Companies: 10,660     total market cap: $140.341 T
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Citigroup
C
#77
Rank
$219.52 B
Marketcap
๐Ÿ‡บ๐Ÿ‡ธ United States
Country
$122.69
Share price
6.00%
Change (1 day)
52.33%
Change (1 year)
๐Ÿฆ Banks๐Ÿ’ณ Financial services
Categories
  1. Citigroup
  2. Quarterly Reports (10-Q)
  3. Financial Year FY2019 Q2

Citigroup - 10-Q quarterly report FY2019 Q2


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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
☒
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2019

OR

☐
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from  to
Commission file number 1-9924
Citigroup Inc.
(Exact name of registrant as specified in its charter)
Delaware
 
52-1568099
(State or other jurisdiction of incorporation or organization)
 
(I.R.S. Employer Identification No.)
388 Greenwich Street,
New York
NY
 
10013
(Address of principal executive offices)

 
(Zip code)
(212) 559-1000
(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 formatted in Inline XBRL: See Exhibit 99.01
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒    No ☐
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒  No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer
☒
Accelerated filer
☐
Non-accelerated filer
☐
Smaller reporting company
☐
 
 
 
 
 
 
Emerging growth company
☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. Yes ☐    
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐    No ☒
Number of shares of Citigroup Inc. common stock outstanding on June 30, 2019: 2,259,056,466

Available on the web at www.citigroup.com
 



CITIGROUP’S SECOND QUARTER 2019—FORM 10-Q
OVERVIEW
1
MANAGEMENT'S DISCUSSION AND
  ANALYSIS OF FINANCIAL CONDITION AND
  RESULTS OF OPERATIONS
3
Executive Summary
3
Summary of Selected Financial Data
6
SEGMENT AND BUSINESS—INCOME (LOSS)
  AND REVENUES
8
SEGMENT BALANCE SHEET
9
Global Consumer Banking (GCB)
10
North America GCB
12
Latin America GCB
14
Asia GCB
16
Institutional Clients Group
18
Corporate/Other
22
OFF-BALANCE SHEET
  ARRANGEMENTS
23
CAPITAL RESOURCES
24
MANAGING GLOBAL RISK TABLE OF
  CONTENTS
35
MANAGING GLOBAL RISK
36
INCOME TAXES
71
FUTURE APPLICATION OF ACCOUNTING
  STANDARDS
72
DISCLOSURE CONTROLS AND
  PROCEDURES
73
DISCLOSURE PURSUANT TO SECTION 219 OF
  THE IRAN THREAT REDUCTION AND SYRIA
  HUMAN RIGHTS ACT
73
FORWARD-LOOKING STATEMENTS
74
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
77
CONSOLIDATED FINANCIAL STATEMENTS
78
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS (UNAUDITED)
85
UNREGISTERED SALES OF EQUITY SECURITIES,
  PURCHASES OF EQUITY SECURITIES AND
  DIVIDENDS
197



OVERVIEW

This Quarterly Report on Form 10-Q should be read in conjunction with Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2018 (2018 Annual Report on Form 10-K) and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2019 (First Quarter of 2019 Form 10-Q).
Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s annual reports on Form 10-K, quarterly reports on Form 10-Q and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available free of charge through Citi’s website by clicking on the “Investors” page and selecting “All SEC Filings.” The SEC’s website also contains current reports on Form 8-K, and other information regarding Citi at www.sec.gov.
Certain reclassifications, including a realignment of certain businesses, have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation. For additional information on certain recent reclassifications, see Notes 1 and 3 to the Consolidated Financial Statements below and Notes 1 and 3 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.


1



Citigroup is managed pursuant to two business segments: Global Consumer Banking and Institutional Clients Group, with the remaining operations in Corporate/Other.
acitisegmentsq119charta01.jpg
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
citiregions18q1a03.jpg

(1)
Latin America GCB consists of Citi’s consumer banking business in Mexico.
(2)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(3)
North America includes the U.S., Canada and Puerto Rico, Latin America includes Mexico and Asia includes Japan.

2


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

EXECUTIVE SUMMARY

Second Quarter of 2019—Results Demonstrated Continued Progress
As described further throughout this Executive Summary, during the second quarter of 2019, Citi continued to demonstrate steady progress toward improving its profitability and returns, despite an uncertain environment. During the quarter, Citi had revenue growth and positive operating leverage in every region in Global Consumer Banking (GCB), excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation). (Citi’s results of operations excluding the impact of FX translation are non-GAAP financial measures.)
Citi also showed continued momentum across treasury and trade solutions, securities services and the private bank in the Institutional Clients Group (ICG), while investment banking and fixed income and equity markets revenues were impacted by a challenging market environment. Citi’s results in the quarter also included a pretax gain of approximately $350 million (approximately $270 million after-tax) on Citi’s investment in Tradeweb (an electronic trading platform), recorded in fixed income markets within ICG.
Citi continued to demonstrate strong expense discipline, resulting in the eleventh consecutive quarter of positive operating leverage. Citi also had deposit and loan growth in both GCB and ICG, while credit quality remained broadly stable.
In the quarter, Citi continued to return capital to its shareholders, including $4.6 billion in the form of common stock repurchases and dividends. Citi repurchased approximately 54 million common shares, contributing to a 10% reduction in average outstanding common shares from the prior-year period. Despite progress in returning capital to shareholders, Citi’s key regulatory capital metrics remained strong (see “Capital” below).
During the quarter, the Federal Reserve Board advised Citi that it did not object to the capital plan submitted as part of Citi’s 2019 Comprehensive Capital Analysis and Review (CCAR). Accordingly, Citi intends to return $21.5 billion of capital to its common shareholders over the next four quarters, beginning in the third quarter of 2019 (for additional information, see “Equity Security Repurchases” and “Dividends” below).
While global growth has continued, economic forecasts for 2019 have been lowered and various economic, political and other risks and uncertainties could create a more volatile operating environment and impact Citi’s businesses and future results. For a discussion of the risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition during the remainder of 2019, see each respective business’s results of operations and “Forward-Looking Statements” below, as well as each respective business’s results of operations and the “Managing Global Risk” and “Risk Factors” sections in Citi’s 2018 Annual Report on Form 10-K.
 

Second Quarter of 2019 Results Summary

Citigroup
Citigroup reported net income of $4.8 billion, or $1.95 per share, compared to net income of $4.5 billion, or $1.63 per share, in the prior-year period. Net income increased 7% from the prior-year period, primarily driven by higher revenues, lower expenses and a lower effective tax rate, partially offset by higher cost of credit. Earnings per share increased 20%, including the Tradeweb gain. Excluding the Tradeweb gain, earnings per share of $1.83 increased 12%, primarily reflecting the 10% reduction in average shares outstanding, driven by the common stock repurchases as well as the lower effective tax rate. (Citi’s results of operations excluding gains are non-GAAP financial measures.)
Citigroup revenues of $18.8 billion in the second quarter of 2019 increased 2% from the prior-year period, reflecting the Tradeweb gain and higher revenues across GCB, partially offset by declines in investment banking and fixed income and equity markets revenues, as well as mark-to-market losses on loan hedges in ICG.
Citigroup’s end-of-period loans increased 3% to $689 billion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s end-of-period loans also grew 3%, as 4% aggregate growth in GCB and ICG was partially offset by the continued wind-down of legacy assets in Corporate/Other. Citigroup’s end-of-period deposits increased 5% to $1.0 trillion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s deposits also increased 5%, primarily driven by 6% growth in ICG deposits as well as 3% growth in GCB.

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

Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims of $2.1 billion increased 16% from the prior-year period. The increase was primarily driven by higher net credit losses in both Citi-branded cards and Citi retail services in North America GCB as well as normalization in credit trends in ICG.
Net credit losses of $2.0 billion increased 15% versus the prior-year period. Consumer net credit losses of $1.9 billion increased 11% from the prior-year period, primarily reflecting volume growth and seasoning in the North America cards portfolios. Corporate net credit losses increased to $70 million from a net recovery of $2 million in the prior-year period, reflecting credit normalization in ICG. For additional

3


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

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

Global Consumer Banking
GCB net income of $1.4 billion increased 11%. Excluding the impact of FX translation, net income also increased 11%, driven primarily by higher revenues and a lower effective tax rate, partially offset by higher expenses and cost of credit. GCB operating expenses of $4.7 billion were largely unchanged versus the prior-year period. Excluding the impact of FX translation, expenses increased 1%, as continued investments and volume-driven expenses were largely offset by efficiency savings.
GCB revenues of $8.5 billion increased 3% versus the prior-year period. Excluding the impact of FX translation, revenues increased 4%, driven by growth in all three regions. North America GCB revenues of $5.2 billion increased 3%, primarily driven by growth in Citi-branded cards and Citi retail services, as retail banking revenues were largely unchanged. In North America GCB, Citi-branded cards revenues of $2.2 billion increased 7%, primarily driven by growth in interest-earning balances. Citi retail services revenues of $1.6 billion increased 1% versus the prior-year period, primarily reflecting loan growth, partially offset by higher contractual partner payments. Retail banking revenues of $1.4 billion were largely unchanged versus the prior-year period. Excluding mortgage revenues, retail banking revenues of $1.2 billion increased 1% from the prior-year period, as improved growth in deposit volumes was partially offset by lower deposit spreads in commercial banking.
North America GCB average deposits of $183 billion increased 2% year-over-year, average retail banking loans of $58 billion increased 4% year-over-year and assets under management of $68 billion grew 12%. Average Citi-branded card loans of $88 billion increased 2%, while Citi-branded card purchase sales of $93 billion increased 8% versus the prior-year period. Average Citi retail services loans of $49 billion increased 5% versus the prior-year period, while Citi retail services purchase sales of $23 billion increased 4%. For additional information on the results of operations of North America GCB for the second quarter of 2019, see “Global Consumer Banking—North America GCB” below.
International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes the results of operations in certain EMEA countries)) of $3.3 billion increased 3%
 
versus the prior-year period. Excluding the impact of FX translation, international GCB revenues increased 4% versus the prior-year period. On this basis, Latin America GCB revenues increased 3% versus the prior-year period, including the impact of the revenues associated with an asset management business in Mexico sold in the third quarter of 2018. Excluding this impact, Latin America GCB revenues increased 5%, primarily driven by an increase in cards revenues and improved deposit spreads. Asia GCB revenues increased 5%, including a gain from a building sale. Excluding this gain, revenues increased 3%, primarily driven by higher deposit revenues as well as a recovery in investment revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for the second quarter of 2019, including the impact of FX translation, see “Global Consumer Banking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below.
Year-over-year, international GCB average deposits of $130 billion increased 5%, average retail banking loans of $90 billion increased 2%, assets under management of $108 billion increased 5%, average card loans of $25 billion increased 4% and card purchase sales of $26 billion increased 6%, all excluding the impact of FX translation.

Institutional Clients Group
ICG net income of $3.3 billion increased 3%, primarily driven by a decrease in expenses and a lower effective tax rate, partially offset by higher cost of credit. ICG operating expenses decreased 2% to $5.4 billion, as efficiency savings more than offset investments and volume-related expenses.
ICG revenues of $9.7 billion were largely unchanged in the second quarter of 2019, as the Tradeweb gain was offset by a 3% decrease in Banking revenues and a 4% decrease in Markets and securities services revenues. The decrease in Banking revenues included the impact of $75 million of losses on loan hedges within corporate lending, compared to gains of $23 million in the prior-year period.
Banking revenues of $5.1 billion (excluding the impact of gains (losses) on loan hedges within corporate lending) decreased 1%, as growth in treasury and trade solutions and the private bank was more than offset by lower revenues in investment banking and corporate lending. Investment banking revenues of $1.3 billion decreased 10%, but outperformed the market wallet. Advisory revenues decreased 36% to $232 million, equity underwriting revenues decreased 6% to $314 million and debt underwriting revenues increased 2% to $737 million, all versus the prior-year period.
Treasury and trade solutions revenues of $2.4 billion increased 4% versus the prior-year period, and 7% excluding the impact of FX translation, reflecting continued strong client engagement, with growth in deposits and transaction volumes as well as improved trade spreads. Private bank revenues increased 2% to $866 million versus the prior-year period, reflecting growth with new and existing clients, which drove higher lending and deposit volumes as well as growth in assets under management, partially offset by spread compression. Corporate lending revenues decreased 24% to $463 million. Excluding the impact of gains (losses) on loan hedges,

4


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

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


















5


RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
 
Second Quarter
 
Six Months
 
In millions of dollars, except per share amounts and ratios
2019
2018
% Change
2019
2018
% Change
Net interest revenue
$
11,950

$
11,665

2
 %
$
23,709

$
22,837

4
 %
Non-interest revenue
6,808

6,804

—

13,625

14,504

(6
)
Revenues, net of interest expense
$
18,758

$
18,469

2
 %
$
37,334

$
37,341

—
 %
Operating expenses
10,500

10,712

(2
)
21,084

21,637

(3
)
Provisions for credit losses and for benefits and claims
2,093

1,812

16

4,073

3,669

11

Income from continuing operations before income taxes
$
6,165

$
5,945

4
 %
$
12,177

$
12,035

1
 %
Income taxes
1,373

1,444

(5
)
2,648

2,885

(8
)
Income from continuing operations
$
4,792

$
4,501

6
 %
$
9,529

$
9,150

4
 %
Income from discontinued operations,
  net of taxes(1)
17

15

13

15

8

88

Net income before attribution of noncontrolling
  interests
$
4,809

$
4,516

6
 %
$
9,544

$
9,158

4
 %
Net income attributable to noncontrolling interests
10

26

(62
)
35

48

(27
)
Citigroup’s net income
$
4,799

$
4,490

7
 %
$
9,509

$
9,110

4
 %
Less:
 
 


 
 
 
Preferred dividends—Basic
$
296

$
318

(7
)%
$
558

$
590

(5
)%
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS
50

49

2

109

90

21

Income allocated to unrestricted common shareholders
  for basic and diluted EPS
$
4,453

$
4,123

8
 %
$
8,842

$
8,430

5
 %
Earnings per share
 
 


 
 

 
Basic
 
 


 
 

 
Income from continuing operations
$
1.94

$
1.62

20
 %
$
3.81

$
3.30

15
 %
Net income
1.95

1.63

20

3.82

3.31

15

Diluted
 
 


 
 
 
Income from continuing operations
$
1.94

$
1.62

20
 %
$
3.81

$
3.30

15
 %
Net income
1.95

1.63

20

3.82

3.31

15

Dividends declared per common share
0.45

0.32

41

0.90

0.64

41


Table continues on the next page, including footnotes.

6



SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2
Citigroup Inc. and Consolidated Subsidiaries
 
Second Quarter
 
Six Months
 
In millions of dollars, except per share amounts, ratios and direct staff
2019
2018
% Change
2019
2018
% Change
At June 30:
 
 
 
 
 
 
Total assets
$
1,988,226

$
1,912,334

4
 %
 
 
 
Total deposits
1,045,607

996,730

5

 
 
 
Long-term debt
252,189

236,822

6

 
 
 
Citigroup common stockholders’ equity
179,379

181,059

(1
)
 
 
 
Total Citigroup stockholders’ equity
197,359

200,094

(1
)
 
 
 
Direct staff (in thousands)
200

205

(2
)
 
 
 
Performance metrics
 
 


 
 
 
Return on average assets
0.97
%
0.94
%


0.98
%
0.96
%
 
Return on average common stockholders’ equity(2)
10.1

9.2



10.2

9.5

 
Return on average total stockholders’ equity(2)
9.8

9.0



9.8

9.2

 
Efficiency ratio (total operating expenses/total revenues)
56.0

58.0



56.5

57.9

 
Basel III ratios
 
 
 
 
 
 
Common Equity Tier 1 Capital(3)
11.89
%
12.14
%
 
 
 
 
Tier 1 Capital(3)
13.43

13.77

 
 
 
 
Total Capital(3)
16.36

16.31

 
 
 
 
Supplementary Leverage ratio
6.38

6.60

 
 
 
 
Citigroup common stockholders’ equity to assets
9.02
%
9.47
%
 


 
 
Total Citigroup stockholders’ equity to assets
9.93

10.46

 


 
 
Dividend payout ratio(4)
23.1

19.6

 
23.6
%
19.3
%
 
Total payout ratio(5)
102.5

74.9

 
108.9

73.1

 
Book value per common share
$
79.40

$
71.95

10
 %


 
 
Tangible book value (TBV) per share(6)
67.64

61.29

10

 
 
 
(1)
See Note 2 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K for additional information on Citi’s discontinued operations.
(2)
The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(3)
Citi’s reportable Common Equity Tier 1 (CET1) Capital and Tier 1 Capital ratios were the lower derived under the U.S. Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the U.S. Basel III Advanced Approaches framework. This reflects the U.S. Basel III requirement to report the lower of risk-based capital ratios under both the Standardized Approach and Advanced Approaches in accordance with the Collins Amendment of the Dodd-Frank Act.
(4)
Dividends declared per common share as a percentage of net income per diluted share.
(5)
Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders. See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.
(6)
For information on TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity” below.




