$	1,936,791
Certain off-balance sheet exposures:(2)
Potential future exposure on derivative contracts	176,546			179,880			187,130
Effective notional of sold credit derivatives, net(3)	41,328			42,319			49,402
Counterparty credit risk for repo-style transactions(4)	24,362			21,416			23,715
Unconditionally cancellable commitments	70,648			70,750			69,630
Other off-balance sheet exposures	246,793			246,152			238,805
Total of certain off-balance sheet exposures	$	559,677		$	560,517		$	568,682
Less: Tier 1 Capital deductions	(39,407		)	(39,513		)	(39,832		)
Total Leverage Exposure	$	2,520,352		$	2,500,128		$	2,465,641
Supplementary Leverage ratio	6.27		%	6.38		%	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.

As set forth in the table above, Citigroup’s Supplementary Leverage ratio was 6.3% for the third quarter of 2019, compared to 6.4% for both the second quarter of 2019 and the fourth quarter of 2018. The decline in the ratio quarter-over-quarter was primarily driven by the return of $6.3 billion of capital to common shareholders and adverse net movements in AOCI, as well as an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, partially offset by quarterly net income of $4.9 billion as well as the issuance of Series U preferred shares for $1.5 billion. The ratio decreased from the fourth quarter of 2018, primarily driven by the return of capital to common shareholders and an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, partially offset by year-to-date net income, beneficial net movements in AOCI and the issuance of Series U preferred shares for $1.5 billion.

31

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		Sept. 30, 2019			Jun. 30, 2019			Dec. 31, 2018			Sept. 30, 2019			Jun. 30, 2019			Dec. 31, 2018
Common Equity Tier 1 Capital					$	130,067		$	130,742		$	129,091		$	130,067		$	130,742		$	129,091
Tier 1 Capital					132,198			132,875			131,215			132,198			132,875			131,215
Total Capital (Tier 1 Capital     + Tier 2 Capital)(2)					144,829			145,554			144,358			155,735			156,304			155,154
Total Risk-Weighted Assets					946,433			934,661			926,229			1,047,550			1,041,349			1,032,809
Credit Risk					$	664,014		$	660,569		$	654,962		$	1,005,337		$	1,006,835		$	994,294
Market Risk					41,867			34,421			38,144			42,213			34,514			38,515
Operational Risk					240,552			239,671			233,123			—			—			—
Common Equity Tier 1   Capital ratio(3)(4)	7.0	%	6.375	%	13.74		%	13.99		%	13.94		%	12.42		%	12.56		%	12.50		%
Tier 1 Capital ratio(3)(4)	8.5		7.875		13.97			14.22			14.17			12.62			12.76			12.70
Total Capital ratio(3)(4)	10.5		9.875		15.30			15.57			15.59			14.87			15.01			15.02

In millions of dollars, except ratios	Effective Minimum Requirement		Sept. 30, 2019			Jun. 30, 2019			Dec. 31, 2018
Quarterly Adjusted Average Total Assets(5)			$	1,451,352		$	1,427,576		$	1,398,875
Total Leverage Exposure(6)			1,952,628			1,932,340			1,914,663
Tier 1 Leverage ratio(4)	4.0	%	9.11		%	9.31		%	9.38		%
Supplementary Leverage ratio(4)	6.0		6.77			6.88			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. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.

(6) Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank’s capital ratios at September 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 September 30, 2019 under the revised PCA regulations.

32

Impact of Changes on Citigroup and Citibank Capital Ratios

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

Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of September 30, 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	1.6
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	0.2
Citibank	0.7	0.6	0.5	0.3

33

Citigroup Broker-Dealer Subsidiaries

At September 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 $10.2 billion, which exceeded the minimum requirement by $7.0 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 September 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 September 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 September 30, 2019, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $9 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.

	September 30, 2019
In billions of dollars, except ratios	External TLAC			LTD
Total eligible amount	$	285		$	123
% of Standardized Approach risk-   weighted assets	23.8		%	10.3		%
Effective minimum requirement(1)(2)	22.5		%	9.0		%
Surplus amount	$	16		$	15
% of Total Leverage Exposure	11.3		%	4.9		%
Effective minimum requirement	9.5		%	4.5		%
Surplus amount	$	46		$	9

(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

Stress Buffer Requirements

In September 2019, senior staff at the Federal Reserve Board indicated publicly that the Federal Reserve Board plans to have a Stress Capital Buffer (SCB) framework in place for the 2020 stress tests, and that the Board plans to re-propose certain elements of its April 2018 proposal on stress buffer requirements. Among other refinements, it was noted that the dividend add-on and the Stress Leverage Buffer will likely be eliminated in the potential re-proposal. In place of the dividend add-on, the Federal Reserve Board is considering two potential options: setting the Countercyclical Capital Buffer at a higher baseline level during normal times, or raising the floor of the SCB higher than 2.5%.

A re-proposal has not yet been issued. For additional information on the Federal Reserve Board’s April 2018 proposal on stress buffer requirements, as well as other public commentary since the April 2018 proposal, see “Capital Resources—Regulatory Capital Standards Developments—U.S. Banking Agencies—Stress Buffer Requirements” and “Risk Factors—Strategic Risks” in Citi’s 2018 Annual Report on Form 10-K.

34

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	September 30, 2019		December 31, 2018
Total Citigroup stockholders’ equity	$	196,373	$	196,220
Less: Preferred stock	19,480		18,460
Common stockholders’ equity	$	176,893	$	177,760
Less:
Goodwill	21,822		22,046
Identifiable intangible assets (other than MSRs)	4,372		4,636
Tangible common equity (TCE)	$	150,699	$	151,078
Common shares outstanding (CSO)	2,183.2		2,368.5
Book value per share (common equity/CSO)	$	81.02	$	75.05
Tangible book value per share (TCE/CSO)	69.03		63.79

	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2019			2018			2019			2018
Net income available to common shareholders	$	4,659		$	4,352		$	13,610		$	12,872
Average common stockholders’ equity	177,886			179,459			177,876			180,772
Average TCE	151,748			152,712			151,541			153,909
Return on average common stockholders’ equity	10.4		%	9.6		%	10.2		%	9.5		%
Return on average TCE (RoTCE)(1)	12.2			11.3			12.0			11.2

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

35

Managing Global Risk Table of Contents

MANAGING GLOBAL RISK	37
CREDIT RISK(1)	37
Consumer Credit	37
Corporate Credit	43
Additional Consumer and Corporate Credit Details	45
Loans Outstanding	45
Details of Credit Loss Experience	46
Allowance for Loan Losses	47
Non-Accrual Loans and Assets and Renegotiated Loans	48
LIQUIDITY RISK	51
High-Quality Liquid Assets (HQLA)	51
Liquidity Coverage Ratio (LCR)	51
Loans	52
Deposits	52
Long-Term Debt	53
Secured Funding Transactions and Short-Term Borrowings	55
Credit Ratings	56
MARKET RISK(1)	58
Market Risk of Non-Trading Portfolios	58
Market Risk of Trading Portfolios	69
STRATEGIC RISK	71
Country Risk	71
Argentina	72
Potential Exit of U.K. from EU	72
LIBOR Transition Risk	72

(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.

36

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	3Q’18			4Q’18			1Q’19			2Q’19			3Q’19
Retail banking:
Mortgages	$	80.9		$	80.6		$	80.8		$	81.9		$	83.0
Commercial banking	37.2			36.3			37.1			37.6			36.7
Personal and other	28.7			28.8			29.1			29.7			29.5
Total retail banking	$	146.8		$	145.7		$	147.0		$	149.2		$	149.2
Cards:
Citi-branded cards	$	112.8		$	116.8		$	111.4		$	115.5		$	115.8
Citi retail services	49.4			52.7			48.9			49.6			50.0
Total cards	$	162.2		$	169.5		$	160.3		$	165.1		$	165.8
Total GCB	$	309.0		$	315.2		$	307.3		$	314.3		$	315.0
GCB regional distribution:
North America	62		%	64		%	63		%	63		%	64		%
Latin America	9			8			8			8			8
Asia(2)	29			28			29			29			28
Total GCB	100		%	100		%	100		%	100		%	100		%
Corporate/Other(3)	$	16.5		$	15.3		$	12.6		$	11.7		$	11.0
Total consumer loans	$	325.5		$	330.5		$	319.9		$	326.0		$	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.

37

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 September 30, 2019, approximately 71% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which generally drives the overall credit performance of North America GCB (for additional information on North America GCB’s cards portfolios, including delinquency and net credit loss rates, see “Credit Card Trends” below).

As shown in the chart above, the net credit loss rate in North America GCB decreased quarter-over-quarter, primarily driven by seasonality in the cards portfolios. The 90+ days past due delinquency rate increased quarter-over-quarter also primarily due to seasonality in the cards portfolios.

The net credit loss rate and 90+ days past due delinquency rate increased year-over-year, primarily driven by the seasoning of more recent vintages in Citi-branded cards and an increase in net flow rates in later delinquency buckets in Citi retail services.

Latin America GCB

As shown in the chart above, the net credit loss rate in Latin America GCB was relatively stable quarter-over-quarter, while the 90+ days past due delinquency rate decreased due to seasonality.

The net credit loss rate decreased year-over-year, primarily driven by the absence of an episodic charge-off in the commercial portfolio that occurred in the prior-year period, while the 90+ days past due delinquency rate remained broadly stable.

