Citigroup (C) 10-Q 2020 Q2 Quarterly report

0000831001us-gaap:ExchangeTradedMemberc:TradingAccountsLiabilitiesMemberus-gaap:NondesignatedMemberus-gaap:EquityContractMember2020-06-300000831001c:MeasurementInputPriceToBookRatioMemberc:ValuationTechniqueModelbasedMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Member2020-06-30

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(Mark One)

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

For the quarterly period ended June 30, 2020

OR

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

For the transition period from  to

Commission file number 1-9924

Citigroup Inc.

(Exact name of registrant as specified in its charter)

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

(212) 559-1000

(Registrant's telephone number, including area code)

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

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

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

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

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

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

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

Number of shares of Citigroup Inc. common stock outstanding on June 30, 2020: 2,081,864,894

Available on the web at www.citigroup.com

CITIGROUP’S SECOND QUARTER 2020—FORM 10-Q

OVERVIEW	1
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS	3
Executive Summary	3
COVID-19 Pandemic Overview	5
RISK FACTORS	11
Summary of Selected Financial Data	13
SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES	16
SEGMENT BALANCE SHEET	17
Global Consumer Banking (GCB)	18
North America GCB	20
Latin America GCB	22
Asia GCB	24
Institutional Clients Group	26
Corporate/Other	31
OFF-BALANCE SHEET ARRANGEMENTS	32
CAPITAL RESOURCES	33
MANAGING GLOBAL RISK TABLE OF CONTENTS	46
MANAGING GLOBAL RISK	48
SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES	90
DISCLOSURE CONTROLS AND PROCEDURES	95
DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT	95
FORWARD-LOOKING STATEMENTS	96
FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS	99
CONSOLIDATED FINANCIAL STATEMENTS	100
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)	108
UNREGISTERED SALES OF EQUITY SECURITIES, REPURCHASES OF EQUITY SECURITIES AND DIVIDENDS	224

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, 2019 (2019 Annual Report on Form 10-K) and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2020 (First Quarter of 2020 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” tab 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 Note 1 to the Consolidated Financial Statements below and Notes 1 and 3 to the Consolidated Financial Statements in Citi’s 2019 Annual Report on Form 10-K.

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

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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.

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

EXECUTIVE SUMMARY

Second Quarter of 2020—Results Demonstrated Continued Financial Strength and Operational Resilience in a Challenging Environment

As described further throughout this Executive Summary, during the second quarter of 2020, Citi demonstrated continued financial strength and operational resilience, despite a significant further deterioration in economic conditions during the quarter due to the COVID-19 pandemic:

•Citi’s earnings were substantially reduced by a higher allowance for credit loss (ACL) build (approximately $5.6 billion) during the quarter (see “Cost of Credit” below).

•Despite the challenging environment, Citi had solid revenue growth, as significantly higher revenues in Institutional Clients Group (ICG), primarily reflecting strong performance in fixed income markets and investment banking, were partially offset by lower revenues in Global Consumer Banking (GCB), reflecting lower loan volumes and lower interest rates.

•Citi demonstrated good expense discipline, resulting in a 1% decrease in expenses versus the prior year, as well as positive operating leverage and a 13% improvement in operating margin, while Citi continued to invest in its infrastructure and controls as well as digital capabilities.

•Citi maintained its focus on risk management, while continuing to support clients.

•Citi had broad-based deposit growth across ICG and GCB, reflecting strong client engagement, while also strengthening Citi’s available liquidity.

•Citi returned $1.1 billion of capital to its common shareholders in the form of dividends.

•Citi continues to support its employees, customers and clients as well as the broader economy during this challenging time (see “COVID-19 Pandemic Overview” below) and maintained strong regulatory capital and liquidity metrics.

•During the quarter, the Federal Reserve Board communicated that Citi’s interim Stress Capital Buffer (SCB) requirement would be 2.5% for the four-quarter window of fourth quarter of 2020 to third quarter of 2021 (the 2020 CCAR cycle). Consistent with the regulatory capital framework, Citi declared common dividends of $0.51 per share for the third quarter of 2020 on July 23, 2020, and intends to maintain its planned capital actions, which include common dividends of $0.51 per share in the four quarters covered by the 2020 CCAR cycle, subject to approval of Citi’s Board of Directors and the latest financial and macroeconomic conditions. For information on Citi’s interim and capital plan resubmission, see “Capital Resources—Stress Capital Buffer” and “—Capital Plan Resubmission and Related Limitations on Capital Distributions” below.

As a result of the pandemic, the economic outlook for 2020 has been lowered substantially, and continued uncertainties around the pandemic, including, among others, the duration and severity of the economic and public health impacts, have created a much more volatile operating environment that will likely continue to negatively impact Citi’s businesses and future results during the remainder of 2020.

For a discussion of risks and uncertainties related to the pandemic, see “COVID-19 Pandemic Overview,” “Risk Factors” and each respective business’s results of operations below. For a discussion of additional risks and uncertainties that could affect Citi, see “ Forward-Looking Statements” below as well as each respective business’s results of operations and “Managing Global Risk” and “Risk Factors” in Citi’s 2019 Annual Report on Form 10-K.

Second Quarter of 2020 Results Summary

Citigroup

Citigroup reported net income of $1.3 billion, or $0.50 per share, compared to net income of $4.8 billion, or $1.95 per share, in the prior-year period. Net income declined 73%, driven by the substantially higher ACL builds, partially offset by the higher revenues and a lower tax rate (see “Significant Accounting Policies and Significant Estimates—Income Taxes” below). Earnings per share decreased 74%, driven by the decline in net income.

Citigroup revenues of $19.8 billion in the second quarter of 2020 increased 5% from the prior-year period, primarily reflecting the higher revenues in ICG, including the higher revenues in fixed income markets and investment banking, partially offset by the lower revenues across regions in GCB.

Citigroup’s end-of-period loans were largely unchanged at $685 billion. Excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation), Citigroup’s end-of-period loans grew 1%, with 5% growth in ICG partially offset by lower loans in GCB, reflecting the impact of lower spend activity and the continued wind-down of legacy assets in Corporate/Other. Citigroup’s end-of-period deposits increased 18% to $1.2 trillion. Excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 20%, primarily driven by 22% growth in ICG and 15% growth in GCB. (Citi’s results of operations excluding the impact of FX translation are non-GAAP financial measures.)

Expenses

Citigroup operating expenses of $10.4 billion decreased 1% versus the prior-year period, as efficiency savings and lower marketing and other discretionary spend more than offset higher compensation costs, investments and pandemic-related expenses. Year-over-year, GCB and Corporate/Other operating expenses declined 10% and 2%, respectively, while ICG expenses increased 7%.

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Cost of Credit

Citi’s total provisions for credit losses and for benefits and claims of $7.9 billion, compared to $2.1 billion in the prior-year period, reflect the ACL build and higher net credit losses. Citi’s ACL build increased to $5.6 billion, primarily reflecting a deterioration in Citi’s view of the macroeconomic outlook since the end of the first quarter of 2020 under the Current Expected Credit losses (CECL) standard, as well as downgrades in the corporate loan portfolio, in both cases driven by the continued impact of the pandemic. The reserve build also included an additional qualitative management adjustment to reflect the potential for a higher level of stress and/or a somewhat slower economic recovery. For further information on the drivers of Citi’s ACL build, see “Significant Accounting Policies and Significant Estimates—Allowance for Credit Losses” below.

Net credit losses of $2.2 billion increased 12%. Consumer net credit losses of $1.9 billion were largely unchanged, driven by higher net credit losses in GCB, primarily reflecting seasoning in the North America branded cards portfolio, as GCB had not yet incurred significant net credit losses related to the pandemic, offset by lower net credit losses in Corporate/Other. Corporate net credit losses increased to $324 million from $89 million in the prior-year period, primarily reflecting write-offs across various sectors in both North America and EMEA.

For additional information on Citi’s consumer and corporate credit costs and ACL, also see each respective business’s results of operations and “Credit Risk” below.

Capital

Citigroup’s Common Equity Tier 1 Capital ratio was 11.6% as of June 30, 2020, based on the Basel III Advanced Approaches framework for determining risk-weighted assets, compared to 11.9% as of June 30, 2019, based on the Basel III Standardized Approach for determining risk-weighted assets. The decline in the ratio primarily reflected an increase in risk-weighted assets.

Incorporating Citi’s interim SCB of 2.5%, and a GSIB surcharge of 3%, results in a minimum regulatory requirement of 10% for both Standardized (using SCB) and Advanced (using the Capital Conservation Buffer (CCB)) Approaches, relative to Citi’s Common Equity Tier 1 ratio of 11.6% using Advanced Approaches as of the second quarter of 2020.

Citigroup’s Supplementary Leverage ratio as of June 30, 2020 was 6.7%, primarily reflecting the benefit of temporary relief granted by the Federal Reserve Board, compared to 6.4% as of June 30, 2019. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.

Global Consumer Banking

GCB net loss of $0.4 billion compared to net income of $1.3 billion in the prior-year period, reflecting significantly higher cost of credit and lower revenues, partially offset by lower expenses. GCB operating expenses of $4.0 billion decreased 10%. Excluding the impact of FX translation, expenses decreased 8%, as efficiency savings, lower volume-related expenses and reductions in marketing and other discretionary

spending were partially offset by increases in pandemic-related expenses.

GCB revenues of $7.3 billion decreased 10%. Excluding the impact of FX translation, revenues decreased 7%, as lower loan volumes and lower interest rates across all regions more than offset strong deposit growth, each reflecting the continued impact of the pandemic. North America GCB revenues of $4.7 billion decreased 5%, as higher revenues in Citi-branded cards were more than offset by lower revenues in Citi retail services and retail banking. Citi-branded cards revenues of $2.2 billion increased 1%, as lower purchase sales and lower average loans were more than offset by a favorable mix shift toward interest earning balances, which supported net interest revenues. Citi retail services revenues of $1.4 billion decreased 13%, reflecting higher partner payments and lower average loans. Retail banking revenues of $1.1 billion decreased 3%, as the benefit of stronger deposit volumes and improvement in mortgage revenues were more than offset by lower deposit spreads.

North America GCB average deposits of $173 billion increased 14% year-over-year, average retail banking loans of $52 billion increased 9% year-over-year and assets under management of $69 billion increased 2%. Average Citi-branded card loans of $83 billion decreased 7% and Citi-branded card purchase sales of $74 billion decreased 21%, both driven by reduced customer activity related to the pandemic. Average Citi retail services loans of $46 billion decreased 6% and Citi retail services purchase sales of $17 billion decreased 25%, both driven by reduced customer activity and partner store closures related to the pandemic. For additional information on the results of operations of North America GCB for the second quarter of 2020, 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 $2.6 billion declined 18% versus the prior-year period. Excluding the impact of FX translation, international GCB revenues declined 12%, largely reflecting the impact of the pandemic. On this basis, Latin America GCB revenues decreased 7%, driven by lower card purchase sales, a decline in loan volumes and lower deposit spreads, partially offset by deposit growth. Asia GCB revenues decreased 15%, reflecting lower card purchase sales, insurance volumes and deposit spreads, even as deposit growth remained strong. For additional information on the results of operations of Latin America GCB and Asia GCB for the second quarter of 2020, 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 $129 billion increased 10%, average retail banking loans of $70 billion increased 4%, assets under management of $118 billion increased 4%, average card loans of $21 billion decreased 9% and card purchase sales of $18 billion decreased 30%, all excluding the impact of FX translation.

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Institutional Clients Group

ICG net income of $1.9 billion decreased 45%, primarily driven by significantly higher cost of credit and higher expenses, partially offset by higher revenues. ICG operating expenses increased 7% to $5.9 billion, reflecting higher compensation costs, continued investments and volume-driven growth, partially offset by efficiency savings.

ICG revenues of $12.1 billion increased 21%, reflecting a 48% increase in Markets and securities services revenues, partially offset by a 3% decline in Banking revenues. The decrease in Banking revenues included the impact of $431 million of losses on loan hedges related to corporate lending and the private bank, compared to losses of $75 million related to corporate lending in the prior-year period.

Banking revenues of $5.7 billion (excluding the impact of losses on loan hedges) increased 4%, as increases in investment banking and the private bank were partially offset by declines in treasury and trade solutions and corporate lending. Investment banking revenues of $1.8 billion increased 37%, as strong growth in debt and equity underwriting was partially offset by modestly lower advisory revenues. Advisory revenues decreased 1% to $229 million, equity underwriting revenues increased 56% to $491 million and debt underwriting revenues increased 41% to $1.0 billion.

Treasury and trade solutions revenues of $2.3 billion declined 11%, and 7% excluding the impact of FX translation, as strong client engagement and growth in deposits were more than offset by the impact of lower interest rates and reduced commercial card spend. Private bank revenues of $956 million increased 10% (excluding the impact of losses on loan hedges), driven by increased capital markets activity and higher lending and deposit volumes, partially offset by lower deposit spreads, reflecting the impact of lower rates. Corporate lending revenues of $232 million decreased 64%. Excluding the impact of losses on loan hedges, corporate lending revenues decreased 11%, as higher loan volumes were more than offset by lower spreads.

Markets and securities services revenues of $6.9 billion increased 48%. Fixed income markets revenues of $5.6 billion increased 68%, reflecting strength in rates and currencies, spread products and commodities. Equity markets revenues of $770 million decreased 3%, as solid performance in cash equities was more than offset by lower revenues in derivatives and prime finance, reflecting a more challenging environment. Securities services revenues of $619 million decreased 9%, and 5% excluding the impact of FX translation, as higher deposit volumes were more than offset by lower spreads, given lower interest rates. For additional information on the results of operations of ICG for the second quarter of 2020, see “Institutional Clients Group” below.

Corporate/Other

Corporate/Other net loss was $163 million in the second quarter of 2020, compared to net income of $84 million in the prior-year period, driven by lower revenues and higher cost of credit, reflecting ACL builds under the CECL standard on Citi’s residual legacy portfolio, partially offset by a decrease in expenses. Operating expenses of $469 million declined 2%, reflecting the continued wind-down of legacy assets, partially offset by higher infrastructure costs as well as incremental costs associated with the pandemic. Corporate/Other revenues of $290 million declined 49%, reflecting the wind-down of legacy assets and the impact of lower interest rates, partially offset by available-for-sale (AFS) investment securities gains as well as positive marks on legacy securities, as spreads tightened during the quarter. For additional information on the results of operations of Corporate/Other for the second quarter of 2020, see “Corporate/Other” below.

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COVID-19 PANDEMIC OVERVIEW

In addition to the widespread public health implications, the emergence of the COVID-19 pandemic has had an extraordinary impact on macroeconomic conditions in the U.S. and around the world. As discussed below and elsewhere throughout this Form 10-Q, Citi’s businesses, results of operations and financial condition have been impacted by economic dislocations caused by the pandemic. Citi had builds to its allowance for credit losses (ACL) of approximately $10.5 billion during the first six months of 2020, bringing its ACL to approximately $28.5 billion at June 30, 2020, with an Allowance for credit losses on loans (ACLL) reserve ratio of 3.89% on funded loans. For additional information, see “Covid-19 Pandemic Overview—Impact of CECL on Citi’s Allowance for Credit Losses” below.

Despite these impacts, Citi has remained well positioned from a capital and liquidity perspective, and has maintained strong business operations. At quarter end, Citi had a CET1 Capital ratio of 11.6%, a Supplementary Leverage ratio of 6.7% and a Liquidity Coverage ratio of 117%, each well above regulatory minimums, with $900 billion of available liquidity resources (see “Managing Global Risk—Liquidity Risk” below).

Governments and central banks globally have taken a series of aggressive actions to support the economy and mitigate the systemic impacts of the pandemic, and Citi continues to proactively assess and utilize these measures where appropriate. For additional information on Citi’s pandemic response and other pandemic-related information, see Citi’s First Quarter of 2020 Form 10-Q.

Citi’s COVID-19 Pandemic Response—Supporting Employees, Customers and Communities

The health and safety of Citi’s employees and their families, as well as Citi’s customers, clients and communities it serves, are of the utmost importance. As the public health crisis has unfolded, Citi has continued to take proactive measures to preserve their well-being while maintaining its ability to serve customers and clients.

Citi Employees

•The majority of Citi employees around the world are working remotely.

•Citi is pursuing a slow and measured reentry to its sites and a rapid retreat where necessary based on medical data and local conditions.

•Citi is offering enhanced flexibility and paid time off for colleagues directly and indirectly impacted by the pandemic.

•Citi is providing additional health and well-being resources for colleagues.

•In the first quarter of 2020, Citi provided more than 75,000 colleagues globally with extra compensation, including a $1,000 special payment to eligible colleagues in the U.S.

•Citi is delivering a virtual summer internship program globally and has guaranteed full-time employment offers for those interns meeting minimum requirements in hub locations.

•Extra cleaning protocols and protective supplies have been put in place at Citi sites, branches and ATMs, and staff has been educated on preventive measures.

Citi Communities

Citi, the Citi Foundation and Citi colleagues are supporting those immediately impacted by the crisis through a variety of efforts. To date, Citi and the Citi Foundation have committed over $100 million in support of pandemic community relief efforts. As part of this commitment, Citi is donating the net profits earned through its participation in the Paycheck Protection Program to the Citi Foundation. Initial proceeds of $25 million have been donated to the Citi Foundation and will be used to expand its pandemic U.S. Small Business Relief Program to support efforts by Community Development Financial Institutions to serve small, diverse entrepreneurs who may not fully qualify for federal government stimulus funding.

Citi Consumer Loan Relief Programs

As previously disclosed, Citi was one of the first banks in the U.S. to announce assistance measures for pandemic-impacted customers. Citi has offered a wide array of programs for different types of products, providing short- and medium-term relief to customers as a result of the pandemic. The relief provided has been primarily in the form of payment deferrals and fee waivers. These consumer relief programs have primarily been provided to GCB customers, with a small portion of customers reported within Corporate/Other. For further information on Citi’s measures to support its customers and clients in response to the pandemic, see “COVID-19 Overview” in the First Quarter of 2020 10-Q.

The table below provides information on the number of loan modifications and the associated balances at enrollment for Citi’s pandemic consumer relief programs for the three months ended June 30, 2020, excluding troubled debt restructurings (see “Troubled Debt Restructuring (TDR) Relief” below).

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	For the three months ended June 30, 2020
In millions of dollars, except number of loans modified	Number of loans modified	Enrollment balance(1)(2)		% of total loan portfolio(3)		Program details
North America
Credit cards	1,909,296	$	6,920	5	%	Waivers on late fees and deferral of minimum payments for two payment cycles
Residential first mortgages(4)	6,866	3,044		6		Extending existing payment deferral options and suspending foreclosures into the third quarter of 2020
Home equity loans(4)	4,289	536		6		Extending existing payment deferral options
Personal, small business and other(5)	16,626	259		5		Waivers on fees including non-Citi ATM fees and monthly service fees as well as minimum payment deferrals for up to two months
Total North America	1,937,077	$	10,759	6	%
International
Asia
Credit cards	859,696	$	1,601	10	%	Payment deferrals for up to three months, interest and fee waivers and reductions in minimum due payments
Residential first mortgages	44,947	3,334		10		Payment deferrals for up to 12 months, interest and fee waivers and reductions in minimum due payments
Personal, small business and other	169,162	1,368		5		Payment deferrals for up to three months for revolving products and overdrafts or up to 12 months for installment loans, interest and fee waivers and reductions in minimum due payments
Latin America
Credit cards	640,912	1,089		26		Minimum payment deferrals for up to six months, temporary interest rate reductions and waivers on certain fees
Residential first mortgages	19,363	716		21		Minimum payment deferrals for up to six months, temporary interest rate reductions and waivers on certain fees
Personal, small business and other	177,838	1,165		21		Minimum payment deferrals for up to six months, temporary interest rate reductions and waivers on certain fees
Total international	1,911,918	$	9,273	10	%
Total Consumer	3,848,995	$	20,032	7	%

(1) Reserves for these loans are calculated in accordance with the CECL standard.

(2) Enrollment balances represent the aggregate amounts enrolled during the second quarter of 2020. Ending balances as of June 30, 2020 may be lower.