7


SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
 
Second Quarter
 
Six Months
 
In millions of dollars
2019
2018
% Change
2019
2018
% Change
Income from continuing operations
 
 
 
 
 
 
Global Consumer Banking
 
 
 
 
 
 
  North America
$
721

$
719

—
 %
$
1,490

$
1,557

(4
)%
  Latin America
262

197

33

514

376

37

  Asia(1)
430

360

19

846

733

15

Total
$
1,413

$
1,276

11
 %
$
2,850

$
2,666

7
 %
Institutional Clients Group


 




 


  North America
$
1,022

$
1,030

(1
)%
$
1,736

$
1,888

(8
)%
  EMEA
1,005

986

2

2,130

2,099

1

  Latin America
491

517

(5
)
994

1,011

(2
)
  Asia
825

708

17

1,805

1,577

14

Total
$
3,343

$
3,241

3
 %
$
6,665

$
6,575

1
 %
Corporate/Other
36

(16
)
NM

14

(91
)
NM

Income from continuing operations
$
4,792

$
4,501

6
 %
$
9,529

$
9,150

4
 %
Discontinued operations
$
17

$
15

13
 %
$
15

$
8

88
 %
Less: Net income attributable to noncontrolling interests
10

26

(62
)
35

48

(27
)
Citigroup’s net income
$
4,799

$
4,490

7
 %
$
9,509

$
9,110

4
 %

(1)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
NM Not meaningful

CITIGROUP REVENUES
 
Second Quarter
 
Six Months
 
In millions of dollars
2019
2018
% Change
2019
2018
% Change
Global Consumer Banking
 
 
 
 
 
 
  North America
$
5,158

$
5,004

3
 %
$
10,343

$
10,161

2
 %
  Latin America
1,432

1,375

4

2,813

2,715

4

  Asia(1)
1,915

1,865

3

3,800

3,794

—

Total
$
8,505

$
8,244

3
 %
$
16,956

$
16,670

2
 %
Institutional Clients Group


 


 
 


  North America
$
3,478

$
3,511

(1
)%
$
6,597

$
6,777

(3
)%
  EMEA
2,960

3,043

(3
)
6,130

6,210

(1
)
  Latin America
1,195

1,168

2

2,355

2,384

(1
)
  Asia
2,088

1,975

6

4,333

4,181

4

Total
$
9,721

$
9,697

—
 %
$
19,415

$
19,552

(1
)%
Corporate/Other
532

528

1

963

1,119

(14
)
Total Citigroup net revenues
$
18,758

$
18,469

2
 %
$
37,334

$
37,341

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




8


SEGMENT BALANCE SHEET(1) 
In millions of dollars
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Citigroup
parent company-
issued long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Assets
 
 
 
 
 
Cash and deposits with banks
$
9,323

$
71,804

$
122,116

$
—

$
203,243

Securities borrowed and purchased under agreements to resell
175

259,341

253

—

259,769

Trading account assets
1,041

295,151

10,639

—

306,831

Investments
1,064

117,471

231,167

—

349,702

Loans, net of unearned income and
  allowance for loan losses

304,569

360,298

11,337

—

676,204

Other assets
38,943

110,571

42,963

—

192,477

Net inter-segment liquid assets(4)
81,471

239,509

(320,980
)
—

—

Total assets
$
436,586

$
1,454,145

$
97,495

$
—

$
1,988,226

Liabilities and equity
 
 
 
 
 
Total deposits
$
315,923

$
714,759

$
14,925

$
—

$
1,045,607

Securities loaned and sold under
  agreements to repurchase
4,255

176,844

34

—

181,133

Trading account liabilities
411

135,394

489

—

136,294

Short-term borrowings
370

26,646

15,426

—

42,442

Long-term debt(3)
1,752

53,783

44,513

152,141

252,189

Other liabilities
21,023

92,664

18,764

—

132,451

Net inter-segment funding (lending)(3)
92,852

254,055

2,593

(349,500
)
—

Total liabilities
$
436,586

$
1,454,145

$
96,744

$
(197,359
)
$
1,790,116

Total stockholders’ equity(5)
—

—

751

197,359

198,110

Total liabilities and equity
$
436,586

$
1,454,145

$
97,495

$
—

$
1,988,226


(1)
The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of June 30, 2019. The respective segment information depicts the assets and liabilities managed by each segment as of such date.
(2)
Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other.
(3)
The total stockholders’ equity and the majority of long-term debt of Citigroup reside in the Citigroup parent company balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)
Represents the attribution of Citigroup’s liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.
(5)
Corporate/Other equity represents noncontrolling interests.







9


GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB) consists of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking, including commercial banking, and Citi-branded cards and Citi retail services (for additional information on these businesses, see “Citigroup Segments” above). GCB is focused on its priority markets in the U.S., Mexico and Asia with 2,399 branches in 19 countries and jurisdictions as of June 30, 2019. At June 30, 2019, GCB had approximately $437 billion in assets and $316 billion in deposits.
GCB’s overall strategy is to leverage Citi’s global footprint and be the pre-eminent bank for the affluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets (including commercial banking), Citi serves customers in a somewhat broader set of segments and geographies.

 
Second Quarter
 
Six Months
 
In millions of dollars, except as otherwise noted
2019
2018
% Change
2019
2018
% Change
Net interest revenue
$
7,272

$
7,019

4
 %
$
14,525

$
13,999

4
 %
Non-interest revenue
1,233

1,225

1

2,431

2,671

(9
)
Total revenues, net of interest expense
$
8,505

$
8,244

3
 %
$
16,956

$
16,670

2
 %
Total operating expenses
$
4,663

$
4,652

—
 %
$
9,271

$
9,329

(1
)%
Net credit losses
$
1,889

$
1,726

9
 %
$
3,780

$
3,462

9
 %
Credit reserve build (release)
99

154

(36
)
175

298

(41
)
Provision (release) for unfunded lending commitments
5

3

67
 %
10

2

NM

Provision for benefits and claims
19

22

(14
)
31

48

(35
)
Provisions for credit losses and for benefits and claims (LLR & PBC)
$
2,012

$
1,905

6
 %
$
3,996

$
3,810

5
 %
Income from continuing operations before taxes
$
1,830

$
1,687

8
 %
$
3,689

$
3,531

4
 %
Income taxes
417

411

1

839

865

(3
)
Income from continuing operations
$
1,413

$
1,276

11
 %
$
2,850

$
2,666

7
 %
Noncontrolling interests
1

1

—

1

3

(67
)
Net income
$
1,412

$
1,275

11
 %
$
2,849

$
2,663

7
 %
Balance Sheet data and ratios (in billions of dollars)


 


 
 


Total EOP assets
$
437

$
422

4
 %
 
 


Average assets
431

417

3

$
429

$
420

2
 %
Return on average assets
1.31
%
1.23
%


1.34
%
1.28
%


Efficiency ratio
55

56



55

56



Average deposits
$
313

$
306

2

$
312

$
307

2

Net credit losses as a percentage of average loans
2.45
%
2.28
%


2.46
%
2.29
%


Revenue by business


 


 
 


Retail banking
$
3,574

$
3,483

3
 %
$
7,041

$
6,947

1
 %
Cards(1)
4,931

4,761

4

9,915

9,723

2

Total
$
8,505

$
8,244

3
 %
$
16,956

$
16,670

2
 %
Income from continuing operations by business


 


 
 


Retail banking
$
629

$
577

9
 %
$
1,155

$
1,097

5
 %
Cards(1)
784

699

12

1,695

1,569

8

Total
$
1,413

$
1,276

11
 %
$
2,850

$
2,666

7
 %
Table continues on the next page, including footnotes.


10


Foreign currency (FX) translation impact
 
 


 
 
 
Total revenue—as reported
$
8,505

$
8,244

3
%
$
16,956

$
16,670

2
 %
Impact of FX translation(2)
—

(29
)


—

(142
)


Total revenues—ex-FX(3)
$
8,505

$
8,215

4
%
$
16,956

$
16,528

3
 %
Total operating expenses—as reported
$
4,663

$
4,652

—
%
$
9,271

$
9,329

(1
)%
Impact of FX translation(2)
—

(23
)


—

(93
)


Total operating expenses—ex-FX(3)
$
4,663

$
4,629

1
%
$
9,271

$
9,236

—
 %
Total provisions for LLR & PBC—as reported
$
2,012

$
1,905

6
%
$
3,996

$
3,810

5
 %
Impact of FX translation(2)
—

(2
)


—

(22
)


Total provisions for LLR & PBC—ex-FX(3)
$
2,012

$
1,903

6
%
$
3,996

$
3,788

5
 %
Net income—as reported
$
1,412

$
1,275

11
%
$
2,849

$
2,663

7
 %
Impact of FX translation(2)
—

(4
)


—

(19
)


Net income—ex-FX(3)
$
1,412

$
1,271

11
%
$
2,849

$
2,644

8
 %
(1)
Includes both Citi-branded cards and Citi retail services.
(2)
Reflects the impact of FX translation into U.S. dollars at the second quarter of 2019 and year-to-date 2019 average exchange rates for all periods presented.
(3)
Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful


11


NORTH AMERICA GCB
North America GCB provides traditional retail banking, including commercial banking, and its Citi-branded cards and Citi retail services card products to retail customers and small to mid-size businesses, as applicable, in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Citi-branded cards as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Best Buy and Macy’s) within Citi retail services.
As of June 30, 2019, North America GCB had 688 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of June 30, 2019, North America GCB had approximately 9.1 million retail banking customer accounts, $58.3 billion in retail banking loans and $184.0 billion in deposits. In addition, North America GCB had approximately 118.9 million Citi-branded and Citi retail services credit card accounts with $140.2 billion in outstanding card loan balances.
 
Second Quarter
 
Six Months
 
In millions of dollars, except as otherwise noted
2019
2018
% Change
2019
2018
% Change
Net interest revenue
$
5,030

$
4,780

5
 %
$
10,088

$
9,530

6
 %
Non-interest revenue
128

224

(43
)
255

631

(60
)
Total revenues, net of interest expense
$
5,158

$
5,004

3
 %
$
10,343

$
10,161

2
 %
Total operating expenses
$
2,720

$
2,666

2
 %
$
5,389

$
5,311

1
 %
Net credit losses
$
1,428

$
1,278

12
 %
$
2,857

$
2,574

11
 %
Credit reserve build (release)
82

115

(29
)
180

238

(24
)
Provision (release) for unfunded lending commitments
6

2

NM

11

(2
)
NM

Provision for benefits and claims
6

5

20

12

11

9

Provisions for credit losses and for benefits and claims
$
1,522

$
1,400

9
 %
$
3,060

$
2,821

8
 %
Income from continuing operations before taxes
$
916

$
938

(2
)%
$
1,894

$
2,029

(7
)%
Income taxes
195

219

(11
)
404

472

(14
)
Income from continuing operations
$
721

$
719

—
 %
$
1,490

$
1,557

(4
)%
Noncontrolling interests
—

—

—

—

—

—

Net income
$
721

$
719

—
 %
$
1,490

$
1,557

(4
)%
Balance Sheet data and ratios (in billions of dollars)


 


 

 



Average assets
$
253

$
244

4
 %
$
252

$
246

2
 %
Return on average assets
1.14
%
1.18
%


1.19
%
1.28
%


Efficiency ratio
53

53



52

52



Average deposits
$
183.0

$
179.9

2

$
182.7

$
180.4

1

Net credit losses as a percentage of average loans
2.93
%
2.72
%


2.95
%
2.74
%


Revenue by business


 


 

 



Retail banking
$
1,351

$
1,348

—
 %
$
2,667

$
2,655

—
 %
Citi-branded cards
2,197

2,062

7

4,392

4,294

2

Citi retail services
1,610

1,594

1

3,284

3,212

2

Total
$
5,158

$
5,004

3
 %
$
10,343

$
10,161

2
 %
Income from continuing operations by business


 


 

 



Retail banking
$
114

$
161

(29
)%
$
197

$
301

(35
)%
Citi-branded cards
364

309

18

746

734

2

Citi retail services
243

249

(2
)
547

522

5

Total
$
721

$
719

—
 %
$
1,490

$
1,557

(4
)%

NM Not meaningful

12


2Q19 vs. 2Q18
Net income was largely unchanged, as higher revenues and a lower effective tax rate were offset by higher cost of credit and higher expenses.
Revenues increased 3%, reflecting growth in Citi-branded cards and Citi retail services.
Retail banking revenues were largely unchanged. Excluding mortgage revenues (decline of 9%), revenues were up 1%, as growth in deposit volumes was partially offset by lower deposit spreads in commercial banking. Average deposits increased 2% and assets under management increased 12%. The decline in mortgage revenues was driven by spread compression, partially offset by higher volumes.
Cards revenues increased 4%. In Citi-branded cards, revenues increased 7%, primarily driven by continued growth in interest-earning balances. Average loans increased 2% and purchase sales increased 8%.
Citi retail services revenues increased 1%, primarily driven by organic loan growth and the benefit of the L.L.Bean portfolio acquisition, partially offset by higher contractual partner payments. Average loans increased 5% and purchase sales increased 4%.
Expenses increased 2%, as higher volume-related expenses and investments were largely offset by efficiency savings.
Provisions increased 9% from the prior-year period, primarily driven by higher net credit losses, partially offset by a lower net loan loss reserve build. Net credit losses increased 12%, primarily driven by higher net credit losses in Citi-branded cards (up 10% to $723 million) and Citi retail services (up 11% to $654 million). The increase in net credit losses primarily reflected volume growth and seasoning in both cards portfolios.
The net loan loss reserve build in the current quarter was $88 million, reflecting volume growth and seasoning in both cards portfolios (compared to a build of $117 million in the prior-year period).
For additional information on North America GCB’s retail banking, including commercial banking, and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.
For additional information on Citi retail services’ co-brand and private label credit card products with Sears, see “Forward-Looking Statements” below and “North America GCB” and “Risk Factors—Strategic Risks” in Citi’s 2018 Annual Report on Form 10-K.
 
2019 YTD vs. 2018 YTD
Year-to-date, North America GCB experienced similar trends to those described above. Net income decreased 4%, as higher cost of credit and higher expenses were partially offset by a lower effective tax rate and higher revenues.
Revenues increased 2%. Excluding the impact of the $150 million gain on the Hilton portfolio sale in the prior-year period, revenues increased 3%, reflecting higher revenues in Citi-branded cards and Citi retail services. Retail banking revenues were largely unchanged. Excluding mortgage revenues (decline of 11%), retail banking revenues increased 2%, driven by the same factors described above. Cards revenues increased 2% (4% excluding the Hilton gain). In Citi-branded cards, revenues increased 2% (6% excluding the Hilton gain), driven by the same factors described above. Citi retail services revenues increased 2%, driven by the same factors described above.
Expenses increased 1%, driven by the same factors described above.
Provisions increased 8%. Net credit losses increased 11%, driven by volume growth and seasoning in both cards portfolios. This increase was partially offset by a 19% decline in the net loan loss reserve build.






13


LATIN AMERICA GCB
Latin America GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses in Mexico through Citibanamex, one of Mexico’s largest banks.
At June 30, 2019, Latin America GCB had 1,459 retail branches in Mexico, with approximately 30.3 million retail banking customer accounts, $20.1 billion in retail banking loans and $29.2 billion in deposits. In addition, the business had approximately 5.4 million Citi-branded card accounts with $5.7 billion in outstanding card loan balances.