Asia⁽¹⁾ GCB

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

As shown in the chart above, the net credit loss rate in Asia GCB increased quarter-over-quarter and year-over-year primarily due to a charge-off in the commercial portfolio. The 90+ days past due delinquency rate remained broadly stable quarter-over-quarter and year-over-year.

The stability in Asia GCB’s portfolios reflects the strong credit profiles in the region’s target customer segments. Regulatory changes in many markets in Asia over the past few years have also resulted in 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.

38

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 net credit loss rate in North America Citi-branded cards decreased quarter-over-quarter, driven by seasonality, while the 90+ days past due delinquency rate remained stable.

The net credit loss and 90+ past due delinquency rate increased year-over-year, primarily driven by seasoning of more recent vintages.

North America Citi Retail Services

As shown in the chart above, the net credit loss rate in Citi retail services decreased quarter-over-quarter due to seasonality, while the 90+ days past due delinquency rate increased, also due to seasonality.

The net credit loss rate and 90+ days past due delinquency rate increased year-over-year, primarily driven by an increase in net flow rates in later delinquency buckets.

Latin America Citi-Branded Cards

As shown in the chart above, the net credit loss rate in Latin America Citi-branded cards decreased quarter-over-quarter due to the improved performance of more recent vintages, while the 90+ days past due delinquency rate decreased, primarily due to seasonality.

The net credit loss rate increased year-over-year, primarily due to seasoning of more recent vintages, while the 90+ days past due delinquency rate decreased, primarily driven by lower net flow rates in the later delinquency buckets.

39

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 net credit loss rate in Asia Citi-branded cards decreased quarter-over-quarter, primarily due to seasonality, while the 90+ days past due delinquency rate remained broadly stable.

The net credit loss rate and 90+ days past due delinquency rate increased year-over-year, primarily driven by seasoning of more recent vintages.

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	September 30, 2019		June 30, 2019		September 30, 2018
> 760	41	%	42	%	42	%
680–760	41		41		41
< 680	18		17		17
Total	100	%	100	%	100	%

Citi Retail Services

FICO distribution	September 30, 2019		June 30, 2019		September 30, 2018
> 760	24	%	24	%	24	%
680–760	43		43		43
< 680	33		33		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.

40

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	September 30, 2019		September 30, 2019			June 30, 2019			September 30, 2018			September 30, 2019			June 30, 2019			September 30, 2018
Global Consumer Banking(3)(4)
Total	$	315.0	$	2,518		$	2,466		$	2,404		$	3,055		$	2,821		$	2,890
Ratio			0.80		%	0.79		%	0.78		%	0.97		%	0.90		%	0.94		%
Retail banking
Total	$	149.2	$	440		$	456		$	508		$	902		$	869		$	857
Ratio			0.30		%	0.31		%	0.35		%	0.61		%	0.58		%	0.59		%
North America	59.2		146			145			188			394			361			320
Ratio			0.25		%	0.25		%	0.34		%	0.67		%	0.63		%	0.58		%
Latin America	19.3		113			124			126			205			206			235
Ratio			0.59		%	0.62		%	0.60		%	1.06		%	1.02		%	1.12		%
Asia(5)	70.7		181			187			194			303			302			302
Ratio			0.26		%	0.26		%	0.28		%	0.43		%	0.43		%	0.43		%
Cards
Total	$	165.8	$	2,078		$	2,010		$	1,896		$	2,153		$	1,952		$	2,033
Ratio			1.25		%	1.22		%	1.17		%	1.30		%	1.18		%	1.25		%
North America—Citi-branded	91.5		807			799			707			800			705			722
Ratio			0.88		%	0.88		%	0.80		%	0.87		%	0.78		%	0.82		%
North America—Citi retail services	50.0		923			840			832			943			831			890
Ratio			1.85		%	1.69		%	1.68		%	1.89		%	1.68		%	1.80		%
Latin America	5.5		152			169			169			161			159			170
Ratio			2.76		%	2.96		%	2.91		%	2.93		%	2.79		%	2.93		%
Asia(5)	18.8		196			202			188			249			257			251
Ratio			1.04		%	1.05		%	1.01		%	1.32		%	1.34		%	1.35		%
Corporate/Other—Consumer(6)
Total	$	11.0	$	293		$	327		$	401		$	288		$	334		$	422
Ratio			2.82		%	2.97		%	2.57		%	2.77		%	3.04		%	2.71		%
Total Citigroup	$	326.0	$	2,811		$	2,793		$	2,805		$	3,343		$	3,155		$	3,312
Ratio			0.87		%	0.86		%	0.87		%	1.03		%	0.97		%	1.02		%

(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 $235 million ($0.7 billion), $151 million ($0.6 billion) and $140 million ($0.6 billion) as of September 30, 2019, June 30, 2019 and September 30, 2018, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) were $82 million ($0.7 billion), $83 million ($0.6 billion) and $74 million ($0.6 billion) as of September 30, 2019, June 30, 2019 and September 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 $0.4 billion ($0.8 billion), $0.3 billion ($0.7 billion) and $0.2 billion ($0.6 billion) as of September 30, 2019, June 30, 2019 and September 30, 2018, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) for each period were $0.1 billion ($0.8 billion), $0.1 billion ($0.7 billion) and $0.1 billion ($0.6 billion) as of September 30, 2019, June 30, 2019 and September 30, 2018, respectively.

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Consumer Loan Net Credit Losses and Ratios

	Average loans(1)		Net credit losses(2)
In millions of dollars, except average loan amounts in billions	3Q19		3Q19			2Q19			3Q18
Global Consumer Banking
Total	$	313.3	$	1,823		$	1,889		$	1,714
Ratio			2.31		%	2.45		%	2.22		%
Retail banking
Total	$	148.7	$	246		$	244		$	243
Ratio			0.66		%	0.66		%	0.66		%
North America	58.8		45			51			32
Ratio			0.30		%	0.35		%	0.23		%
Latin America	19.8		129			129			153
Ratio			2.58		%	2.59		%	2.93		%
Asia(3)	70.1		72			64			58
Ratio			0.41		%	0.37		%	0.33		%
Cards
Total	$	164.6	$	1,577		$	1,645		$	1,471
Ratio			3.80		%	4.07		%	3.63		%
North America—Citi-branded	90.5		712			723			644
Ratio			3.12		%	3.28		%	2.91		%
North America—Citi retail services	49.7		598			654			566
Ratio			4.77		%	5.34		%	4.58		%
Latin America	5.6		156			156			154
Ratio			11.05		%	11.17		%	10.91		%
Asia(3)	18.8		111			112			107
Ratio			2.34		%	2.38		%	2.29		%
Corporate/Other—Consumer
Total	$	11.2	$	1		$	4		$	12
Ratio			0.04		%	0.13		%	0.28		%
Total Citigroup	$	324.5	$	1,824		$	1,893		$	1,726
Ratio			2.23		%	2.36		%	2.11		%

(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.

42

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:

	September 30, 2019								June 30, 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)	$	135	$	105	$	20	$	260	$	134	$	107	$	21	$	262	$	128	$	110	$	20	$	258
Unfunded lending commitments (off-balance sheet)(2)	129		240		16		385		123		244		15		382		106		245		19		370
Total exposure	$	264	$	345	$	36	$	645	$	257	$	351	$	36	$	644	$	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:

	September 30, 2019		June 30, 2019		December 31, 2018
North America	56	%	56	%	55	%
EMEA	27		27		27
Asia	11		11		11
Latin America	6		6		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
	September 30, 2019		June 30, 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.

43

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
	September 30, 2019		June 30, 2019		December 31, 2018
Transportation and industrial	21	%	21	%	21	%
Consumer retail and health	16		15		15
Technology, media and telecom	12		12		13
Power, chemicals, metals and mining	9		10		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 September 30, 2019, December 31, 2018 and September 30, 2018, Citigroup had economic hedges in place on the corporate credit portfolio of $29.5 billion, $30.2 billion and $25.8 billion, respectively. 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

	September 30, 2019		June 30, 2019		December 31, 2018
AAA/AA/A	34	%	35	%	35	%
BBB	48		47		50
BB/B	17		17		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

	September 30, 2019		June 30, 2019		December 31, 2018
Transportation and industrial	23	%	23	%	23	%
Technology, media and telecom	19		18		17
Consumer retail and health	16		16		16
Power, chemicals, metals and mining	14		14		15
Energy and commodities	9		10		11
Insurance and special purpose entities	5		5		6
Banks/broker-dealers/finance companies	5		4		4
Public sector	4		4		3
Real estate	4		4		4
Other industries	1		2		1
Total	100	%	100	%	100	%

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ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding

	3rd Qtr.			2nd Qtr.			1st Qtr.			4th Qtr.			3rd Qtr.
In millions of dollars	2019			2019			2019			2018			2018
Consumer loans
In North America offices(1)
Residential first mortgages(2)	$	46,337		$	45,474		$	45,351		$	47,412		$	47,707
Home equity loans(2)	9,850			10,404			10,937			11,543			12,131
Credit cards	141,482			140,266			135,908			144,557			137,872
Installment and other	3,361			3,245			3,314			3,454			3,528
Commercial banking	10,680			10,690			10,360			9,728			9,279
Total	$	211,710		$	210,079		$	205,870		$	216,694		$	210,517
In offices outside North America(1)
Residential first mortgages(2)	$	36,644		$	36,580		$	36,114		$	35,972		$	36,282
Credit cards	24,300			24,975			24,343			24,926			24,414
Installment and other	26,639			27,321			26,744			26,134			26,281
Commercial banking	26,745			27,040			26,816			26,761			27,975
Total	$	114,328		$	115,916		$	114,017		$	113,793		$	114,952
Consumer loans, net of unearned income(3)	$	326,038		$	325,995		$	319,887		$	330,487		$	325,469
Corporate loans
In North America offices(1)
Commercial and industrial	$	49,475		$	54,519		$	56,698		$	52,063		$	51,365
Financial institutions	52,678			47,610			49,985			48,447			46,255
Mortgage and real estate(2)	52,972			51,321			49,746			50,124			47,629
Installment, revolving credit and other	31,303			33,555			31,960			32,425			31,414
Lease financing	1,314			1,385			1,405			1,429			1,445
Total	$	187,742		$	188,390		$	189,794		$	184,488		$	178,108
In offices outside North America(1)
Commercial and industrial	$	102,432		$	98,351		$	97,844		$	94,701		$	98,281
Financial institutions	37,908			37,523			39,155			36,837			37,851
Mortgage and real estate(2)	7,811			7,577			7,005			7,376			7,344
Installment, revolving credit and other	26,774			27,333			24,868			25,684			22,827
Lease financing	80			92			95			103			131
Governments and official institutions	2,958			3,409			3,698			4,520			4,898
Total	$	177,963		$	174,285		$	172,665		$	169,221		$	171,332
Corporate loans, net of unearned income(4)	$	365,705		$	362,675		$	362,459		$	353,709		$	349,440
Total loans—net of unearned income	$	691,743		$	688,670		$	682,346		$	684,196		$	674,909
Allowance for loan losses—on drawn exposures	(12,530		)	(12,466		)	(12,329		)	(12,315		)	(12,336		)
Total loans—net of unearned income  and allowance for credit losses	$	679,213		$	676,204		$	670,017		$	671,881		$	662,573
Allowance for loan losses as a percentage of total loans— net of unearned income(5)	1.82		%	1.82		%	1.82		%	1.81		%	1.84		%
Allowance for consumer loan losses as a percentage of total consumer loans—net of unearned income(5)	3.13		%	3.10		%	3.13		%	3.01		%	3.07		%
Allowance for corporate loan losses as a percentage of total corporate loans—net of unearned income(5)	0.64		%	0.66		%	0.64		%	0.67		%	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 $745 million, $713 million, $701 million, $708 million and $712 million at September 30, 2019, June 30, 2019, March 31, 2019, December 31, 2018 and September 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 $(780) million, $(815) million, $(808) million, $(822) million and $(787) million at September 30, 2019, June 30, 2019, March 31, 2019, December 31, 2018 and September 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.

45

Details of Credit Loss Experience

	3rd Qtr.			2nd Qtr.			1st Qtr.			4th Qtr.			3rd Qtr.
In millions of dollars	2019			2019			2019			2018			2018
Allowance for loan losses at beginning of period	$	12,466		$	12,329		$	12,315		$	12,336		$	12,126
Provision for loan losses
Consumer	$	1,979		$	1,972		$	1,942		$	1,774		$	1,869
Corporate	83			117			2			76			37
Total	$	2,062		$	2,089		$	1,944		$	1,850		$	1,906
Gross credit losses
Consumer
In U.S. offices	$	1,586		$	1,680		$	1,670		$	1,495		$	1,462
In offices outside the U.S.	588			591			602			595			596
Corporate
In U.S. offices	76			41			33			23			15
In offices outside the U.S.	31			42			40			53			21
Total	$	2,281		$	2,354		$	2,345		$	2,166		$	2,094
Credit recoveries(1)
Consumer
In U.S. offices	$	232		$	255		$	246		$	217		$	212
In offices outside the U.S.	118			123			134			132			120
Corporate
In U.S. offices	12			5			3			24			1
In offices outside the U.S.	6			8			14			7			5
Total	$	368		$	391		$	397		$	380		$	338
Net credit losses
In U.S. offices	$	1,418		$	1,461		$	1,454		$	1,277		$	1,264
In offices outside the U.S.	495			502			494			509			492
Total	$	1,913		$	1,963		$	1,948		$	1,786		$	1,756
Other—net(2)(3)(4)(5)(6)(7)	$	(85	)	$	11		$	18		$	(85	)	$	60
Allowance for loan losses at end of period	$	12,530		$	12,466		$	12,329		$	12,315		$	12,336
Allowance for loan losses as a percentage of total loans(8)	1.82		%	1.82		%	1.82		%	1.81		%	1.84		%
Allowance for unfunded lending commitments(9)	$	1,385		$	1,376		$	1,391		$	1,367		$	1,321
Total allowance for loan losses and unfunded lending commitments	$	13,915		$	13,842		$	13,720		$	13,682		$	13,657
Net consumer credit losses	$	1,824		$	1,893		$	1,892		$	1,741		$	1,726
As a percentage of average consumer loans	2.23		%	2.36		%	2.38		%	2.13		%	2.11		%
Net corporate credit losses (recoveries)	$	89		$	70		$	56		$	45		$	30
As a percentage of average corporate loans	0.10		%	0.08		%	0.07		%	0.06		%	0.03		%
Allowance by type at end of period(10)
Consumer	$	10,199		$	10,113		$	10,026		$	9,950		$	9,997
Corporate	2,331			2,353			2,303			2,365			2,339
Total	$	12,530		$	12,466		$	12,329		$	12,315		$	12,336

(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 third quarter of 2019 includes a decrease of approximately $65 million related to FX translation.

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

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

(6) 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.

(7) 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.

46

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

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

(10) 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:

	September 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)	$	6.8	$	141.5	4.8	%
North America mortgages(3)	0.4		56.2		0.7
North America other	0.3		14.0		2.1
International cards	0.6		24.3		2.5
International other(4)	2.1		90.0		2.3
Total consumer	$	10.2	$	326.0	3.1	%
Total corporate	2.3		365.7		0.6
Total Citigroup	$	12.5	$	691.7	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 $6.8 billion of loan loss reserves represented approximately 16 months of coincident net credit loss coverage.

(3) Of the $0.4 billion, approximately $0.3 billion 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 $56.2 billion in loans, approximately $53.8 billion and $2.4 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.

(4) Includes mortgages and other retail loans.

	December 31, 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.

47

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.

	Sept. 30,		Jun. 30,		Mar. 31,		Dec. 31,		Sept. 30,
In millions of dollars	2019		2019		2019		2018		2018
Corporate non-accrual loans(1)
North America	$	901	$	779	$	922	$	483	$	679
EMEA	307		321		317		375		362
Latin America	275		259		225		230		266
Asia	44		51		18		223		233
Total corporate non-accrual loans	$	1,527	$	1,410	$	1,482	$	1,311	$	1,540
Consumer non-accrual loans(2)
North America	$	1,168	$	1,216	$	1,230	$	1,241	$	1,323
Latin America	719		723		694		715		764
Asia(3)	298		289		281		270		287
Total consumer non-accrual loans	$	2,185	$	2,228	$	2,205	$	2,226	$	2,374
Total non-accrual loans	$	3,712	$	3,638	$	3,687	$	3,537	$	3,914

(1) Approximately 50%, 48%, 46%, 55% and 57% of Citi’s corporate non-accrual loans were performing at September 30, 2019, June 30, 2019, March 31, 2019, December 31, 2018 and September 30, 2018, respectively.

(2) Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $117 million at September 30, 2019, $123 million at June 30, 2019, $125 million at March 31, 2019, $128 million at December 31, 2018 and $131 million at September 30, 2018.

(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
	September 30, 2019									September 30, 2018
In millions of dollars	Corporate			Consumer			Total			Corporate			Consumer			Total
Non-accrual loans at beginning of period	$	1,410		$	2,228		$	3,638		$	1,623		$	2,383		$	4,006
Additions	1,037			912			1,949			436			758			1,194
Sales and transfers to HFS	(18		)	(22		)	(40		)	(9		)	(44		)	(53		)
Returned to performing	(10		)	(87		)	(97		)	(14		)	(136		)	(150		)
Paydowns/settlements	(849		)	(289		)	(1,138		)	(479		)	(207		)	(686		)
Charge-offs	(35		)	(421		)	(456		)	(18		)	(417		)	(435		)
Other	(8		)	(136		)	(144		)	1			37			38
Ending balance	$	1,527		$	2,185		$	3,712		$	1,540		$	2,374		$	3,914

48

	Nine Months Ended									Nine Months Ended
	September 30, 2019									September 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	2,259			2,457			4,716			1,889			2,410			4,299
Sales and transfers to HFS	(23		)	(78		)	(101		)	(37		)	(197		)	(234		)
Returned to performing	(49		)	(321		)	(370		)	(118		)	(490		)	(608		)
Paydowns/settlements	(1,832		)	(749		)	(2,581		)	(1,976		)	(804		)	(2,780		)
Charge-offs	(107		)	(1,229		)	(1,336		)	(138		)	(1,243		)	(1,381		)
Other	(32		)	(121		)	(153		)	(22		)	8			(14		)
Ending balance	$	1,527		$	2,185		$	3,712		$	1,540		$	2,374		$	3,914

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:

	Sept. 30,			Jun. 30,			Mar. 31,			Dec. 31,			Sept. 30,
In millions of dollars	2019			2019			2019			2018			2018
OREO
North America	$	51		$	47		$	63		$	64		$	76
EMEA	1			1			1			1			1
Latin America	14			14			13			12			25
Asia	6			20			21			22			7
Total OREO	$	72		$	82		$	98		$	99		$	109
Non-accrual assets
Corporate non-accrual loans	$	1,527		$	1,410		$	1,482		$	1,311		$	1,540
Consumer non-accrual loans	2,185			2,228			2,205			2,226			2,374
Non-accrual loans (NAL)	$	3,712		$	3,638		$	3,687		$	3,537		$	3,914
OREO	$	72		$	82		$	98		$	99		$	109
Non-accrual assets (NAA)	$	3,784		$	3,720		$	3,785		$	3,636		$	4,023
NAL as a percentage of total loans	0.54		%	0.53		%	0.54		%	0.52		%	0.58		%
NAA as a percentage of total assets	0.19			0.19			0.19			0.19			0.21
Allowance for loan losses as a percentage of NAL(1)	338			343			334			348			315

(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.