(3) The percentage denominator is the total ending period loans balance for the respective product and region at June 30, 2020.

(4) Includes $183 million of residential first mortgage loans and $369 million of home equity loans reported in Corporate/Other.

(5) Includes $55 million of student loans reported in Corporate/Other.

As set forth in the table above, during the second quarter of 2020, consumer relief programs had more than 3.8 million loan modifications with approximately $20.0 billion of associated enrollment balances, excluding TDRs, representing approximately 7% of Citi’s total consumer loan balances.

In North America, credit card programs represented the largest volume of enrollments and loan balances. In the second quarter of 2020, approximately 45% of credit card customers made at least one payment during the time they were enrolled in the programs. In addition, Citi observed re-enrollment rates of 14% under these programs. As these credit card relief programs offered a deferral of minimum payments for two payment cycles, certain customers were able to complete the program before June 30, 2020. End-of-period loan balances for active enrolled customers as of June 30, 2020, were approximately $2.6 billion.

In Asia, auto-enrollment relief programs mandated by governments or regulators in Malaysia, Philippines and India programs represented the largest volume of enrollments and

loan balances. These programs accounted for approximately 67% of total enrollments during the second quarter.

Approximately 43% of credit cards, personal installment loans and mortgage customers made at least one payment during the time they were enrolled in the programs.

In Mexico, Citi participated in a government-sponsored debt relief program that was available until May 15, 2020. The program provided customers with a payment deferral for principal and interest for a period of four to six months on various products. Eligible customers included those who were current (less than 30 days past due) as of February 28, 2020, and given there was no proof of hardship required to apply for the program the application process was made frictionless. As a result, most major banks experienced high enrollment rates associated with the program. Specifically, during the second quarter Citi received a large number of applications and associated enrollment balances that represented approximately 22% of Citi`s consumer lending portfolio in Mexico. Customer payment behavior under the program was largely

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driven by product type. Approximately 57% of customers enrolled in credit card programs made at least one payment during the month of June 2020.

Citi Corporate Loan Relief Programs

Citi has modified the contractual terms of corporate loans to certain borrowers impacted by the pandemic. These modifications consist primarily of deferrals in the payment of principal and/or interest that Citi has provided during the second quarter of 2020 in response to borrower requests, as well as those provided pursuant to government-mandated relief programs.

The table below shows Citi’s corporate loan modifications, excluding TDRs:

	June 30, 2020
In millions of dollars	Total credit exposure		Funded		Unfunded
Corporate loans	$	3,781	$	3,085	$	696
Private bank loans	2,193		2,190		3
Total Corporate	$	5,974	$	5,275	$	699

Citi’s Management of COVID-19 Pandemic Risks

Citi’s dedicated continuity of business and crisis management groups are managing Citi’s protocols in response to the pandemic. Among other things, the protocols address the prioritization of critical processing; ability of staff and third parties to support these processes from remote work locations; deployment of new hardware to support technology needs; and ongoing monitoring to assess controls and service levels. For additional information about Citi’s management of pandemic-related risks, see Citi’s First Quarter of 2020 Form 10-Q.

Citi expects that overall revenues in the near term, including GCB and ICG revenues, will likely continue to be adversely impacted by the lower interest rate environment as well as challenging macroeconomic and market conditions, including the effects related to the severity and duration of the pandemic as well as the responses of governments, customers and clients. In particular, each GCB region should continue to experience the adverse impacts from the pandemic on customer behavior, including lower purchase sales and loan volumes, while Latin America GCB is also likely to experience a more pronounced impact from macroeconomic weakness in Mexico. Citi also expects that ICG Markets and investment banking revenues should continue to reflect overall market conditions, including a normalization of business trends compared to the first half of 2020.

Citi’s operating expenses may be impacted by uncertainties related to the pandemic, including, among other things, the continued efforts to protect and support Citigroup’s employees and to support Citi’s customers and clients digitally.

Moreover, Citi, including GCB and ICG, expects to experience higher net credit losses on its existing portfolios going forward due to the pandemic. If Citi’s second quarter 2020 macro-economic forecast assumptions are realized, Citi does not expect significant additional reserve builds in the near term; however the overall level of reserves remains dependent on the evolving economic environment relative to

this forecast, with a deterioration potentially having a significant impact on the movement of the ACL going forward. For additional information about significant risks to Citi from the pandemic, see “Risk Factors” below.

Balance Sheet and Other Items Related to the COVID-19 Pandemic

Balance Sheet Trends

As of June 30, 2020, Citi’s end-of-period balance sheet grew 12% from the prior-year period (14% excluding the impact of FX translation) and 1% sequentially (largely unchanged excluding the impact of FX translation), as it continued to support both its consumer and institutional clients. Loans were unchanged from the prior-year period (up 1% excluding the impact of FX translation), while deposits grew 18% (20% excluding the impact of FX translation), reflecting significant deposit growth in both GCB and ICG driven by the continued impact of the pandemic. For additional information, see “Liquidity Risk” below.

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Impact of CECL on Citi’s Allowance for Credit Losses (ACL)

The table below shows the impact of Citi’s adoption of CECL as of January 1, 2020 and the ACL during the first and second quarters of 2020. For information on the drivers of Citi’s ACL build in the second quarter, see “Significant Account Policies and Significant Estimates—Allowance for Credit Losses” below. For additional information on Citi’s accounting policy on accounting for credit losses under CECL, see Note 14 to the Consolidated Financial Statements and Note 1 in Citi’s First Quarter of 2020 Form 10-Q.

	Allowance for credit losses (ACL)
In millions of dollars	Balance December 31, 2019		CECL transition impact		Build in first quarter of 2020		FX/Other in first quarter of 2020		Balance March 31, 2020		Build in second quarter of 2020		FX/Other in second quarter of 2020		Balance June 30, 2020		ACLL/EOP loans June 30, 2020(1)
Cards(1)	$	8,419	$	4,456	$	2,420	$	(215)	$	15,080	$	1,572	$	50	$	16,702	11.21	%
All other GCB	1,200		566		413		(217)		1,962		388		36		2,386
Global Consumer Banking	$	9,619	$	5,022	$	2,833	$	(432)	$	17,042	$	1,960	$	86	$	19,088	7.00	%
Institutional Clients Group	2,886		(717)		1,316		(34)		3,451		3,370		3		6,824		1.71
Corporate/Other	278		(104)		187		(13)		348		160		—		508
Allowance for credit losses on loans (ACLL)	$	12,783	$	4,201	$	4,336	$	(479)	$	20,841	$	5,490	$	89	$	26,420	3.89	%
Allowance for credit losses on unfunded lending commitments	1,456		(194)		557		(6)		1,813		113		(67)		1,859
Other	—		96		2		32		130		79		8		217
Total allowance for credit losses (ACL)	$	14,239	$	4,103	$	4,895	$	(453)	$	22,784	$	5,682	$	30	$	28,496

(1) As of June 30, 2020, in North America GCB, Citi-branded cards ACLL/EOP loans was 10.1% and Citi retail services ACLL/EOP loans was 14.0%.

Accumulated Other Comprehensive Income (AOCI)

In the second quarter of 2020, Citi’s AOCI was a net after-tax loss of $0.8 billion, driven primarily by Citi’s own credit spreads narrowing, resulting in a $2.2 billion (after-tax) DVA loss on Citi’s debt accounted for under the fair value option. Net unrealized gains on AFS investment securities increased by $0.8 billion, driven by continued declines in interest rates. Currency fluctuations resulted in a $0.6 billion currency translation adjustment gain, driven by the weakening of the U.S. dollar against most currencies. The DVA loss does not have an impact on regulatory capital. For additional information on the components of Citi’s AOCI, see Note 17 to the Consolidated Financial Statements.

Common Stock Repurchases

As previously disclosed, on March 15, 2020, Citi joined other major U.S. banks in suspending stock repurchases to further bolster Citi’s capital and liquidity positions, in order to allow additional capacity to support clients in light of the pandemic. For additional information, see “Equity Security Repurchases” below.

Principal Transactions Revenues

Global trading markets experienced continued increases in volatility, trading volumes and movements in the second quarter of 2020. Citi’s principal transactions revenues, recorded in ICG, were $3.9 billion in the current quarter, an increase of $2.0 billion from the prior-year period. For additional information on Citi’s trading results, see “Institutional Clients Group” and Note 6 to the Consolidated Financial Statements.

Capital Plan Resubmission and Related Limitations on Capital Distributions

In June 2020, the Federal Reserve Board (FRB) determined that changes in financial markets and macroeconomic outlooks related to the COVID-19 pandemic could have a material effect on the risk profile and financial condition of each firm subject to its capital plan rule, and therefore require updated capital plans. Accordingly, the FRB is requiring each firm, including Citi, to update and resubmit its capital plan within 45 days after the FRB provides updated scenarios. The FRB also established temporary limitations on capital distributions during the third quarter of 2020, which may be extended by the FRB. Citi declared common dividends of $0.51 per share

9

for the third quarter of 2020 on July 23, 2020, which would not be impacted by the Federal Reserve Board’s temporary limitations on capital distributions. For additional information about the capital plan resubmission and related limitations on capital distributions, see “Capital Resources” below.

Certain Key Government Actions in Support of the Economy

U.S. Government-Sponsored Liquidity Programs

During the first quarter of 2020, the FRB introduced several liquidity facilities in response to the funding market volatility caused by the pandemic. Citi has participated in several of the U.S. government-sponsored liquidity programs, including the Money Market Mutual Fund Liquidity Facility (MMLF), the Primary Dealer Credit Facility (PDCF) and Discount Window (DW) in order to facilitate client activity and support the FRB actions to provide additional liquidity into the market. Citi has also participated in the Paycheck Protection Program Lending Facility (PPPLF), which was established to facilitate lending under the SBA’s Paycheck Protection Program (see “Small Business Administration’s Paycheck Protection Program” below). The amounts Citi sourced from these facilities were not significant to Citi’s overall liquidity profile during the second quarter, which remains strong and highly liquid. For additional information about Citi’s liquidity resources, see “Managing Global Risk—Liquidity Risk” below.

U.S. Banking Agencies Regulatory Capital Relief

In response to the pandemic, during the first and second quarters of 2020, the U.S. banking agencies issued several interim final rules revising the current regulatory capital standards, to provide banking organizations with additional flexibility to support consumers and businesses. Those rules applicable to Citi include:

•Easing of capital distribution limits in the event of regulatory capital buffer breaches, which provides some flexibility to continue distributing capital under certain circumstances.

•Modification of the CECL transition provision to defer the January 1, 2020 capital impact to January 1, 2022 and to provide additional capital relief for ongoing increases in credit reserves. Citi’s reported Common Equity Tier 1 Capital ratio at June 30, 2020, reflecting the modified CECL transition provision, was 44 basis points higher than Citi’s Common Equity Tier 1 Capital ratio, reflecting the full impact of CECL on regulatory capital.

•Temporary Supplementary Leverage ratio (SLR) relief for bank holding companies, commencing in the second quarter of 2020, allowing Citigroup to temporarily expand its balance sheet by excluding U.S. Treasury securities and deposits with the FRB from the SLR denominator. Citigroup’s reported Supplementary Leverage ratio of 6.66% benefited 94 basis points during the second quarter of 2020 as a result of the temporary relief. Excluding the temporary relief, Citigroup’s Supplementary Leverage ratio would have been 5.72%, compared with a 5.0% effective minimum requirement.

•Assigning a 0% risk weight to loans originated under the

Paycheck Protection Program.

For additional information about regulatory capital relief provided by the U.S. banking agencies, see “Capital Resources” below.

Troubled Debt Restructuring (TDR) Relief

Under U.S. GAAP, banks are required to assess modifications to a loan’s terms for potential classification as a TDR. A loan to a borrower experiencing financial difficulty is classified as a TDR when a lender grants a concession that it would otherwise not consider, such as a payment deferral or interest concession. In order to encourage banks to work with impacted borrowers, the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) and U.S. banking agencies have provided relief from TDR accounting. The main benefits of TDR relief include a capital benefit in the form of reduced risk-weighted assets, as TDRs are more heavily risk-weighted for capital purposes; aging of the loans is frozen, i.e., they will continue to be reported in the same delinquency bucket they were in at the time of modification; and the loans are generally not reported as non-accrual during the modification period. The loans included in the modification programs are included in Citi’s reserving process under the CECL standard.

Small Business Administration’s Paycheck Protection Program

The Paycheck Protection Program (the Program) authorizes the origination of forgivable loans to small businesses to pay their employees during the pandemic. Loan terms are the same for all businesses. Among other programs, Citi is participating in the Payment Protection Program and has funded approximately $3.8 billion in loans as of June 30, 2020. Citi remains committed to supporting small businesses. The processing of loan forgiveness requests under the Program is expected to begin in the third quarter of 2020 and the timing for processing will determine whether there is significant forgiveness in the second half of 2020.

10

RISK FACTORS

Macroeconomic and Other Challenges and Uncertainties Related to the COVID-19 Pandemic Will Likely Continue to Have Negative Impacts on Citi’s Businesses and Results of Operations and Financial Condition.

The COVID-19 pandemic has spread globally, affecting all of the countries and jurisdictions where Citi operates. The pandemic has had, and will likely continue to have, negative impacts on Citi’s businesses, revenues, expenses, credit costs and overall results of operations and financial condition, which could be material. The pandemic and responses to it have had, and will likely continue to have, a severe impact on global economic conditions, although the impacts will likely vary from time to time by country, state or region, largely depending upon the duration and severity of the public health consequences and availability of any effective therapeutic or vaccine. These impacts to global economic conditions include, among others:

•sharply reduced U.S. and global economic output and employment, resulting in loss of employment and lower consumer spending, cards purchase sales and loan volumes;

•disruption of global supply chains;

•significant disruption and volatility in financial markets;

•temporary closures, reduced activity and failures of many businesses, leading to loss of revenues and net losses; and

•the institution of social distancing and restrictions on movement in and among the United States and other countries.

The extent of the pandemic’s impact on Citi’s financial performance and operations, including its ability to execute its business initiatives and strategies, will continue to depend on future developments in the U.S. and globally, which are uncertain and cannot be predicted, including the duration and further spread of the disease, as well as the severity of the economic downturn or any delay or weakness in the economic recovery. The impact will in part be dependent on government and other actions taken to lessen the health and economic repercussions, such as medical investments and advances, restrictions on movement of people, transportation and businesses, and the effectiveness of past and any future fiscal, monetary and other governmental actions. Ongoing legislative and regulatory changes in the U.S. and globally to address the economic impact from the pandemic, such as consumer and corporate relief measures, could further affect Citi’s businesses, credit costs and results. Citi could also face challenges, including legal and reputational, and scrutiny in its implementation of and ongoing efforts to provide these relief measures. Such implementations and efforts have resulted in, and may continue to result in, litigation, including class actions, or regulatory and government actions and proceedings. Such actions may result in judgments, settlements, penalties and fines adverse to Citi. In addition, the different types of government actions could vary in scale and duration across jurisdictions and regions with varying degrees of effectiveness.

The impact of the pandemic on Citi’s consumer and corporate borrowers will also vary by region, sector or industry, with some borrowers experiencing greater stress levels, which could lead to increased pressure on the results of operations and financial condition of such borrowers, increased borrowings or credit ratings downgrades, thus likely leading to higher credit costs. In addition, stress levels ultimately experienced by Citi’s borrowers may be different from and more intense than assumptions made in earlier estimates or models used by Citi during or prior to the emergence of the pandemic, resulting in a further increase in Citi’s allowance for credit losses or net credit losses.

The pandemic may not be sufficiently contained for an extended period of time, due to a further emergence or re-emergence of widespread infections. A prolonged health crisis could continue to reduce economic activity in the U.S. and other countries, resulting in a further decline in employment and business and consumer confidence. These factors could further negatively impact global economic activity and Citi’s consumer customers and corporate clients; cause a continued decline in Citi’s revenues and the demand for its products and services; lead to a prolonged period of lower interest rates; and further increase Citi’s credit and other costs. These factors could also cause a continued increase in Citi’s balance sheet, risk-weighted assets and allowance for credit loss reserves, resulting in a decline in regulatory capital ratios or liquidity measures, as well as regulatory demands for higher capital levels and/or reductions in capital distributions. Moreover, any disruption or failure of Citi’s performance of, or its ability to perform, key business functions, as a result of the continued spread of COVID-19 or otherwise, could adversely affect Citi’s operations.

Any disruption to, breaches of or attacks on Citi’s information technology systems, including from cyber incidents, could have adverse effects on Citi’s businesses. These systems are supporting a substantial portion of Citi’s employees who have been affected by local pandemic restrictions and have been forced to work remotely. In addition, these systems interface with and depend on third-party systems, and Citi could experience service denials or disruptions if demand for such systems were to exceed capacity or if a third-party system fails or experiences any interruptions. Citi has also taken measures to maintain the health and safety of its employees; however, these measures could result in increased expenses, and widespread illness could negatively affect staffing within certain functions, businesses or geographies. In addition, Citi’s ability to recruit, hire and onboard employees in key areas could be negatively impacted by global pandemic restrictions.

Further, it is unclear how the macroeconomic business environment or societal norms may be impacted after the pandemic. The post-pandemic environment may undergo unexpected developments or changes in financial markets, the fiscal, tax and regulatory environments and consumer customer and corporate client behavior. These developments and changes could have an adverse impact on Citi’s results of operations and financial condition. Ongoing business and regulatory uncertainties and changes may make Citi’s longer-

11

term business, balance sheet and budget planning more difficult or costly. Citi, its management and its businesses may also experience increased or different competitive and other challenges in this environment. To the extent that it is not able to adapt or compete effectively, Citi could experience loss of business and its results of operations and financial condition could suffer.

For additional information about trends, uncertainties and risks related to the pandemic, as well as Citi’s management of pandemic-related risks, see “COVID-19 Pandemic Overview” above.

For information about the other most significant risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition, which could be exacerbated or realized by the pandemic-related risks discussed above, see “Risk Factors” in Citi’s 2019 Annual Report on Form 10-K.

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13

RESULTS OF OPERATIONS

SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1

Citigroup Inc. and Consolidated Subsidiaries

	Second Quarter								Six Months
In millions of dollars, except per share amounts	2020		2019		% Change		2020		2019		% Change
Net interest revenue	$	11,080	$	11,950	(7)	%	$	22,572	$	23,709	(5)	%
Non-interest revenue	8,686		6,808		28		17,925		13,625		32
Revenues, net of interest expense	$	19,766	$	18,758	5	%	$	40,497	$	37,334	8	%
Operating expenses	10,415		10,500		(1)		21,009		21,084		—
Provisions for credit losses and for benefits and claims	7,903		2,093		NM		14,930		4,073		NM
Income (loss) from continuing operations before income taxes	$	1,448	$	6,165	(77)	%	$	4,558	$	12,177	(63)	%
Income taxes	131		1,373		(90)		707		2,648		(73)
Income from continuing operations	$	1,317	$	4,792	(73)	%	$	3,851	$	9,529	(60)	%
Income (loss) from discontinued operations, net of taxes	(1)		17		NM		(19)		15		NM
Net income before attribution of noncontrolling interests	$	1,316	$	4,809	(73)	%	$	3,832	$	9,544	(60)	%
Net income attributable to noncontrolling interests	—		10		(100)		(6)		35		NM
Citigroup’s net income	$	1,316	$	4,799	(73)	%	$	3,838	$	9,509	(60)	%
Earnings per share
Basic
Income from continuing operations	$	0.51	$	1.94	(74)	%	$	1.57	$	3.81	(59)	%
Net income	0.51		1.95		(74)		1.56		3.82		(59)
Diluted
Income from continuing operations	$	0.51	$	1.94	(74)	%	$	1.57	$	3.81	(59)	%
Net income	0.50		1.95		(74)		1.56		3.82		(59)
Dividends declared per common share	0.51		0.45		13		1.02		0.90		13
Common dividends	$	1,071	$	1,041	3	%	$	2,152	$	2,116	2	%
Preferred dividends(1)	253		296		(15)		544		558		(3)
Common share repurchases	—		3,575		(100)		2,925		7,630		(62)

Table continues on the next page, including footnotes.