 
Second Quarter
 
Six Months
% Change
In millions of dollars, except as otherwise noted
2019
2018
% Change
2019
2018
Net interest revenue
$
1,017

$
1,013

—
 %
$
1,992

$
2,010

(1
)%
Non-interest revenue
415

362

15

821

705

16

Total revenues, net of interest expense
$
1,432

$
1,375

4
 %
$
2,813

$
2,715

4
 %
Total operating expenses
$
765

$
779

(2
)%
$
1,500

$
1,534

(2
)%
Net credit losses
$
285

$
278

3
 %
$
583

$
556

5
 %
Credit reserve build
10

33

(70
)
3

75

(96
)
Provision (release) for unfunded lending commitments
(1
)
—

—

(1
)
1

NM

Provision for benefits and claims
13

17

(24
)
19

37

(49
)
Provisions for credit losses and for benefits and claims (LLR & PBC)
$
307

$
328

(6
)%
$
604

$
669

(10
)%
Income from continuing operations before taxes
$
360

$
268

34
 %
$
709

$
512

38
 %
Income taxes
98

71

38

195

136

43

Income from continuing operations
$
262

$
197

33
 %
$
514

$
376

37
 %
Net income
$
262

$
197

33
 %
$
514

$
376

37
 %
Balance Sheet data and ratios (in billions of dollars)


 


 

 



Average assets
$
45

$
43

5
 %
$
45

$
44

2
 %
Return on average assets
2.34
%
1.84
%


2.30
%
1.72
%


Efficiency ratio
53

57



53

57



Average deposits
$
29.2

$
28.3

3

$
28.9

$
28.6

1

Net credit losses as a percentage of average loans
4.47
%
4.37
%


4.57
%
4.33
%


Revenue by business


 


 
 


Retail banking
$
1,015

$
993

2
 %
$
2,023

$
1,952

4
 %
Citi-branded cards
417

382

9

790

763

4

Total
$
1,432

$
1,375

4
 %
$
2,813

$
2,715

4
 %
Income from continuing operations by business


 


 

 



Retail banking
$
192

$
152

26
 %
$
389

$
286

36
 %
Citi-branded cards
70

45

56

125

90

39

Total
$
262

$
197

33
 %
$
514

$
376

37
 %
FX translation impact


 


 
 



Total revenues—as reported
$
1,432

$
1,375

4
 %
$
2,813

$
2,715

4
 %
Impact of FX translation(1)
—

13



—

(31
)


Total revenues—ex-FX(2)
$
1,432

$
1,388

3
 %
$
2,813

$
2,684

5
 %
Total operating expenses—as reported
$
765

$
779

(2
)%
$
1,500

$
1,534

(2
)%
Impact of FX translation(1)
—

6



—

(16
)


Total operating expenses—ex-FX(2)
$
765

$
785

(3
)%
$
1,500

$
1,518

(1
)%
Provisions for LLR & PBC—as reported
$
307

$
328

(6
)%
$
604

$
669

(10
)%
Impact of FX translation(1)
—

3



—

(9
)


Provisions for LLR & PBC—ex-FX(2)
$
307

$
331

(7
)%
$
604

$
660

(8
)%
Net income—as reported
$
262

$
197

33
 %
$
514

$
376

37
 %
Impact of FX translation(1)
—

2



—

(5
)


Net income—ex-FX(2)
$
262

$
199

32
 %
$
514

$
371

39
 %

14


(1)
Reflects the impact of FX translation into U.S. dollars at the second quarter of 2019 and year-to-date 2019 average exchange rates for all periods presented.
(2)
Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful

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

2Q19 vs. 2Q18
Net income increased 32%, reflecting higher revenues, lower expenses and lower cost of credit.
Revenues increased 3% from the prior year. Excluding revenues associated with the sale of an asset management business in Mexico in the third quarter of 2018, revenues increased 5%, primarily driven by an increase in cards revenues and improved deposit spreads.
Retail banking revenues increased 1% compared to the prior-year period. Excluding the revenues associated with the asset management business, retail banking revenues increased 3%, as modest deposit growth (average deposits up 2%) and improved deposit spreads were partially offset by lower average loans (down 2%), reflecting the ongoing slowdown in overall economic growth and industry volumes in Mexico. Cards revenues increased 8%, primarily driven by continued volume growth, reflecting higher purchase sales (up 7%) and full-rate revolving loans, as well as higher rates. Average cards loans grew 2%.
Expenses decreased 3%, as efficiency savings more than offset ongoing investment spending and volume-driven growth.
Provisions decreased 7%, primarily driven by a lower net loan loss reserve build, reflecting lower volumes.
For additional information on Latin America GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.

 

2019 YTD vs. 2018 YTD
Year-to-date, Latin America GCB experienced similar trends to those described above. Net income increased 39%, driven by the same factors described above.
Revenues increased 5%, reflecting higher revenues in both retail banking and cards. Retail banking revenues increased 5%, driven by the same factors described above. Cards revenues increased 5%, driven by the same factors described above.
Expenses decreased 1%, driven by the same factors described above.
Provisions decreased 8%, driven by the same factors described above.










15


ASIA GCB
Asia GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses, as applicable. During the second quarter of 2019, Asia GCB’s most significant revenues in Asia were from Hong Kong, Korea, Singapore, India, Australia, Taiwan, Thailand, Philippines, Indonesia and Malaysia. Included within Asia GCB, traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily Poland, Russia and the United Arab Emirates.
At June 30, 2019, on a combined basis, the businesses had 252 retail branches, approximately 16.1 million retail banking customer accounts, $70.8 billion in retail banking loans and $102.6 billion in deposits. In addition, the businesses had approximately 15.2 million Citi-branded card accounts with $19.2 billion in outstanding card loan balances.

 
Second Quarter
 
Six Months
% Change
In millions of dollars, except as otherwise noted(1)
2019
2018
% Change
2019
2018
Net interest revenue
$
1,225

$
1,226

—
 %
$
2,445

$
2,459

(1
)%
Non-interest revenue
690

639

8

1,355

1,335

1

Total revenues, net of interest expense
$
1,915

$
1,865

3
 %
$
3,800

$
3,794

—
 %
Total operating expenses
$
1,178

$
1,207

(2
)%
$
2,382

$
2,484

(4
)%
Net credit losses
$
176

$
170

4
 %
$
340

$
332

2
 %
Credit reserve build (release)
7

6

17

(8
)
(15
)
47

Provision (release) for unfunded lending commitments
—

1

(100
)
—

3

(100
)
Provisions for credit losses
$
183

$
177

3
 %
$
332

$
320

4
 %
Income from continuing operations before taxes
$
554

$
481

15
 %
$
1,086

$
990

10
 %
Income taxes
124

121

2

240

257

(7
)
Income from continuing operations
$
430

$
360

19
 %
$
846

$
733

15
 %
Noncontrolling interests
1

1

—

1

3

(67
)
Net income
$
429

$
359

19
 %
$
845

$
730

16
 %
Balance Sheet data and ratios (in billions of dollars)






 

 



Average assets
$
133

$
130

2
 %
$
133

$
131

2
 %
Return on average assets
1.29
%
1.11
%


1.28
%
1.12
%


Efficiency ratio
62

65

 
63

65



Average deposits
$
100.7

$
97.6

3

$
100.0

$
98.4

2

Net credit losses as a percentage of average loans
0.80
%
0.77
%


0.77
%
0.75
%


Revenue by business
 
 
 
 
 


Retail banking
$
1,208

$
1,142

6
 %
$
2,351

$
2,340

—
 %
Citi-branded cards
707

723

(2
)
1,449

1,454

—

Total
$
1,915

$
1,865

3
 %
$
3,800

$
3,794

—
 %
Income from continuing operations by business






 
 


Retail banking
$
323

$
264

22
 %
$
569

$
510

12
 %
Citi-branded cards
107

96

11

277

223

24

Total
$
430

$
360

19
 %
$
846

$
733

15
 %

16


FX translation impact



 
 


Total revenues—as reported
$
1,915

$
1,865

3
 %
$
3,800

$
3,794

—
 %
Impact of FX translation(2)
—

(42
)


—

(111
)


Total revenues—ex-FX(3)
$
1,915

$
1,823

5
 %
$
3,800

$
3,683

3
 %
Total operating expenses—as reported
$
1,178

$
1,207

(2
)%
$
2,382

$
2,484

(4
)%
Impact of FX translation(2)
—

(29
)


—

(77
)


Total operating expenses—ex-FX(3)
$
1,178

$
1,178

—
 %
$
2,382

$
2,407

(1
)%
Provisions for loan losses—as reported
$
183

$
177

3
 %
$
332

$
320

4
 %
Impact of FX translation(2)
—

(5
)


—

(13
)


Provisions for loan losses—ex-FX(3)
$
183

$
172

6
 %
$
332

$
307

8
 %
Net income—as reported
$
429

$
359

19
 %
$
845

$
730

16
 %
Impact of FX translation(2)
—

(6
)


—

(14
)


Net income—ex-FX(3)
$
429

$
353

22
 %
$
845

$
716

18
 %

(1)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(2)
Reflects the impact of FX translation into U.S. dollars at the second quarter of 2019 and year-to-date 2019 average exchange rates for all periods presented.
(3)
Presentation of this metric excluding FX translation is a non-GAAP financial measure.


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

2Q19 vs. 2Q18
Net income increased 22%, reflecting higher revenues and a lower effective tax rate, partially offset by higher cost of credit.
Revenues increased 5%, including a gain from a building sale. Excluding the gain, revenues increased 3%, driven by higher retail banking revenues.
Retail banking revenues increased 8% compared to the prior-year period. Excluding the gain, retail banking revenues increased 4%, primarily driven by higher deposit revenues as well as a recovery in investment revenues due to improved market sentiment. Investment sales increased 8%, while assets under management grew 10%, average deposits increased 6% and average loans increased 4%. Retail lending revenues declined 2%, as continued growth in personal loans was more than offset by lower mortgage revenues due to spread compression.
Cards revenues were largely unchanged, as continued growth in average loans (up 4%) and purchase sales (up 5%) were offset by spread compression.
Expenses were largely unchanged, as efficiency savings offset volume-driven growth and ongoing investment spending.
Provisions increased 6%, primarily driven by higher net credit losses, reflecting volume growth and seasoning. Overall credit quality continued to remain stable in the region.
For additional information on Asia GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.

 

2019 YTD vs. 2018 YTD
Year-to-date, Asia GCB experienced similar trends to
those described above. Net income increased 18%, due to higher revenues, lower expenses and a lower effective tax rate, partially offset by higher cost of credit.
Revenues increased 3%, driven by growth in both retail banking and cards. Retail banking revenues increased 3%, driven by growth in deposits, partially offset by lower investment and retail lending revenues. Cards revenues were up 3%, including a modest one-time gain. Excluding the gain, cards revenues were up 1%, driven by continued growth in average loans and purchase sales, partially offset by spread compression.
Expenses decreased 1%, as volume-driven growth and ongoing investment spending were more than offset by efficiency savings.
Provisions were up 8%, driven by the same factors described above.















17

INSTITUTIONAL CLIENTS GROUP
Institutional Clients Group (ICG) includes Banking and Markets and securities services (for additional information on these businesses, see “Citigroup Segments” above). ICG provides corporate, institutional, public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products. For more information on ICG’s business activities, see “Institutional Clients Group” in Citi’s 2018 Annual Report on Form 10-K.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 98 countries and jurisdictions. At June 30, 2019, ICG had approximately $1.5 trillion in assets and $715 billion in deposits, while two of its businesses—securities services and issuer services—managed approximately $19.0 trillion in assets under custody compared to $17.8 trillion at the end of the prior-year period.

 
Second Quarter
 
Six Months
% Change
In millions of dollars, except as otherwise noted
2019
2018
% Change
2019
2018
Commissions and fees
$
1,046

$
1,127

(7
)%
$
2,167

$
2,340

(7
)%
Administration and other fiduciary fees
696

713

(2
)
1,366

1,407

(3
)
Investment banking
1,100

1,246

(12
)
2,212

2,231

(1
)
Principal transactions
1,930

2,339

(17
)
4,562

5,183

(12
)
Other(1)
716

179

NM

1,000

644

55

Total non-interest revenue
$
5,488

$
5,604

(2
)%
$
11,307

$
11,805

(4
)%
Net interest revenue (including dividends)
4,233

4,093

3

8,108

7,747

5

Total revenues, net of interest expense
$
9,721

$
9,697

—
 %
$
19,415

$
19,552

(1
)%
Total operating expenses
$
5,356

$
5,460

(2
)%
$
10,783

$
10,966

(2
)%
Net credit losses
$
72

$
(1
)
NM

$
127

$
104

22
 %
Credit reserve build (release)
47

32

47

(7
)
(143
)
95

Provision (release) for unfunded lending commitments
(16
)
(6
)
NM

4

23

(83
)
Provisions for credit losses
$
103

$
25

NM

$
124

$
(16
)
NM

Income from continuing operations before taxes
$
4,262

$
4,212

1
 %
$
8,508

$
8,602

(1
)%
Income taxes
919

971

(5
)
1,843

2,027

(9
)
Income from continuing operations
$
3,343

$
3,241

3
 %
$
6,665

$
6,575

1
 %
Noncontrolling interests
10

12

(17
)
21

27

(22
)
Net income
$
3,333

$
3,229

3
 %
$
6,644

$
6,548

1
 %
EOP assets (in billions of dollars)
$
1,454

$
1,397

4
 %
 
 
 
Average assets (in billions of dollars)
1,450

1,406

3

$
1,432

$
1,397

3
 %
Return on average assets
0.92
%
0.92
%


0.94
%
0.95
%


Efficiency ratio
55

56



56

56



Revenues by region
 
 


 
 


North America
$
3,478

$
3,511

(1
)%
$
6,597

$
6,777

(3
)%
EMEA
2,960

3,043

(3
)
6,130

6,210

(1
)
Latin America
1,195

1,168

2

2,355

2,384

(1
)
Asia
2,088

1,975

6

4,333

4,181

4

Total
$
9,721

$
9,697

—
 %
$
19,415

$
19,552

(1
)%
Income from continuing operations by region
 
 


 
 



North America
$
1,022

$
1,030

(1
)%
$
1,736

$
1,888

(8
)%
EMEA
1,005

986

2

2,130

2,099

1

Latin America
491

517

(5
)
994

1,011

(2
)
Asia
825

708

17

1,805

1,577

14

Total
$
3,343

$
3,241

3
 %
$
6,665

$
6,575

1
 %

18

Average loans by region (in billions of dollars)
 
 


 
 



North America
$
178

$
165

8
 %
$
176

$
162

9
 %
EMEA
85

80

6

85

79

8

Latin America
33

33

—

34

34

—

Asia
63

68

(7
)
63

68

(7
)
Total
$
359

$
346

4
 %
$
358

$
343

4
 %
EOP deposits by business (in billions of dollars)
 
 
 
 
 


Treasury and trade solutions
$
488

$
459

6
 %
 
 


All other ICG businesses
227

217

5







Total
$
715

$
676

6
 %







(1) The second quarter of 2019 includes an approximate $350 million gain on Citi's investment in Tradeweb.
NM Not meaningful

ICG Revenue Details
 
Second Quarter
 
Six Months
% Change
In millions of dollars
2019
2018
% Change
2019
2018
Investment banking revenue details
 
 
 
 
 
 
Advisory
$
232

$
361

(36
)%
$
610

$
576

6
 %
Equity underwriting
314

335

(6
)
486

551

(12
)
Debt underwriting
737

726

2

1,541

1,425

8

Total investment banking
$
1,283

$
1,422

(10
)%
$
2,637

$
2,552

3
 %
Treasury and trade solutions
2,441

2,336

4

4,836

4,604

5

Corporate lending—excluding gains (losses) on loan hedges(1)
538

589

(9
)
1,107

1,110

—

Private bank
866

848

2

1,746

1,752

—

Total banking revenues (ex-gains (losses) on loan hedges)
$
5,128

$
5,195

(1
)%
$
10,326

$
10,018

3
 %
Corporate lending—gains (losses) on loan hedges(1)
$
(75
)
$
23

NM

$
(306
)
$
46

NM

Total banking revenues (including gains (losses) on loan hedges), net of interest expense
$
5,053

$
5,218

(3
)%
$
10,020

$
10,064

—
 %
Fixed income markets(2)
$
3,323

$
3,082

8
 %
$
6,775

$
6,507

4
 %
Equity markets
790

864

(9
)
1,632

1,967

(17
)
Securities services
682

665

3

1,320

1,306

1

Other
(127
)
(132
)
4

(332
)
(292
)
(14
)
Total markets and securities services revenues, net of interest expense
$
4,668

$
4,479

4
 %
$
9,395

$
9,488

(1
)%
Total revenues, net of interest expense
$
9,721

$
9,697

—
 %
$
19,415

$
19,552

(1
)%
  Commissions and fees
$
198

$
182

9
 %
$
372

$
357

4
 %
  Principal transactions(3)
1,870

2,114

(12
)
4,247

4,306

(1
)
  Other(2)
533

28

NM

683

303

NM

  Total non-interest revenue
$
2,601

$
2,324

12
 %
$
5,302

$
4,966

7
 %
  Net interest revenue
722

758

(5
)
1,473

1,541

(4
)
Total fixed income markets
$
3,323

$
3,082

8
 %
$
6,775

$
6,507

4
 %
  Rates and currencies
$
2,118

$
2,241

(5
)%
$
4,520

$
4,718

(4
)%
  Spread products/other fixed income
1,205

841

43

2,255

1,789

26

Total fixed income markets
$
3,323

$
3,082

8
 %
$
6,775

$
6,507

4
 %
  Commissions and fees
$
274

$
308

(11
)%
$
567

$
669

(15
)%
  Principal transactions(3)
7

101

(93
)
403

638

(37
)
  Other
10

20

(50
)
17

100

(83
)
  Total non-interest revenue
$
291

$
429

(32
)%
$
987

$
1,407

(30
)%
  Net interest revenue
499

435

15

645

560

15

Total equity markets
$
790

$
864

(9
)%
$
1,632

$
1,967

(17
)%


19

(1)
Credit derivatives are used to economically hedge a portion of the corporate loan portfolio that includes both accrual loans and loans at fair value. Gains (losses) on loan hedges include the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.
(2)
The second quarter of 2019 includes an approximate $350 million gain on Citi's investment in Tradeweb.
(3)
Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
NM Not meaningful

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

2Q19 vs. 2Q18
Net income increased 3%, primarily driven by a decrease in expenses and a lower effective tax rate, partially offset by an increase in cost of credit.