49

Renegotiated Loans

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

In millions of dollars	Sept. 30, 2019		Dec. 31, 2018
Corporate renegotiated loans(1)
In U.S. offices
Commercial and industrial(2)	$	170	$	188
Mortgage and real estate	54		111
Financial institutions	—		16
Other	4		2
Total	$	228	$	317
In offices outside the U.S.
Commercial and industrial(2)	$	228	$	226
Mortgage and real estate	21		12
Financial institutions	9		9
Other	—		—
Total	$	258	$	247
Total corporate renegotiated loans	$	486	$	564
Consumer renegotiated loans(3)(4)(5)
In U.S. offices
Mortgage and real estate	$	2,257	$	2,520
Cards	1,440		1,338
Installment and other	82		86
Total	$	3,779	$	3,944
In offices outside the U.S.
Mortgage and real estate	$	317	$	311
Cards	455		480
Installment and other	430		415
Total	$	1,202	$	1,206
Total consumer renegotiated loans	$	4,981	$	5,150

(1) Includes $404 million and $466 million of non-accrual loans included in the non-accrual loans table above at September 30, 2019 and December 31, 2018, respectively. The remaining loans are accruing interest.

(2) In addition to modifications reflected as TDRs at September 30, 2019, Citi also modified $27 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 $981 million and $1,015 million of non-accrual loans included in the non-accrual loans table above at September 30, 2019 and December 31, 2018, respectively. The remaining loans are accruing interest.

(4) Includes $18 million and $17 million of commercial real estate loans at September 30, 2019 and December 31, 2018, respectively.

(5) Includes $112 million and $101 million of other commercial loans at September 30, 2019 and December 31, 2018, respectively.

50

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	Sept. 30, 2019		Jun. 30, 2019		Sept. 30, 2018		Sept. 30, 2019		Jun. 30, 2019		Sept. 30, 2018		Sept. 30, 2019		Jun. 30, 2019		Sept. 30, 2018
Available cash	$	123.7	$	102.1	$	105.1	$	31.8	$	42.1	$	35.1	$	155.5	$	144.2	$	140.2
U.S. sovereign	94.3		93.8		102.2		32.4		37.0		29.7		126.7		130.8		131.9
U.S. agency/agency MBS	55.5		57.5		56.4		4.6		4.8		6.5		60.1		62.3		62.9
Foreign government debt(1)	65.9		61.9		74.9		10.9		4.0		9.6		76.8		65.9		84.5
Other investment grade	2.9		3.1		0.2		0.7		0.7		1.1		3.6		3.8		1.3
Total HQLA (AVG)	$	342.3	$	318.4	$	338.8	$	80.4	$	88.6	$	82.0	$	422.7	$	407.0	$	420.8

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, India, Korea, 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 sequentially, largely reflecting an increase in cash from deposit growth, partially offset by the use of liquidity to fund long-term debt maturities at the parent, rather than re-issuing new debt.

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 $40 billion as of September 30, 2019 (compared to $32 billion as of June 30, 2019 and $29 billion as of September 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	Sept. 30, 2019			Jun. 30, 2019			Sept. 30, 2018
HQLA	$	422.7		$	407.0		$	420.8
Net outflows	373.4			353.5			350.8
LCR	113		%	115		%	120		%
HQLA in excess of net outflows	$	49.3		$	53.5		$	70.0

Note: The amounts are presented on an average basis.

Citi’s average LCR decreased sequentially, as an increase in modeled net outflows more than offset an increase in HQLA. The increase in modeled net outflows was largely driven by deposit growth at the bank entities, which outpaced the increase in HQLA as a result of both limitations on the amount of Citibank HQLA available for inclusion in the consolidated metric, as well as the funding of long-term debt maturities (as described in HQLA above).

51

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	Sept. 30, 2019		Jun. 30, 2019		Sept. 30, 2018
Global Consumer Banking
North America	$	199.0	$	195.4	$	192.8
Latin America	25.4		25.6		26.3
Asia(1)	88.9		88.4		87.7
Total	$	313.3	$	309.4	$	306.8
Institutional Clients Group
Corporate lending	$	131.7	$	132.9	$	130.9
Treasury and trade solutions (TTS)	72.5		73.2		76.9
Private bank	104.0		101.2		92.8
Markets and securities services   and other	52.3		50.6		45.6
Total	$	360.5	$	357.9	$	346.2
Total Corporate/Other	$	11.2	$	12.3	$	17.3
Total Citigroup loans (AVG)	$	685.0	$	679.6	$	670.3
Total Citigroup loans (EOP)	$	691.7	$	688.7	$	674.9

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

End-of-period loans increased 2% year-over-year and remained largely unchanged sequentially. On an average basis, loans increased 2% year-over-year and increased 1% 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 continued 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 5% year-over-year, despite strong origination volumes, as Citi continued to utilize its distribution capabilities to optimize the balance sheet and drive returns while maintaining support to its clients. Loans in corporate lending increased 2% year-over-year, as Citi continued to support its clients’ strategic financing needs. Private bank loans increased 13%, reflecting growth across regions, driven by both new clients and the deepening of relationships with existing clients. Finally, continued strong Markets and securities services loan growth year-over-year was driven primarily by residential and commercial real estate warehouse lending.

Average Corporate/Other loans continued to decline (down 34%), 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	Sept. 30, 2019		Jun. 30, 2019		Sept. 30, 2018
Global Consumer Banking
North America	$	186.0	$	183.0	$	180.2
Latin America	29.2		29.2		29.4
Asia(1)	100.6		100.7		97.6
Total	$	315.8	$	312.9	$	307.2
Institutional Clients Group
Treasury and trade solutions (TTS)	$	501.7	$	484.2	$	456.7
Banking ex-TTS	137.1		133.2		124.6
Markets and securities services	95.8		94.0		86.7
Total	$	734.6	$	711.4	$	668.0
Corporate/Other	$	15.9	$	15.6	$	10.5
Total Citigroup deposits (AVG)	$	1,066.3	$	1,039.9	$	985.7
Total Citigroup deposits (EOP)	$	1,087.8	$	1,045.6	$	1,005.2

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

End-of-period deposits increased 8% year-over-year and 4% sequentially. On an average basis, deposits increased 8% year-over-year and 3% sequentially.

Excluding the impact of FX translation, average deposits grew 9% from the prior-year period.

In GCB, deposits increased 4%, driven by growth across all regions. In North America GCB, deposit growth accelerated to 3%, as Citi continued to make progress against its strategy of delivering a more integrated, multi-product relationship model.

Within ICG, average deposits grew 11% year-over-year, primarily driven by continued deposit growth in TTS.

52

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 8.4 years as of September 30, 2019, compared to 8.8 years as of the prior year and 8.5 years as of the prior quarter. The weighted-average maturity is calculated based on the contractual maturity of each security. For securities that are redeemable prior to maturity at the option of the holder, the weighted-average maturity is calculated based on the earliest date an option becomes exercisable.

Citi’s long-term debt outstanding at the Citigroup parent company includes 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	Sept. 30, 2019		Jun. 30, 2019		Sept. 30, 2018
Parent and other(1)
Benchmark debt:
Senior debt	$	104.3	$	111.2	$	107.2
Subordinated debt	25.9		25.5		25.1
Trust preferred	1.7		1.7		1.7
Customer-related debt	50.1		47.9		35.4
Local country and other(2)	5.3		3.3		3.8
Total parent and other	$	187.3	$	189.6	$	173.2
Bank
FHLB borrowings	$	5.5	$	7.7	$	10.5
Securitizations(3)	22.8		25.9		27.4
Citibank benchmark senior debt	23.1		25.4		21.0
Local country and other(2)	3.5		3.6		3.2
Total bank	$	54.9	$	62.6	$	62.1
Total long-term debt	$	242.2	$	252.2	$	235.3

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 September 30, 2019, Parent and other included $42.0 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, partially offset by a decline in FHLB borrowings and securitizations. Sequentially, Citi’s total long-term debt outstanding decreased, primarily driven by a decline in unsecured senior benchmark debt at the non-bank entities.