14

SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2

Citigroup Inc. and Consolidated Subsidiaries

In millions of dollars, except per share amounts, ratios and direct staff	Second Quarter										Six Months
				2020			2019		% Change		2020			2019		% Change
At June 30:
Total assets	$	2,232,715		$	1,988,226		12	%
Total deposits	1,233,660			1,045,607			18
Long-term debt	279,775			252,189			11
Citigroup common stockholders’ equity	173,642			179,379			(3)
Total Citigroup stockholders’ equity	191,622			197,359			(3)
Average assets	2,266,610			1,979,124			15		2,173,165		$	1,959,271		11	%
Direct staff (in thousands)	204			200			2
Performance metrics
Return on average assets	0.23		%	0.97		%			0.36	%	0.98		%
Return on average common stockholders’ equity(2)	2.4			10.1					3.8		10.2
Return on average total stockholders’ equity(2)	2.7			9.8					4.0		9.8
Return on tangible common equity (RoTCE)(3)	2.9			11.9					4.5		11.9
Efficiency ratio (total operating expenses/total revenues)	52.7			56.0					51.9		56.5
Basel III ratios
Common Equity Tier 1 Capital(4)	11.59		%	11.89		%
Tier 1 Capital(4)	13.08			13.40
Total Capital(4)	15.56			16.33
Supplementary Leverage ratio	6.66			6.36
Citigroup common stockholders’ equity to assets	7.78		%	9.02		%
Total Citigroup stockholders’ equity to assets	8.58			9.93
Dividend payout ratio(5)	100.8			23.1					65.4	%	23.6		%
Total payout ratio(6)	100.8			102.5					154.1		108.9
Book value per common share	$	83.41		$	79.40		5	%
Tangible book value (TBV) per share(3)	71.15			67.64			5

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

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

(3) 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.

(4) Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of June 30, 2020 and the Basel III Standardized Approach as of June 30, 2019, whereas Citi’s reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework for all periods presented. 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.

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

(6) 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.

NM Not meaningful

15

SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES

CITIGROUP INCOME

	Second Quarter								Six Months
In millions of dollars	2020		2019		% Change		2020		2019		% Change
Income (loss) from continuing operations
Global Consumer Banking
North America	$	(459)	$	663	NM		$	(1,369)	$	1,370	NM
Latin America	18		234		(92)	%	(18)		450		NM
Asia(1)	43		404		(89)		234		801		(71)	%
Total	$	(398)	$	1,301	NM		$	(1,153)	$	2,621	NM
Institutional Clients Group
North America	$	660	$	1,050	(37)	%	$	1,556	$	1,798	(13)	%
EMEA	493		1,005		(51)		1,528		2,130		(28)
Latin America	(194)		519		NM		332		1,059		(69)
Asia	921		851		8		2,090		1,850		13
Total	$	1,880	$	3,425	(45)	%	$	5,506	$	6,837	(19)	%
Corporate/Other	(165)		66		NM		(502)		71		NM
Income from continuing operations	$	1,317	$	4,792	(73)	%	$	3,851	$	9,529	(60)	%
Discontinued operations	$	(1)	$	17	NM		$	(19)	$	15	NM
Less: Net income attributable to noncontrolling interests	—		10		(100)	%	(6)		35		NM
Citigroup’s net income	$	1,316	$	4,799	(73)	%	$	3,838	$	9,509	(60)	%

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

NM Not meaningful

CITIGROUP REVENUES

	Second Quarter								Six Months
In millions of dollars	2020		2019		% Change		2020		2019		% Change
Global Consumer Banking
North America	$	4,742	$	4,966	(5)	%	$	9,966	$	9,966	—	%
Latin America	1,050		1,320		(20)		2,249		2,592		(13)
Asia(1)	1,547		1,847		(16)		3,298		3,665		(10)
Total	$	7,339	$	8,133	(10)	%	$	15,513	$	16,223	(4)	%
Institutional Clients Group
North America	$	4,987	$	3,632	37	%	$	9,934	$	6,901	44	%
EMEA	3,392		2,960		15		6,862		6,130		12
Latin America	1,207		1,307		(8)		2,625		2,575		2
Asia	2,551		2,156		18		5,200		4,467		16
Total	$	12,137	$	10,055	21	%	$	24,621	$	20,073	23	%
Corporate/Other	290		570		(49)		363		1,038		(65)
Total Citigroup net revenues	$	19,766	$	18,758	5	%	$	40,497	$	37,334	8	%

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

16

SEGMENT BALANCE SHEET⁽¹⁾—JUNE 30, 2020

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, net of allowance	$	6,516	$	77,945	$	225,312	$	—	$	309,773
Securities borrowed and purchased under agreements to resell, net of allowance	131		282,489		297		—		282,917
Trading account assets	2,505		348,212		11,594		—		362,311
Investments, net of allowance	991		132,393		299,869		—		433,253
Loans, net of unearned income and allowance for credit losses on loans	253,512		397,376		7,984		—		658,872
Other assets, net of allowance	36,593		108,587		40,409		—		185,589
Net inter-segment liquid assets(4)	122,633		369,317		(491,950)		—		—
Total assets	$	422,881	$	1,716,319	$	93,515	$	—	$	2,232,715
Liabilities and equity
Total deposits	$	314,501	$	908,361	$	10,798	$	—	$	1,233,660
Securities loaned and sold under agreements to repurchase	609		215,108		5		—		215,722
Trading account liabilities	1,848		147,013		403		—		149,264
Short-term borrowings	291		27,866		11,999		—		40,156
Long-term debt(3)	1,326		70,658		38,755		169,036		279,775
Other liabilities, net of allowance	17,593		81,612		22,631		—		121,836
Net inter-segment funding (lending)(3)	86,713		265,701		8,244		(360,658)		—
Total liabilities	$	422,881	$	1,716,319	$	92,835	$	(191,622)	$	2,040,413
Total stockholders’ equity(5)	—		—		680		191,622		192,302
Total liabilities and equity	$	422,881	$	1,716,319	$	93,515	$	—	$	2,232,715

(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of June 30, 2020. 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.

17

GLOBAL CONSUMER BANKING

Global Consumer Banking (GCB) consists of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking, Citi-branded cards and 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 2,327 branches in 19 countries and jurisdictions as of June 30, 2020. At June 30, 2020, GCB had $423 billion in assets and $315 billion in retail banking 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, Citi serves customers in a somewhat broader set of segments and geographies.

	Second Quarter											Six Months
In millions of dollars, except as otherwise noted	2020			2019			% Change		2020			2019			% Change
Net interest revenue	$	6,534		$	6,957		(6)	%	$	13,606		$	13,897		(2)	%
Non-interest revenue	805			1,176			(32)		1,907			2,326			(18)
Total revenues, net of interest expense	$	7,339		$	8,133		(10)	%	$	15,513		$	16,223		(4)	%
Total operating expenses	$	4,013		$	4,471		(10)	%	$	8,381		$	8,887		(6)	%
Net credit losses on loans	$	1,887		$	1,870		1	%	$	3,870		$	3,738		4	%
Credit reserve build (release) for loans	1,960			94			NM		4,789			190			NM
Provision (release) for credit losses on unfunded lending commitments	—			—			—		(1)			(3)			67
Provisions for benefits and claims, HTM debt securities and other assets	38			19			100		58			31			87
Provisions for credit losses and for benefits and claims (PBC)	$	3,885		$	1,983		96	%	$	8,716		$	3,956		NM
Income (loss) from continuing operations before taxes	$	(559)		$	1,679		NM		$	(1,584)		$	3,380		NM
Income taxes (benefits)	(161)			378			NM		(431)			759			NM
Income (loss) from continuing operations	$	(398)		$	1,301		NM		$	(1,153)		$	2,621		NM
Noncontrolling interests	(2)			1			NM		(3)			1			NM
Net income (loss)	$	(396)		$	1,300		NM		$	(1,150)		$	2,620		NM
Balance Sheet data and ratios (in billions of dollars)
EOP assets	$	423		$	390		8	%
Average assets	418			384			9		$	412		$	382		8	%
Return on average assets	(0.38)		%	1.36		%			(0.56)		%	1.38		%
Efficiency ratio	55			55					54			55
Average retail banking deposits	$	301.9		$	275.2		10		$	296.0		$	273.0		8
Net credit losses as a percentage of average loans	2.80		%	2.68		%			2.77		%	2.69		%
Revenue by business
Retail banking	$	2,836		$	3,202		(11)	%	$	5,882		$	6,308		(7)	%
Cards(1)	4,503			4,931			(9)		9,631			9,915			(3)
Total	$	7,339		$	8,133		(10)	%	$	15,513		$	16,223		(4)	%
Income (loss) from continuing operations by business
Retail banking	$	71		$	517		(86)	%	$	191		$	926		(79)	%
Cards(1)	(469)			784			NM		(1,344)			1,695			NM
Total	$	(398)		$	1,301		NM		$	(1,153)		$	2,621		NM

Table continues on the next page, including footnotes.

18

Foreign currency (FX) translation impact
Total revenue—as reported	$	7,339	$	8,133	(10)	%	$	15,513	$	16,223	(4)	%
Impact of FX translation(2)	—		(228)				—		(343)
Total revenues—ex-FX(3)	$	7,339	$	7,905	(7)	%	$	15,513	$	15,880	(2)	%
Total operating expenses—as reported	$	4,013	$	4,471	(10)	%	$	8,381	$	8,887	(6)	%
Impact of FX translation(2)	—		(121)				—		(186)
Total operating expenses—ex-FX(3)	$	4,013	$	4,350	(8)	%	$	8,381	$	8,701	(4)	%
Total provisions for credit losses and PBC—as reported	$	3,885	$	1,983	96	%	$	8,716	$	3,956	NM
Impact of FX translation(2)	—		(57)				—		(83)
Total provisions for credit losses and PBC—ex-FX(3)	$	3,885	$	1,926	NM		$	8,716	$	3,873	NM
Net income—as reported	$	(396)	$	1,300	NM		$	(1,150)	$	2,620	NM
Impact of FX translation(2)	—		(33)				—		(49)
Net income—ex-FX(3)	$	(396)	$	1,267	NM		$	(1,150)	$	2,571	NM

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

(2)Reflects the impact of FX translation into U.S. dollars at the second quarter of 2020 and year-to-date 2020 average exchange rates for all periods presented.

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

Note: For information on the impact of Citi’s January 1, 2020 adoption of the new accounting standard on credit losses (CECL), see Note 1 to the Consolidated Financial Statements.

NM Not meaningful

19

NORTH AMERICA GCB

North America GCB provides traditional retail banking and Citi-branded and Citi retail services card products to retail and small business customers in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (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.

At June 30, 2020, 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 June 30, 2020, North America GCB had $53.1 billion in retail banking loans and $180.5 billion in retail banking deposits. In addition, North America GCB had $128.0 billion in outstanding card loan balances.

	Second Quarter											Six Months
In millions of dollars, except as otherwise noted	2020			2019			% Change		2020			2019			% Change
Net interest revenue	$	4,707		$	4,869		(3)	%	$	9,743		$	9,766		—	%
Non-interest revenue	35			97			(64)		223			200			12
Total revenues, net of interest expense	$	4,742		$	4,966		(5)	%	$	9,966		$	9,966		—	%
Total operating expenses	$	2,346		$	2,621		(10)	%	$	4,882		$	5,193		(6)	%
Net credit losses on loans	$	1,484		$	1,417		5	%	$	3,010		$	2,825		7	%
Credit reserve build for loans	1,499			81			NM		3,861			199			NM
Provision (release) for credit losses on unfunded lending commitments	—			—			—		(1)			(3)			67
Provisions for benefits and claims, HTM debt securities and other assets	19			6			NM		24			12			100
Provisions for credit losses and for benefits and claims	$	3,002		$	1,504		100	%	$	6,894		$	3,033		NM
Income (loss) from continuing operations before taxes	$	(606)		$	841		NM		$	(1,810)		$	1,740		NM
Income taxes (benefits)	(147)			178			NM		(441)			370			NM
Income (loss) from continuing operations	$	(459)		$	663		NM		$	(1,369)		$	1,370		NM
Noncontrolling interests	—			—			—	%	—			—			—	%
Net income (loss)	$	(459)		$	663		NM		$	(1,369)		$	1,370		NM
Balance Sheet data and ratios (in billions of dollars)
Average assets	$	264		$	229		15	%	$	255		$	228		12	%
Return on average assets	(0.70)		%	1.16		%			(1.08)		%	1.21		%
Efficiency ratio	49			53					49			52
Average retail banking deposits	$	172.5		$	151.6		14		$	166.9		$	150.6		11
Net credit losses as a percentage of average loans	3.30		%	3.07		%			3.23		%	3.07		%
Revenue by business
Retail banking	$	1,122		$	1,159		(3)	%	$	2,252		$	2,290		(2)	%
Citi-branded cards	2,218			2,197			1		4,565			4,392			4
Citi retail services	1,402			1,610			(13)		3,149			3,284			(4)
Total	$	4,742		$	4,966		(5)	%	$	9,966		$	9,966		—	%
Income (loss) from continuing operations by business
Retail banking	$	(82)		$	56		NM		$	(155)		$	77		NM
Citi-branded cards	(381)			364			NM		(910)			746			NM
Citi retail services	4			243			(98)	%	(304)			547			NM
Total	$	(459)		$	663		NM		$	(1,369)		$	1,370		NM

NM Not meaningful

20

2Q20 vs. 2Q19

Net loss was $459 million in the second quarter of 2020, compared to Net income of $663 million in the prior-year period, reflecting significantly higher cost of credit and lower revenues, partially offset by lower expenses.

Revenues decreased 5%, as growth in Citi-branded cards was more than offset by lower revenues in both Citi retail services and retail banking, primarily reflecting the impact of the COVID-19 pandemic..

Retail banking revenues decreased 3%, as the benefit of stronger deposit volumes and improvement in mortgage revenues were more than offset by lower deposit spreads, reflecting lower interest rates. Average deposits increased 14%, driven by a combination of factors including the delay of tax payments, government stimulus payments and a reduction in overall consumer spending related to the pandemic, as well as continued strategic efforts to drive organic growth.

Cards revenues decreased 5%. Citi-branded cards revenues increased 1%, as lower purchase sales and lower average loans were more than offset by a favorable mix shift toward interest-earning balances, which supported net interest revenues. Average loans decreased 7% and purchase sales decreased 21%, reflecting the impact of the pandemic on customer behavior.

Citi retail services revenues decreased 13%, primarily reflecting lower average loans and higher contractual partner payments. Average loans were down 6% and purchase sales declined 25%, reflecting the impact of the pandemic on customer behavior and partner store closures.

Expenses decreased 10%, as efficiency savings and reductions in marketing and other discretionary expenses as well as lower volume-related costs more than offset incremental pandemic-related expenses.

Provisions of $3.0 billion increased $1.5 billion from the prior-year period, driven by a higher allowance for credit loss (ACL) build as well as higher net credit losses. Net credit losses increased 5%, primarily driven by higher net credit losses in Citi-branded cards (up 10% to $795 million), reflecting seasoning in the portfolio, while Citi retail services net credit losses were largely unchanged. The ACL build in the second quarter was $1.5 billion, reflecting a deterioration in Citi’s macroeconomic outlook, primarily driven by the pandemic, on estimated lifetime credit losses under CECL (compared to a build of $81 million in the prior-year period under prior accounting standards), partially offset by the impact of a change in accounting for third-party collection fees (see “Significant Accounting Policies and Significant Estimates” below).

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

For additional information on CECL, see “Significant Accounting Policies and Significant Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.

For additional information about trends, uncertainties and risks related to the pandemic, see “COVID-19 Pandemic Overview” and “Risk Factors” above.

2020 YTD vs. 2019 YTD

Year-to-date, North America GCB experienced similar trends to those described above. Net loss was $1.4 billion, compared to Net income of $1.4 billion in the prior-year period, as significantly higher cost of credit was partially offset by lower expenses.

Revenues were largely unchanged, as higher revenues in Citi-branded cards were offset by lower revenues in both Citi retail services and retail banking. Retail banking revenues decreased 2%, driven by the same factors described above. Cards revenues were largely unchanged. In Citi-branded cards, revenues increased 4%, driven by the same factors described above. Citi retail services revenues decreased 4%, driven by the same factors described above.

Expenses decreased 6%, driven by the same factors described above.

Provisions of $6.9 billion increased $3.9 billion from the prior-year period, driven by the same factors described above.

21

LATIN AMERICA GCB

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

At June 30, 2020, Latin America GCB had 1,406 retail branches in Mexico, with $9.0 billion in retail banking loans and $21.5 billion in deposits. In addition, the business had $4.2 billion in outstanding card loan balances.

	Second Quarter											Six Months					% Change
In millions of dollars, except as otherwise noted	2020			2019			% Change		2020			2019
Net interest revenue	$	755		$	918		(18)	%	$	1,642		$	1,795		(9)	%
Non-interest revenue	295			402			(27)		607			797			(24)
Total revenues, net of interest expense	$	1,050		$	1,320		(20)	%	$	2,249		$	2,592		(13)	%
Total operating expenses	$	604		$	704		(14)	%	$	1,303		$	1,377		(5)	%
Net credit losses on loans	$	209		$	279		(25)	%	$	486		$	575		(15)	%
Credit reserve build (release) for loans	202			3			NM		467			1			NM
Provision for credit losses on unfunded lending commitments	—			—			—		—			—			—
Provisions for benefits and claims, HTM debt securities and other assets	16			13			23		31			19			63
Provisions for credit losses and for benefits and claims (PBC)	$	427		$	295		45	%	$	984		$	595		65	%
Income (loss) from continuing operations before taxes	$	19		$	321		(94)	%	$	(38)		$	620		NM
Income taxes (benefits)	1			87			(99)		(20)			170			NM
Income (loss) from continuing operations	$	18		$	234		(92)	%	$	(18)		$	450		NM
Net income (loss)	$	18		$	234		(92)	%	$	(18)		$	450		NM
Balance Sheet data and ratios (in billions of dollars)
Average assets	$	30		$	34		(12)	%	$	33		$	34		(3)	%
Return on average assets	0.24		%	2.76		%			(0.11)		%	2.67		%
Efficiency ratio	58			53					58			53
Average deposits	$	20.6		$	22.8		(10)		$	21.8		$	22.8		(4)
Net credit losses as a percentage of average loans	6.27		%	6.54		%			6.47		%	6.74		%
Revenue by business
Retail banking	$	705		$	903		(22)	%	$	1,488		$	1,802		(17)	%
Citi-branded cards	345			417			(17)		761			790			(4)
Total	$	1,050		$	1,320		(20)	%	$	2,249		$	2,592		(13)	%
Income (loss) from continuing operations by business
Retail banking	$	(2)		$	164		NM		$	(25)		$	325		NM
Citi-branded cards	20			70			(71)	%	7			125			(94)	%
Total	$	18		$	234		(92)	%	$	(18)		$	450		NM
FX translation impact
Total revenues—as reported	$	1,050		$	1,320		(20)	%	$	2,249		$	2,592		(13)	%
Impact of FX translation(1)	—			(193)					—			(266)
Total revenues—ex-FX(2)	$	1,050		$	1,127		(7)	%	$	2,249		$	2,326		(3)	%
Total operating expenses—as reported	$	604		$	704		(14)	%	$	1,303		$	1,377		(5)	%
Impact of FX translation(1)	—			(97)					—			(132)
Total operating expenses—ex-FX(2)	$	604		$	607		—	%	$	1,303		$	1,245		5	%
Provisions for credit losses and PBC—as reported	$	427		$	295		45	%	$	984		$	595		65	%
Impact of FX translation(1)	—			(52)					—			(70)
Provisions for credit losses and PBC—ex-FX(2)	$	427		$	243		76	%	$	984		$	525		87	%
Net income (loss)—as reported	$	18		$	234		(92)	%	$	(18)		$	450		NM
Impact of FX translation(1)	—			(31)					—			(44)
Net income (loss)—ex-FX(2)	$	18		$	203		(91)	%	$	(18)		$	406		NM

(1)Reflects the impact of FX translation into U.S. dollars at the second quarter of 2020 and year-to-date 2020 average exchange rates for all periods presented.