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

Within Banking:

•
Investment banking revenues declined 10%, while outperforming the market wallet, as strength in debt underwriting was more than offset by a strong prior-year comparison in advisory. Advisory revenues declined 36%, primarily reflecting a decline in the market wallet as well as the strong prior-year period comparison. Equity underwriting revenues declined 6%, largely in line with the decline in market wallet. Debt underwriting revenues increased 2%, reflecting gains in wallet share, particularly in North America.
•
Treasury and trade solutions revenues increased 4%. Excluding the impact of FX translation, revenues increased 7%, driven by growth in both the cash and trade businesses, reflecting both higher net interest and fee revenues. Average deposit balances increased 8% (10% excluding the impact of FX translation), reflecting strong growth across all regions. Revenue growth in the cash business was primarily driven by continued growth in deposit balances, as deposit spreads remained stable. Revenue growth in the trade business was driven primarily by improved loan spreads and higher episodic fees, modestly offset by lower average trade loans.
 
•
Corporate lending revenues decreased from $612 million to $463 million. Excluding the impact of gains (losses) on
loan hedges, revenues decreased 9%, driven by higher hedging costs and lower spreads.
•
Private bank revenues increased 2%, driven primarily by North America and Asia, partially offset by Latin America.  The increase in revenues reflected strong client activity, which drove higher lending, deposit and assets under management volumes, partially offset by spread compression.

Within Markets and securities services:

•
Fixed income markets revenues increased 8%, including the Tradeweb gain. Excluding the Tradeweb gain, revenues decreased 4%, as growth across Asia and Latin America was more than offset by lower revenues in North America. The decrease in revenues reflected both lower net interest and non-interest revenues. Net interest revenues declined reflecting higher funding costs, given the higher interest rate environment. The decrease in non-interest revenues was largely driven by lower principal transactions revenues, reflecting lower investor client activity, particularly in rates and currencies, in a challenging market environment.
Rates and currencies revenues decreased 5%, as lower revenues in G10 rates and currencies, primarily in North America, were partially offset by higher local markets rates and currencies revenues, while corporate client activity was broadly stable. The decrease in rates reflected the challenging market environment, particularly in North America, as well as lower investor client activity in EMEA.
Spread products and other fixed income revenues increased 43%, including the Tradeweb gain. Excluding the Tradeweb gain, revenues increased 1%, as an increase in client activity in financing and flow products was largely offset by a continued challenging market environment in structured products, particularly in North America.
•
Equity markets revenues decreased 9%, reflecting lower revenues in cash equities and prime finance, primarily in North America and Asia, partially offset by higher revenues in equity derivatives. The decline in cash equities revenues reflected lower client volumes. The decline in prime finance revenues was driven by lower client financing balances. Equity derivatives revenues increased, reflecting strong corporate client activity as well as improved volatility. Non-interest revenues decreased, primarily driven by lower principal

20

transactions revenues, reflecting a change in the mix of trading positions in support of client activity, partially offset by an increase in net interest revenues.
•
Securities services revenues increased 3%. Excluding the impact of FX translation, revenues increased 7%, driven by higher client volumes and an increase in interest revenues due to higher interest rates.

Expenses decreased 2%, as efficiency savings and a benefit from FX translation more than offset ongoing investments and volume-related growth.
Provisions increased $78 million to $103 million, largely driven by higher net credit losses (up $73 million). The increase in net credit losses largely reflected a normalization of credit trends compared to the prior-year period that benefited from ratings upgrades. Citi expects this normalization of credit costs will likely continue in the near term.

2019 YTD vs. 2018 YTD
Net income increased 1%, primarily driven by lower expenses and a lower effective tax rate, partially offset by lower revenues and higher credit costs.

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

Within Banking:

•
Investment banking revenues increased 3%. Advisory revenues increased 6%, reflecting gains in wallet share despite a decline in overall market wallet. Equity underwriting revenues decreased 12%, reflecting market wallet declines, particularly in EMEA and Asia. Debt underwriting revenues increased 8%, reflecting gains in wallet share, primarily in North America.
•
Treasury and trade solutions revenues increased 5%. Excluding the impact of FX translation, revenues increased 8%, reflecting growth in both the cash and trade businesses, driven by continued growth in deposit volumes and improved loan spreads as well as strong fee growth across most cash products.
•
Corporate lending revenues decreased from $1.2 billion to $801 million. Excluding the impact of gains (losses) on loan hedges, revenues were largely unchanged.
•
Private bank revenues were largely unchanged versus the
prior-year period, as higher loan and deposit volumes were offset by lower managed investments revenues and spread compression.
 
Within Markets and securities services:

•
Fixed income markets revenues increased 4%, including the Tradeweb gain. Excluding the Tradeweb gain, revenues decreased 1%, largely reflecting lower revenues in North America. Rates and currencies revenues decreased 4%, driven by the challenging market environment. Spread products and other fixed income revenues increased 26%, including the Tradeweb gain. Excluding the Tradeweb gain, revenues increased 6%, as strong flow trading and financing revenues were partially offset by lower revenues in structured products.
•
Equity markets revenues decreased 17%, driven by North America and Asia, reflecting lower client activity as well as comparison to a strong prior-year period characterized by higher market volatility.
•
Securities services revenues increased 1%. Excluding the impact of FX translation, revenues increased 6%, reflecting growth in both client volumes and assets under custody, as well as higher net interest revenue, driven by higher deposit volumes and higher interest rates.

Expenses decreased 2%, driven by the same factors described above.
Provisions increased $140 million to $124 million, primarily due to a lower loan loss reserve release (release of $3 million) as compared to the prior-year period (release of $120 million).






21


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

 
Second Quarter
 
Six Months
% Change
In millions of dollars
2019
2018
% Change
2019
2018
Net interest revenue
$
445

$
553

(20
)%
$
1,076

$
1,091

(1
)%
Non-interest revenue
87

(25
)
NM

(113
)
28

NM

Total revenues, net of interest expense
$
532

$
528

1
 %
$
963

$
1,119

(14
)%
Total operating expenses
$
481

$
600

(20
)%
$
1,030

$
1,342

(23
)%
Net credit losses (recoveries)
$
2

$
(21
)
NM

$
4

$
5

(20
)%
Credit reserve build (release)
(20
)
(95
)
79
 %
(46
)
(128
)
64

Provision (release) for unfunded lending commitments
(4
)
(1
)
NM

(5
)
(1
)
NM

Provision for benefits and claims
—

(1
)
NM

—

(1
)
100

Provisions (release) for credit losses and for benefits and claims
$
(22
)
$
(118
)
81
 %
$
(47
)
$
(125
)
62
 %
Income (loss) from continuing operations before taxes
$
73

$
46

59
 %
$
(20
)
$
(98
)
80
 %
Income taxes (benefits)
37

62

(40
)
(34
)
(7
)
NM

Income (loss) from continuing operations
$
36

$
(16
)
NM

$
14

$
(91
)
NM

Income (loss) from discontinued operations, net of taxes
17

15

13
 %
15

8

88
 %
Net income (loss) before attribution of noncontrolling interests
$
53

$
(1
)
NM

$
29

$
(83
)
NM

Noncontrolling interests
(1
)
13

NM

13

18

(28
)%
Net income (loss)
$
54

$
(14
)
NM

$
16

$
(101
)
NM

NM Not meaningful

2Q19 vs. 2Q18
Net income was $54 million, compared to a net loss of $14 million in the prior-year period. Net income was largely driven by lower expenses and a lower effective tax rate, partially offset by a lower net loan loss reserve release in the current period.
Revenues increased 1%, as higher treasury revenues and gains were largely offset by the wind-down of legacy assets.
Expenses decreased 20%, primarily driven by the wind-down of legacy assets.
Provisions increased $96 million to a net benefit of $22 million, primarily due to a lower net loan loss reserve release and absence of net recoveries in the prior-year period related to the continued wind-down in the legacy North America mortgage portfolio.

 
2019 YTD vs. 2018 YTD
Net income was $16 million, compared to a net loss of $101 million in the prior-year period, reflecting lower expenses, partially offset by a lower net loan loss reserve release and lower revenues.
Revenues decreased 14%, primarily driven by the wind-down of legacy assets.
Expenses decreased 23%, primarily driven by the wind-down of legacy assets.
Provisions increased $78 million to a net benefit of $47 million, primarily due to a lower net loan loss reserve release, driven by the same factors described above.



22


OFF-BALANCE SHEET ARRANGEMENTS

The table below shows where a discussion of Citi’s various off-balance sheet arrangements in this Form 10-Q may be found. For additional information, see “Off-Balance Sheet Arrangements” and Notes 1, 21 and 26 to the Consolidated Financial Statements in Citigroup’s 2018 Annual Report on Form 10-K.
Types of Off-Balance Sheet Arrangements Disclosures in this Form 10-Q
Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEs
See Note 18 to the Consolidated Financial Statements.
Letters of credit, and lending and other commitments
See Note 22 to the Consolidated Financial Statements.
Guarantees
See Note 22 to the Consolidated Financial Statements.

23


CAPITAL RESOURCES
For additional information about capital resources, including Citi’s capital management, the stress testing component of capital planning, current regulatory capital standards and regulatory capital standards developments, see “Capital Resources” and “Risk Factors” in Citi’s 2018 Annual Report on Form 10-K.
During the second quarter of 2019, Citi returned a total of $4.6 billion of capital to common shareholders in the form of share repurchases (approximately 54 million common shares) and dividends.
The following tables set forth Citi’s capital components and ratios:

 
Effective Minimum Requirement(1)
Advanced Approaches
Standardized Approach
In millions of dollars, except ratios
2019
2018
Jun. 30, 2019
Mar. 30, 2019
Dec. 31, 2018
Jun. 30, 2019
Mar. 30, 2019
Dec. 31, 2018
Common Equity Tier 1 Capital
 


$
141,125

$
140,355

$
139,252

$
141,125

$
140,355

$
139,252

Tier 1 Capital
 


159,447

158,712

158,122

159,447

158,712

158,122

Total Capital (Tier 1 Capital
    + Tier 2 Capital)
 
 
185,498

184,418

183,144

197,679

196,452

195,440

Total Risk-Weighted Assets




1,133,593

1,121,645

1,131,933

1,187,328

1,178,628

1,174,448

   Credit Risk
 
 
$
763,600

$
752,804

$
758,887

$
1,127,714

$
1,118,057

$
1,109,007

   Market Risk
 
 
58,824

59,200

63,987

59,614

60,571

65,441

   Operational Risk
 
 
311,169

309,641

309,059

—

—

—

Common Equity Tier 1 Capital
    ratio(2)
10.0
%
8.625
%
12.45
%
12.51
%
12.30
%
11.89
%
11.91
%
11.86
%
Tier 1 Capital ratio(2)
11.5

10.125

14.07

14.15

13.97

13.43

13.47

13.46

Total Capital ratio(2)
13.5

12.125

16.36

16.44

16.18

16.65

16.67

16.64

In millions of dollars, except ratios
Effective Minimum Requirement
Jun. 30, 2019
Mar. 30, 2019
Dec. 31, 2018
Quarterly Adjusted Average Total Assets(3)
 
$
1,939,611

$
1,899,790

$
1,896,959

Total Leverage Exposure(4)
 
2,500,128

2,463,958

2,465,641

Tier 1 Leverage ratio
4.0
%
8.22
%
8.35
%
8.34
%
Supplementary Leverage ratio
5.0

6.38

6.44

6.41


(1)
Citi’s effective minimum risk-based capital requirements during 2019 and 2018 are inclusive of the 100% and 75% phase-in, respectively, of both the 2.5% Capital Conservation Buffer and the 3.0% GSIB surcharge (all of which must be composed of Common Equity Tier 1 Capital).
(2)
Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework for all periods presented.
(3)
Tier 1 Leverage ratio denominator.
(4)
Supplementary Leverage ratio denominator.

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


 

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

24


Components of Citigroup Capital
In millions of dollars
June 30,
2019
December 31, 2018
Common Equity Tier 1 Capital
 
 
Citigroup common stockholders’ equity(1)
$
179,534

$
177,928

Add: Qualifying noncontrolling interests
154

147

Regulatory Capital Adjustments and Deductions:
 
 
Less: Accumulated net unrealized losses on cash flow hedges, net of tax
75

(728
)
Less: Cumulative unrealized net gain (loss) related to changes in fair value of
   financial liabilities attributable to own creditworthiness, net of tax
(85
)
580

Less: Intangible assets:
 
 
Goodwill, net of related DTLs(2)
21,793

21,778

Identifiable intangible assets other than MSRs, net of related DTLs 
4,264

4,402

Less: Defined benefit pension plan net assets
969

806

Less: DTAs arising from net operating loss, foreign tax credit and general
   business credit carry-forwards(3)
11,547

11,985

Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)
$
141,125

$
139,252

Additional Tier 1 Capital
 
 
Qualifying noncumulative perpetual preferred stock(1)
$
17,825

$
18,292

Qualifying trust preferred securities(4)
1,388

1,384

Qualifying noncontrolling interests
49

55

Regulatory Capital Deductions:
 
 
Less: Permitted ownership interests in covered funds(5)
900

806

Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(6)
40

55

Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)
$
18,322

$
18,870

Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
   (Standardized Approach and Advanced Approaches)
$
159,447

$
158,122

Tier 2 Capital
 
 
Qualifying subordinated debt
$
24,062

$
23,324

Qualifying trust preferred securities(7)
321

321

Qualifying noncontrolling interests
48

47

Eligible allowance for credit losses(8)
13,841

13,681

Regulatory Capital Deduction:
 
 
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(6)
40

55

Total Tier 2 Capital (Standardized Approach)
$
38,232

$
37,318

Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)
$
197,679

$
195,440

Adjustment for excess of eligible credit reserves over expected credit losses(8)
$
(12,181
)
$
(12,296
)
Total Tier 2 Capital (Advanced Approaches)

$
26,051

$
25,022

Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)
$
185,498

$
183,144


(1)
Issuance costs of $155 million as of June 30, 2019 and $168 million as of December 31, 2018 are related to outstanding noncumulative perpetual preferred stock, are excluded from common stockholders’ equity and are netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)
Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
(3)
Of Citi’s $22.3 billion of net DTAs at June 30, 2019, $11.9 billion was includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $10.4 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of June 30, 2019 was $11.5 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, which was reduced by $1.1 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under the U.S. Basel III rules. Citi’s DTAs arising from temporary differences are less than the 10% limitation under the U.S. Basel III rules and therefore not subject to deduction from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.
(4)
Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.