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 third quarter of 2019, Citi repurchased and called an aggregate of approximately $2.3 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:

	3Q19				2Q19				3Q18
In billions of dollars	Maturities		Issuances		Maturities		Issuances		Maturities		Issuances
Parent and other
Benchmark debt:
Senior debt	$	6.9	$	—	$	5.1	$	4.5	$	4.2	$	4.5
Subordinated debt	—		—		—		—		—		—
Trust preferred	—		—		—		—		—		—
Customer-related debt	2.7		6.1		3.2		7.5		1.2		2.9
Local country and other	—		0.1		0.3		0.2		0.3		0.2
Total parent and other	$	9.6	$	6.2	$	8.6	$	12.2	$	5.7	$	7.6
Bank
FHLB borrowings	$	4.3	$	2.1	$	2.8	$	—	$	3.3	$	—
Securitizations	3.2		—		0.1		—		2.9		1.9
Citibank benchmark senior debt	2.3		—		—		3.9		—		2.5
Local country and other	0.1		—		0.4		0.2		0.2		0.3
Total bank	$	9.9	$	2.1	$	3.3	$	4.1	$	6.4	$	4.7
Total	$	19.5	$	8.3	$	11.9	$	16.3	$	12.1	$	12.3

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 September 30, 2019:

	2019 YTD		Maturities
In billions of dollars			2019		2020		2021		2022		2023		2024		Thereafter		Total
Parent and other
Benchmark debt:
Senior debt	$	12.2	$	1.8	$	8.9	$	14.2	$	9.3	$	12.5	$	7.9	$	49.7	$	104.3
Subordinated debt	—		—		—		—		0.7		1.3		1.4		22.5		25.9
Trust preferred	—		—		—		—		—		—		—		1.7		1.7
Customer-related debt	6.8		1.5		9.7		5.3		4.6		2.8		2.3		23.9		50.1
Local country and other	0.4		0.8		0.6		1.1		1.5		0.1		—		1.2		5.3
Total parent and other	$	19.4	$	4.1	$	19.2	$	20.6	$	16.1	$	16.7	$	11.6	$	99.0	$	187.3
Bank
FHLB borrowings	$	7.1	$	—	$	5.5	$	—	$	—	$	—	$	—	$	—	$	5.5
Securitizations	5.8		2.1		4.5		7.2		2.2		2.5		1.2		3.1		22.8
Citibank benchmark debt	4.7		—		8.7		6.1		5.6		—		2.7		—		23.1
Local country and other	0.9		0.6		1.4		0.4		0.3		0.1		0.4		0.3		3.5
Total bank	$	18.5	$	2.7	$	20.1	$	13.7	$	8.1	$	2.6	$	4.3	$	3.4	$	54.9
Total long-term debt	$	37.9	$	6.8	$	39.3	$	34.3	$	24.2	$	19.3	$	15.9	$	102.4	$	242.2

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Secured Funding Transactions and Short-Term Borrowings

Citi supplements its primary sources of funding with short-term financings that generally include (i) secured funding transactions consisting of securities loaned or sold under agreements to repurchase, 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 $195 billion as of September 30, 2019 increased 11% from the prior-year period and 8% sequentially. Excluding the impact of FX translation, secured funding increased 14% from the prior-year period and 10% sequentially, both driven by normal business activity. Average balances for secured funding were approximately $198 billion for the quarter ended September 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 September 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 $35 billion increased 4% year-over-year, reflecting growth in total commercial paper outstanding, partially offset by lower FHLB advances. Sequentially, short-term borrowings declined 17%, primarily driven by a reduction in FHLB advances and total commercial paper outstanding (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-term 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 September 30, 2019.

Ratings as of September 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

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 September 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 June 30, 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 September 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 $0.7 billion, compared to $0.5 billion as of June 30, 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 $1.0 billion, compared to $0.8 billion as of June 30, 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 $342 billion for Citibank and approximately $80 billion for Citi’s non-bank and other entities, for a total of approximately $423 billion for the quarter ended September 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 September 30, 2019, Citibank had liquidity commitments of approximately $10.0 billion to consolidated asset-backed commercial paper conduits, compared to $12.9 billion as of June 30, 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	Sept. 30, 2019			Jun. 30, 2019			Sept. 30, 2018
Estimated annualized impact to net interest revenue
U.S. dollar(1)	$	292		$	404		$	879
All other currencies	605			659			649
Total	$	897		$	1,063		$	1,528
As a percentage of average interest-earning assets	0.05		%	0.06		%	0.09		%
Estimated initial impact to AOCI (after-tax)(2)	$	(4,055	)	$	(3,738	)	$	(4,597	)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)	(24		)	(23		)	(31		)

(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 $(203) million for a 100 bps instantaneous increase in interest rates as of September 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 increase 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 September 30, 2019, Citi expects that the negative $4.1 billion impact to AOCI in such a scenario could potentially be offset over approximately 31 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	$	292		$	343		$	52		$	(79	)	$	(744	)
All other currencies	605			558			34			(34		)	(395		)
Total	$	897		$	901		$	86		$	(113	)	$	(1,139	)
Estimated initial impact to AOCI (after-tax)(1)	$	(4,055	)	$	(2,599	)	$	(1,505	)	$	1,125		$	3,405
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)	(24		)	(16		)	(9		)	6			18

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 September 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 $1.5 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, Euro and Australian dollar.

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	Sept. 30, 2019			Jun. 30, 2019			Sept. 30, 2018
Change in FX spot rate(1)	(3.0		)%	0.4		%	(0.2		)%
Change in TCE due to FX translation, net of hedges	$	(1,192	)	$	56		$	(354	)
As a percentage of TCE	(0.8		)%	—		%	(0.2		)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due   to changes in FX translation, net of hedges (bps)	(1		)	—			—

(1) 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)

	3rd Qtr.				2nd Qtr.				3rd Qtr.				Change
In millions of dollars, except as otherwise noted	2019				2019				2018				3Q19 vs. 3Q18
Interest revenue(1)	$	19,224			$	19,761			$	18,228			5	%
Interest expense(2)	7,536				7,762				6,368				18
Net interest revenue, taxable equivalent basis	$	11,688			$	11,999			$	11,860			(1	)%
Interest revenue—average rate(3)	4.21		%		4.40		%		4.15		%		6		bps
Interest expense—average rate	2.04				2.14				1.83				21		bps
Net interest margin(3)(4)	2.56				2.67				2.70				(14	)	bps
Interest-rate benchmarks
Two-year U.S. Treasury note—average rate	1.69		%		2.13		%		2.67		%		(98	)	bps
10-year U.S. Treasury note—average rate	1.80				2.34				2.92				(112	)	bps
10-year vs. two-year spread	11			bps	21			bps	25			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 rate of 21% in 2019 and 2018) of $47 million, $49 million and $58 million for the three months ended September 30, 2019, June 30, 2019 and September 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 third quarter of 2019 decreased 1% to $11.6 billion versus the prior-year period. Citi’s net interest revenue on a taxable equivalent basis also decreased 1% (as set forth in the table above). Excluding the impact of FX translation, net interest revenue was largely unchanged, as total net interest revenue ex-markets (fixed income markets and equity markets) growth of 3% or $270 million was offset by a decline in markets net interest revenue of 25% or $280 million. The increase in total net interest revenue ex-markets was driven by loan growth and a favorable loan mix, along with the absence of the FDIC surcharge. The decline in markets net interest revenue was driven by ongoing

changes in the composition and mix of the business’s revenues between net interest revenue and non-interest revenue.

As set forth above, Citi’s NIM was 2.56% on a taxable equivalent basis in the third quarter of 2019, a decrease of 11 basis points from the prior quarter, primarily driven by the lower markets net interest revenue.

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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
	3rd Qtr.		2nd Qtr.		3rd Qtr.		3rd Qtr.		2nd Qtr.		3rd Qtr.		3rd Qtr.		2nd Qtr.		3rd Qtr.
In millions of dollars, except rates	2019		2019		2018		2019		2019		2018		2019		2019		2018
Assets
Deposits with banks(4)	$	194,972	$	192,483	$	186,907	$	736	$	736	$	629	1.50	%	1.53	%	1.34	%
Securities borrowed or purchased under agreements to resell(5)
In U.S. offices	$	145,267	$	147,677	$	154,120	$	1,198	$	1,345	$	1,065	3.27	%	3.65	%	2.74	%
In offices outside the U.S.(4)	118,741		118,973		114,389		549		552		360		1.83		1.86		1.25
Total	$	264,008	$	266,650	$	268,509	$	1,747	$	1,897	$	1,425	2.63	%	2.85	%	2.11	%
Trading account assets(6)(7)
In U.S. offices	$	113,711	$	108,993	$	92,034	$	1,062	$	1,014	$	1,048	3.71	%	3.73	%	4.52	%
In offices outside the U.S.(4)	137,514		136,733		112,979		834		1,129		614		2.41		3.31		2.16
Total	$	251,225	$	245,726	$	205,013	$	1,896	$	2,143	$	1,662	2.99	%	3.50	%	3.22	%
Investments
In U.S. offices
Taxable	$	218,823	$	217,593	$	227,282	$	1,224	$	1,273	$	1,343	2.22	%	2.35	%	2.34	%
Exempt from U.S. income tax	14,649		15,233		17,088		126		196		175		3.41		5.16		4.06
In offices outside the U.S.(4)	118,991		114,575		103,120		1,083		1,060		903		3.61		3.71		3.47
Total	$	352,463	$	347,401	$	347,490	$	2,433	$	2,529	$	2,421	2.74	%	2.92	%	2.76	%
Loans (net of unearned income)(8)
In U.S. offices	$	396,038	$	393,694	$	385,610	$	7,708	$	7,614	$	7,331	7.72	%	7.76	%	7.54	%
In offices outside the U.S.(4)	288,942		285,928		284,663		4,304		4,385		4,326		5.91		6.15		6.03
Total	$	684,980	$	679,622	$	670,273	$	12,012	$	11,999	$	11,657	6.96	%	7.08	%	6.90	%
Other interest-earning assets(9)	$	63,869	$	67,885	$	63,741	$	400	$	457	$	434	2.48	%	2.70	%	2.70	%
Total interest-earning assets	$	1,811,517	$	1,799,767	$	1,741,933	$	19,224	$	19,761	$	18,228	4.21	%	4.40	%	4.15	%
Non-interest-earning assets(6)	$	188,565	$	179,357	$	180,871
Total assets	$	2,000,082	$	1,979,124	$	1,922,804