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

NM Not meaningful

22

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.

2Q20 vs. 2Q19

Net income decreased 91%, reflecting significantly higher cost of credit and lower revenues, while expenses were largely unchanged.

Revenues decreased 7%, reflecting lower retail banking and cards revenues, largely reflecting the impact of the pandemic.

Retail banking revenues decreased 8%, driven by a decline in loan volumes and lower deposit spreads, partially offset by deposit growth. Average deposits were up 9%, while average loans decreased 4% reflecting the ongoing slowdown in overall economic growth and industry volumes in Mexico, in addition to the impact of the pandemic.

Cards revenues decreased 4%, primarily driven by lower purchase sales (down 34%) and lower average loans (down 7%), reflecting the impact of the pandemic on customer behavior.

Expenses were largely unchanged, as efficiency savings were offset by ongoing investment spending and episodic items.

Provisions of $427 million increased $184 million from the prior-year period, driven by a higher allowance for credit loss (ACL) build, partially offset by lower net credit losses. Net credit losses decreased 11%, primarily driven by lower average loans. The ACL build in the second quarter was $202 million, reflecting a deterioration in Citi’s macroeconomic outlook, primarily driven by the pandemic, on estimated lifetime credit losses under CECL (compared to no build in the prior-year period under prior accounting standards).

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

For additional information on CECL, see “Significant Accounting Policies and Significant Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.

For additional information about trends, uncertainties and risks related to the pandemic, see “COVID-19 Pandemic Overview” and “Risk Factors” above.

2020 YTD vs. 2019 YTD

Net loss was $18 million, compared to Net income of $406 million in the prior-year period, reflecting significantly higher cost of credit, lower revenues and higher expenses.

Revenues decreased 3%. Excluding the impact of a residual gain (approximately $30 million) in the prior-year period on the sale of an asset management business, revenues decreased 2%, as lower revenues in retail banking were partially offset by higher cards revenues. Retail banking revenues decreased 6% (excluding the gain on sale in the prior-year period), driven by the same factors described above. Cards revenues increased 7%, primarily driven by improved spreads.

Expenses increased 5%, as ongoing investment spending and episodic items were partially offset by efficiency savings.

Provisions of $984 million increased 87% from the prior-year period, driven by the same factors described above.

23

ASIA GCB

Asia GCB provides traditional retail banking and Citi-branded card products to retail and small business customers. During the second quarter of 2020, Asia GCB’s most significant revenues in Asia were from Hong Kong, Singapore, South Korea, Taiwan, Australia, India, Philippines, Thailand, Indonesia and China. Included within Asia GCB, traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily the United Arab Emirates, Russia and Poland.

At June 30, 2020, on a combined basis, the businesses had 234 retail branches, $61.5 billion in retail banking loans and $112.5 billion in deposits. In addition, the businesses had $16.8 billion in outstanding card loan balances.

	Second Quarter											Six Months					% Change
In millions of dollars, except as otherwise noted(1)	2020			2019			% Change		2020			2019
Net interest revenue	$	1,072		$	1,170		(8)	%	$	2,221		$	2,336		(5)	%
Non-interest revenue	475			677			(30)		1,077			1,329			(19)
Total revenues, net of interest expense	$	1,547		$	1,847		(16)	%	$	3,298		$	3,665		(10)	%
Total operating expenses	$	1,063		$	1,146		(7)	%	$	2,196		$	2,317		(5)	%
Net credit losses on loans	$	194		$	174		11	%	$	374		$	338		11	%
Credit reserve build (release) for loans	259			10			NM		461			(10)			NM
Provisions for HTM debt securities and other assets	3			—			—		3			—			—
Provisions for credit losses	$	456		$	184		NM		$	838		$	328		NM
Income from continuing operations before taxes	$	28		$	517		(95)	%	$	264		$	1,020		(74)	%
Income taxes	(15)			113			NM		30			219			(86)
Income from continuing operations	$	43		$	404		(89)	%	$	234		$	801		(71)	%
Noncontrolling interests	(2)			1			NM		(3)			1			NM
Net income	$	45		$	403		(89)	%	$	237		$	800		(70)	%
Balance Sheet data and ratios (in billions of dollars)
Average assets	$	124		$	121		2	%	$	125		$	121		3	%
Return on average assets	0.15		%	1.34		%			0.38		%	1.33		%
Efficiency ratio	69			62					67			63
Average deposits	$	108.8		$	100.8		8		$	107.4		$	100.1		7
Net credit losses as a percentage of average loans	1.01		%	0.90		%			0.96		%	0.88		%
Revenue by business
Retail banking	$	1,009		$	1,140		(11)	%	$	2,142		$	2,216		(3)	%
Citi-branded cards	538			707			(24)		1,156			1,449			(20)
Total	$	1,547		$	1,847		(16)	%	$	3,298		$	3,665		(10)	%
Income from continuing operations by business
Retail banking	$	155		$	297		(48)	%	$	371		$	524		(29)	%
Citi-branded cards	(112)			107			NM		(137)			277			NM
Total	$	43		$	404		(89)	%	$	234		$	801		(71)	%
FX translation impact
Total revenues—as reported	$	1,547		$	1,847		(16)	%	$	3,298		$	3,665		(10)	%
Impact of FX translation(2)	—			(35)					—			(77)
Total revenues—ex-FX(3)	$	1,547		$	1,812		(15)	%	$	3,298		$	3,588		(8)	%
Total operating expenses—as reported	$	1,063		$	1,146		(7)	%	$	2,196		$	2,317		(5)	%
Impact of FX translation(2)	—			(24)					—			(54)
Total operating expenses—ex-FX(3)	$	1,063		$	1,122		(5)	%	$	2,196		$	2,263		(3)	%
Provisions for credit losses—as reported	$	456		$	184		NM		$	838		$	328		NM
Impact of FX translation(2)	—			(5)					—			(13)
Provisions for credit losses—ex-FX(3)	$	456		$	179		NM		$	838		$	315		NM
Net income—as reported	$	45		$	403		(89)	%	$	237		$	800		(70)	%
Impact of FX translation(2)	—			(2)					—			(5)
Net income—ex-FX(3)	$	45		$	401		(89)	%	$	237		$	795		(70)	%

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

24

(2) Reflects the impact of FX translation into U.S. dollars at the second quarter of 2020 and year-to-date 2020 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.

2Q20 vs. 2Q19

Net income decreased 89%, reflecting significantly higher cost of credit and lower revenues, partially offset by lower expenses.

Revenues decreased 15%, reflecting lower cards and retail banking revenues, largely reflecting the impact of the pandemic.

Retail banking revenues decreased 10%, primarily driven by lower deposit spreads due to spread compression and lower insurance revenues, as well as a small one-time gain in the prior-year period, partially offset by stronger deposit volumes and higher retail lending revenue. Average deposits increased 10% and average loans increased 5%. Assets under management declined 4%, reflecting the impact of market movements, while investment sales increased 18%. Retail lending revenues increased 8%, reflecting growth in both personal loans and mortgages.

Cards revenues decreased 22%, primarily driven by lower purchase sales (down 29%) and lower average loans (down 9%), reflecting the impact of the pandemic on customer behavior, specifically from lower travel spend in the region, given Citi’s skew to an affluent client base and a greater proportion of fee revenues coming from travel-related interchange and foreign transaction fees.

Expenses decreased 5%, as efficiency savings, lower marketing and other discretionary expenses and lower volume-related costs more than offset ongoing investment spending.

Provisions of $456 million increased $277 million from the prior-year period, driven by a higher allowance for credit losses (ACL) build as well as higher net credit losses. Net credit losses increased 15%, as lockdowns and the deterioration in the macro-environment impacted credit performance. The ACL build in the second quarter was $259 million, reflecting a deterioration in Citi’s macroeconomic outlook, primarily driven by the pandemic, on estimated lifetime credit losses under CECL (compared to a build of $9 million in the prior-year period under prior accounting standards).

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

For additional information on CECL, see “Significant Accounting Policies and Significant Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.

For additional information about trends, uncertainties and risks related to the pandemic, see “COVID-19 Pandemic Overview” and “Risk Factors” above.

2020 YTD vs. 2019 YTD

Year-to-date, Asia GCB experienced similar trends to those described above. Net income decreased 70%, driven by the same factors described above.

Revenues decreased 8%, driven by a decline in both retail banking and cards revenues. Retail banking revenues decreased 1%, as growth in deposits and higher fees on investments and foreign currency transactions due to higher volumes and volatility were more than offset by lower deposit spreads, insurance revenues and the one-time gain in the prior-year period. Cards revenues decreased 18%, driven by the same factors described above, as well as a small one-time gain in the prior-year period.

Expenses decreased 3%, driven by the same factors described above.

Provisions of $838 million increased $523 million from the prior-year period, driven by the same factors described above.

25

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 2019 Annual Report on Form 10-K.

ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 97 countries and jurisdictions. At June 30, 2020, ICG had $1.7 trillion in assets and $908 billion in deposits, while two of its businesses—securities services and issuer services—managed $20.4 trillion in assets under custody compared to $20.3 trillion at December 31, 2019 and $18.7 trillion at March 31, 2020.

	Second Quarter											Six Months					% Change
In millions of dollars, except as otherwise noted	2020			2019			% Change		2020			2019
Commissions and fees	$	1,027		$	1,079		(5)	%	$	2,249		$	2,233		1	%
Administration and other fiduciary fees	684			709			(4)		1,375			1,392			(1)
Investment banking	1,526			1,101			39		2,757			2,214			25
Principal transactions	3,909			1,936			NM		9,268			4,574			NM
Other(1)	419			721			(42)		305			1,001			(70)
Total non-interest revenue	$	7,565		$	5,546		36	%	$	15,954		$	11,414		40	%
Net interest revenue (including dividends)	4,572			4,509			1		8,667			8,659			—
Total revenues, net of interest expense	$	12,137		$	10,055		21	%	$	24,621		$	20,073		23	%
Total operating expenses	$	5,933		$	5,548		7	%	$	11,743		$	11,167		5	%
Net credit losses on loans	$	324		$	91		NM		$	451		$	169		NM
Credit reserve build (release) for loans	3,370			52			NM		4,686			(22)			NM
Provision for credit losses on unfunded lending commitments	107			(11)			NM		660			17			NM
Provisions for credit losses for HTM debt securities and other assets	53			—			NM		61			—			NM
Provisions for credit losses	$	3,854		$	132		NM		$	5,858		$	164		NM
Income from continuing operations before taxes	$	2,350		$	4,375		(46)	%	$	7,020		$	8,742		(20)	%
Income taxes	470			950			(51)		1,514			1,905			(21)
Income from continuing operations	$	1,880		$	3,425		(45)	%	$	5,506		$	6,837		(19)	%
Noncontrolling interests	5			10			(50)		4			21			(81)
Net income	$	1,875		$	3,415		(45)	%	$	5,502		$	6,816		(19)	%
Balance Sheet data and ratios (in billions of dollars)
EOP assets (in billions of dollars)	$	1,716		$	1,501		14	%
Average assets (in billions of dollars)	1,756			1,497			17		$	1,668		$	1,479		13	%
Return on average assets	0.43		%	0.91		%			0.66		%	0.93		%
Efficiency ratio	49			55					48			56
Revenues by region
North America	$	4,987		$	3,632		37	%	$	9,934		$	6,901		44	%
EMEA	3,392			2,960			15		6,862			6,130			12
Latin America	1,207			1,307			(8)		2,625			2,575			2
Asia	2,551			2,156			18		5,200			4,467			16
Total	$	12,137		$	10,055		21	%	$	24,621		$	20,073		23	%
Income from continuing operations by region
North America	$	660		$	1,050		(37)	%	$	1,556		$	1,798		(13)	%
EMEA	493			1,005			(51)		1,528			2,130			(28)
Latin America	(194)			519			NM		332			1,059			(69)
Asia	921			851			8		2,090			1,850			13
Total	$	1,880		$	3,425		(45)	%	$	5,506		$	6,837		(19)	%

26

Average loans by region (in billions of dollars)
North America	$	215	$	188	14	%	$	205	$	185	11	%
EMEA	91		85		7		90		85		6
Latin America	43		41		5		41		42		(2)
Asia	73		73		—		73		74		(1)
Total	$	422	$	387	9	%	$	409	$	386	6	%
EOP deposits by business (in billions of dollars)
Treasury and trade solutions	$	658	$	525	25	%
All other ICG businesses	250		227		10
Total	$	908	$	752	21	%

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

NM Not meaningful

ICG Revenue Details

	Second Quarter								Six Months				% Change
In millions of dollars	2020		2019		% Change		2020		2019
Investment banking revenue details
Advisory	$	229	$	232	(1)	%	$	615	$	610	1	%
Equity underwriting	491		314		56		671		486		38
Debt underwriting	1,039		737		41		1,827		1,541		19
Total investment banking	$	1,759	$	1,283	37	%	$	3,113	$	2,637	18	%
Treasury and trade solutions	2,307		2,587		(11)		4,730		5,126		(8)
Corporate lending—excluding gains (losses) on loan hedges(1)	646		725		(11)		1,094		1,474		(26)
Private bank—excluding gains (losses) on loan hedges(1)	956		866		10		1,905		1,746		9
Total Banking revenues (ex-gains (losses) on loan hedges)	$	5,668	$	5,461	4	%	$	10,842	$	10,983	(1)	%
Gains (losses) on loan hedges(1)	$	(431)	$	(75)	NM		$	385	$	(306)	NM
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense	$	5,237	$	5,386	(3)	%	$	11,227	$	10,677	5	%
Fixed income markets(2)	$	5,595	$	3,323	68	%	$	10,381	$	6,775	53	%
Equity markets	770		790		(3)		1,939		1,632		19
Securities services	619		682		(9)		1,264		1,320		(4)
Other	(84)		(126)		33		(190)		(331)		43
Total Markets and securities services revenues, net of interest expense	$	6,900	$	4,669	48	%	$	13,394	$	9,396	43	%
Total revenues, net of interest expense	$	12,137	$	10,055	21	%	$	24,621	$	20,073	23	%
Commissions and fees	$	154	$	198	(22)	%	$	343	$	372	(8)	%
Principal transactions(3)	4,009		1,870		NM		7,558		4,247		78
Other(2)	234		533		(56)		171		683		(75)
Total non-interest revenue	$	4,397	$	2,601	69	%	$	8,072	$	5,302	52	%
Net interest revenue	1,198		722		66		2,309		1,473		57
Total fixed income markets(4)	$	5,595	$	3,323	68	%	$	10,381	$	6,775	53	%
Rates and currencies	$	3,582	$	2,118	69	%	$	7,616	$	4,520	68	%
Spread products/other fixed income	2,013		1,205		67		2,765		2,255		23
Total fixed income markets	$	5,595	$	3,323	68	%	$	10,381	$	6,775	53	%
Commissions and fees	$	305	$	274	11	%	$	667	$	567	18	%
Principal transactions(3)	193		7		NM		967		403		NM
Other	2		10		(80)		10		17		(41)
Total non-interest revenue	$	500	$	291	72	%	$	1,644	$	987	67	%
Net interest revenue	270		499		(46)		295		645		(54)
Total equity markets(4)	$	770	$	790	(3)	%	$	1,939	$	1,632	19	%

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(1) Credit derivatives are used to economically hedge a portion of the private bank and corporate loan portfolio that includes both accrual loans and loans at fair value. Gains (losses) on loan hedges include the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium costs of these hedges are netted against the private bank and corporate lending revenues to reflect the cost of credit protection. Gains (losses) on loan hedges include $(414) million and $340 million related to the corporate loan portfolio and $(17) million and $45 million related to the private bank for the three and six months ended June 30, 2020, respectively. All of Gains (losses) on loan hedges are related to corporate loan portfolio for the three and six months ended June 30, 2019, respectively. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.

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

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

(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.

2Q20 vs. 2Q19

Net income decreased 45%, as significantly higher cost of credit and higher expenses were partially offset by higher revenues.

Revenues were up 21%, reflecting higher Markets and securities services revenues (increase of 48%), partially offset by lower Banking revenues (decline of 3% including the impact of losses on loan hedges). Excluding the impact of losses on loan hedges, Banking revenues were up 4%, driven by higher revenues in investment banking and the private bank, partially offset by lower revenues in treasury and trade solutions and corporate lending. Excluding the pretax gain of approximately $350 million on Citi’s investment in Tradeweb in the prior-year period, Markets and securities services revenues were up 60%, reflecting significantly higher revenues in fixed income markets, driven by increased client activity due to higher market volatility, primarily related to the impact of the COVID-19 pandemic, partially offset by lower revenues in equity markets and securities services.

Within Banking:

•Investment banking revenues were up 37%, as growth in debt and equity underwriting revenues was partially offset by modestly lower advisory revenues. The increase in revenues outperformed the overall growth in the market wallet. Advisory revenues decreased 1%, largely reflecting a decline in the market wallet. Equity underwriting revenues increased 56%, reflecting particular strength in North America and Asia, driven by an increase in the market wallet as well as share gains. Debt underwriting revenues increased 41%, with strength across all regions. The increase was driven by an increase in market wallet as well as share gains, including a 131% increase in investment-grade debt underwriting, as the business continued to assist clients with sourcing liquidity in the evolving environment.

•Treasury and trade solutions revenues decreased 11%. Excluding the impact of FX translation, revenues decreased 7%, reflecting a decline in both the cash and trade businesses. The decline in revenues in the cash business reflected the continued impact of lower interest rates and a slowdown in commercial cards spend driven by the impact of the pandemic, partially offset by strong deposit volumes. Average deposit balances increased 28% (30% excluding the impact of FX translation), reflecting strong client engagement and solid growth across all regions. In trade, revenues were impacted by a decline in

trade fees, reflecting an overall economic slowdown related to the pandemic, partially offset by improved trade spreads.

•Corporate lending revenues decreased $418 million to $232 million, reflecting higher losses on loan hedges, as credit spreads tightened during the quarter. Excluding the impact of losses on loan hedges, revenues decreased 11%, as lower loan spreads more than offset the impact of higher loan volumes, as the business assisted clients with sourcing liquidity in the evolving environment.

•Private bank revenues increased 8%. Excluding the impact of losses on loan hedges, revenues increased 10%, reflecting continued strength across all regions. The increase reflected strong client activity, which drove higher capital markets revenues and higher loan and deposit volumes, partially offset by lower deposit spreads due to the lower interest rate environment.

Within Markets and securities services:

•Fixed income markets revenues increased 68%. Excluding the Tradeweb gain in the prior-year period, revenues increased 89%, reflecting higher revenues across all regions, as well as strong performance across both rates and currencies and spread products, due to the impact of market conditions, including elevated volatility, related to the pandemic. Non-interest revenues increased, reflecting higher corporate and investor client activity, as volatility, volumes and spreads remained elevated, particularly in rates and currencies and commodities. Net interest revenues also increased, reflecting lower funding costs as well as a change in the mix of trading positions in support of client activity.

Rates and currencies revenues increased 69%, primarily driven by higher G10 rates revenues, as Citi assisted corporate and investor clients in repositioning their portfolios in a challenging market environment related to the impact of the pandemic, including elevated levels of volatility. Spread products and other fixed income revenues increased 67%. The increase was driven by higher revenues in commodities, reflecting increased volatility related to the impact of the pandemic, higher revenues in flow trading, reflecting higher client demand, and a more favorable market making environment, as evidenced by spread tightening. The increase was partially offset by lower securitization revenues, reflecting a more challenging environment.

•Equity markets revenues decreased 3%, as higher cash equities revenues across all regions were more than offset

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by lower equity derivatives and prime finance revenues. The decline in equity derivatives revenues reflected a more challenging environment, as volatility declined, particularly in EMEA. The decline was partially offset by strong client activity, as clients continued to rebalance and hedge positions. The decline in prime finance revenues primarily reflected lower financing balances, particularly in North America and EMEA.

•Securities services revenues decreased 9%. Excluding the impact of FX translation, revenues decreased 5%, as higher deposit volumes were more than offset by lower deposit spreads as interest rates declined.