Footnotes continue on the following page.


25


(5)
Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds.
(6)
50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
(7)
Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.
(8)
Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $1.7 billion and $1.4 billion at June 30, 2019 and December 31, 2018, respectively.

26


Citigroup Capital Rollforward
In millions of dollars
Three Months Ended 
 June 30, 2019
Six Months Ended  
  June 30, 2019
Common Equity Tier 1 Capital, beginning of period
$
140,355

$
139,252

Net income
4,799

9,509

Common and preferred dividends declared
(1,337
)
(2,674
)
Net increase in treasury stock
(3,566
)
(7,057
)
Net change in common stock and additional paid-in capital
106

(278
)
Net increase in foreign currency translation gains net of hedges, net of tax
91

149

Net decrease in unrealized losses on debt securities AFS, net of tax
703

1,838

Net increase in defined benefit plans liability adjustment, net of tax
(253
)
(317
)
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax
21

97

Net increase in ASC 815—excluded component of fair value hedges
44

62

Net increase in goodwill, net of related DTLs
(25
)
(15
)
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs
126

138

Net increase in defined benefit pension plan net assets
(158
)
(163
)
Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards
209

438

Other
10

146

Net increase in Common Equity Tier 1 Capital
$
770

$
1,873

Common Equity Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$
141,125

$
141,125

Additional Tier 1 Capital, beginning of period
$
18,357

$
18,870

Net decrease in qualifying perpetual preferred stock
—

(467
)
Net increase in qualifying trust preferred securities
2

4

Net increase in permitted ownership interest in covered funds
(52
)
(94
)
Other
15

9

Net decrease in Additional Tier 1 Capital
$
(35
)
$
(548
)
Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$
159,447

$
159,447

Tier 2 Capital, beginning of period (Standardized Approach)
$
37,740

$
37,318

Net increase in qualifying subordinated debt
358

738

Net increase in eligible allowance for credit losses
122

160

Other
12

16

Net increase in Tier 2 Capital (Standardized Approach)
$
492

$
914

Tier 2 Capital, end of period (Standardized Approach)
$
38,232

$
38,232

Total Capital, end of period (Standardized Approach)
$
197,679

$
197,679

Tier 2 Capital, beginning of period (Advanced Approaches)
$
25,706

$
25,022

Net increase in qualifying subordinated debt
358

738

Net change in excess of eligible credit reserves over expected credit losses
(25
)
275

Other
12

16

Net increase in Tier 2 Capital (Advanced Approaches)
$
345

$
1,029

Tier 2 Capital, end of period (Advanced Approaches)
$
26,051

$
26,051

Total Capital, end of period (Advanced Approaches)
$
185,498

$
185,498



27


Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
In millions of dollars
Three Months Ended 
 June 30, 2019
Six Months Ended  
  June 30, 2019
 Total Risk-Weighted Assets, beginning of period
$
1,178,628

$
1,174,448

Changes in Credit Risk-Weighted Assets
 
 
General credit risk exposures(1)
9,078

2,006

Repo-style transactions(2)
331

8,061

Securitization exposures(3)
(6,933
)
398

Equity exposures(4)
1,702

3,541

Over-the-counter (OTC) derivatives(5)
2,898

2,964

Other exposures(6)
1,536

7,444

Off-balance sheet exposures(7)
1,045

(5,707
)
Net change in Credit Risk-Weighted Assets
$
9,657

$
18,707

Changes in Market Risk-Weighted Assets
 
 
Risk levels(8)
$
(1,252
)
$
(5,765
)
Model and methodology updates
295

(62
)
Net decrease in Market Risk-Weighted Assets
$
(957
)
$
(5,827
)
Total Risk-Weighted Assets, end of period
$
1,187,328

$
1,187,328


(1)
General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three months ended June 30, 2019 primarily due to growth in retail and commercial loans.
(2)
Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(3)
Securitization exposures decreased during the three months ended June 30, 2019 primarily due to decreased exposures from existing deals.
(4)
Equity exposures increased during the three months and six months ended June 30, 2019 primarily due to an increase in market value of investments.
(5)
OTC derivatives increased during the three months and six months ended June 30, 2019 primarily due to notional increases.
(6)
Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures increased during the six months ended June 30, 2019 primarily due to the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019, and increases in various other assets.
(7)
Off-balance sheet exposures decreased during the six months ended June 30, 2019 primarily due to decreases in standby letters of credit and loan commitments.
(8)
Risk levels decreased during the six months ended June 30, 2019 primarily due to decreases in exposure levels subject to Stressed Value at Risk and Value at Risk.



28


Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
In millions of dollars
Three Months Ended 
 June 30, 2019
Six Months Ended  
  June 30, 2019
 Total Risk-Weighted Assets, beginning of period
$
1,121,645

$
1,131,933

Changes in Credit Risk-Weighted Assets
 
 
Retail exposures
(654
)
(2,166
)
Wholesale exposures(1)
2,751

(9,556
)
Repo-style transactions(2)
4,288

3,318

Securitization exposures(3)
(4,090
)
(229
)
Equity exposures(4)
1,697

3,391

Over-the-counter (OTC) derivatives(5)
2,038

2,946

Derivatives CVA
648

634

Other exposures(6)
3,544

6,144

Supervisory 6% multiplier
574

231

Net increase in Credit Risk-Weighted Assets
$
10,796

$
4,713

Changes in Market Risk-Weighted Assets
 
 
Risk levels(7)
$
(671
)
$
(5,101
)
Model and methodology updates
295

(62
)
Net decrease in Market Risk-Weighted Assets
$
(376
)
$
(5,163
)
Net increase in Operational Risk-Weighted Assets
$
1,528

$
2,110

Total Risk-Weighted Assets, end of period
$
1,133,593

$
1,133,593


(1)
Wholesale exposures decreased during the six months ended June 30, 2019 primarily due to annual model parameter updates reflecting Citi’s loss experience.
(2)
Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(3)
Securitization exposures decreased during the three months ended June 30, 2019 primarily due to decreased exposures from existing deals.
(4)
Equity exposures increased during the three months and six months ended June 30, 2019 primarily due to an increase in market value of investments.
(5)
OTC derivatives increased during the three months and six months ended June 30, 2019 primarily due to notional increases.
(6)
Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures increased during the six months ended June 30, 2019 primarily due to the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019, and increases in various other assets.
(7)
Risk levels decreased during the six months ended June 30, 2019 primarily due to decreases in exposure levels subject to Stressed Value at Risk and Value at Risk.

As set forth in the table above, total risk-weighted assets under the Basel III Standardized Approach increased from year-end 2018 primarily due to higher credit risk-weighted assets, partially offset by a decrease in market risk-weighted assets. The increase in credit risk-weighted assets was primarily due to increases in repo-style transactions, the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019 and increased equity exposures. The increase in credit risk-weighted assets was partially offset by decreases in standby letters of credit and loan commitments.
 
As set forth in the table above, total risk-weighted assets under the Basel III Advanced Approaches increased from year-end 2018 primarily due to higher credit and operational risk-weighted assets partially offset by a decrease in market risk-weighted assets. The increase in credit risk-weighted assets was primarily due to the recognition of ROU assets in accordance with the adoption of ASU 2016-02, increases in equity exposures and repo-style transactions, partially offset by decreases due to annual wholesale parameter updates.
Market risk-weighted assets under both the Basel III Standardized Approach and Basel III Advanced Approaches decreased from year-end 2018 primarily due to reductions in exposure levels subject to Stressed Value at Risk and Value at Risk.

29


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

 

In millions of dollars, except ratios
June 30, 2019
March 31, 2019
December 31, 2018
Tier 1 Capital
$
159,447

$
158,712

$
158,122

Total Leverage Exposure
 
 
 
On-balance sheet assets(1)
$
1,979,124

$
1,939,414

$
1,936,791

Certain off-balance sheet exposures:(2)
 
 
 
   Potential future exposure on derivative contracts
179,880

184,115

187,130

   Effective notional of sold credit derivatives, net(3)
42,319

44,506

49,402

   Counterparty credit risk for repo-style transactions(4)
21,416

20,696

23,715

   Unconditionally cancellable commitments
70,750

70,252

69,630

   Other off-balance sheet exposures
246,152

244,599

238,805

Total of certain off-balance sheet exposures
$
560,517

$
564,168

$
568,682

Less: Tier 1 Capital deductions
(39,513
)
(39,624
)
(39,832
)
Total Leverage Exposure
$
2,500,128

$
2,463,958

$
2,465,641

Supplementary Leverage ratio
6.38
%
6.44
%
6.41
%

(1)
Represents the daily average of on-balance sheet assets for the quarter.
(2)
Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(3)
Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(4)
Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.



30


Capital Resources of Citigroup’s Subsidiary U.S. Depository Institutions
Citigroup’s subsidiary U.S. depository institutions, including Citibank, are also subject to regulatory capital standards issued by their respective primary federal bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
The following tables set forth Citibank’s capital components and ratios:

 
Effective Minimum Requirement(1)
Advanced Approaches
Standardized Approach
In millions of dollars, except ratios
2019
2018
Jun. 30, 2019
Mar. 30, 2019
Dec. 31, 2018
Jun. 30, 2019
Mar. 30, 2019
Dec. 31, 2018
Common Equity Tier 1 Capital
 


$
130,742

$
130,051

$
129,091

$
130,742

$
130,051

$
129,091

Tier 1 Capital
 


132,875

132,169

131,215

132,875

132,169

131,215

Total Capital (Tier 1 Capital
    + Tier 2 Capital)(2)
 
 
145,554

145,516

144,358

156,304

156,132

155,154

Total Risk-Weighted Assets
 


934,661

926,758

926,229

1,041,349

1,041,251

1,032,809

   Credit Risk
 
 
$
660,569

$
651,979

$
654,962

$
1,006,835

$
1,001,334

$
994,294

   Market Risk
 
 
34,421

39,463

38,144

34,514

39,917

38,515

   Operational Risk
 
 
239,671

235,316

233,123

—

—

—

Common Equity Tier 1 Capital
    ratio(3)(4)
7.0
%
6.375
%
13.99
%
14.03
%
13.94
%
12.56
%
12.49
%
12.50
%
Tier 1 Capital ratio(3)(4)
8.5

7.875

14.22

14.26

14.17

12.76

12.69

12.70

Total Capital ratio(3)(4)
10.5

9.875

15.57

15.70

15.59

15.01

14.99

15.02

In millions of dollars, except ratios
Effective Minimum Requirement
Jun. 30, 2019
Mar. 30, 2019
Dec. 31, 2018
Quarterly Adjusted Average Total Assets(5)
 
$
1,427,576

$
1,397,703

$
1,398,875

Total Leverage Exposure(6)
 
1,932,340

1,909,587

1,914,663

Tier 1 Leverage ratio(4)
4.0
%
9.31
%
9.46
%
9.38
%
Supplementary Leverage ratio(4)
6.0

6.88

6.92

6.85


(1)
Citibank’s effective minimum risk-based capital requirements during 2019 and 2018 are inclusive of the 100% and 75% phase-in, respectively, of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)
Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
(3)
Citibank’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Standardized Approach for all periods presented.
(4)
Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.” For additional information, see “Capital Resources—Current Regulatory Capital Standards—Prompt Corrective Action Framework” in Citigroup’s 2018 Annual Report on Form 10-K.
(5)
Tier 1 Leverage ratio denominator.
(6)
Supplementary Leverage ratio denominator.

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


31


Impact of Changes on Citigroup and Citibank Capital Ratios
The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in
Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of June 30, 2019. This information is provided for the purpose of analyzing the impact that a change in Citigroup’s or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.
 


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

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


32


Citigroup Broker-Dealer Subsidiaries
At June 30, 2019, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of $9.9 billion, which exceeded the minimum requirement by $7.1 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total capital of $21.4 billion at June 30, 2019, which exceeded the PRA's minimum regulatory capital requirements.
In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at June 30, 2019.

Total Loss-Absorbing Capacity (TLAC)
As previously disclosed, effective January 1, 2019, U.S. global systemically important bank holding companies (GSIBs), including Citi, are required to maintain minimum levels of TLAC and eligible long-term debt (LTD), each set by reference to the GSIB’s consolidated risk-weighted assets and Total Leverage Exposure.
The table below details Citi’s eligible external TLAC and LTD amounts and ratios, and each effective minimum TLAC and LTD ratio requirement, as well as the surplus amount in dollars in excess of each requirement. As of June 30, 2019, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $13 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.
 
June 30, 2019
In billions of dollars, except ratios
External TLAC

LTD
Total eligible amount
$
288

$
125

% of Standardized Approach risk-
  weighted assets
24.3
%
10.6
%
Effective minimum requirement(1)(2)
22.5
%
9.0
%
Surplus amount
$
21

$
19

% of Total Leverage Exposure
11.5
%
5.0
%
Effective minimum requirement
9.5
%
4.5
%
Surplus amount
$
51

$
13


(1)
External TLAC includes Method 1 GSIB surcharge of 2.0%.
(2)
LTD includes Method 2 GSIB surcharge of 3.0%.

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

 
Regulatory Capital Standards Developments

Leverage Ratio Treatment of Client Cleared Derivatives
In June 2019, the Basel Committee on Banking Supervision issued a final standard that revises its leverage ratio framework to align the leverage ratio measurement of client cleared derivatives with the measurement as determined per the Basel Committee’s standardized approach for measuring counterparty credit risk exposures, as used for risk-based capital requirements. Under the Basel Committee’s leverage ratio framework, the leverage ratio exposure measure is generally not adjusted for physical or financial collateral, guarantees or other credit risk mitigation techniques, including initial margin received from clients. However, the final rule permits both cash and non-cash forms of initial margin and variation margin received from clients to mitigate replacement cost and potential future exposure for client-cleared derivatives only. The Basel Committee stated in the rule that this revision balances the robustness of the leverage ratio as a non-risk based safeguard against unsustainable sources of leverage with the policy objective of promoting central clearing of standardized derivative contracts.
In the U.S., the Basel Committee’s leverage ratio framework and leverage ratio exposure measure are most closely aligned with the Supplementary Leverage Ratio and Total Leverage Exposure, respectively. If the U.S. agencies were to amend the Supplementary Leverage Ratio requirements in a manner similar to the Basel Committee, Citi’s Supplementary Leverage Ratio would likely benefit modestly. However, the impact from and timing of any actions undertaken by the U.S. banking agencies in this regard remains uncertain.