(1) Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21% in 2019 and 2018) of $47 million, $49 million and $58 million for the three months ended September 30, 2019, June 30, 2019 and September 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
	3rd Qtr.		2nd Qtr.		3rd Qtr.		3rd Qtr.		2nd Qtr.		3rd Qtr.		3rd Qtr.		2nd Qtr.		3rd Qtr.
In millions of dollars, except rates	2019		2019		2018		2019		2019		2018		2019		2019		2018
Liabilities
Deposits
In U.S. offices(4)	$	400,445	$	377,651	$	341,679	$	1,699	$	1,627	$	1,231	1.68	%	1.73	%	1.43	%
In offices outside the U.S.(5)	491,472		485,069		452,197		1,670		1,657		1,349		1.35		1.37		1.18
Total	$	891,917	$	862,720	$	793,876	$	3,369	$	3,284	$	2,580	1.50	%	1.53	%	1.29	%
Securities loaned or sold under   agreements to repurchase(6)
In U.S. offices	$	117,823	$	112,386	$	105,194	$	1,087	$	1,149	$	872	3.66	%	4.10	%	3.29	%
In offices outside the U.S.(5)	81,677		76,659		70,638		543		575		378		2.64		3.01		2.12
Total	$	199,500	$	189,045	$	175,832	$	1,630	$	1,724	$	1,250	3.24	%	3.66	%	2.82	%
Trading account liabilities(7)(8)
In U.S. offices	$	37,465	$	35,939	$	38,385	$	228	$	215	$	167	2.41	%	2.40	%	1.73	%
In offices outside the U.S.(5)	48,985		59,065		57,746		117		105		106		0.95		0.71		0.73
Total	$	86,450	$	95,004	$	96,131	$	345	$	320	$	273	1.58	%	1.35	%	1.13	%
Short-term borrowings(9)
In U.S. offices	$	75,179	$	84,091	$	85,592	$	517	$	630	$	502	2.73	%	3.00	%	2.33	%
In offices outside the U.S.(5)	17,576		22,114		22,579		92		85		76		2.08		1.54		1.34
Total	$	92,755	$	106,205	$	108,171	$	609	$	715	$	578	2.60	%	2.70	%	2.12	%
Long-term debt(10)
In U.S. offices	$	192,943	$	197,578	$	200,199	$	1,569	$	1,685	$	1,647	3.23	%	3.42	%	3.26	%
In offices outside the U.S.(5)	4,698		4,946		5,390		14		34		40		1.18		2.76		2.94
Total	$	197,641	$	202,524	$	205,589	$	1,583	$	1,719	$	1,687	3.18	%	3.40	%	3.26	%
Total interest-bearing liabilities	$	1,468,263	$	1,455,498	$	1,379,599	$	7,536	$	7,762	$	6,368	2.04	%	2.14	%	1.83	%
Demand deposits in U.S. offices	$	27,538	$	29,929	$	31,697
Other non-interest-bearing liabilities(7)	307,586		296,747		312,174
Total liabilities	$	1,803,387	$	1,782,174	$	1,723,470
Citigroup stockholders’ equity	$	196,034	$	196,237	$	198,494
Noncontrolling interest	661		713		840
Total equity	$	196,695	$	196,950	$	199,334
Total liabilities and stockholders’ equity	$	2,000,082	$	1,979,124	$	1,922,804
Net interest revenue as a percentage of average interest-earning assets(11)
In U.S. offices	$	1,026,273	$	1,015,979	$	1,005,236	$	7,036	$	7,029	$	7,307	2.72	%	2.77	%	2.88	%
In offices outside the U.S.(6)	785,244		783,788		736,697		4,652		4,970		4,553		2.35		2.54		2.45
Total	$	1,811,517	$	1,799,767	$	1,741,933	$	11,688	$	11,999	$	11,860	2.56	%	2.67	%	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 rate of 21% in 2019 and 2018) of $47 million, $49 million and $58 million for the three months ended September 30, 2019, June 30, 2019 and September 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.

62

(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
	Nine Months		Nine Months		Nine Months		Nine Months		Nine Months		Nine Months
In millions of dollars, except rates	2019		2018		2019		2018		2019		2018
Assets
Deposits with banks(4)	$	186,275	$	177,975	$	2,079	$	1,554	1.49	%	1.17	%
Securities borrowed or purchased under agreements to resell(5)
In U.S. offices	$	148,492	$	149,251	$	3,805	$	2,616	3.43	%	2.34	%
In offices outside the U.S.(4)	120,274		115,469		1,629		1,184		1.81		1.37
Total	$	268,766	$	264,720	$	5,434	$	3,800	2.70	%	1.92	%
Trading account assets(6)(7)
In U.S. offices	$	106,203	$	94,128	$	3,016	$	2,768	3.80	%	3.93	%
In offices outside the U.S.(4)	132,973		116,474		2,715		2,048		2.73		2.35
Total	$	239,176	$	210,602	$	5,731	$	4,816	3.20	%	3.06	%
Investments
In U.S. offices
Taxable	$	220,716	$	227,525	$	4,006	$	3,882	2.43	%	2.28	%
Exempt from U.S. income tax	15,390		17,319		451		525		3.92		4.05
In offices outside the U.S.(4)	114,185		104,330		3,083		2,693		3.61		3.45
Total	$	350,291	$	349,174	$	7,540	$	7,100	2.88	%	2.72	%
Loans (net of unearned income)(8)
In U.S. offices	$	394,376	$	382,980	$	22,971	$	21,021	7.79	%	7.34	%
In offices outside the U.S.(4)	286,894		286,334		13,030		12,754		6.07		5.96
Total	$	681,270	$	669,314	$	36,001	$	33,775	7.07	%	6.75	%
Other interest-earning assets(9)	$	66,225	$	66,614	$	1,340	$	1,192	2.71	%	2.39	%
Total interest-earning assets	$	1,792,003	$	1,738,399	$	58,125	$	52,237	4.34	%	4.02	%
Non-interest-earning assets(6)	$	180,870	$	176,311
Total assets	$	1,972,873	$	1,914,710

(1) Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 21% in 2019 and 2018) of $160 million and $185 million for the nine months ended September 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.

63

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

Taxable Equivalent Basis

	Average volume				Interest expense				% Average rate
	Nine Months		Nine Months		Nine Months		Nine Months		Nine Months		Nine Months
In millions of dollars, except rates	2019		2018		2019		2018		2019		2018
Liabilities
Deposits
In U.S. offices(4)	$	381,447	$	332,542	$	4,815	$	3,169	1.69	%	1.27	%
In offices outside the U.S.(5)	483,228		450,546		4,865		3,652		1.35		1.08
Total	$	864,675	$	783,088	$	9,680	$	6,821	1.50	%	1.16	%
Securities loaned or sold under agreements to repurchase(6)
In U.S. offices	$	113,747	$	102,242	$	3,343	$	2,272	3.93	%	2.97	%
In offices outside the U.S.(5)	77,080		68,215		1,600		1,151		2.78		2.26
Total	$	190,827	$	170,457	$	4,943	$	3,423	3.46	%	2.68	%
Trading account liabilities(7)(8)
In U.S. offices	$	37,856	$	36,161	$	639	$	434	2.26	%	1.60	%
In offices outside the U.S.(5)	54,392		58,840		353		290		0.87		0.66
Total	$	92,248	$	95,001	$	992	$	724	1.44	%	1.02	%
Short-term borrowings(9)
In U.S. offices	$	78,237	$	86,377	$	1,718	$	1,330	2.94	%	2.06	%
In offices outside the U.S.(5)	21,143		23,305		258		242		1.63		1.39
Total	$	99,380	$	109,682	$	1,976	$	1,572	2.66	%	1.92	%
Long-term debt(10)
In U.S. offices	$	194,142	$	199,471	$	4,939	$	4,749	3.40	%	3.18	%
In offices outside the U.S.(5)	4,901		4,908		85		124		2.32		3.38
Total	$	199,043	$	204,379	$	5,024	$	4,873	3.37	%	3.19	%
Total interest-bearing liabilities	$	1,446,173	$	1,362,607	$	22,615	$	17,413	2.09	%	1.71	%
Demand deposits in U.S. offices	$	28,120	$	33,654
Other non-interest-bearing liabilities(7)	301,864		317,696
Total liabilities	$	1,776,157	$	1,713,957
Citigroup stockholders’ equity(11)	$	195,992	$	199,874
Noncontrolling interest	724		879
Total equity(11)	$	196,716	$	200,753
Total liabilities and stockholders’ equity	$	1,972,873	$	1,914,710
Net interest revenue as a percentage of average interest-earning assets
In U.S. offices	$	1,012,940	$	987,592	$	21,298	$	20,734	2.81	%	2.81	%
In offices outside the U.S.(5)	779,064		750,807		14,213		14,090		2.44		2.51
Total	$	1,792,004	$	1,738,399	$	35,511	$	34,824	2.65	%	2.68	%

(1) Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 21% in 2019 and 2018) of $160 million and $185 million for the nine months ended September 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.