For additional information on trends in ICG’s deposit and trade loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.

Expenses were up 7%, reflecting higher compensation costs, continued investments and volume-driven growth, partially offset by efficiency savings.

Provisions increased to $3.9 billion, primarily reflecting a higher ACL build as well as higher net credit losses. Net credit losses were $324 million, compared to $91 million in the prior-year period, largely driven by write-offs across various sectors in both North America and EMEA, primarily reflecting smaller-sized energy and energy-related exposures.

The ACL build was $3.5 billion, compared to $41 million in the prior-year period under prior accounting standards. The increase reflected the impact of a deterioration in the macroeconomic outlook under the CECL standard, driven by the impact of the pandemic across multiple sectors, as well as downgrades in the portfolio. Sectors significantly impacted by the pandemic (including energy and energy-related, aviation, consumer retail, commercial real estate and autos) drove approximately half of the ACL reserve build during the quarter. The ACL build also included an increase in the qualitative management adjustment component of the reserve to reflect the potential for a higher level of stress and/or somewhat slower economic recovery. This management adjustment complements the primary forward-looking macroeconomic scenario used to estimate the credit reserve requirement.

As of June 30, 2020, reserves held on Citi’s balance sheet represented 1.71% of funded loans, compared to 0.80% as of March 31, 2020, including 4.9% of reserves held against the non-investment grade portion, compared to 2.1% as of March 31, 2020.

For additional information on ICG’s corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.

For additional information on CECL, see “Significant Accounting Policies and Significant Estimates” below, and Notes 1, 13 and 14 to the Consolidated Financial Statements.

For additional information about trends, uncertainties and risks related to the pandemic, see “COVID-19 Pandemic Overview” and “Risk Factors” above.

2020 YTD vs. 2019 YTD

Net income decreased 19%, as significantly higher cost of credit and higher expenses were partially offset by higher revenues.

Revenues were up 23%, driven by a 43% increase in Markets and securities services as well as a 5% increase in Banking revenues (including the impact of gains (losses) on loan hedges). Excluding the impact of gains (losses) on loan hedges, Banking revenues declined 1%, as growth in investment banking and the private bank was more than offset by a decrease in treasury and trade solutions and corporate lending. Excluding the Tradeweb gain in the prior-year period, Markets and securities services revenues increased 48%, primarily driven by growth in both fixed income markets and equity markets revenues, partially offset by a decline in securities services.

Within Banking:

•Investment banking revenues increased 18%. Advisory revenues increased 1%, reflecting gains in wallet share despite a decline in the overall market wallet. Equity underwriting revenues increased 38%, primarily reflecting growth in the market wallet. Debt underwriting revenues increased 19%, reflecting market wallet growth and gains in share.

•Treasury and trade solutions revenues decreased 8%. Excluding the impact of FX translation, revenues decreased 5%, reflecting lower revenues in both cash and trade, driven by the same factors described above.

•Corporate lending revenues increased 23%, reflecting gains on loan hedges as credit spreads widened. Excluding the impact of gains (losses) on loan hedges, revenues decreased 26%, primarily driven by an adjustment to the residual value of a lease financing asset and lower loan spreads, partially offset by higher loan volumes.

•Private bank revenues increased 12%. Excluding the impact of gains on loan hedges in the current period, revenues increased 9%, reflecting strength across all regions, driven by the same factors described above.

Within Markets and securities services:

•Fixed income markets revenues increased 53%, primarily reflecting higher revenues in North America, Asia and EMEA. Rates and currencies revenues increased 68%, driven by the same factors described above. Spread products and other fixed income revenues increased 23%, driven by the same factors described above.

•Equity markets revenues increased 19%, driven by higher revenues in North America and Asia, reflecting higher revenues in both cash equities and equity derivatives revenues, partially offset by lower revenues in prime finance.

•Securities services revenues declined 4%. Excluding the impact of FX translation, revenues were largely unchanged, as higher client activity and deposit volumes were offset by lower interest revenues as interest rates declined.

29

Expenses were up 5%, reflecting higher compensation costs, continued investments and volume-driven growth, partially offset by efficiency savings.

Provisions increased to $5.9 billion, driven by net credit losses of $451 million, compared to $169 million in the prior-year period, and an ACL build of $5.4 billion compared to a minimal release in the prior-year period. The increase in net credit losses was driven by the same factors described above.

The increase in the ACL build primarily reflected the impact of deterioration in the macroeconomic outlook, driven by the pandemic across multiple sectors under the CECL standard, as well as downgrades in the portfolio and the qualitative management adjustment.

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CORPORATE/OTHER

Corporate/Other includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as Corporate Treasury, certain North America legacy consumer loan portfolios, other legacy assets and discontinued operations (for additional information on Corporate/Other, see “Citigroup Segments” above). At June 30, 2020, Corporate/Other had $94 billion in assets.

	Second Quarter								Six Months				% Change
In millions of dollars	2020		2019		% Change		2020		2019
Net interest revenue	$	(26)	$	484	NM		$	299	$	1,153	(74)	%
Non-interest revenue	316		86		NM		64		(115)		NM
Total revenues, net of interest expense	$	290	$	570	(49)	%	$	363	$	1,038	(65)	%
Total operating expenses	$	469	$	481	(2)	%	$	885	$	1,030	(14)	%
Net credit losses (recoveries) on loans	$	(5)	$	2	NM		$	(7)	$	4	NM
Credit reserve build (release) for loans	160		(20)		NM		351		(46)		NM
Provision (release) for credit losses on unfunded lending commitments	6		(4)		NM		11		(5)		NM
Provisions for benefits and claims, HTM debt securities and other assets	3		—		NM		1		—		100	%
Provisions (release) for credit losses and for benefits and claims	$	164	$	(22)	NM		$	356	$	(47)	NM
Income (loss) from continuing operations before taxes	$	(343)	$	111	NM		$	(878)	$	55	NM
Income taxes (benefits)	(178)		45		NM		(376)		(16)		NM
Income (loss) from continuing operations	$	(165)	$	66	NM		$	(502)	$	71	NM
Income (loss) from discontinued operations, net of taxes	(1)		17		NM		(19)		15		NM
Net income (loss) before attribution of noncontrolling interests	$	(166)	$	83	NM		$	(521)	$	86	NM
Noncontrolling interests	(3)		(1)		NM		(7)		13		NM
Net income (loss)	$	(163)	$	84	NM		$	(514)	$	73	NM

NM Not meaningful

2Q20 vs. 2Q19

Net loss was $163 million, compared to Net income of $84 million in the prior-year period, largely driven by lower revenues and significantly higher cost of credit, partially offset by lower expenses and income tax benefits.

Revenues decreased 49%, reflecting the wind-down of legacy assets and the impact of lower interest rates, partially offset by AFS investment securities gains, as well as positive marks on legacy securities, as spreads tightened during the quarter.

Expenses decreased 2%, primarily reflecting the wind-down of legacy assets, partially offset by higher infrastructure costs as well as incremental costs associated with the pandemic.

Provisions of $164 million increased $186 million, primarily driven by an ACL build on legacy assets (versus a release in the prior-year period under prior accounting standards). The ACL build reflected a deterioration in the macroeconomic outlook, primarily driven by the pandemic, on estimated lifetime credit losses under the CECL standard.

For additional information on CECL, see “Significant Accounting Policies and Significant Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.

2020 YTD vs. 2019 YTD

Net loss was $514 million, compared to Net income of $73 million in the prior-year period, largely reflecting lower revenues and significantly higher cost of credit, partially offset by lower expenses and a lower tax rate (see “Significant Accounting Policies and Significant Estimates—Income Taxes” below).

Revenues decreased 65%, reflecting the wind-down of legacy assets and the impact of lower interest rates, partially offset by AFS gains.

Expenses decreased 14%, driven by the same factors described above.

Provisions of $356 million increased $403 million (versus a release in the prior-year period), driven by the same factors described above.

31

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 2019 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.

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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 2019 Annual Report on Form 10-K.

During the second quarter of 2020, Citi returned a total of $1.1 billion of capital to common shareholders in the form of common share dividends. As discussed above, on March 15, 2020, Citi announced it had joined other major U.S. banks in suspending stock repurchases to support clients in light of the COVID-19 pandemic. For additional information, see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends—Equity Security Repurchases” below.

Common Equity Tier 1 Capital Ratio

Citi’s reportable Common Equity Tier 1 Capital ratio was 11.6% as of June 30, 2020, compared to 11.2% as of March 31, 2020, both under the Basel III Advanced Approaches framework. Citi’s reportable Common Equity Tier 1 Capital ratio was 11.8% under the Basel III Standardized Approach as of December 31, 2019. Citi’s Common Equity Tier 1 Capital ratio increased from March 31, 2020, largely driven by lower credit risk-weighted assets, beneficial net movements in Accumulated other comprehensive income (AOCI), net income of $1.3 billion and the relief provided by the modified CECL transition provision for the quarter, partially offset by the return of $1.1 billion of capital to common shareholders.

Citi’s Common Equity Tier 1 Capital ratio declined from year-end 2019, primarily due to a net increase in risk-weighted assets, the return of $5.1 billion of capital to common shareholders, partially offset by year-to-date net income of $3.8 billion and the relief of the modified CECL transition provision.

Regulatory Capital Relief Resulting from the COVID-19 Pandemic

The U.S. banking agencies issued several interim final rules during the second quarter of 2020 to revise the current regulatory capital standards applicable to Citi, in light of the pandemic. For additional information regarding interim final rules issued during the first quarter of 2020, see “Capital Resources” in Citi’s First Quarter of 2020 Form 10-Q.

Temporary Supplementary Leverage Ratio Relief

In April 2020, the Federal Reserve Board issued an interim final rule that temporarily changes the calculation of the Supplementary Leverage ratio for bank holding companies, including Citigroup, by excluding U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure. Repo-style transactions on U.S. Treasuries are not in scope for this relief. The Supplementary Leverage ratio is a non-risk-sensitive measure, and the temporary exclusion allows banking organizations to expand their balance sheet, as appropriate, to continue to serve as financial intermediaries and to provide credit to households and businesses during the pandemic. The interim final rule is effective for Citigroup’s

Supplementary Leverage ratio, as well as for Citigroup’s leverage-based Total Loss Absorbing Capacity (TLAC) and Long-Term Debt (LTD) requirements, beginning with the quarter ended June 30, 2020, and will continue through March 31, 2021. Citigroup’s reported Supplementary Leverage ratio of 6.66% benefited 94 basis points during the second quarter of 2020 as a result of the temporary relief. Excluding the temporary relief, Citigroup’s Supplementary Leverage ratio would have been 5.72%, compared with a 5.0% effective minimum requirement.

In June 2020, the U.S. banking agencies issued an interim final rule that permits depository institutions, including Citibank, to elect to temporarily exclude U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure, subject to the condition that the depository institution must receive approval from its primary federal banking regulator prior to paying dividends or making certain other capital distributions while the exclusion is in effect. Citibank did not elect to temporarily exclude U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure. Accordingly, the calculation methodology of Citibank’s Supplementary Leverage ratio was unchanged.

Regulatory Capital Impact of the Paycheck Protection Program

In April 2020, as part of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) and in recognition of the exigent circumstances faced by small businesses, Congress created the Paycheck Protection Program (PPP). PPP covered loans are fully guaranteed as to principal and accrued interest by the Small Business Administration (SBA). As a general matter, SBA guarantees are backed by the full faith and credit of the U.S. government.

In order to provide liquidity to small business lenders and the broader credit markets, and to help stabilize the financial system, the Federal Reserve Board authorized each of the Federal Reserve Banks to extend credit under the Paycheck Protection Program Lending Facility (PPPLF). Under the PPPLF, the Federal Reserve Banks may extend non-recourse loans to institutions that are eligible to originate PPP

covered loans, such as Citibank, with PPP loans that are originated or purchased by the institution pledged to the Federal Reserve as collateral to secure the PPPLF extensions of credit. The PPPLF began extending credit in April 2020, and will not extend new credit after September 30, 2020, unless the PPPLF is extended by the Federal Reserve Board and the U.S. Department of Treasury.

In April 2020, in recognition of CARES Act requirements, and to facilitate the use of the PPPLF, the U.S. banking agencies issued an interim final rule that allows banking organizations to neutralize certain regulatory capital effects of PPP loans. The interim final rule states that PPP covered loans originated by a banking organization under the PPP will be risk-weighted at 0% under the Standardized Approach and the Advanced Approaches. Additionally, the interim final rule permits banking organizations to exclude exposures pledged as collateral to the PPPLF from quarterly adjusted average total assets and Total Leverage Exposure.

33

The interim final rule was effective commencing with the quarter ended June 30, 2020.

Citigroup’s Capital Resources

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

			Advanced Approaches															Standardized Approach
In millions of dollars, except ratios	Effective Minimum Requirement(1)		June 30, 2020			March 31, 2020			December 31, 2019			June 30, 2020			March 31, 2020			December 31, 2019
Common Equity Tier 1 Capital(2)			$	139,643		$	136,695		$	137,798		$	139,643		$	136,695		$	137,798
Tier 1 Capital			157,631			154,304			155,805			157,631			154,304			155,805
Total Capital (Tier 1 Capital   + Tier 2 Capital)(2)			187,553			184,362			181,337			196,452			194,369			193,682
Total Risk-Weighted Assets(3)(4)			1,205,123			1,224,136			1,135,553			1,187,331			1,217,805			1,166,523
Credit Risk(2)			$	809,748		$	839,490		$	771,508		$	1,092,943		$	1,136,874		$	1,107,775
Market Risk			91,496			78,915			57,317			94,388			80,931			58,748
Operational Risk			303,879			305,731			306,728			—			—			—
Common Equity Tier 1   Capital ratio(5)	10.0	%	11.59		%	11.17		%	12.13		%	11.76		%	11.22		%	11.81		%
Tier 1 Capital ratio(5)	11.5		13.08			12.61			13.72			13.28			12.67			13.36
Total Capital ratio(5)	13.5		15.56			15.06			15.97			16.55			15.96			16.60

In millions of dollars, except ratios	Effective Minimum Requirement		June 30, 2020			March 31, 2020			December 31, 2019
Quarterly Adjusted Average Total Assets(2)(3)(6)(7)			$	2,228,062		$	2,044,340		$	1,957,039
Total Leverage Exposure(2)(3)(6)(8)			2,367,578			2,585,730			2,507,891
Tier 1 Leverage ratio	4.0	%	7.07		%	7.55		%	7.96		%
Supplementary Leverage ratio	5.0		6.66			5.97			6.21

(1)Citi’s effective minimum risk-based capital requirements include 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 has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ March 2020 interim final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences, and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses recognized through earnings (pre-tax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. Additionally, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.

(3)Commencing with the quarter ended March 31, 2020, exposures acquired pursuant to a non-recourse loan as part of the Money Market Mutual Fund Liquidity Facility are excluded from risk-weighted assets under the Advanced Approaches and Standardized Approach, as well as quarterly adjusted average total assets and Total Leverage Exposure.

(4)Commencing with the quarter ended June 30, 2020, loans originated under the Paycheck Protection Program receive a 0% risk weight under the Advanced Approaches and Standardized Approach.

(5)Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of June 30, 2020 and March 31, 2020, and the Basel III Standardized Approach as of December 31, 2019, whereas Citi’s reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework for all periods presented.

(6)Commencing with the quarter ended June 30, 2020, exposures pledged as collateral pursuant to a non-recourse loan that is provided as part of the Paycheck Protection Program Lending Facility are excluded from quarterly adjusted average total assets and Total Leverage Exposure.

(7)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.

(8)Supplementary Leverage ratio denominator. Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excludes U.S. Treasuries and deposits at Federal Reserve Banks.

As indicated in the table above, Citigroup’s risk-based capital ratios at June 30, 2020 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of June 30, 2020.

34

Components of Citigroup Capital

In millions of dollars	June 30, 2020		December 31, 2019
Common Equity Tier 1 Capital
Citigroup common stockholders’ equity(1)	$	173,793	$	175,414
Add: Qualifying noncontrolling interests	145		154
Regulatory capital adjustments and deductions:
Add: CECL transition and 25% provision deferral(2)	5,606		—
Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax	2,094		123
Less: Cumulative unrealized net gain (loss) related to changes in fair value of    financial liabilities attributable to own creditworthiness, net of tax	393		(679)
Less: Intangible assets:
Goodwill, net of related DTLs(3)	20,275		21,066
Identifiable intangible assets other than MSRs, net of related DTLs	3,866		4,087
Less: Defined benefit pension plan net assets	960		803
Less: DTAs arising from net operating loss, foreign tax credit and general    business credit carry-forwards(4)	12,313		12,370
Total Common Equity Tier 1 Capital (Advanced Approaches and Standardized Approach)	$	139,643	$	137,798
Additional Tier 1 Capital
Qualifying noncumulative perpetual preferred stock(1)	$	17,829	$	17,828
Qualifying trust preferred securities(5)	1,392		1,389
Qualifying noncontrolling interests	37		42
Regulatory capital deductions:
Less: Permitted ownership interests in covered funds(6)	1,244		1,216
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(7)	26		36
Total Additional Tier 1 Capital (Advanced Approaches and Standardized Approach)	$	17,988	$	18,007
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)    (Advanced Approaches and Standardized Approach)	$	157,631	$	155,805
Tier 2 Capital
Qualifying subordinated debt	$	24,708	$	23,673
Qualifying trust preferred securities(8)	317		326
Qualifying noncontrolling interests	43		46
Excess of eligible credit reserves over expected credit losses(2)(9)	4,880		1,523
Regulatory capital deduction:
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(7)	26		36
Total Tier 2 Capital (Advanced Approaches)	$	29,922	$	25,532
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)	$	187,553	$	181,337
Adjustment for eligible allowance for credit losses(2)(9)	$	8,899	$	12,345
Total Tier 2 Capital (Standardized Approach)	$	38,821	$	37,877
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)	$	196,452	$	193,682

(1)Issuance costs of $151 million as of June 30, 2020 and $152 million as of December 31, 2019 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)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ March 2020 interim final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax) and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses recognized through earnings (pre-tax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date.

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

Footnotes continue on the following page.

35

(4)Of Citi’s $23.9 billion of net DTAs at June 30, 2020, $14.2 billion was includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $9.7 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of June 30, 2020 was $12.3 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, which was reduced by $2.6 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%.

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

(6)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. The U.S. agencies issued a revised Volcker Rule 2.0 in November 2019 that removes permitted investments in third-party covered funds from capital deduction requirements, among other changes. Upon the removal of the capital deduction, permitted investments in third-party covered funds will be included in risk-weighted assets. Mandatory compliance with the revised Volcker Rule 2.0 is required by January 1, 2021, with early adoption permitted, in whole or in part, beginning January 1, 2020. Additionally, the U.S. agencies released a revised Volcker Rule 2.1 in June 2020 that improves and streamlines several “covered funds” requirements, with an effective date of October 1, 2020. Citi continues to deduct from Tier 1 Capital all permitted ownership interests in covered funds for all periods presented.

(7)50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.

(8)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.

(9)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. The total amount of allowance for credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Standardized Approach framework was $13.8 billion and $13.9 billion at June 30, 2020 and December 31, 2019, respectively.