33


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


In millions of dollars or shares, except per share amounts
June 30,
2019
December 31,
2018
Total Citigroup stockholders’ equity
$
197,359

$
196,220

Less: Preferred stock
17,980

18,460

Common stockholders’ equity
$
179,379

$
177,760

Less:
 
 
    Goodwill
22,065

22,046

    Identifiable intangible assets (other than MSRs)
4,518

4,636

Tangible common equity (TCE)
$
152,796

$
151,078

Common shares outstanding (CSO)
2,259.1

2,368.5

Book value per share (common equity/CSO)
$
79.40

$
75.05

Tangible book value per share (TCE/CSO)
67.64

63.79



In millions of dollars
Three Months Ended June 30, 2019
Three Months Ended June 30, 2018
Six Months Ended June 30, 2019
Six Months Ended June 30, 2018
Net income available to common shareholders
$
4,503

$
4,172

$
8,951

$
8,520

Average common stockholders’ equity
$
178,257

$
181,229

$
177,814

$
181,429

Average TCE
$
152,193

$
154,921

$
151,821

$
154,818

Return on average common stockholders’ equity
10.1
%
9.2
%
10.2
%
9.5
%
Return on average TCE (RoTCE)(1)
11.9

10.8

11.9

11.1


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


34


Managing Global Risk Table of Contents

MANAGING GLOBAL RISK
 
36

CREDIT RISK(1)
 
36

Consumer Credit
 
36

Corporate Credit
 
42

Additional Consumer and Corporate Credit Details
 
44

 Loans Outstanding
 
44

 Details of Credit Loss Experience
 
45

     Allowance for Loan Losses
 
46

     Non-Accrual Loans and Assets and Renegotiated Loans
 
47

LIQUIDITY RISK
 
50

High-Quality Liquid Assets (HQLA)
 
50

Liquidity Coverage Ratio (LCR)
 
50

Loans
 
51

Deposits
 
51

Long-Term Debt
 
52

Secured Funding Transactions and Short-Term Borrowings
 
54

Credit Ratings
 
55

MARKET RISK(1)
 
57

Market Risk of Non-Trading Portfolios
 
57

Market Risk of Trading Portfolios
 
68

STRATEGIC RISK
 
70

Country Risk
 
70

Venezuela
 
71

Potential Exit of U.K. from EU
 
71


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


35


MANAGING GLOBAL RISK

For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to identify, monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s mission and value proposition, the key principles that guide it and Citi's risk appetite.
For more information on Citi’s management of global risk, including its three lines of defense, see “Managing Global Risk” in Citi’s 2018 Annual Report on Form 10-K.
 
 


CREDIT RISK

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


CONSUMER CREDIT
The following table shows Citi’s quarterly end-of-period consumer loans:(1) 
In billions of dollars
2Q’18
3Q’18
4Q’18
1Q’19
2Q’19
Retail banking:
 
 
 
 
 
Mortgages
$
80.5

$
80.9

$
80.6

$
80.8

$
81.9

Commercial banking
36.5

37.2

36.3

37.1

37.6

Personal and other
28.1

28.7

28.8

29.1

29.7

Total retail banking
$
145.1

$
146.8

$
145.7

$
147.0

$
149.2

Cards:
 
 
 
 
 
Citi-branded cards
$
112.3

$
112.8

$
116.8

$
111.4

$
115.5

Citi retail services
48.6

49.4

52.7

48.9

49.6

Total cards
$
160.9

$
162.2

$
169.5

$
160.3

$
165.1

Total GCB
$
306.0

$
309.0

$
315.2

$
307.3

$
314.3

GCB regional distribution:
 
 
 
 
 
North America
63
%
62
%
64
%
63
%
63
%
Latin America
8

9

8

8

8

Asia(2)
29

29

28

29

29

Total GCB
100
%
100
%
100
%
100
%
100
%
Corporate/Other(3)
$
17.6

$
16.5

$
15.3

$
12.6

$
11.7

Total consumer loans
$
323.6

$
325.5

$
330.5

$
319.9

$
326.0


(1)
End-of-period loans include interest and fees on credit cards.
(2)
Asia includes loans and leases in certain EMEA countries for all periods presented.
(3)
Primarily consists of legacy assets, principally North America consumer mortgages.

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


36


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

Global Consumer Banking
legenda57.jpg
cctglobala07.jpg
North America GCB
legenda58.jpg
cctnagcba06.jpg
As of June 30, 2019, approximately 70% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which generally drives the overall credit performance of North America GCB (for additional information on North America GCB’s cards portfolios, including delinquency and net credit loss rates, see “Credit Card Trends” below).
As shown in the chart above, the 90+ days past due delinquency rate decreased quarter-over-quarter in North America GCB, primarily driven by seasonality in the cards portfolios, while it remained broadly stable year-over-year.
The net credit loss rate decreased quarter-over-quarter, primarily driven by the absence of an episodic charge-off in the commercial portfolio in the first quarter of 2019. The net credit loss rate increased year-over-year, primarily driven by the seasoning of more recent vintages in North America cards as well as an increase in net flow rates in later delinquency buckets in Citi retail services.

 
Latin America GCB
legenda59.jpg
cctlatamgcba03.jpg

As shown in the chart above, the 90+ days past due delinquency rate increased quarter-over-quarter in Latin America GCB due to seasonality, while it remained broadly stable year-over-year.
The net credit loss rate decreased quarter-over-quarter, primarily due to seasonality in the cards portfolio. The net credit loss rate increased year-over-year, primarily driven by the seasoning of more recent vintages in the cards portfolio.

Asia(1) GCB
legenda65.jpg
cctasiagcba04.jpg
(1)
Asia includes GCB activities in certain EMEA countries for all periods presented.

As shown in the chart above, the 90+ days past due delinquency rate remained broadly stable in Asia GCB quarter-over-quarter and year-over-year. The net credit loss rate increased quarter-over-quarter, primarily due to seasonality in cards, while it remained broadly stable year-over-year. This stability reflects the strong credit profiles in Asia GCB’s target customer segments. In addition, regulatory changes in many markets in Asia over the past few years have resulted in stable portfolio credit quality.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.



37


Credit Card Trends
The following charts show the quarterly trends in delinquencies and net credit losses for total GCB cards, North America Citi-branded cards and Citi retail services portfolios as well as for Latin America and Asia Citi-branded cards portfolios.
Global Cards
legenda59.jpg
cctglobala05.jpg

North America Citi-Branded Cards
legenda71.jpg
ccnabcardsa08.jpg

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

 
North America Citi Retail Services
legenda70.jpg
ccnarscardsa06.jpg

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

Latin America Citi-Branded Cards
legenda61.jpg
cclatambcardsa06.jpg
As shown in the chart above, the 90+ days past due delinquency rate remained broadly stable quarter-over-quarter and year-over-year. The net credit loss rate decreased quarter-over-quarter primarily due to seasonality, while the year-over-increase was primarily due to seasoning of more recent vintages.



38


Asia Citi-Branded Cards(1)
legenda66.jpg
ccasiabcardsa10.jpg
(1)
Asia includes loans and leases in certain EMEA countries for all periods presented.

As set forth in the chart above, the 90+ days past due delinquency rate remained broadly stable quarter-over-quarter and year-over-year, driven by the mature and well-diversified cards portfolios. The net credit loss rate increased quarter-over-quarter primarily due to seasonality, while it remained stable year-over-year.
For additional information on cost of credit, delinquency and other information for Citi’s cards portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.

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

Citi-Branded Cards
FICO distribution
June 30, 2019
March 31, 2019
June 30, 2018
  > 760
42
%
41
%
43
%
   680–760
41

41

40

  < 680
17

18

17

Total
100
%
100
%
100
%

Citi Retail Services
FICO distribution
June 30, 2019
March 31, 2019
June 30, 2018
   > 760
24
%
23
%
24
%
   680–760
43

43

43

  < 680
33

34

33

Total
100
%
100
%
100
%

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




 








39


Additional Consumer Credit Details

Consumer Loan Delinquency Amounts and Ratios
 
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
In millions of dollars,
except EOP loan amounts in billions
June 30,
2019
June 30,
2019
March 31,
2019
June 30,
2018
June 30,
2019
March 31,
2019
June 30,
2018
Global Consumer Banking(3)(4)
 
 
 
 
 
 
 
Total
$
314.3

$
2,466

$
2,585

$
2,345

$
2,821

$
2,776

$
2,558

Ratio
 
0.79
%
0.84
%
0.77
%
0.90
%
0.91
%
0.84
%
Retail banking
 
 
 
 
 
 
 
Total
$
149.2

$
456

$
474

$
500

$
869

$
769

$
754

Ratio
 
0.31
%
0.32
%
0.35
%
0.58
%
0.53
%
0.52
%
North America
58.3

145

179

179

361

269

252

Ratio
 
0.25
%
0.32
%
0.33
%
0.63
%
0.47
%
0.46
%
Latin America
20.1

124

114

132

206

201

183

Ratio
 
0.62
%
0.58
%
0.66
%
1.02
%
1.02
%
0.91
%
Asia(5)
70.8

187

181

189

302

299

319

Ratio
 
0.26
%
0.26
%
0.27
%
0.43
%
0.43
%
0.46
%
Cards
 
 
 
 
 
 
 
Total
$
165.1

$
2,010

$
2,111

$
1,845

$
1,952

$
2,007

$
1,804

Ratio
 
1.22
%
1.32
%
1.15
%
1.18
%
1.25
%
1.12
%
North America—Citi-branded
90.6

799

828

712

705

731

627

Ratio
 
0.88
%
0.95
%
0.81
%
0.78
%
0.84
%
0.71
%
North America—Citi retail services
49.6

840

918

781

831

859

761

Ratio
 
1.69
%
1.88
%
1.61
%
1.68
%
1.76
%
1.57
%
Latin America
5.7

169

165

160

159

161

156

Ratio
 
2.96
%
2.95
%
2.96
%
2.79
%
2.88
%
2.89
%
Asia(5)
19.2

202

200

192

257

256

260

Ratio
 
1.05
%
1.06
%
1.02
%
1.34
%
1.36
%
1.38
%
Corporate/Other—Consumer(6)
 
 
 
 
 
 
 
North America
$
11.7

$
327

$
354

$
415

$
334

$
348

$
355

Ratio
 
3.00
%
2.97
%
2.49
%
3.06
%
2.92
%
2.13
%
Total Citigroup
$
326.0

$
2,793

$
2,939

$
2,760

$
3,155

$
3,124

$
2,913

Ratio
 
0.86
%
0.92
%
0.86
%
0.97
%
0.98
%
0.90
%
(1)
End-of-period (EOP) loans include interest and fees on credit cards.
(2)
The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(3)
The 90+ days past due balances for North America—Citi-branded and North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(4)
The 90+ days past due and 30–89 days past due and related ratios for North America GCB exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides with the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $151 million ($0.6 billion), $163 million ($0.6 billion) and $244 million ($0.7 billion) as of June 30, 2019, March 31, 2019 and June 30, 2018, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) were $83 million ($0.6 billion), $71 million ($0.6 billion) and $87 million ($0.7 billion) as of June 30, 2019, March 31, 2019 and June 30, 2018, respectively.
(5)
Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(6)
The loans 90+ days past due and related ratios exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and (EOP loans) for each period were $0.3 billion ($0.7 billion), $0.3 billion ($0.7 billion) and $0.4 billion ($0.9 billion) as of June 30, 2019, March 31, 2019 and June 30, 2018, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) for each period were $0.1 billion ($0.7 billion), $0.1 billion ($0.7 billion) and $0.1 billion ($0.9 billion) as of June 30, 2019, March 31, 2019 and June 30, 2018, respectively.

40



Consumer Loan Net Credit Losses and Ratios
 
Average
loans(1)
Net credit losses(2)
In millions of dollars, except average loan amounts in billions
2Q19
2Q19
1Q19
2Q18
Global Consumer Banking
 
 
 
 
Total
$
309.4

$
1,889

$
1,891

$
1,726

Ratio
 
2.45
%
2.48
%
2.28
 %
Retail banking
 
 
 
 
Total
$
147.4

$
244

$
256

$
228

Ratio
 
0.66
%
0.71
%
0.63
 %
North America
57.9

51

60

32

Ratio
 
0.35
%
0.43
%
0.23
 %
Latin America
20.0

129

138

138

Ratio
 
2.59
%
2.81
%
2.75
 %
Asia(3)
69.5

64

58

58

Ratio
 
0.37
%
0.34
%
0.33
 %
Cards
 
 
 
 
Total
$
162.0

$
1,645

$
1,635

$
1,498

Ratio
 
4.07
%
4.08
%
3.81
 %
North America—Citi-branded
88.4

723

706

657

Ratio
 
3.28
%
3.26
%
3.04
 %
North America—Citi retail services
49.1

654

663

589

Ratio
 
5.34
%
5.36
%
5.07
 %
Latin America
5.6

156

160

140

Ratio
 
11.17
%
11.38
%
10.40
 %
Asia(3)
18.9

112

106

112

Ratio
 
2.38
%
2.25
%
2.38
 %
Corporate/Other—Consumer
 
 
 
 
Total
$
12.4

$
4

$
1

$
(20
)
Ratio
 
0.13
%
0.03
%
(0.41
)%
International
—

—

—

19

Ratio
 
—
%
—
%
6.93
 %
North America
12.4

4

1

(39
)
Ratio
 
0.13
%
0.03
%
(0.85
)%
Total Citigroup
$
321.8

$
1,893

$
1,892

$
1,706

Ratio
 
2.36
%
2.38
%
2.12
 %
(1)
Average loans include interest and fees on credit cards.
(2)
The ratios of net credit losses are calculated based on average loans, net of unearned income.
(3)
Asia includes NCLs and average loans in certain EMEA countries for all periods presented.




41


CORPORATE CREDIT
The following table sets forth Citi’s corporate credit portfolio within ICG (excluding private bank), before consideration of collateral or hedges, by remaining tenor for the periods indicated:
 
At June 30, 2019
March 31, 2019
December 31, 2018
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Direct outstandings (on-balance sheet)(1)
$
134

$
107

$
21

$
262

$
135

$
109

$
20

$
264

$
128

$
110

$
20

$
258

Unfunded lending commitments (off-balance sheet)(2)
123

244

15

382

121

240

23

384

106

245

19

370

Total exposure
$
257

$
351

$
36

$
644

$
256

$
349

$
43

$
648

$
234

$
355

$
39

$
628


(1)
Includes drawn loans, overdrafts, bankers’ acceptances and leases.
(2)
Includes unused commitments to lend, letters of credit and financial guarantees.

Portfolio Mix—Geography, Counterparty and Industry
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region based on Citi’s internal management geography:
 
June 30,
2019
March 31,
2019
December 31,
2018
North America
56
%
54
%
55
%
EMEA
27

28

27

Asia
11

11

11

Latin America
6

7

7

Total
100
%
100
%
100
%

The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived by leveraging validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of the obligor and factors that affect the loss-given-default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are considered investment grade, while those below are considered non-investment grade.
Citigroup also has incorporated environmental factors like climate risk assessment and reporting criteria for certain
 
obligors, as necessary. Factors evaluated include consideration of climate risk to an obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
 
Total exposure
 
June 30,
2019
March 31,
2019
December 31,
2018
AAA/AA/A
49
%
49
%
49
%
BBB
35

35

34

BB/B
15

15

16

CCC or below
1

1

1

Total
100
%
100
%
100
%

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


42


Citi’s corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi’s total corporate credit portfolio by industry:
 
Total exposure
 
June 30,
2019
March 31,
2019
December 31,
2018
Transportation and industrial
21
%
21
%
21
%
Consumer retail and health
15

15

15

Technology, media and telecom
12

11

13

Power, chemicals, metals and mining
10

11

10

Energy and commodities
8

8

8

Banks/broker-dealers/finance companies
8

8

8

Real estate
9

9

8

Public sector
4

4

5

Insurance and special purpose entities
4

4

4

Hedge funds
4

4

4

Other industries
5

5

4

Total
100
%
100
%
100
%
 
For additional information on Citi’s corporate credit portfolio, see Note 13 to the Consolidated Financial Statements.

Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Principal transactions in the Consolidated Statement of Income.
At June 30, 2019, December 31, 2018 and June 30, 2018, $30.4 billion, $30.8 billion and $27.4 billion, respectively, of the corporate credit portfolio was economically hedged. Citigroup’s expected loss model used in the calculation of its loan loss reserve does not include the favorable impact of credit derivatives and other mitigants that are marked to market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying corporate credit portfolio exposures with the following risk rating distribution:

 
Rating of Hedged Exposure
 
June 30,
2019
March 31,
2019
December 31,
2018
AAA/AA/A
35
%
36
%
35
%
BBB
47

48

50

BB/B
17

15

14

CCC or below
1

1

1

Total
100
%
100
%
100
%

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

Industry of Hedged Exposure
 
June 30,
2019
March 31,
2019
December 31,
2018
Transportation and industrial
23
%
22
%
23
%
Technology, media and telecom
18

18

17

Consumer retail and health
16

16

16

Power, chemicals, metals and mining
14

15

15

Energy and commodities
10

10

11

Insurance and special purpose entities
5

6

6

Banks/broker-dealers/finance companies
4

4

4

Public sector
4

4

3

Real estate
4

4

4

Other industries
2

1

1

Total
100
%
100
%
100
%


43


ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding
 
2nd Qtr.
1st Qtr.
4th Qtr.
3rd Qtr.
2nd Qtr.
In millions of dollars
2019
2019
2018
2018
2018
Consumer loans





In North America offices(1)





Residential first mortgages(2)
$
45,474

$
45,351

$
47,412

$
47,707

$
47,904

Home equity loans(2)
10,404

10,937

11,543

12,131

12,861

Credit cards
140,266

135,908

144,557

137,872

136,741

Installment and other
3,245

3,314

3,454

3,528

3,454

Commercial banking
10,690

10,360

9,728

9,279

9,104

Total
$
210,079

$
205,870

$
216,694

$
210,517

$
210,064

In offices outside North America(1)
 
 
 
 
 
Residential first mortgages(2)
$
36,580

$
36,114

$
35,972

$
36,282

$
36,134

Credit cards
24,975

24,343

24,926

24,414

24,157

Installment and other
27,321

26,744

26,134

26,281

25,791

Commercial banking
27,040

26,816

26,761

27,975

27,486

Total
$
115,916

$
114,017

$
113,793

$
114,952

$
113,568

Consumer loans, net of unearned income(3)
$
325,995

$
319,887

$
330,487

$
325,469

$
323,632

Corporate loans





In North America offices(1)





Commercial and industrial
$
54,519

$
56,698

$
52,063

$
51,365

$
53,260

Financial institutions
47,610

49,985

48,447

46,255

42,867

Mortgage and real estate(2)
51,321

49,746

50,124

47,629

46,310

Installment, revolving credit and other
33,555

31,960

32,425

31,414

31,861

Lease financing
1,385

1,405

1,429

1,445

1,445

Total
$
188,390

$
189,794

$
184,488

$
178,108

$
175,743

In offices outside North America(1)





Commercial and industrial
$
98,351

$
97,844

$
94,701

$
98,281

$
98,068

Financial institutions
37,523

39,155

36,837

37,851

38,312

Mortgage and real estate(2)
7,577

7,005

7,376

7,344

7,261

Installment, revolving credit and other
27,333

24,868

25,684

22,827

22,755

Lease financing
92

95

103

131

139

Governments and official institutions
3,409

3,698

4,520

4,898

5,270

Total
$
174,285

$
172,665

$
169,221

$
171,332

$
171,805

Corporate loans, net of unearned income(4)
$
362,675

$
362,459

$
353,709

$
349,440

$
347,548

Total loans—net of unearned income
$
688,670

$
682,346

$
684,196

$
674,909

$
671,180

Allowance for loan losses—on drawn exposures
(12,466
)
(12,329
)
(12,315
)
(12,336
)
(12,126
)
Total loans—net of unearned income 
and allowance for credit losses
$
676,204

$
670,017

$
671,881

$
662,573

$
659,054

Allowance for loan losses as a percentage of total loans—
net of unearned income(5)
1.82
%
1.82
%
1.81
%
1.84
%
1.81
%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5)
3.10
%
3.13
%
3.01
%
3.07
%
3.03
%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5)
0.66
%
0.64
%
0.67
%
0.68
%
0.68
%
(1)
North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(2)
Loans secured primarily by real estate.
(3)
Consumer loans are net of unearned income of $713 million, $701 million, $708 million, $712 million and $711 million at June 30, 2019, March 31, 2019, December 31, 2018, September 30, 2018 and June 30, 2018, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(4)
Corporate loans are net of unearned income of $(815) million, $(808) million, $(822) million, $(787) million and $(802) million at June 30, 2019, March 31, 2019, December 31, 2018, September 30, 2018 and June 30, 2018, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(5)
All periods exclude loans that are carried at fair value.

44


Details of Credit Loss Experience
 
2nd Qtr.
1st Qtr.
4th Qtr.
3rd Qtr.
2nd Qtr.
In millions of dollars
2019
2019
2018
2018
2018
Allowance for loan losses at beginning of period
$
12,329

$
12,315

$
12,336

$
12,126

$
12,354

Provision for loan losses
 
 
 
 
 
Consumer
$
1,972

$
1,942

$
1,774

$
1,869

$
1,764

Corporate
117

2

76

37

31

Total
$
2,089

$
1,944

$
1,850

$
1,906

$
1,795

Gross credit losses
 
 
 
 
 
Consumer
 
 
 
 
 
In U.S. offices
$
1,680

$
1,670

$
1,495

$
1,462

$
1,490

In offices outside the U.S.
591

602

595

596

599

Corporate
 
 
 
 
 
In U.S. offices
41

33

23

15

5

In offices outside the U.S.
42

40

53

21

15

Total
$
2,354

$
2,345

$
2,166

$
2,094

$
2,109

Credit recoveries(1)
 
 
 
 
 
Consumer
 
 
 
 
 
In U.S. offices
$
255

$
246

$
217

$
212

$
255

In offices outside the U.S.
123

134

132

120

128

Corporate
 
 
 
 
 
In U.S. offices
5

3

24

1

5

In offices outside the U.S.
8

14

7

5

17

Total
$
391

$
397

$
380

$
338

$
405

Net credit losses
 
 
 
 
 
In U.S. offices
$
1,461

$
1,454

$
1,277

$
1,264

$
1,235

In offices outside the U.S.
502

494

509

492

469

Total
$
1,963

$
1,948

$
1,786

$
1,756

$
1,704

Other—net(2)(3)(4)(5)(6)(7)
$
11

$
18

$
(85
)
$
60

$
(319
)
Allowance for loan losses at end of period
$
12,466

$
12,329

$
12,315

$
12,336

$
12,126

Allowance for loan losses as a percentage of total loans(8)
1.82
%
1.82
%
1.81
%
1.84
%
1.81
%
Allowance for unfunded lending commitments(9)
$
1,376

$
1,391

$
1,367

$
1,321

$
1,278

Total allowance for loan losses and unfunded lending commitments
$
13,842

$
13,720

$
13,682

$
13,657

$
13,404

Net consumer credit losses
$
1,893

$
1,892

$
1,741

$
1,726

$
1,706

As a percentage of average consumer loans
2.36
%
2.38
%
2.13
%
2.11
%
2.12
%
Net corporate credit losses (recoveries)
$
70

$
56

$
45

$
30

$
(2
)
As a percentage of average corporate loans
0.08
%
0.07
%
0.06
%
0.03
%
—
%
Allowance by type at end of period(10)
 
 
 
 
 
Consumer
$
10,113

$
10,026

$
9,950

$
9,997

$
9,796

Corporate
2,353

2,303

2,365

2,339

2,330

Total
$
12,466

$
12,329

$
12,315

$
12,336

$
12,126

(1)
Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)
Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(3)
The second quarter of 2019 includes an increase of approximately $13 million related to FX translation.
(4)
The first quarter of 2019 includes an increase of approximately $26 million related to FX translation.
(5)
The fourth quarter of 2018 includes a reduction of approximately $4 million related to the sale or transfers to held-for-sale (HFS) of various loan portfolios, including a reduction of $3 million related to the transfers of a real estate loan portfolio to HFS. Additionally, the fourth quarter includes a decrease of approximately $76 million related to FX translation.
(6)
The third quarter of 2018 includes a reduction of approximately $5 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of $2 million related to the transfers of a real estate loan portfolio to HFS. Additionally, the third quarter includes an increase of approximately $62 million related to FX translation.

45


(7)
The second quarter of 2018 includes a reduction of approximately $137 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $33 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes a decrease of approximately $164 million related to FX translation.
(8)
June 30, 2019, March 31, 2019, December 31, 2018, September 30, 2018 and June 30, 2018 exclude $3.8 billion, $3.9 billion, $3.2 billion, $4.2 billion and $3.0 billion, respectively, of loans which are carried at fair value.
(9)
Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(10)
Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and troubled debt restructurings. See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.


Allowance for Loan Losses
The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios:
 
June 30, 2019
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$
6.7

$
140.2

4.8
%
North America mortgages(3)
0.4

55.9

0.7

North America other
0.3

14.0

2.1

International cards
0.6

25.0

2.4

International other(4)
2.1

90.9

2.3

Total consumer
$
10.1

$
326.0

3.1
%
Total corporate
2.4

362.7

0.7

Total Citigroup
$
12.5

$
688.7

1.8
%
(1)
Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)
Includes both Citi-branded cards and Citi retail services. The $6.7 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.
(3)
Of the $0.4 billion, nearly all was allocated to North America mortgages in Corporate/Other, of which $0.1 billion and $0.3 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $55.9 billion in loans, approximately $53.4 billion and $2.4 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)
Includes mortgages and other retail loans.

 
December 31, 2018
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$
6.5

$
144.6

4.5
%
North America mortgages(3)
0.4

58.9

0.7

North America other
0.3

13.2

2.3

International cards
0.7

24.9

2.8

International other(4)
2.0

88.9

2.2

Total consumer
$
9.9

$
330.5

3.0
%
Total corporate
2.4

353.7

0.7

Total Citigroup
$
12.3

$
684.2

1.8
%
(1)
Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)
Includes both Citi-branded cards and Citi retail services. The $6.5 billion of loan loss reserves represented approximately 16 months of coincident net credit loss coverage.
(3)
Of the $0.4 billion, nearly all was allocated to North America mortgages in Corporate/Other, including $0.1 billion and $0.3 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $58.9 billion in loans, approximately $56.3 billion and $2.5 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)
Includes mortgages and other retail loans.

46


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

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



 
Jun. 30,
Mar. 31,
Dec. 31,
Sept. 30,
Jun. 30,
In millions of dollars
2019
2019
2018
2018
2018
Corporate non-accrual loans(1)(2)
 
 
 
 
 
North America
$
779

$
922

$
483

$
679

$
784

EMEA
321

317

375

362

391

Latin America
259

225

230

266

204

Asia
51

18

223

233

244

Total corporate non-accrual loans
$
1,410

$
1,482

$
1,311

$
1,540

$
1,623

Consumer non-accrual loans(1)
 
 
 
 
 
North America
$
1,216

$
1,230

$
1,241

$
1,323

$
1,373

Latin America
723

694

715

764

726

Asia(3)
289

281

270

287

284

Total consumer non-accrual loans
$
2,228

$
2,205

$
2,226

$
2,374

$
2,383

Total non-accrual loans
$
3,638

$
3,687

$
3,537

$
3,914

$
4,006

(1)
Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $123 million at June 30, 2019, $125 million at March 31, 2019, $128 million at December 31, 2018, $131 million at September 30, 2018 and $149 million at June 30, 2018.
(2)
Approximately 46%, 55% and 65% of Citi’s corporate non-accrual loans were performing at June 30, 2019, December 31, 2018 and March 31, 2018, respectively.
(3)
Asia GCB includes balances in certain EMEA countries for all periods presented.


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

 
Three Months Ended
Three Months Ended
 
June 30, 2019
June 30, 2018
In millions of dollars
Corporate
Consumer
Total
Corporate
Consumer
Total
Non-accrual loans at beginning of period
$
1,482

$
2,205

$
3,687

$
1,668

$
2,575

$
4,243

Additions
499

823

1,322

628

791

1,419

Sales and transfers to HFS
—

(22
)
(22
)
(8
)
(68
)
(76
)
Returned to performing
(11
)
(92
)
(103
)
(36
)
(146
)
(182
)
Paydowns/settlements
(499
)
(286
)
(785
)
(613
)
(327
)
(940
)
Charge-offs
(37
)
(406
)
(443
)
(14
)
(372
)
(386
)
Other
(24
)
6

(18
)
(2
)
(70
)
(72
)
Ending balance
$
1,410

$
2,228

$
3,638

$
1,623

$
2,383

$
4,006






47


 
Six Months Ended
Six Months Ended
 
June 30, 2019
June 30, 2018
In millions of dollars
Corporate
Consumer
Total
Corporate
Consumer
Total
Non-accrual loans at beginning of period
$
1,311

$
2,226

$
3,537

$
1,942

$
2,690

$
4,632

Additions
1,222

1,545

2,767

1,453

1,652

3,105

Sales and transfers to HFS
(5
)
(56
)
(61
)
(28
)
(153
)
(181
)
Returned to performing
(39
)
(234
)
(273
)
(104
)
(354
)
(458
)
Paydowns/settlements
(983
)
(460
)
(1,443
)
(1,497
)
(597
)
(2,094
)
Charge-offs
(72
)
(808
)
(880
)
(120
)
(826
)
(946
)
Other
(24
)
15

(9
)
(23
)
(29
)
(52
)
Ending balance
$
1,410

$
2,228

$
3,638

$
1,623

$
2,383

$
4,006




The table below summarizes Citigroup’s other real estate owned (OREO) assets as of the periods indicated. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:
 
Jun. 30,
Mar. 31,
Dec. 31,
Sept. 30,
Jun. 30,
In millions of dollars
2019
2019
2018
2018
2018
OREO
 
 
 
 
 
North America
$
47

$
63

$
64

$
76

$
66

EMEA
1

1

1

1

1

Latin America
14

13

12

25

24

Asia
20

21

22

7

10

Total OREO
$
82

$
98

$
99

$
109

$
101

Non-accrual assets


 
 
 
Corporate non-accrual loans
$
1,410

$
1,482

$
1,311

$
1,540

$
1,623

Consumer non-accrual loans
2,228

2,205

2,226

2,374

2,383

Non-accrual loans (NAL)
$
3,638

$
3,687

$
3,537

$
3,914

$
4,006

OREO
$
82

$
98

$
99

$
109

$
101

Non-accrual assets (NAA)
$
3,720

$
3,785

$
3,636

$
4,023

$
4,107

NAL as a percentage of total loans
0.53
%
0.54
%
0.52
%
0.58
%
0.60
%
NAA as a percentage of total assets
0.19

0.19

0.19

0.21

0.21

Allowance for loan losses as a percentage of NAL(1)
343

334

348

315

303


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


48


Renegotiated Loans
The following table presents Citi’s loans modified in TDRs:
In millions of dollars
Jun. 30, 2019
Dec. 31, 2018
Corporate renegotiated loans(1)
 
 
In U.S. offices
 
 
Commercial and industrial(2)
$
182

$
188

Mortgage and real estate
90

111

Financial institutions
1

16

Other
6

2

Total
$
279

$
317

In offices outside the U.S.
 
 
Commercial and industrial(2)
$
242

$
226

Mortgage and real estate
22

12

Financial institutions
9

9

Other
—

—

Total
$
273

$
247

Total corporate renegotiated loans
$
552

$
564

Consumer renegotiated loans(3)(4)(5)
 
 
In U.S. offices
 
 
Mortgage and real estate
$
2,370

$
2,520

Cards
1,399

1,338

Installment and other
88

86

Total
$
3,857

$
3,944

In offices outside the U.S.
 
 
Mortgage and real estate
$
325

$
311

Cards
474

480

Installment and other
410

415

Total
$
1,209

$
1,206

Total consumer renegotiated loans
$
5,066

$
5,150

(1)
Includes $465 million and $466 million of non-accrual loans included in the non-accrual loans table above at June 30, 2019 and December 31, 2018, respectively. The remaining loans are accruing interest.
(2)
In addition to modifications reflected as TDRs at June 30, 2019, Citi also modified $26 million of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices outside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession.
(3)
Includes $1,002 million and $1,015 million of non-accrual loans included in the non-accrual loans table above at June 30, 2019 and December 31, 2018, respectively. The remaining loans are accruing interest.
(4)
Includes $21 million and $17 million of commercial real estate loans at June 30, 2019 and December 31, 2018, respectively.
(5)
Includes $98 million and $101 million of other commercial loans at June 30, 2019 and December 31, 2018, respectively.