64

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

	3rd Qtr. 2019 vs. 2nd Qtr. 2019									3rd Qtr. 2019 vs. 3rd 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)	$	9		$	(9	)	$	—		$	28		$	79		$	107
Securities borrowed or purchased under agreements to resell
In U.S. offices	$	(22	)	$	(125	)	$	(147	)	$	(64	)	$	197		$	133
In offices outside the U.S.(3)	(1		)	(2		)	(3		)	14			175			189
Total	$	(23	)	$	(127	)	$	(150	)	$	(50	)	$	372		$	322
Trading account assets(4)
In U.S. offices	$	44		$	4		$	48		$	222		$	(208	)	$	14
In offices outside the U.S.(3)	6			(301		)	(295		)	143			77			220
Total	$	50		$	(297	)	$	(247	)	$	365		$	(131	)	$	234
Investments(1)
In U.S. offices	$	4		$	(123	)	$	(119	)	$	(66	)	$	(102	)	$	(168	)
In offices outside the U.S.(3)	40			(17		)	23			143			37			180
Total	$	44		$	(140	)	$	(96	)	$	77		$	(65	)	$	12
Loans (net of unearned income)(5)
In U.S. offices	$	45		$	49		$	94		$	201		$	176		$	377
In offices outside the U.S.(3)	46			(127		)	(81		)	64			(86		)	(22		)
Total	$	91		$	(78	)	$	13		$	265		$	90		$	355
Other interest-earning assets(6)	$	(26	)	$	(31	)	$	(57	)	$	1		$	(35	)	$	(34	)
Total interest revenue	$	145		$	(682	)	$	(537	)	$	686		$	310		$	996

(1) The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate 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.

65

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

	3rd Qtr. 2019 vs. 2nd Qtr. 2019									3rd Qtr. 2019 vs. 3rd 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	$	97		$	(25	)	$	72		$	230		$	238		$	468
In offices outside the U.S.(3)	22			(9		)	13			123			198			321
Total	$	119		$	(34	)	$	85		$	353		$	436		$	789
Securities loaned or sold under agreements to repurchase
In U.S. offices	$	54		$	(116	)	$	(62	)	$	111		$	104		$	215
In offices outside the U.S.(3)	36			(68		)	(32		)	65			100			165
Total	$	90		$	(184	)	$	(94	)	$	176		$	204		$	380
Trading account liabilities(4)
In U.S. offices	$	9		$	4		$	13		$	(4	)	$	65		$	61
In offices outside the U.S.(3)	(20		)	32			12			(18		)	29			11
Total	$	(11	)	$	36		$	25		$	(22	)	$	94		$	72
Short-term borrowings(5)
In U.S. offices	$	(64	)	$	(49	)	$	(113	)	$	(65	)	$	80		$	15
In offices outside the U.S.(3)	(20		)	27			7			(20		)	36			16
Total	$	(84	)	$	(22	)	$	(106	)	$	(85	)	$	116		$	31
Long-term debt
In U.S. offices	$	(39	)	$	(77	)	$	(116	)	$	(59	)	$	(19	)	$	(78	)
In offices outside the U.S.(3)	(2		)	(18		)	(20		)	(5		)	(21		)	(26		)
Total	$	(41	)	$	(95	)	$	(136	)	$	(64	)	$	(40	)	$	(104	)
Total interest expense	$	73		$	(299	)	$	(226	)	$	358		$	810		$	1,168
Net interest revenue	$	72		$	(383	)	$	(311	)	$	328		$	(500	)	$	(172	)

(1) The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate 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.

66

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

	Nine Months 2019 vs. Nine Months 2018
	Increase (decrease) due to change in:
In millions of dollars	Average volume			Average rate			Net change
Deposits with banks(3)	$	75		$	450		$	525
Securities borrowed or purchased under agreements to resell
In U.S. offices	$	(13	)	$	1,202		$	1,189
In offices outside the U.S.(3)	51			394			445
Total	$	38		$	1,596		$	1,634
Trading account assets(4)
In U.S. offices	$	345		$	(97	)	$	248
In offices outside the U.S.(3)	312			355			667
Total	$	657		$	258		$	915
Investments(1)
In U.S. offices	$	(161	)	$	211		$	50
In offices outside the U.S.(3)	262			128			390
Total	$	101		$	339		$	440
Loans (net of unearned income)(5)
In U.S. offices	$	638		$	1,312		$	1,950
In offices outside the U.S.(3)	25			251			276
Total	$	663		$	1,563		$	2,226
Other interest-earning assets(6)	$	(7	)	$	155		$	148
Total interest revenue	$	1,527		$	4,361		$	5,888

(1) The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate 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.

67

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

	Nine Months 2019 vs. Nine Months 2018
	Increase (decrease) due to change in:
In millions of dollars	Average volume			Average rate			Net change
Deposits
In U.S. offices	$	513		$	1,133		$	1,646
In offices outside the U.S.(3)	280			933			1,213
Total	$	793		$	2,066		$	2,859
Securities loaned or sold under agreements to repurchase
In U.S. offices	$	277		$	794		$	1,071
In offices outside the U.S.(3)	162			287			449
Total	$	439		$	1,081		$	1,520
Trading account liabilities(4)
In U.S. offices	$	21		$	184		$	205
In offices outside the U.S.(3)	(23		)	86			63
Total	$	(2	)	$	270		$	268
Short-term borrowings(5)
In U.S. offices	$	(135	)	$	523		$	388
In offices outside the U.S.(3)	(24		)	40			16
Total	$	(159	)	$	563		$	404
Long-term debt
In U.S. offices	$	(129	)	$	319		$	190
In offices outside the U.S.(3)	—			(39		)	(39		)
Total	$	(129	)	$	280		$	151
Total interest expense	$	942		$	4,260		$	5,202
Net interest revenue	$	585		$	101		$	686

(1) The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate 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.

68

Market Risk of Trading Portfolios

Value at Risk

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

As set forth in the table below, Citi's average trading VAR decreased from June 30, 2019 to September 30, 2019. The decrease was mainly due to a decrease in mark-to-market interest rate hedging exposure in the Markets businesses within ICG. Citi’s average trading and credit portfolio VAR also decreased from June 30, 2019 to September 30, 2019, in line with the decrease in average trading VAR.

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

				Third Quarter						Second Quarter						Third Quarter
In millions of dollars	September 30, 2019			2019 Average			June 30, 2019			2019 Average			September 30, 2018			2018 Average
Interest rate	$	29		$	33		$	40		$	36		$	33		$	58
Credit spread	40			41			46			43			45			42
Covariance adjustment(1)	(24		)	(23		)	(24		)	(20		)	(17		)	(24		)
Fully diversified interest rate and credit spread(2)	$	45		$	51		$	62		$	59		$	61		$	76
Foreign exchange	12			20			29			25			18			21
Equity	13			17			22			13			23			21
Commodity	16			26			25			25			17			21
Covariance adjustment(1)	(48		)	(60		)	(69		)	(63		)	(58		)	(68		)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)	$	38		$	54		$	69		$	59		$	61		$	71
Specific risk-only component(3)	$	(5	)	$	2		$	2		$	2		$	7		$	1
Total trading VAR—general market risk factors only (excluding credit portfolios)	$	43		$	52		$	67		$	57		$	54		$	70
Incremental impact of the credit portfolio(4)	$	16		$	12		$	7		$	10		$	11		$	11
Total trading and credit portfolio VAR	$	54		$	66		$	76		$	69		$	72		$	82

(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.

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

	Third Quarter				Second Quarter				Third Quarter
	2019				2019				2018
In millions of dollars	Low		High		Low		High		Low		High
Interest rate	$	25	$	42	$	27	$	47	$	33	$	80
Credit spread	37		47		39		48		38		47
Fully diversified interest rate and credit spread	$	45	$	60	$	49	$	72	$	61	$	95
Foreign exchange	12		29		20		32		13		27
Equity	11		24		7		22		16		28
Commodity	16		75		20		33		16		27
Total trading	$	38	$	84	$	46	$	69	$	56	$	91
Total trading and credit portfolio	54		93		59		77		66		101

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	Sept. 30, 2019
Total—all market risk factors, including   general and specific risk
Average—during quarter	$	54
High—during quarter	85
Low—during quarter	39

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 September 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 September 30, 2019. The total exposure as of September 30, 2019 to the top 25 countries disclosed below, in combination with the U.S., would represent approximately 96% of Citi’s exposure to all countries. For purposes of the table, loan amounts are reflected in the country where the loan is booked, which is generally based on the domicile of the borrower. For example, a loan to a Chinese subsidiary of a Switzerland-based corporation will

generally be categorized as a loan in China. In addition, Citi has developed regional booking centers in certain countries, most significantly in the United Kingdom (U.K.) and Ireland, in order to more efficiently serve its corporate customers. As an example, with respect to the U.K., only 29% of corporate

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

entities (31% 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 September 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.