36

Citigroup Capital Rollforward

In millions of dollars	Three Months Ended June 30, 2020		Six Months Ended   June 30, 2020
Common Equity Tier 1 Capital, beginning of period	$	136,695	$	137,798
Net income	1,316		3,838
Common and preferred dividends declared	(1,324)		(2,696)
Net change in treasury stock	4		(2,483)
Net change in common stock and additional paid-in capital	118		(173)
Net change in foreign currency translation adjustment net of hedges, net of tax	561		(3,548)
Net decrease in unrealized losses on debt securities AFS, net of tax	837		3,965
Net increase in defined benefit plans liability adjustment, net of tax	(77)		(363)
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax	213		(164)
Net change in excluded component of fair value hedges	13		40
Net change in goodwill, net of related DTLs	(152)		791
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs	87		221
Net change in defined benefit pension plan net assets	92		(157)
Net change in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards	(54)		57
CECL 25% provision deferral	1,306		2,538
Other	8		(21)
Net increase in Common Equity Tier 1 Capital	$	2,948	$	1,845
Common Equity Tier 1 Capital, end of period   (Advanced Approaches and Standardized Approach)	$	139,643	$	139,643
Additional Tier 1 Capital, beginning of period	$	17,609	$	18,007
Net change in qualifying perpetual preferred stock	—		1
Net increase in qualifying trust preferred securities	2		3
Net change in permitted ownership interests in covered funds	378		(28)
Other	(1)		5
Net change in Additional Tier 1 Capital	$	379	$	(19)
Tier 1 Capital, end of period   (Advanced Approaches and Standardized Approach)	$	157,631	$	157,631
Tier 2 Capital, beginning of period (Advanced Approaches)	$	30,058	$	25,532
Net change in qualifying subordinated debt	(753)		1,035
Net increase in excess of eligible credit reserves over expected credit losses	615		3,357
Other	2		(2)
Net change in Tier 2 Capital (Advanced Approaches)	$	(136)	$	4,390
Tier 2 Capital, end of period (Advanced Approaches)	$	29,922	$	29,922
Total Capital, end of period (Advanced Approaches)	$	187,553	$	187,553
Tier 2 Capital, beginning of period (Standardized Approach)	$	40,065	$	37,877
Net change in qualifying subordinated debt	(753)		1,035
Net decrease in eligible allowance for credit losses	(493)		(89)
Other	2		(2)
Net change in Tier 2 Capital (Standardized Approach)	$	(1,244)	$	944
Tier 2 Capital, end of period (Standardized Approach)	$	38,821	$	38,821
Total Capital, end of period (Standardized Approach)	$	196,452	$	196,452

37

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

In millions of dollars	Three Months Ended June 30, 2020		Six Months Ended June 30, 2020
Total Risk-Weighted Assets, beginning of period	$	1,224,136	$	1,135,553
Changes in Credit Risk-Weighted Assets
Retail exposures(1)	(11,571)		(19,111)
Wholesale exposures(2)	11,081		32,962
Repo-style transactions(3)	(4,121)		10,985
Securitization exposures	(320)		(1,710)
Equity exposures	1,946		(481)
Over-the-counter (OTC) derivatives(4)	(6,099)		8,621
Derivatives CVA(5)	(8,477)		11,652
Other exposures(6)	(11,179)		(6,385)
Supervisory 6% multiplier	(1,002)		1,707
Net change in Credit Risk-Weighted Assets	$	(29,742)	$	38,240
Changes in Market Risk-Weighted Assets
Risk levels(7)	$	8,876	$	22,121
Model and methodology updates(7)	3,705		12,058
Net increase in Market Risk-Weighted Assets	$	12,581	$	34,179
Net decrease in Operational Risk-Weighted Assets	$	(1,852)	$	(2,849)
Total Risk-Weighted Assets, end of period	$	1,205,123	$	1,205,123

(1)Retail exposures decreased during the three months and six months ended June 30, 2020 primarily driven by seasonal holiday spending repayments and lesser spending due to the pandemic.

(2)Wholesale exposures increased during the three months ended June 30, 2020 primarily due to increases in AFS and HTM securities and loan commitments. Wholesale exposures increased during the six months ended June 30, 2020 primarily due to commercial loan growth, increases in AFS and HTM securities and rating downgrades partially offset by annual model parameter updates reflecting Citi’s loss experiences.

(3)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions decreased during the three months ended June 30, 2020 mainly driven by market volatility. Repo-style transactions increased during the six months ended June 30, 2020 mainly driven by market volatility.

(4)OTC derivatives decreased during the three months ended June 30, 2020 primarily due to decreases in mark-to-market and notional for bilateral derivatives. OTC derivatives increased during the six months ended June 30, 2020 primarily due to increases in mark-to-market and notional for bilateral derivatives.

(5)Derivatives CVA decreased during the three months ended June 30, 2020 primarily due to narrowing credit spreads, market volatility and decreases in exposure. Derivatives CVA increased during the six months ended June 30, 2020 primarily due to widening credit spreads and market volatility.

(6)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures decreased during the three months and six months ended June 30, 2020 primarily due to decreases in notional for client cleared derivatives and excess of credit reserves not included in Tier 2 capital eligible for RWA reduction.

(7)Market risk-weighted assets increased during the three months and six months ended June 30, 2020 primarily driven by increases in market volatility due to the pandemic.

As set forth in the table above, total risk-weighted assets under the Basel III Advanced Approaches increased from year-end 2019, primarily due to higher credit and market risk-weighted assets, slightly offset by a decrease in operational risk-weighted assets. The increase in credit risk-weighted assets was primarily due to increases in commercial loans and loan commitments, increases in derivatives CVA, attributable to widening of credit spreads and market volatility, repo-style transactions, and OTC derivatives trade activities, partially offset by a decrease in retail exposures, decreases in notional for client cleared derivatives and excess of credit reserves not included in Tier 2 capital eligible for RWA reduction. Market risk-weighted assets increased from year-end 2019, primarily driven by increases in market volatility due to the pandemic.

38

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

In millions of dollars	Three Months Ended June 30, 2020		Six Months Ended June 30, 2020
Total Risk-Weighted Assets, beginning of period	$	1,217,805	$	1,166,523
Changes in Credit Risk-Weighted Assets
General credit risk exposures(1)	(34,067)		(13,163)
Repo-style transactions(2)	14,085		17,590
Securitization exposures	(290)		(1,208)
Equity exposures	1,752		(481)
Over-the-counter (OTC) derivatives(3)	(15,565)		8,303
Other exposures(4)	(14,428)		(13,075)
Off-balance sheet exposures(5)	4,583		(12,797)
Net decrease in Credit Risk-Weighted Assets	$	(43,930)	$	(14,831)
Net Increase in Market Risk-Weighted Assets
Risk levels(6)	$	9,751	$	23,581
Model and methodology updates(6)	3,705		12,058
Net increase in Market Risk-Weighted Assets	$	13,456	$	35,639
Total Risk-Weighted Assets, end of period	$	1,187,331	$	1,187,331

(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures decreased during the three months and six months ended June 30, 2020 primarily due to reductions in commercial loans and consumer loans driven by seasonal holiday spending repayments and lesser spending due to COVID pandemic.

(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions increased during the three months and six months ended June 30, 2020, primarily due to volume and exposure driven increases.

(3)OTC derivatives decreased during the three months ended June 30, 2020, primarily due to decreases in mark-to-market and notional for bilateral derivatives. OTC derivatives increased during the six months ended June 30, 2020, primarily due to increases in mark-to-market and notional for bilateral derivatives.

(4)Other exposures include cleared transactions, unsettled transactions, and other assets. Other exposures decreased during the three months and six months ended June 30, 2020 primarily due to decreases in notional for client cleared derivatives and excess of credit reserves not included in Tier 2 capital eligible for RWA reduction.

(5)Off-balance sheet exposures increased during the three months ended June 30, 2020, primarily due to an increase in loan commitments. Off-balance sheet exposures decreased during the six months ended June 30, 2020 primarily due to a reduction in loan commitments.

(6)Market risk-weighted assets increased during the three months and six months ended June 30, 2020 primarily driven by increases in market volatility due to the pandemic.

As set forth in the table above, total risk-weighted assets under the Basel III Standardized Approach increased from year-end 2019, primarily due to higher market risk-weighted assets, partially offset by lower credit risk-weighted assets. Market risk-weighted assets increased from year-end 2019, primarily driven by increases in market volatility due to the pandemic. The decrease in credit risk-weighted assets was primarily driven by decreases in commercial loans, seasonal holiday spending repayments and lesser spending due to the pandemic, decreases in notional for client cleared derivatives, excess of credit reserves not included in Tier 2 capital eligible for RWA reduction, and decreases in off-balance sheet exposures due to a reduction in loan commitments, partially offset by increases in repo-style transactions.

39

Supplementary Leverage Ratio

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

In millions of dollars, except ratios	June 30, 2020			March 31, 2020			December 31, 2019
Tier 1 Capital	$	157,631		$	154,304		$	155,805
Total Leverage Exposure
On-balance sheet assets(1)(2)(3)	$	1,878,949		$	2,083,377		$	1,996,617
Certain off-balance sheet exposures:(4)
Potential future exposure on derivative contracts	163,829			169,296			169,478
Effective notional of sold credit derivatives, net(5)	37,867			38,910			38,481
Counterparty credit risk for repo-style transactions(6)	20,641			22,386			23,715
Unconditionally cancellable commitments	71,887			71,472			70,870
Other off-balance sheet exposures	233,089			239,326			248,308
Total of certain off-balance sheet exposures	$	527,313		$	541,390		$	550,852
Less: Tier 1 Capital deductions	(38,684)			(39,037)			(39,578)
Total Leverage Exposure(3)	$	2,367,578		$	2,585,730		$	2,507,891
Supplementary Leverage ratio	6.66		%	5.97		%	6.21		%

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

(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ March 2020 interim final rule. Under the modified CECL transition provision, the changes in DTAs arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses recognized through earnings (pre-tax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in Total Leverage Exposure.

(3)Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excludes U.S. Treasuries and deposits at Federal Reserve Banks.

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

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

(6)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 6.7% for the second quarter of 2020, compared to 6.0% for the first quarter of 2020, and 6.2% for the fourth quarter of 2019. The ratio increased from the first quarter of 2020 and the fourth quarter of 2019, primarily attributable to the 94 basis point benefit resulting from the Federal Reserve Board’s temporary Supplementary Leverage ratio relief, as discussed above.

40

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:

			Advanced Approaches															Standardized Approach
In millions of dollars, except ratios	Effective Minimum Requirement(1)		June 30, 2020			March 31, 2020			December 31, 2019			June 30, 2020			March 31, 2020			December 31, 2019
Common Equity Tier 1 Capital(2)			$	137,476		$	134,835		$	130,720		$	137,476		$	134,835		$	130,720
Tier 1 Capital			139,560			136,919			132,847			139,560			136,919			132,847
Total Capital (Tier 1 Capital   + Tier 2 Capital)(2)(3)			155,799			152,865			145,918			163,574			161,629			157,253
Total Risk-Weighted Assets(4)			983,824			1,008,781			931,743			998,456			1,058,427			1,019,266
Credit Risk(2)			$	696,411		$	722,376		$	664,139		$	950,208		$	1,010,662		$	989,669
Market Risk			47,931			47,579			29,167			48,248			47,765			29,597
Operational Risk			239,482			238,826			238,437			—			—			—
Common Equity Tier 1   Capital ratio(5)(6)	7.0	%	13.97		%	13.37		%	14.03		%	13.77		%	12.74		%	12.82		%
Tier 1 Capital ratio(5)(6)	8.5		14.19			13.57			14.26			13.98			12.94			13.03
Total Capital ratio(5)(6)	10.5		15.84			15.15			15.66			16.38			15.27			15.43

In millions of dollars, except ratios	Effective Minimum Requirement		June 30, 2020			March 31, 2020			December 31, 2019
Quarterly Adjusted Average Total Assets(2)(7)(8)			$	1,643,724		$	1,512,382		$	1,459,780
Total Leverage Exposure(2)(7)(9)			2,105,285			1,994,180			1,951,630
Tier 1 Leverage ratio(6)	5.0	%	8.49		%	9.05		%	9.10		%
Supplementary Leverage ratio(6)	6.0		6.63			6.87			6.81

(1)Citibank’s effective minimum risk-based capital requirements include the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).

(2)Citibank has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ March 2020 interim final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences, and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citibank is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses recognized through earnings (pre-tax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. Additionally, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.

(3)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the 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.

(4)Commencing with the quarter ended June 30, 2020, loans originated under the Paycheck Protection Program receive a 0% risk weight under the Advanced Approaches and Standardized Approach.

(5)Citibank’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches framework as of June 30, 2020 and March 31, 2020, and the Basel III Standardized Approach as of December 31, 2019, whereas Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach framework for all periods presented.

(6)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 2019 Annual Report on Form 10-K.

(7)Commencing with the quarter ended June 30, 2020, exposures pledged as collateral pursuant to a non-recourse loan that is provided as part of the Paycheck Protection Program Lending Facility are excluded from quarterly adjusted average total assets and Total Leverage Exposure.

(8)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.

(9)Supplementary Leverage ratio denominator. Citibank’s Total Leverage Exposure includes U.S. Treasuries and deposits at Federal Reserve Banks for all periods.

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As indicated in the table above, Citibank’s capital ratios at June 30, 2020 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of June 30, 2020.

Impact of Changes on Citigroup and Citibank Capital Ratios

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

Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of June 30, 2020. 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	0.8	1.0	0.8	1.1	0.8	1.3
Standardized Approach	0.8	1.0	0.8	1.1	0.8	1.4
Citibank
Advanced Approaches	1.0	1.4	1.0	1.4	1.0	1.6
Standardized Approach	1.0	1.4	1.0	1.4	1.0	1.6

	Tier 1 Leverage ratio			Supplementary Leverage ratio
In basis points	Impact of $100 million change in Tier 1 Capital	Impact of $1 billion change in quarterly adjusted average total assets	Impact of $100 million change in Tier 1 Capital	Impact of $1 billion change in Total Leverage Exposure
Citigroup	0.4	0.3	0.4	0.3
Citibank	0.6	0.5	0.5	0.3

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Citigroup Broker-Dealer Subsidiaries

At June 30, 2020, 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 $6.2 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 $21.2 billion at June 30, 2020, which exceeded the PRA's minimum regulatory capital requirements.

In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at June 30, 2020.

Total Loss-Absorbing Capacity (TLAC)

The table below details Citi’s eligible external TLAC and long-term debt (LTD) amounts and ratios, and each effective minimum TLAC and LTD ratio requirement, as well as the surplus amount in dollars in excess of each requirement.

As of June 30, 2020, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $31 billion surplus above its binding TLAC requirement of LTD as a percentage of Advanced Approaches risk-weighted assets.

	June 30, 2020
In billions of dollars, except ratios	External TLAC			LTD
Total eligible amount	$	304		$	140
% of Advanced Approaches risk- weighted assets	25.2		%	11.6		%
Effective minimum requirement(1)(2)	22.5		%	9.0		%
Surplus amount	$	32		$	31
% of Total Leverage Exposure(3)	12.8		%	5.9		%
Effective minimum requirement	9.5		%	4.5		%
Surplus amount	$	79		$	33

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

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

(3) As discussed above, commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excludes U.S. Treasuries and deposits at Federal Reserve Banks.

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 2019 Annual Report on Form 10-K.

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Capital Resources (Full Adoption of CECL, and Excluding Temporary Supplementary Leverage Ratio Relief for Citigroup)

The following tables set forth Citigroup’s and Citibank’s capital components and ratios reflecting the full impact of CECL, and excluding temporary Supplementary Leverage ratio relief for Citigroup, as of June 30, 2020:

	Citigroup						Citibank
	Advanced Approaches		Standardized Approach		Advanced Approaches		Standardized Approach
Common Equity Tier 1 Capital ratio	11.15	%	11.32	%	13.49	%	13.29	%
Tier 1 Capital ratio	12.65		12.84		13.70		13.50
Total Capital ratio	15.15		16.13		15.36		15.92

	Citigroup		Citibank
Tier 1 Leverage ratio	6.84	%	8.19	%
Supplementary Leverage ratio(1)	5.53		6.39

(1)Citigroup’s Supplementary Leverage ratio, as presented in the table above, reflects the full impact of CECL as well as the inclusion of U.S. Treasuries and deposits at Federal Reserve Banks in Total Leverage Exposure.

Stress Capital Buffer

In June 2020, the Federal Reserve Board communicated that Citi’s interim Stress Capital Buffer (SCB) requirement, which will be finalized by the end of August 2020, is 2.5%. Based on the interim SCB, beginning October 1, 2020, Citigroup will be required to maintain a 10.0% effective minimum Common Equity Tier 1 Capital ratio under the Standardized Approach, unchanged from Citigroup’s current effective minimum Common Equity Tier 1 Capital ratio under the Standardized Approach.

Citigroup’s SCB is based on the Federal Reserve Board’s March 2020 SCB final rule, which integrates the annual stress testing requirements with ongoing regulatory capital requirements. For Citigroup, the SCB rule replaces the fixed 2.5% Capital Conservation Buffer under the Standardized Approach, and equals the peak-to-trough Common Equity Tier 1 Capital ratio decline under the Supervisory Severely Adverse scenario used in the Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST), plus four quarters of planned common stock dividends, subject to a floor of 2.5%. The fixed 2.5% Capital Conservation Buffer will continue to apply under the Advanced Approaches. SCB-based minimum capital requirements will be updated at least once per year as part of the CCAR process. Similar to the current Capital Conservation Buffer, a breach of the SCB will result in graduated limitations on capital distributions. For additional information regarding the SCB final rule, see “Capital Resources—Regulatory Capital Standards Developments—Stress Capital Buffer” in Citi’s First Quarter 2020 Form 10-Q. For additional information regarding CCAR and DFAST, see “Capital Resources—Current Regulatory Capital Standards—Stress Testing Component of Capital Planning” in Citi’s 2019 Annual Report on Form 10-K.

The SCB applies to Citigroup only. The regulatory capital framework applicable to Citibank, including the Capital Conservation Buffer, is unchanged by Citigroup’s SCB.

Capital Plan Resubmission and Related Limitations on Capital Distributions

In June 2020, the Federal Reserve Board determined that changes in financial markets and macroeconomic outlooks related to the COVID-19 pandemic could have a material effect on the risk profile and financial condition of each firm subject to its capital plan rule and, therefore, require updated capital plans. Accordingly, the Federal Reserve Board is requiring each firm, including Citi, to update and resubmit its capital plan within 45 days after the Federal Reserve Board provides updated scenarios. The Federal Reserve Board has indicated that it will provide updated scenarios between September 8, 2020 and September 30, 2020.

Requiring resubmission will generally prohibit each firm from making any capital distributions, unless otherwise approved by the Federal Reserve Board. Through the end of the third quarter of 2020, the Federal Reserve Board has authorized firms, including Citi, to pay common stock dividends that do not exceed an amount equal to the average of the firm’s net income for the four preceding calendar quarters, unless otherwise specified by the Federal Reserve Board, provided that the firm does not exceed the amount of common stock dividends paid in the second quarter of 2020. Additionally, through the end of the third quarter of 2020, the Federal Reserve Board has authorized firms to make share repurchases relating to issuances of common stock related to employee stock ownership plans, and to make scheduled payments on Additional Tier 1 Capital and Tier 2 Capital instruments. These limitations on capital distributions may be extended by the Federal Reserve Board.

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On June 29, 2020, Citi announced that its planned capital actions include common dividends. Citi declared common dividends of $0.51 per share for the third quarter of 2020 on July 23, 2020, which would not be impacted by the Federal Reserve Board’s temporary limitations on capital distributions, as Citi’s average quarterly net income for the four preceding calendar quarters of $3.4 billion is more than sufficient under the four quarter average net income test.

The March 2020 SCB final rule provides that the Federal Reserve Board may, but is not required to, recalculate each firm’s SCB as a result of the capital plan resubmission.

Regulatory Capital Standards Developments

Targeted Revisions to the Credit Valuation Adjustment Framework

In July 2020, the Basel Committee on Banking Supervision (Basel Committee) issued a standard with targeted revisions to the credit valuation adjustment (CVA) risk framework, which was previously finalized in December 2017 and will become effective on January 1, 2023. The revisions align the revised CVA risk framework, in part, with the revised market risk capital framework that was finalized in January 2019. The Basel Committee also adjusted the overall calibration of capital requirements calculated under their CVA risk framework.

The U.S. agencies may consider revisions to the CVA risk framework under the U.S. Basel III rules in the future, based upon the revisions adopted by the Basel Committee.