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 3Q19		Total as of 2Q19		Total as of 3Q18		Total as a % of Citi as of 3Q19
United Kingdom	$	47.6	$	—	$	4.6	$	52.5	$	11.4	$	(3.4	)	$	6.8	$	(2.9	)	$	116.6	$	117.7	$	123.7	7.1	%
Mexico	9.5		24.8		0.3		8.1		2.8		(0.8		)	16.0		6.6			67.3		66.8		61.9		4.1
Hong Kong	18.4		14.7		0.7		7.0		1.2		(0.1		)	7.8		2.8			52.5		49.5		45.9		3.2
Singapore	13.6		13.3		0.4		4.4		1.3		(0.4		)	7.2		1.5			41.3		42.7		41.0		2.5
Ireland	12.9		—		1.3		19.7		0.3		—			—		0.6			34.8		32.9		31.1		2.1
Korea	1.7		17.1		0.1		2.1		1.5		(0.4		)	8.2		0.9			31.2		31.6		33.7		1.9
India	4.1		7.3		0.7		5.2		1.1		(0.5		)	10.0		1.7			29.6		31.3		27.2		1.8
Brazil	11.8		—		—		3.0		4.6		(0.9		)	3.9		3.3			25.7		26.4		25.9		1.6
Australia	4.6		9.4		—		5.8		1.6		(0.4		)	1.5		(1.7		)	20.8		21.8		24.1		1.3
China	6.1		4.7		0.5		1.8		1.1		(0.4		)	4.4		0.4			18.6		18.3		18.8		1.1
Japan	2.5		—		0.1		3.1		3.9		(1.5		)	5.8		4.4			18.3		19.0		18.4		1.1
Germany	0.4		—		0.1		5.9		2.8		(3.5		)	8.5		3.8			18.0		18.8		19.7		1.1
Taiwan	5.6		8.8		0.1		1.0		0.3		(0.1		)	0.8		0.7			17.2		17.6		17.8		1.0
Canada	2.3		0.7		0.3		6.7		2.4		(0.5		)	3.1		0.9			15.9		16.4		16.4		1.0
Poland	3.7		1.9		0.1		2.8		0.5		(0.1		)	3.9		0.8			13.6		15.3		14.4		0.8
Jersey	7.6		—		0.2		5.8		—		—			—		—			13.6		12.8		10.3		0.8
United Arab Emirates	6.7		1.5		0.2		3.0		0.2		(0.1		)	0.1		—			11.6		11.8		9.8		0.7
Malaysia	1.7		4.4		0.2		1.0		0.1		(0.1		)	1.4		0.4			9.1		9.7		9.6		0.6
Thailand	0.7		2.7		0.1		1.7		—		—			1.7		0.9			7.8		8.5		7.2		0.5
Indonesia	2.1		1.0		—		1.4		—		(0.1		)	1.3		0.2			5.9		6.2		5.8		0.4
Russia	1.8		0.8		—		0.7		0.3		(0.1		)	1.0		0.5			5.0		5.4		4.1		0.3
Philippines	0.7		1.4		—		0.5		0.1		—			1.7		0.2			4.6		5.2		4.9		0.3
Cayman Islands	—		—		—		—		0.1		—			2.6		1.1			3.8		2.2		2.6		0.2
Czechia	0.9		—		—		0.5		2.4		—			—		—			3.8		4.0		3.3		0.2
South Africa	1.5		—		—		0.5		0.3		(0.1		)	1.5		—			3.7		4.1		5.0		0.2
Total as a % of Citi’s Total Exposure																									35.9	%
Total as a % of Citi’s non-U.S. Total Exposure																									89.5	%

(1) ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of September 30, 2019, private bank loans in the table above totaled $29.7 billion, concentrated in Hong Kong ($9.3 billion), the U.K. ($7.2 billion) and Singapore ($7.2 billion).         

(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.                                        

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(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.

Argentina

Citi operates in Argentina through its ICG businesses. As of September 30, 2019, Citi’s net investment in its Argentine operations was approximately $570 million. As previously disclosed, Citi uses the U.S. dollar as the functional currency for its operations in Argentina because the Argentine economy is considered highly inflationary under U.S. GAAP.

During the third quarter of 2019, the Argentine peso depreciated 36% against the U.S. dollar, and the U.S. rating agencies downgraded Argentina’s sovereign debt rating given renewed concerns of a debt default. Additionally, the government of Argentina announced a debt re-profiling on

certain short-term obligations, and also implemented new capital and currency controls during the quarter. As of June 30, 2019, Citi had already remitted all available earnings from its Argentine operations that could be remitted during the 2019 calendar year, although the new capital controls will restrict Citi’s ability to access U.S. dollars in Argentina and remit earnings from its Argentine operations in the future.

Citi economically hedges its foreign currency risk in its net investment in Argentina to the extent possible and prudent through the use of non-deliverable forward (NDF) derivative instruments that are executed outside of Argentina. During the third quarter of 2019, the international NDF market lost liquidity as a result of the capital controls on foreign exchange transactions mentioned above. Given the lack of liquidity in the international NDF market, Citi faces a risk that it will be unable to economically hedge its Argentine peso exposure if these contracts do not begin trading again in the near term. As a result, devaluations on Citi’s net Argentine peso-denominated assets would be recorded in earnings, without any benefit from a change in the fair value of derivative positions used to economically hedge the exposure.

Citi consistently evaluates its economic exposure to its Argentine counterparties and reserves for changes in credit risk and sovereign risk associated with its Argentine assets. Citi believes it has established appropriate loan loss reserves on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for such risks under U.S. GAAP as of September 30, 2019. However, given the recent events in Argentina, U.S. regulatory agencies may require Citi to record additional reserves in the future, increasing ICG’s cost of credit, based on the perceived country risk associated with its Argentine exposures.

Potential Exit of U.K. from EU

As widely reported, the U.K. and the EU agreed to further extend the U.K.’s scheduled exit from the EU until January 31, 2020. 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.

LIBOR Transition Risk

Citi continues to actively identify and manage its LIBOR transition risks. Citi’s LIBOR governance and implementation program remains focused on identifying and addressing the transition impact to Citi’s clients, operational capabilities, and legal and financial contracts, among others. Citi also continues to engage on transition issues with regulators and others, such as the Alternative Reference Rates Committee (ARRC) convened by the Federal Reserve Board, in addition to various industry working groups. 

For additional information on Citi’s LIBOR transition risks and actions, see “Risk Factors—Strategic Risks” and “Managing Global Risk—Strategic Risks—LIBOR Transition Risk” in Citi’s 2018 Annual Report on Form 10-K.

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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 September 30, 2019, Citigroup had recorded net DTAs of approximately $22.5 billion, an increase of $0.2 billion from June 30, 2019 and a decrease of $0.4 billion from December 31, 2018. The increase for the quarter was primarily driven by the DTA valuation allowance (VA) release as discussed below.

The table below summarizes Citi’s net DTAs balance:

Jurisdiction/Component	DTAs balance
In billions of dollars	September 30, 2019		December 31, 2018
Total U.S.	$	20.6	$	20.7
Total foreign	1.9		2.2
Total	$	22.5	$	22.9

Of Citi’s total net DTAs of $22.5 billion as of September 30, 2019, $10.2 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 and $0.7 billion year-to-date, excluding the VA release), 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 September 30, 2019, Citi did not have any such DTAs. Accordingly, the remaining $12.3 billion of net DTAs as of September 30, 2019 was not deducted in calculating regulatory capital pursuant to Basel III standards and was appropriately risk weighted under those rules.

DTA Valuation Allowance (VA) Release

In the third quarter of 2019, Citi committed to a plan as part of the Company’s liquidity management program, to increase its ownership of certain types of non-U.S. securities and to hold such securities in its U.S. operations. This action will generate incremental foreign source income in Citi’s U.S. tax returns over time. Based on these actions, the Company views it to be more-likely-than-not that Citi will utilize $182 million of FTC carry-forwards against which it had previously recorded a VA. Therefore, Citi released the associated approximately $182 million of VA in the third quarter.

Citi continues to look for other actions that may improve foreign source income in the U.S. and thus affect the VA. These actions can include the relocation of certain businesses to the U.S., each of which can raise client, regulatory or operational issues. No other action was deemed prudent and feasible as of September 30, 2019. In addition, in the fourth quarter of 2019, as part of its normal planning process, Citi updates its forecasts of operating income and foreign source income, which in turn can affect the VA.

Overall DTA Realizability

Citi believes that the realization of the recognized net DTAs of $22.5 billion at September 30, 2019 is more-likely-than-not, based upon management’s expectations as to future taxable income in the jurisdictions in which the DTAs arise, as well as consideration of available tax planning strategies (as defined in ASC Topic 740, Income Taxes).

Effective Tax Rate

Citi’s reported effective tax rate for the third quarter of 2019 was approximately 18%, which included discrete items related to a tax audit settlement and the VA release discussed above, compared to 24% in the prior-year period. Citi’s effective tax rate excluding those discrete items was approximately 22%.

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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 third quarter of 2019 and forecasts of macroeconomic conditions and exposures at that time, the overall impact is estimated to be an approximate 20–30% increase in expected credit loss reserves. When transitioning to CECL on January 1, 2020, Citi expects to build reserves for its consumer exposures while releasing reserves related to its corporate exposures. 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 and validation. Model validations and user acceptance testing commenced in the first quarter of 2019, with parallel runs in the third quarter of 2019. The Company intends to utilize a single macroeconomic scenario in estimating expected credit losses and to discount inputs for the corporate classifiably managed portfolios. 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.”

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DISCLOSURE CONTROLS AND PROCEDURES

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

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

Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of September 30, 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, in its related quarterly reports on Form 10-Q, previously disclosed reportable activities pursuant to Section 219 for the first and second quarters of 2019.

During the third quarter of 2019, Citibank Europe plc, a subsidiary of Citi, acting as an intermediary bank, processed two transactions between two Irish banks paid to the Iranian Embassy in Ireland. The total aggreg