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

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

In millions of dollars or shares, except per share amounts	June 30, 2020		December 31, 2019
Total Citigroup stockholders’ equity	$	191,622	$	193,242
Less: Preferred stock	17,980		17,980
Common stockholders’ equity	$	173,642	$	175,262
Less:
Goodwill	21,399		22,126
Identifiable intangible assets (other than MSRs)	4,106		4,327
Tangible common equity (TCE)	$	148,137	$	148,809
Common shares outstanding (CSO)	2,081.9		2,114.1
Book value per share (common equity/CSO)	$	83.41	$	82.90
Tangible book value per share (TCE/CSO)	71.15		70.39

	Three Months Ended June 30,								Six Months Ended June 30,
In millions of dollars	2020			2019			2020		2019
Net income available to common shareholders	$	1,063		$	4,503		$	3,294	$	8,951
Average common stockholders’ equity	175,113			178,257			174,665		177,814
Average TCE	148,516			152,193			148,613		151,821
Return on average common stockholders’ equity	2.4		%	10.1		%	3.8		10.2		%
Return on average TCE (RoTCE)(1)	2.9			11.9			4.5		11.9

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

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Managing Global Risk Table of Contents

MANAGING GLOBAL RISK	48
CREDIT RISK(1)	48
Consumer Credit	48
Corporate Credit	53
Additional Consumer and Corporate Credit Details	59
Loans Outstanding	59
Details of Credit Loss Experience	60
Allowance for Credit Losses on Loans	61
Non-Accrual Loans and Assets and Renegotiated Loans	62
LIQUIDITY RISK	66
High-Quality Liquid Assets (HQLA)	66
Liquidity Coverage Ratio (LCR)	66
Loans	67
Deposits	67
Long-Term Debt	68
Secured Funding Transactions and Short-Term Borrowings	70
Credit Ratings	71
MARKET RISK(1)	73
Market Risk of Non-Trading Portfolios	73
Market Risk of Trading Portfolios	85
STRATEGIC RISK	88
Country Risk	88
Argentina	89

(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.

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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 2019 Annual Report on Form 10-K.

CREDIT RISK

For more information on credit risk, including Citi’s credit risk management, measurement and stress testing, and Citi’s consumer and corporate credit portfolios, see “Credit Risk” and “Risk Factors” in Citi’s 2019 Annual Report on Form 10-K.

CONSUMER CREDIT

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

In billions of dollars	2Q’19			3Q’19			4Q’19			1Q’20			2Q’20
Retail banking:
Mortgages	$	81.9		$	83.0		$	85.1		$	83.3		$	85.6
Personal, small business and other	37.8			37.6			39.7			36.9			38.0
Total retail banking	$	119.7		$	120.6		$	124.8		$	120.2		$	123.6
Cards:
Citi-branded cards	$	115.5		$	115.8		$	122.2		$	110.2		$	103.6
Citi retail services	49.6			50.0			52.9			48.9			45.4
Total cards	$	165.1		$	165.8		$	175.1		$	159.1		$	149.0
Total GCB	$	284.8		$	286.4		$	299.9		$	279.3		$	272.6
GCB regional distribution:
North America	66		%	66		%	66		%	67		%	66		%
Latin America	6			6			6			5			5
Asia(2)	28			28			28			28			29
Total GCB	100		%	100		%	100		%	100		%	100		%
Corporate/Other(3)	$	11.7		$	11.0		$	9.6		$	9.1		$	8.5
Total consumer loans	$	296.5		$	297.4		$	309.5		$	288.4		$	281.1

(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.

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Overall Consumer Credit Trends

GCB did not experience a significant net credit loss impact from the COVID-19 pandemic during the second quarter of 2020. Net credit loss rates were adversely impacted by lower loan balances primarily in credit cards, attributable to lower customer spending. The 90+ days past due delinquency rate declined sequentially despite the lower balances, as reduced spending, combined with the benefit of significant government stimulus and assistance packages as well as Citi’s consumer relief programs, generated liquidity that was used to make payments, particularly in North America. In addition, as discussed above, loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification, and thus would not be reported as 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer)

Citi expects that 90+ days past due delinquency and net credit loss rates in North America GCB, Latin America GCB and Asia GCB will be adversely impacted by the evolving macroeconomic and market conditions, including the severity and duration of the impact from the pandemic as these government stimulus and consumer relief programs expire.

For additional information about trends, uncertainties and risks related to the pandemic, see “COVID-19 Pandemic Overview” and “Risk Factors” above.

The following charts show the quarterly trends in delinquency rates (90+ days past due (90+ DPD) rate) and the net credit loss (NCL) rates across both retail banking and cards for total GCB and by region.

Global Consumer Banking

North America GCB

North America GCB provides mortgage, home equity, small business and personal loans through Citi’s retail banking network and card products through Citi-branded cards and Citi retail services businesses. The retail bank is concentrated in six major metropolitan cities in the United States (for additional information on the U.S. retail bank, see “North America GCB” above).

As of June 30, 2020, 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 increased quarter-over-quarter, primarily driven by lower average loans in both cards portfolios, while the 90+ days past due delinquency rate decreased quarter-over-quarter, driven by the lower spending as well as the government stimulus and relief programs described above.

Year-over-year, the net credit loss rate increased, primarily driven by lower average loans and the seasoning of more recent vintages in Citi-branded cards. The increase in the 90+ days past due delinquency rate was mainly driven by lower end-of-period (EOP) loans.

Latin America GCB

Latin America GCB operates in Mexico through

Citibanamex, one of Mexico’s largest banks, and provides

credit cards, consumer mortgages and small business and personal loans. Latin America GCB serves a more mass-market segment in Mexico and focuses on developing multi-product relationships with customers.

As shown in the chart above, the net credit loss rate in Latin America GCB decreased quarter-over-quarter due to seasonality, partially offset by lower average loans. The 90+ days past due delinquency rate increased, as the pandemic significantly impacted the economy in Mexico and customers did not benefit from a similar level of government stimulus as the other regions.

The net credit loss rate decreased year-over-year, primarily due to growth in recent vintages for cards as well as a slower pace of acquisitions in the retail portfolios during 2019, while the 90+ days past due delinquency rate increased, due to lower EOP loans and the pandemic-related impact described above.

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Asia⁽¹⁾ GCB

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

Asia GCB operates in 17 countries in Asia and EMEA

and provides credit cards, consumer mortgages and small business and personal loans.

As shown in the chart above, quarter-over-quarter, the net credit loss rate and 90+ days past due delinquency rate in Asia GCB increased, driven by the impact of the macroeconomic slowdown from the pandemic as the region was the first to be affected by the pandemic.

Year-over-year, the net credit loss rate and the 90+ days past due delinquency rate increased due to the pandemic-related macroeconomic impact.

The performance of 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 improved credit quality.

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

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 Citi’s Latin America and Asia Citi-branded cards portfolios.

Global Cards

North America Citi-Branded Cards

North America GCB’s Citi-branded cards portfolio issues proprietary and co-branded cards. As shown in the chart above, the net credit loss rate in North America Citi-branded cards increased quarter-over-quarter, primarily driven by lower average loans due to lower spending, while the 90+ days past due delinquency rate decreased, driven by the lower spending and the impact of the government stimulus and relief programs described above.

The net credit loss rate and 90+ days past due delinquency rate increased year-over-year, primarily due to seasoning and lower average and EOP loans.

North America Citi Retail Services

Citi retail services partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Citi retail services’ target market focuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel.

Citi retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.

As shown in the chart above, the net credit loss rate increased quarter-over-quarter, primarily driven by lower average loans, while the 90+ days past due delinquency rate decreased, driven by lower spending as well as the impact of the government stimulus and relief programs described above.

The net credit loss rate and 90+ days past due delinquency rate increased year-over-year, primarily due to lower average and EOP loans.

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Latin America Citi-Branded Cards

Latin America GCB issues proprietary and co-branded cards. As shown in the chart above, the net credit loss rate in Latin America Citi-branded cards increased quarter-over-quarter, primarily due to lower average loans, and the 90+ days past due delinquency rate increased, due to lower EOP loans as well as the significant impact the pandemic had on the economy in Mexico, as customers did not benefit from a similar level of government stimulus as other regions.

The net credit loss rate decreased year-over-year, primarily due to growth in recent vintages, and the 90+ days past due delinquency rate increased year-over-year, primarily due to lower EOP loans and the pandemic-related impact described above.

Asia Citi-Branded Cards⁽¹⁾

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

Asia GCB issues proprietary and co-branded cards. As set forth in the chart above, the net credit loss rate and the 90+ days past due delinquency rate increased in Asia Citi-branded cards quarter-over-quarter, primarily due to the macroeconomic slowdown related to the pandemic, which has started to impact credit ratios in Asia, the first region to be affected by the pandemic. The net credit loss rate and 90+ days past due delinquency rate increased year-over-year, mainly due to the macroeconomic slowdown related to the pandemic.

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(1)	June 30, 2020		March 31, 2020		June 30, 2019
> 760	41	%	39	%	42	%
680–760	41		42		41
< 680	18		19		17
Total	100	%	100	%	100	%

Citi Retail Services

FICO distribution(1)	June 30, 2020		March 31, 2020		June 30, 2019
> 760	24	%	23	%	24	%
680–760	43		42		43
< 680	33		35		33
Total	100	%	100	%	100	%

(1) The FICO bands in the tables are consistent with general industry peer presentations.

The FICO distribution of both cards portfolios remained broadly stable, compared to the prior quarter and prior year, demonstrating strong underlying credit quality, as well as a benefit from the impact of the government stimulus and relief programs described above and lower credit utilization due to reduced customer spending. For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.

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Additional Consumer Credit Details

Consumer Loan Delinquencies Amounts and Ratios⁽¹⁾

	EOP loans(2)		90+ days past due(3)															30–89 days past due(3)
In millions of dollars, except EOP loan amounts in billions	June 30, 2020		June 30, 2020			March 31, 2020			June 30, 2019			June 30, 2020			March 31, 2020			June 30, 2019
Global Consumer Banking(4)(5)
Total	$	272.6	$	2,466		$	2,603		$	2,426		$	2,503		$	2,870		$	2,783
Ratio			0.91		%	0.93		%	0.85		%	0.92		%	1.03		%	0.98		%
Retail banking
Total	$	123.6	$	497		$	429		$	416		$	918		$	794		$	831
Ratio			0.40		%	0.36		%	0.35		%	0.75		%	0.66		%	0.70		%
North America	53.1		182			161			133			440			298			341
Ratio			0.35		%	0.32		%	0.28		%	0.84		%	0.59		%	0.72		%
Latin America	9.0		121			90			108			151			140			191
Ratio			1.34		%	0.98		%	0.95		%	1.68		%	1.52		%	1.68		%
Asia(6)	61.5		194			178			175			327			356			299
Ratio			0.32		%	0.30		%	0.29		%	0.53		%	0.59		%	0.50		%
Cards
Total	$	149.0	$	1,969		$	2,174		$	2,010		$	1,585		$	2,076		$	1,952
Ratio			1.32		%	1.37		%	1.22		%	1.06		%	1.30		%	1.18		%
North America—Citi-branded	82.6		784			891			799			594			770			705
Ratio			0.95		%	1.01		%	0.88		%	0.72		%	0.87		%	0.78		%
North America—Citi retail services	45.4		811			958			840			611			903			831
Ratio			1.79		%	1.96		%	1.69		%	1.35		%	1.85		%	1.68		%
Latin America	4.2		160			121			169			111			132			159
Ratio			3.81		%	2.69		%	2.96		%	2.64		%	2.93		%	2.79		%
Asia(6)	16.8		214			204			202			269			271			257
Ratio			1.27		%	1.18		%	1.05		%	1.60		%	1.57		%	1.34		%
Corporate/Other—Consumer(7)
Total	$	8.5	$	295		$	281		$	327		$	261		$	252		$	334
Ratio			3.60		%	3.23		%	2.97		%	3.18		%	2.90		%	3.04		%
Total Citigroup	$	281.1	$	2,761		$	2,884		$	2,753		$	2,764		$	3,122		$	3,117
Ratio			0.99		%	1.00		%	0.93		%	0.99		%	1.09		%	1.06		%

(1)As discussed above, loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification, and thus almost all would not be reported as 30-89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer).

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

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

(4)The 90+ days past due balances for North America—Citi-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.

(5)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 agencies since the potential loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $130 million ($0.5 billion), $124 million ($0.5 billion) and $162 million ($0.6 billion) as of June 30, 2020, March 31, 2020 and June 30, 2019, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) were $86 million ($0.5 billion), $64 million ($0.5 billion) and $89 million ($0.6 billion) as of June 30, 2020, December 31, 2019 and June 30, 2019, respectively.

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

(7)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 $173 million ($0.4 billion), $167 million ($0.4 billion) and $273 million ($0.7 billion) as of June 30, 2020, March 31, 2020 and June 30, 2019, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) for each period were $57 million ($0.4 billion), $58 million ($0.4 billion) and $124 million ($0.7 billion) as of June 30, 2020 and June 30, 2019, respectively.

52

Consumer Loan Net Credit Losses and Ratios

	Average loans(1)		Net credit losses(2)
In millions of dollars, except average loan amounts in billions	2Q20		2Q20			1Q20			2Q19
Global Consumer Banking
Total	$	271.5	$	1,887		$	1,983		$	1,870
Ratio			2.80		%	2.75		%	2.68		%
Retail banking
Total	$	121.8	$	204		$	235		$	225
Ratio			0.67		%	0.77		%	0.76		%
North America	52.2		33			37			40
Ratio			0.25		%	0.29		%	0.34		%
Latin America	9.1		94			130			123
Ratio			4.15		%	4.71		%	4.29		%
Asia(3)	60.5		77			68			62
Ratio			0.51		%	0.44		%	0.42		%
Cards
Total	$	149.7	$	1,683		$	1,748		$	1,645
Ratio			4.52		%	4.20		%	4.07		%
North America—Citi-branded	82.6		795			795			723
Ratio			3.87		%	3.46		%	3.28		%
North America—Citi retail services	46.2		656			694			654
Ratio			5.71		%	5.53		%	5.34		%
Latin America	4.3		115			147			156
Ratio			10.76		%	10.56		%	11.17		%
Asia(3)	16.6		117			112			112
Ratio			2.83		%	2.40		%	2.38		%
Corporate/Other—Consumer
Total	$	8.9	$	(5)		$	(2)		$	4
Ratio			(0.23)		%	(0.09)		%	0.13		%
Total Citigroup	$	280.4	$	1,882		$	1,981		$	1,874
Ratio			2.70		%	2.66		%	2.57		%

(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.

53

CORPORATE CREDIT

Overall Corporate Credit Trends

For information about Citi’s corporate credit trends, uncertainties and risks related to the COVID-19 pandemic, see “COVID-19 Pandemic Overview” and “Risk Factors” above. For additional information on CECL, see “Significant Accounting Policies and Significant Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements. For additional information on Citi’s corporate loan portfolios, see Note 13 to the Consolidated Financial Statements.

The following table details Citi’s corporate credit portfolio within ICG (excluding certain loans in the private bank, which are managed on a delinquency basis), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:

	June 30, 2020														March 31, 2020										December 31, 2019
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)	$	184	$	156	$	24	$	364	$	195	$	175	$	24	$	394	$	184	$	142	$	25	$	351
Unfunded lending commitments (off-balance sheet)(2)	157		250		13		420		152		231		11		394		161		266		17		444
Total exposure	$	341	$	406	$	37	$	784	$	347	$	406	$	35	$	788	$	345	$	408	$	42	$	795

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

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

Portfolio Mix—Geography and Counterparty

Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region (excluding the delinquency-managed private bank portfolio) based on Citi’s internal management geography:

	June 30, 2020		March 31, 2020		December 31, 2019
North America	58	%	57	%	57	%
EMEA	24		25		24
Asia	12		12		12
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.

54

The following table presents the corporate credit portfolio (excluding the delinquency-managed private bank portfolio) by facility risk rating as a percentage of the total corporate credit portfolio:

	Total exposure
	June 30, 2020		March 31, 2020		December 31, 2019
AAA/AA/A	49	%	48	%	50	%
BBB	31		33		33
BB/B	16		17		15
CCC or below	4		2		2
Total	100	%	100	%	100	%

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

In addition to the counterparty and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi’s interpretation of the U.S. banking regulators’ definition of criticized exposures, which may categorize exposures as special mention, substandard or doubtful.

Risk ratings and classifications are reviewed regularly, and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment. This includes but is not limited to exposures in those sectors significantly impacted by the pandemic (including energy and energy-related, aviation, consumer retail, commercial real estate and autos).

Citigroup believes the corporate credit portfolio to be appropriately rated and classified as of June 30, 2020. During the course of the second quarter of 2020, and since the onset of the COVID-19 pandemic, Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.

As exposures are downgraded, the probability of default increases. Downgrades of exposures tend to result in a higher provision for credit losses. Additionally, downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in seeking to reduce exposure to an obligor or an industry sector. Citigroup will continue to review exposures to ensure the appropriate probability of default is incorporated into all risk assessments.

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

Portfolio Mix—Industry

Citi’s corporate credit portfolio is diversified by industry. The following details the allocation of Citi’s total corporate credit portfolio by industry (excluding the delinquency-managed private bank portfolio):

	Total exposure
	June 30, 2020		March 31, 2020		December 31, 2019
Transportation and industrials	19	%	19	%	19	%
Private bank	13		13		13
Consumer retail	11		11		10
Health	4		4		4
Technology, media and telecom	10		10		11
Power, chemicals, metals and mining	8		9		9
Banks and finance companies	7		8		7
Securities firms	—		—		—
Real estate	8		7		7
Energy and commodities	7		7		7
Public sector	3		3		3
Insurance	3		3		3
Asset managers and funds	3		3		3
Financial markets infrastructure	2		2		2
Other industries	2		1		2
Total	100	%	100	%	100	%

55

The following table details Citi’s corporate credit portfolio by industry as of June 30, 2020:

									Non-investment grade										Selected metrics
In millions of dollars	Total credit exposure		Funded(1)		Unfunded(1)		Investment grade		Non-criticized		Criticized performing		Criticized non-performing(2)		Net charge-offs (recoveries)(3)		Credit derivative hedges(4)
Transportation and industrials	$	148,612	$	68,257	$	80,355	$	110,552	$	16,040	$	20,190	$	1,830	$	138	$	(8,014)
Autos(5)	51,074		25,475		25,599		42,673		3,938		4,131		332		33		(3,223)
Transportation	30,027		16,949		13,078		16,899		2,801		9,058		1,269		77		(1,135)
Industrials	67,511		25,833		41,678		50,980		9,301		7,001		229		28		(3,656)
Private bank(1)	104,139		67,956		36,183		99,120		2,343		2,251		425		29		(1,080)
Consumer retail	82,007		37,401		44,606		59,457		11,292		10,964		294		11		(4,878)
Health	32,518		8,466		24,052		25,690		4,838		1,831		159		1		(1,814)
Technology, media and telecom	77,282		32,831		44,451		59,961		12,132		4,800		389		39		(6,834)
Power, chemicals, metals and mining	66,089		24,759		41,330		49,048		11,736		5,140		165		45		(5,164)
Power	27,625		7,336		20,289		23,379		3,136		986		124		37		(2,385)
Chemicals	23,294		9,650		13,644		17,028		4,128		2,130		8		5		(2,152)
Metals and mining	15,170		7,773		7,397		8,641		4,472		2,024		33		3		(627)
Banks and finance companies	56,027		34,274		21,753		46,421		5,441		4,000		165		1		(746)
Securities firms	1,423		424		999		1,172		176		65		10		—		(6)
Real estate	58,912		40,673		18,239		48,458		5,323		5,107		24		4		(560)
Energy and commodities(6)	55,390		18,769		36,621		39,365		6,210		8,493		1,322		129		(3,794)
Public sector	26,945		14,470		12,475		22,016		1,845		3,065		19		7		(931)
Insurance	25,156		1,454		23,702		24,112		805		239		—		1		(2,544)
Asset managers and funds	23,059		5,151		17,908		21,946		921		192		—		(1)		(85)
Financial markets infrastructure	13,628		28		13,600		13,609		19		—		—		—		(4)
Other industries	12,554		9,052		3,502		7,134		3,980		1,288		152		40		(38)
Total	$	783,741	$	363,965	$	419,776	$	628,061	$	83,101	$	67,625	$	4,954	$	444	$	(36,492)

(1) Excludes $40,214 million and $4,208 million of funded and unfunded delinquency-managed private bank exposures at June 30, 2020, respectively.

(2) Includes non-accrual loan exposures and criticized unfunded exposures.

(3) Net charge-offs (recoveries) are for the six months ended June 30, 2020 and exclude delinquency-managed private bank charge-offs of $7 million.

(4) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $36.5 billion of purchased credit protection, $34.5 billion represents the total notional of purchased credit derivatives on individual reference entities. The remaining $2.0 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.

(5) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $19.8 billion ($9 billion in funded, with more than 98% rated investment grade) as of June 30, 2020.

(6) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrial sector (e.g., off-shore drilling entities) included in the table above. As of June 30, 2020, Citi’s total exposure to these energy-related entities remained largely consistent with December 31, 2019, at approximately $5.8 billion, of which approximately $3.4 billion consisted of direct outstanding funded loans.

56

The following table details Citi’s corporate credit portfolio by industry as of December 31, 2019:

									Non-investment grade										Selected metrics
In millions of dollars	Total credit exposure		Funded(1)		Unfunded(1)		Investment grade		Non-criticized		Criticized performing		Criticized non-performing(2)		Net charge-offs (recoveries)(3)		Credit derivative hedges(4)
Transportation and industrials	$	146,643	$	59,726	$	86,917	$	120,777	$	19,433	$	5,725	$	706	$	67	$	(7,134)
Autos(5)	48,604		21,564		27,040		43,570		3,582		1,311		140		5		(2,982)
Transportation	29,984		14,550		15,434		23,021		4,886		1,652		425		21		(725)
Industrials	68,055		23,612		44,443		54,186		10,965		2,762		141		41		(3,427)
Private bank(1)	102,463		68,798		33,665		100,017		2,244		171		31		36		(1,080)
Consumer retail	81,338		36,117		45,221		62,993		15,131		2,773		441		38		(4,105)
Health	35,008		8,790		26,218		27,791		5,932		1,180		105		14		(1,588)
Technology, media and telecom	83,199		31,333		51,866		63,845		15,846		3,305		203		14		(6,181)
Power, chemicals, metals and mining	73,961		24,377		49,584		58,670		11,997		2,963		331		24		(4,763)
Power	34,349		7,683		26,666		29,317		4,051		679		302		19		(2,111)
Chemicals	23,721		9,152		14,569		18,790		3,905		1,014		12		1		(2,079)
Metals and mining	15,891		7,542		8,349		10,563		4,041		1,270		17		4		(573)
Banks and finance companies	52,036		32,571		19,465		43,663		4,661		3,345		39		12		(755)
Securities firms	1,151		423		728		801		304		38		8		13		—
Real estate	55,518		38,058		17,460		49,461		5,495		525		37		(3)		(573)
Energy and commodities(6)	53,317		17,428		35,889		42,996		5,780		3,627		914		99		(2,808)
Public sector	27,194		14,226		12,968		23,294		1,637		2,558		33		1		(944)
Insurance	24,305		1,658		22,647		23,370		866		69		—		1		(2,218)
Asset managers and funds	24,763		6,942		17,821		22,357		2,276		130		—		31		(32)
Financial markets infrastructure	16,838		22		16,816		16,838		—		—		—		—		(2)
Other industries	16,842		9,718		7,214		8,299		7,383		1,080		80		42		65
Total	$	794,576	$	350,187	$	444,479	$	665,172	$	98,985	$	27,489	$	2,928	$	389	$	(32,118)

(1) Excludes $39,748 million and $3,426 million of funded and unfunded delinquency-managed private bank exposures at December 31, 2019, respectively.

(2) Includes non-accrual loan exposures and criticized unfunded exposures.

(3) Net charge-offs (recoveries) are for the year ended December 31, 2019 and exclude delinquency-managed private bank charge-offs of $6 million.

(4) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $32.1 billion of purchased credit protection, $30.5 billion represents the total notional of purchased credit derivatives on individual reference entities. The remaining $1.6 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $13.8 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.

(5) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.9 billion ($7.7 billion in funded) as of December 31, 2019, of which more than 99% were investment grade at December 31, 2019.

(6) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and transportation and industrial sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2019, Citi’s total exposure to these energy-related entities remained largely consistent with September 30, 2019, at approximately $6 billion, of which approximately $3 billion consisted of direct outstanding funded loans.

57

Credit Risk Mitigation

As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Principal transactions in the Consolidated Statement of Income.

At June 30, 2020, March 31, 2020 and December 31, 2019, ICG (excluding the delinquency-managed private bank portfolio) had economic hedges on the corporate credit portfolio of $36.5 billion, $33.0 billion and $32.1 billion, respectively. Citigroup’s expected credit 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 ICG (excluding the delinquency-managed private bank portfolio) corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure

	June 30, 2020		March 31, 2020		December 31, 2019
AAA/AA/A	30	%	32	%	36	%
BBB	53		52		51
BB/B	14		14		12
CCC or below	3		2		1
Total	100	%	100	%	100	%

58

ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding

	2nd Qtr.			1st Qtr.			4th Qtr.			3rd Qtr.			2nd Qtr.
In millions of dollars	2020			2020			2019			2019			2019
Consumer loans
In North America offices(1)
Residential first mortgages(2)	$	48,167		$	47,260		$	47,008		$	46,337		$	45,474
Home equity loans(2)	8,524			8,936			9,223			9,850			10,404
Credit cards	128,032			137,316			149,163			141,560			140,246
Personal, small business and other	4,859			3,675			3,699			3,793			3,873
Total	$	189,582		$	197,187		$	209,093		$	201,540		$	199,997
In offices outside North America(1)
Residential first mortgages(2)	$	36,745		$	35,400		$	37,686		$	36,644		$	36,580
Credit cards	20,966			21,801			25,909			24,367			24,975
Personal, small business and other	33,820			34,042			36,860			34,849			34,953
Total	$	91,531		$	91,243		$	100,455		$	95,860		$	96,508
Consumer loans, net of unearned income(3)	$	281,113		$	288,430		$	309,548		$	297,400		$	296,505
Corporate loans
In North America offices(1)
Commercial and industrial	$	70,755		$	81,231		$	55,929		$	59,645		$	64,601
Financial institutions	53,860			60,653			53,922			52,678			47,610
Mortgage and real estate(2)	57,821			55,428			53,371			52,972			51,321
Installment and other	25,602			30,591			31,238			31,303			33,555
Lease financing	869			988			1,290			1,314			1,385
Total	$	208,907		$	228,891		$	195,750		$	197,912		$	198,472
In offices outside North America(1)
Commercial and industrial	$	115,471		$	121,703		$	112,668		$	120,900		$	117,759
Financial institutions	35,173			37,003			40,211			37,908			37,523
Mortgage and real estate(2)	10,332			9,639			9,780			7,811			7,577
Installment and other	30,678			31,728			27,303			26,774			27,333
Lease financing	66			72			95			80			92
Governments and official institutions	3,552			3,554			4,128			2,958			3,409
Total	$	195,272		$	203,699		$	194,185		$	196,431		$	193,693
Corporate loans, net of unearned income(4)	$	404,179		$	432,590		$	389,935		$	394,343		$	392,165
Total loans—net of unearned income	$	685,292		$	721,020		$	699,483		$	691,743		$	688,670
Allowance for credit losses on loans (ACLL)	(26,420)			(20,841)			(12,783)			(12,530)			(12,466)
Total loans—net of unearned income  and ACLL	$	658,872		$	700,179		$	686,700		$	679,213		$	676,204
ACLL as a percentage of total loans— net of unearned income(5)	3.89		%	2.91		%	1.84		%	1.82		%	1.82		%
ACLL for consumer loan losses as a percentage of total consumer loans—net of unearned income(5)	6.97		%	6.03		%	3.20		%	3.27		%	3.26		%
ACLL for corporate loan losses as a percentage of total corporate loans—net of unearned income(5)	1.71		%	0.81		%	0.75		%	0.72		%	0.72		%

(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification of corporate loans between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.

(2)Loans secured primarily by real estate.

(3)Consumer loans are net of unearned income of $734 million, $771 million, $783 million, $783 million and $751 million at June 30, 2020, March 31, 2020, December 31, 2019, September 30, 2019 and June 30, 2019, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.

(4)Corporate loans include private bank loans and are net of unearned income of $(854) million, $(791) million, $(814) million, $(818) million and $(853) million at June 30, 2020, March 31, 2020, December 31, 2019, September 30, 2019 and June 30, 2019, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.

(5)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.

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Details of Credit Loss Experience

	2nd Qtr.			1st Qtr.			4th Qtr.			3rd Qtr.			2nd Qtr.
In millions of dollars	2020			2020			2019			2019			2019
Allowance for credit losses on loans (ACLL) at beginning of period	$	20,841		$	12,783		$	12,530		$	12,466		$	12,329
Adjustment to opening balance for CECL adoption(1)	—			4,201			—			—			—
Adjusted ACLL at beginning of period	$	20,841		$	16,984		$	12,530		$	12,466		$	12,329
Provision for credit losses on loans (PCLL)
Consumer(2)	$	4,003		$	5,001		$	1,948		$	1,916		$	1,947
Corporate	3,693			1,443			175			146			142
Total	$	7,696		$	6,444		$	2,123		$	2,062		$	2,089
Gross credit losses on loans
Consumer
In U.S. offices	$	1,675		$	1,763		$	1,672		$	1,564		$	1,659
In offices outside the U.S.	506			578			535			588			591
Corporate
In U.S. offices	177			116			68			98			62
In offices outside the U.S.	170			22			86			31			42
Total	$	2,528		$	2,479		$	2,361		$	2,281		$	2,354
Credit recoveries on loans(3)
Consumer
In U.S. offices	$	199		$	239		$	249		$	231		$	253
In offices outside the U.S.	100			121			128			118			123
Corporate
In U.S. offices	12			6			9			13			7
In offices outside the U.S.	11			5			31			6			8
Total	$	322		$	371		$	417		$	368		$	391
Net credit losses on loans (NCLs)
In U.S. offices	$	1,641		$	1,634		$	1,482		$	1,418		$	1,461
In offices outside the U.S.	565			474			462			495			502
Total	$	2,206		$	2,108		$	1,944		$	1,913		$	1,963
Other—net(4)(5)(6)(7)(8)(9)	$	89		$	(479)		$	74		$	(85)		$	11
Allowance for credit losses on loans (ACLL) at end of period	$	26,420		$	20,841		$	12,783		$	12,530		$	12,466
ACLL as a percentage of EOP loans(10)	3.89		%	2.91		%	1.84		%	1.82		%	1.82		%
Allowance for credit losses on unfunded lending commitments (ACLUC)(11)(12)	$	1,859		$	1,813		$	1,456		$	1,385		$	1,376
Total ACLL and ACLUC	$	28,279		$	22,654		$	14,239		$	13,915		$	13,842
Net consumer credit losses on loans	$	1,882		$	1,981		$	1,830		$	1,803		$	1,874
As a percentage of average consumer loans	2.70		%	2.66		%	2.41		%	2.42		%	2.57		%
Net corporate credit losses on loans	$	324		$	127		$	114		$	110		$	89
As a percentage of average corporate loans	0.31		%	0.13		%	0.12		%	0.11		%	0.09		%
ACLL by type at end of period(13)
Consumer	$	19,596		$	17,390		$	9,897		$	9,727		$	9,679
Corporate	6,824			3,451			2,886			2,803			2,787
Total	$	26,420		$	20,841		$	12,783		$	12,530		$	12,466

(1)On January 1, 2020, Citi adopted Accounting Standards Update (ASC) 326, Financial Instruments—Credit Losses (CECL). The ASU introduces a new credit loss methodology requiring earlier recognition of credit losses while also providing additional transparency about credit risk. On January 1, 2020, Citi recorded a $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the Consumer allowance for credit losses due to longer estimated tenors than under the incurred loss methodology under prior U.S. GAAP, net of recoveries; and (ii) a $(0.8) billion decrease to the Corporate allowance for credit losses due to shorter remaining tenors, incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies. See Note 1 to the Consolidated Financial Statements for further discussion on the impact of Citi’s adoption of CECL.

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(2)During the second quarter of 2020, Citi updated its ACLL estimate of lifetime credit losses resulting from a change in accounting for variable post-charge-off third-party agency collection costs in its U.S. Consumer businesses. After June 30, 2020, these costs will be recorded as operating expenses for future periods as they are incurred. The impact of this change in estimate effected by a change in accounting principle resulted in an approximate $426 million reduction in Citi's estimated ACLL at June 30, 2020. For additional information, see “Significant Accounting Policies and Significant Estimates” below.

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

(4)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.

(5)The second quarter of 2020 includes an increase of approximately $88 million related to FX translation.

(6)The first quarter of 2020 includes a decrease of approximately $483 million related to FX translation.

(7)The fourth quarter of 2019 includes an increase of approximately $86 million related to FX translation.

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

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

(10)June 30, 2020, March 31, 2020, December 31, 2019, September 30, 2019, and June 30, 2019, exclude $5.8 billion, $4.0 billion, $4.1 billion, $3.9 billion, and $3.8 billion, respectively, of loans that are carried at fair value.

(11)At June 30, 2020, the Corporate ACLUC includes a non-provision transfer of $68 million, representing reserves on performance guarantees as of March 31, 2020. The reserves on these contracts have been reclassified out of the allowance for credit losses on unfunded lending commitments and into other liabilities as of June 30, 2020.

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

(13)See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.

Allowance for Credit Losses on Loans (ACLL)

The following tables detail information on Citi’s ACLL, loans and coverage ratios:

	June 30, 2020
In billions of dollars	ACLL		EOP loans, net of unearned income		ACLL as a percentage of EOP loans(1)
North America cards(2)	$	14.7	$	128.0	11.5	%
North America mortgages(3)	0.9		56.7		1.6
North America other	0.3		4.9		6.1
International cards	2.0		21.0		9.5
International other(4)	1.7		70.5		2.4
Total consumer	$	19.6	$	281.1	7.0	%
Total corporate	6.8		404.2		1.7
Total Citigroup	$	26.4	$	685.3	3.9	%

(1)Loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.

(2)Includes both Citi-branded cards and Citi retail services. The $14.7 billion of loan loss reserves represented approximately 30 months of coincident net credit loss coverage. As of June 30, 2020, North America Citi-branded cards ACLL as a percentage of EOP loans was 10.1% and North America Citi retail services ACLL as a percentage of EOP loans was 14.0%.

(3)Of the $0.9 billion, approximately $0.5 billion was allocated to North America mortgages in Corporate/Other, including approximately $0.7 billion and $0.2 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $56.7 billion in loans, approximately $54.8 billion and $1.9 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.

(4)Includes mortgages and other retail loans.

	December 31, 2019
In billions of dollars	ACLL		EOP loans, net of unearned income		ACLL as a percentage of EOP loans(1)
North America cards(2)	$	7.0	$	149.2	4.7	%
North America mortgages(3)	0.3		56.2		0.5
North America other	0.1		3.7		2.7
International cards	1.4		25.9		5.4
International other(4)	1.1		74.6		1.5
Total consumer	$	9.9	$	309.6	3.2	%
Total corporate	2.9		389.9		0.7
Total Citigroup	$	12.8	$	699.5	1.8	%

(1)Loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.

(2)Includes both Citi-branded cards and Citi retail services. The $7.0 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.

(3)Of the $0.3 billion, nearly all was allocated to North America mortgages in Corporate/Other, including $0.1 billion and $0.2 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 $54.2 billion and $2.0 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.

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(4)Includes mortgages and other retail loans.

The following table details Citi’s corporate credit allowance for credit losses on loans (ACLL) by industry exposure:

	June 30, 2020
In millions of dollars, except percentages	Funded exposure(1)		ACLL(2)(3)		ACLL as a % of funded exposure
Transportation and industrials	$	68,257	$	1,957	2.87	%
Private bank	67,956		345		0.51
Consumer retail	37,401		773		2.07
Health	8,466		180		2.13
Technology, media and telecom	32,831		482		1.47
Power, chemicals, metals and mining	24,759		543		2.19
Banks and finance companies	34,274		323		0.94
Securities firms	424		9		2.12
Real estate	40,673		551		1.35
Energy and commodities	18,769		841		4.48
Public sector	14,470		251		1.73
Insurance	1,454		9		0.62
Asset managers and funds	5,151		29		0.56
Financial markets infrastructure	28		—		—
Other industries	9,052		181		2.00
Total	$	363,965	$	6,474	1.78	%

(1) Funded exposure includes $5,783 million of loans at fair value that are not subject to ACLL under the CECL standard.

(2) As of June 30, 2020, the ACLL shown above reflects coverage of 0.5% of funded investment grade exposure and 5.1% of funded non-investment grade exposure.

(3) Excludes $350 million of ACLL associated with approximately $40 billion of funded delinquency-managed private bank exposures at June 30, 2020. Including those reserves and exposures, the total ACLL is 1.71% of total funded exposure, including 0.6% of funded investment grade exposure and 4.9% of funded non-investment grade exposure.

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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 2019 Annual Report on Form 10-K.

Non-Accrual Loans

The table below summarizes Citigroup’s non-accrual loans as of the periods indicated. Non-accrual loans may still be current

on interest payments. In situations where Citi reasonably expects that only a portion of the principal owed will ultimately be collected, all payments received are reflected as a reduction of principal and not as interest income. For all other non-accrual loans, cash interest receipts are generally recorded as revenue.

	Jun. 30,		Mar. 31,		Dec. 31,		Sept. 30,		Jun. 30,
In millions of dollars	2020		2020		2019		2019		2019
Corporate non-accrual loans(1)(2)
North America	$	2,466	$	1,138	$	1,214	$	1,056	$	913
EMEA	812		720		430		307		321
Latin America	585		447		473		399		353
Asia	153		179		71		84		80
Total corporate non-accrual loans	$	4,016	$	2,484	$	2,188	$	1,846	$	1,667
Consumer non-accrual loans(3)
North America	$	928	$	926	$	905	$	1,013	$	1,082
Latin America	608		489		632		595		629
Asia(4)	293		284		279		258		260
Total consumer non-accrual loans	$	1,829	$	1,699	$	1,816	$	1,866	$	1,971
Total non-accrual loans	$	5,845	$	4,183	$	4,004	$	3,712	$	3,638

(1)Approximately 63%, 45%, 44%, 41% and 48% of Citi’s corporate non-accrual loans were performing at June 30, 2020, March 31, 2020, December 31, 2019, September 30, 2019 and June 30, 2019, respectively.

(2)The June 30, 2020 corporate non-accrual loans represented 0.99% of total corporate loans, and approximately two-thirds were still making payments.

(3) Excludes purchased credit deteriorated loans, as they are generally accreting interest. The carrying value of these loans was $121 million at June 30, 2020, $129 million at March 31, 2020, $128 million at December 31, 2019, $117 million at September 30, 2019 and $123 million at June 30, 2019.

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

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

	Three Months Ended										Three Months Ended
	June 30, 2020										June 30, 2019
In millions of dollars	Corporate		Consumer		Total		Corporate		Consumer		Total
Non-accrual loans at beginning of period	$	2,484	$	1,699	$	4,183	$	1,732	$	1,955	$	3,687
Additions	2,414		638		3,052		499		823		1,322
Sales and transfers to HFS	—		(11)		(11)		—		(22)		(22)
Returned to performing	(69)		(113)		(182)		(11)		(92)		(103)
Paydowns/settlements	(802)		(109)		(911)		(499)		(286)		(785)
Charge-offs	(41)		(278)		(319)		(37)		(406)		(443)
Other	30		3		33		(17)		(1)		(18)
Ending balance	$	4,016	$	1,829	$	5,845	$	1,667	$	1,971	$	3,638
	Six Months Ended										Six Months Ended
	June 30, 2020										June 30, 2019
In millions of dollars	Corporate		Consumer		Total		Corporate		Consumer		Total
Non-accrual loans at beginning of period	$	2,188	$	1,816	$	4,004	$	1,511	$	2,027	$	3,538
Additions	3,230		1,590		4,820		1,222		1,545		2,767
Sales and transfers to HFS	(1)		(31)