49


LIQUIDITY RISK

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




High-Quality Liquid Assets (HQLA)
 
Citibank
Non-Bank and Other
Total
In billions of dollars
Jun. 30, 2019
Mar. 31, 2019
Jun. 30, 2018
Jun. 30, 2019
Mar. 31, 2019
Jun. 30, 2018
Jun. 30, 2019
Mar. 31, 2019
Jun. 30, 2018
Available cash
$
102.1

$
94.7

$
97.3

$
42.1

$
34.9

$
27.4

$
144.2

$
129.6

$
124.7

U.S. sovereign
93.8

94.9

101.4

37.0

29.5

28.7

130.8

124.4

130.1

U.S. agency/agency MBS
57.5

59.3

59.5

4.8

5.3

6.7

62.3

64.6

66.2

Foreign government debt(1)
61.9

67.7

73.5

4.0

3.5

10.9

65.9

71.2

84.4

Other investment grade
3.1

3.5

0.1

0.7

1.6

1.1

3.8

5.1

1.2

Total HQLA (AVG)
$
318.4

$
320.1

$
331.8

$
88.6

$
74.8

$
74.8

$
407.0

$
394.9

$
406.6


Note: The amounts set forth in the table above are presented on an average basis. For securities, the amounts represent the liquidity value that potentially could be realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts that would be required for securities financing transactions. The table above incorporates various restrictions that could limit the transferability of liquidity between legal entities, including Section 23A of the Federal Reserve Act.
(1)
Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Hong Kong, Singapore, Korea, Taiwan, India, Mexico and Canada.

The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated Liquidity Coverage Ratio (LCR), pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities and any amounts in excess of these minimums that are assumed to be transferable to other entities within Citigroup. Citigroup’s HQLA increased modestly year-over-year, as well as sequentially, largely reflecting cash from non-bank long-term debt issuances. While available liquidity resources at Citibank increased both year-over-year and sequentially, the amount of HQLA included in the table above declined both year-over-year and sequentially, as less HQLA in Citibank was eligible for inclusion in the consolidated metric.
Citi’s HQLA as set forth above does not include Citi’s available borrowing capacity from the Federal Home Loan Banks (FHLBs) of which Citi is a member, which was approximately $32 billion as of June 30, 2019 (compared to $25 billion as of March 31, 2019 and $21 billion as of June 30, 2018) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.

 

Liquidity Coverage Ratio
In addition to internal 30-day liquidity stress testing performed for Citi’s major entities, operating subsidiaries and countries, Citi also monitors its liquidity by reference to the LCR. The table below details the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:
In billions of dollars
Jun. 30, 2019
Mar. 31, 2019
Jun. 30, 2018
HQLA
$
407.0

$
394.9

$
406.6

Net outflows
353.5
331.6
341.5

LCR
115
%
119
%
119
%
HQLA in excess of net outflows
$53.5
$
63.3

$
65.1


Note: The amounts are presented on an average basis.

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


50


Loans
The table below details the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:
In billions of dollars
Jun. 30, 2019
Mar. 31, 2019
Jun. 30, 2018
Global Consumer Banking
 
 
 
North America
$
195.4

$
195.0

$
188.8

Latin America
25.6

25.6

25.5

Asia(1)
88.4

88.6

88.8

Total
$
309.4

$
309.2

$
303.1

Institutional Clients Group
 
 
 
Corporate lending
$
132.9

$
133.1

$
135.5

Treasury and trade solutions (TTS)
73.2

75.1

77.7

Private bank
101.2

97.2

90.7

Markets and securities services
  and other
50.6

51.1

43.0

Total
$
357.9

$
356.5

$
346.9

Total Corporate/Other
$
12.3

$
13.5

$
19.7

Total Citigroup loans (AVG)
$
679.6

$
679.2

$
669.7

Total Citigroup loans (EOP)
$
688.7

$
682.3

$
671.2


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

End-of-period loans increased 3% year-over-year and 1% sequentially. On an average basis, loans increased 1% year-over-year and remained largely unchanged sequentially.
Excluding the impact of FX translation, average loans increased 3% year-over-year and 4% in aggregate across GCB and ICG. Average GCB loans grew 3% year-over-year, driven by continued growth in North America GCB and Asia GCB. Average loans in Latin America GCB declined 1% year-over-year, reflecting a deceleration in GDP growth in Mexico and a slowdown in overall industry volumes.
Excluding the impact of FX translation, average ICG loans increased 5% year-over-year. TTS loans declined 4% year-over-year, despite continued strong origination volumes, as Citi continued to utilize its distribution capabilities to optimize the balance sheet and drive returns. Corporate lending loans were flat year-over-year, reflecting both the episodic nature of clients’ strategic financing needs, as well as lower activity in Asia where corporate client sentiment has become more cautious. Private bank loans increased 12%, driven by both new client onboarding, as well as the deepening of relationships with existing clients. Finally, continued strong year-over-year Markets and securities services loan growth was driven primarily by residential and commercial real-estate warehouse lending, as well as Community Reinvestment Act-related lending.
Average Corporate/Other loans continued to decline (down 37%), driven by the wind-down of legacy assets.
 
Deposits
The table below details the average deposits, by business and/or segment, and the total end-of-period deposits for each of the periods indicated:
In billions of dollars
Jun. 30, 2019
Mar. 31, 2019
Jun. 30, 2018
Global Consumer Banking
 
 
 
North America
$
183.0

$
182.3

$
179.9

Latin America
29.2

28.6

28.3

Asia(1)
100.7

99.3

97.6

Total
$
312.9

$
310.2

$
305.8

Institutional Clients Group
 
 
 
Treasury and trade solutions (TTS)
$
484.2

$
472.4

$
448.7

Banking ex-TTS
133.2

130.2

125.5

Markets and securities services
94.0

90.0

88.2

Total
$
711.4

$
692.6

$
662.4

Corporate/Other
$
15.5

$
14.4

$
18.0

Total Citigroup deposits (AVG)
$
1,039.9

$
1,017.2

$
986.2

Total Citigroup deposits (EOP)
$
1,045.6

$
1,030.4

$
996.7

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

End-of-period deposits increased 5% year-over-year and 1% sequentially. On an average basis, deposits increased 5% year-over-year and 2% sequentially.
Excluding the impact of FX translation, average deposits grew 7% from the prior-year period with contribution across businesses and regions. In GCB, deposits increased 3%, driven by growth across all regions.
Within ICG, average deposits grew 9% year-over-year, primarily driven by continued deposit growth in TTS.




51


Long-Term Debt
The weighted-average maturity of unsecured long-term debt issued by Citigroup and its affiliates (including Citibank) with a remaining life greater than one year was approximately 8.5 years as of June 30, 2019, compared to 8.3 years as of the prior-year period and 8.6 as of the prior quarter. The weighted-average maturity is calculated based on the contractual maturity of each security. For securities which are redeemable prior to maturity at the option of the holder, the weighted-average maturity is calculated based on the earliest date an option becomes exercisable.
Citi’s long-term debt outstanding at the Citigroup parent company includes senior and subordinated debt and what Citi refers to as customer-related debt, consisting of structured notes, such as equity- and credit-linked notes, as well as non-structured notes. Citi’s issuance of customer-related debt is generally driven by customer demand and complements benchmark debt issuance as a source of funding for Citi’s non-bank entities. Citi’s long-term debt at the bank includes benchmark senior debt, FHLB advances and securitizations.

 
Long-Term Debt Outstanding
The following table sets forth Citi’s end-of-period total long-term debt outstanding for each of the dates indicated:
In billions of dollars
Jun. 30, 2019
Mar. 31, 2019
Jun. 30, 2018
Parent and other(1)






Benchmark debt:
 
 
 
Senior debt
$
111.2

$
109.7

$
107.8

Subordinated debt
25.5

24.9

25.3

Trust preferred
1.7

1.7

1.7

Customer-related debt
47.9

42.4

34.3

Local country and other(2)
3.3

3.4

3.7

Total parent and other
$
189.6

$
182.1

$
172.8

Bank






FHLB borrowings
$
7.7

$
10.5

$
13.7

Securitizations(3)
25.9

25.9

28.5

Citibank benchmark senior debt
25.4

21.4

18.5

Local country and other(2)
3.6

3.7

3.3

Total bank
$
62.6

$
61.5

$
64.0

Total long-term debt
$
252.2

$
243.6

$
236.8

Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)
“Parent and other” includes long-term debt issued to third parties by the parent holding company (Citigroup) and Citi’s non-bank subsidiaries (including broker-dealer subsidiaries) that are consolidated into Citigroup. As of June 30, 2019, “parent and other” included $37.4 billion of long-term debt issued by Citi’s broker-dealer subsidiaries.
(2)
Local country debt includes debt issued by Citi’s affiliates in support of their local operations.
(3)
Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

Citi’s total long-term debt outstanding increased year-over-year, primarily driven by the issuance of customer-related debt at the non-bank entities and unsecured senior benchmark debt at the bank, partially offset by a decline in FHLB advances and securitizations. Sequentially, Citi’s total long-term debt outstanding increased, primarily driven by the issuance of unsecured senior benchmark debt at the bank and customer-related debt at the non-bank entities, partially offset by a decline in FHLB advances.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such repurchases help reduce Citi’s overall funding costs. During the second quarter of 2019, Citi repurchased and called an aggregate of approximately $1.7 billion of its outstanding long-term debt.





52


Long-Term Debt Issuances and Maturities
The table below details Citi’s long-term debt issuances and maturities (including repurchases and redemptions) during the periods presented:
 
2Q19
1Q19
2Q18
In billions of dollars
Maturities
Issuances
Maturities
Issuances
Maturities
Issuances
Parent and other












Benchmark debt:
 
 
 
 
 
 
Senior debt
$
5.1

$
4.5

$
0.2

$
4.6

$
7.2

$
4.9

Subordinated debt
—

—

—

—

0.3

0.3

Trust preferred
—

—

—

—

—

—

Customer-related debt
3.2

7.5

1.0

5.2

1.5

4.7

Local country and other
0.3

0.1

—

0.3

0.2

2.1

Total parent and other
$
8.6

$
12.2

$
1.2

$
10.1

$
9.1

$
12.0

Bank












FHLB borrowings
$
2.8

$
—

$
—

$
—

$
4.5

$
2.5

Securitizations
0.1

—

2.6

—

2.7

1.1

Citibank benchmark senior debt
—

3.9

2.5

5.0

—

3.5

Local country and other
0.3

0.2

0.3

0.5

0.9

0.9

Total bank
$
3.2

$
4.1

$
5.4

$
5.5

$
8.1

$
8.0

Total
$
11.9

$
16.3

$
6.6

$
15.6

$
17.2

$
20.0


The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2019, as well as its aggregate expected remaining long-term debt maturities by year as of June 30, 2019:
 
2019 YTD
Maturities
In billions of dollars
2019
2020
2021
2022
2023
2024
Thereafter
Total
Parent and other


















Benchmark debt:
 
 
 
 
 
 
 
 

Senior debt
$
5.3

$
8.9

$
8.9

$
14.3

$
9.3

$
12.6

$
7.1

$
50.0

$
111.2

Subordinated debt
—

—

—

—

0.7

1.1

0.9

22.8

$
25.5

Trust preferred
—

—

—

—

—

—

—

1.7

1.7

Customer-related debt
4.2

2.5

8.2

4.1

3.5

4.1

2.8

22.8

47.9

Local country and other
0.4

1.4

—

0.1

0.1

0.1

—

1.6

3.3

Total parent and other
$
9.8

$
12.7

$
17.1

$
18.5

$
13.6

$
17.9

$
10.8

$
99.0

$
189.6

Bank


















FHLB borrowings
$
2.8

$
2.8

$
4.9

$
—

$
—

$
—

$
—

$
—

$
7.7

Securitizations
2.6

5.2

4.6

7.2

2.2

2.5

1.2

3.1

25.9

Citibank benchmark debt
2.5

2.2

8.7

6.1

5.6

—

2.7

—

25.4

Local country and other
0.7

0.1

0.7

1.6

0.3

0.2

0.1

0.5

3.6

Total bank
$
8.6

$
10.3

$
18.9

$
14.9

$
8.2

$
2.7

$
4.0

$
3.6

$
62.6

Total long-term debt
$
18.4

$
23.1

$
36.0

$
33.4

$
21.8

$
20.6

$
14.8

$
102.6

$
252.2










 









53


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

Secured Funding Transactions
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both secured lending activity and a portion of the securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which is typically collateralized by foreign government debt securities. Generally, daily changes in the level of Citi’s secured funding are primarily due to fluctuations in secured lending activity in the matched book (as described below) and securities inventory.
Secured funding of $181 billion as of June 30, 2019 increased 2% from the prior-year period and declined 5% sequentially. Excluding the impact of FX translation, secured funding increased 3% from the prior-year period and declined 5% sequentially, both driven by normal business activity. Average balances for secured funding were approximately $189 billion for the quarter ended June 30, 2019.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less-liquid securities, including equity securities, corporate bonds and asset-backed securities. The tenor of Citi’s matched book liabilities is generally equal to or longer than the tenor of the corresponding matched book assets.
The remainder of the secured funding activity in the broker-dealer subsidiaries serves to fund securities inventory held in the context of market making and customer activities. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral and stipulating financing tenor. The weighted average maturity of Citi’s secured funding of less-liquid securities inventory was greater than 110 days as of June 30, 2019.
 
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. Additionally, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.

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

















54


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


Ratings as of June 30, 2019
 
Citigroup Inc.
Citibank, N.A.
 
Senior
debt
Commercial
paper
Outlook
Long-
term
Short-
term
Outlook
Fitch Ratings (Fitch)
A
F1
Stable
A+
F1
Stable
Moody’s Investors Service (Moody’s)
A3
P-2
Stable
Aa3
P-1
Stable
Standard & Poor’s (S&P)
BBB+
A-2
Stable
A+
A-1
Stable

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

Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including derivative triggers, which could take the form of cash obligations and collateral requirements.
The following information is provided for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank of a hypothetical, simultaneous
ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, judgments and uncertainties. Uncertainties include potential ratings limitations that certain entities may have with respect to permissible counterparties, as well as general subjective counterparty behavior. For example, certain corporate customers and markets counterparties could re-evaluate their business relationships with Citi and limit transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi’s funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors— Liquidity Risks” in Citi’s 2018 Annual Report on Form 10-K.

 

Citigroup Inc. and Citibank—Potential Derivative Triggers
As of June 30, 2019, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.3 billion, unchanged from March 31, 2019. Other funding sources, such as secured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of June 30, 2019, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity by approximately $0.5 billion, unchanged from March 31, 2019.
In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, across all three major rating agencies, could result in increased aggregate cash obligations and collateral requirements of approximately $0.8 billion unchanged from March 31, 2019 (see also Note 19 to the Consolidated Financial Statements). As detailed under “High-Quality Liquid Assets” above, the liquidity resources that are eligible for inclusion in the calculation of Citi’s consolidated HQLA were approximately $318 billion for Citibank and approximately $89 billion for Citi’s non-bank and other entities, for a total of approximately $407 billion for the quarter ended June 30, 2019. These liquidity resources are available in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could

55


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

Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential downgrade of Citibank’s senior debt/long-term rating across any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of June 30, 2019, Citibank had liquidity commitments of approximately $12.9 billion to consolidated asset-backed commercial paper conduits, compared to $13.1 billion as of March 31, 2019 (as referenced in Note 18 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.

56


MARKET RISK

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




Market Risk of Non-Trading Portfolios
The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point (bps) increase in interest rates:
In millions of dollars, except as otherwise noted
Jun. 30, 2019
Mar. 31, 2019
Jun. 30, 2018
Estimated annualized impact to net interest revenue
 
 
 
U.S. dollar(1)
$
404

$
527

$
1,046

All other currencies
659

677

635

Total
$
1,063

$
1,204

$
1,681

As a percentage of average interest-earning assets
0.06
%
0.07
%
0.10
%
Estimated initial impact to AOCI (after-tax)(2)
$
(3,738
)
$
(3,828
)
$
(4,713
)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)
(23
)
(25
)
(32
)

(1)
Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the estimated impact to net interest revenue in the table, since these exposures are managed economically in combination with mark-to-market positions. The U.S. dollar interest rate exposure associated with these businesses was $(230) million for a 100 bps instantaneous increase in interest rates as of June 30, 2019.
(2)
Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

The estimated impact to net interest revenue decreased on a sequential basis, reflecting changes in balance sheet composition and Citi Treasury positioning. The decrease in the estimated impact to AOCI primarily reflected changes to the positioning of Citi Treasury’s investment securities and related interest rate derivatives portfolio.
In the event of an unanticipated parallel instantaneous 100 bps increase in interest rates, Citi expects that the negative impact to AOCI would be offset in stockholders’ equity through the combination of expected incremental net interest revenue and the expected recovery of the impact on AOCI through accretion of Citi’s investment portfolio over a period
 
of time. As of June 30, 2019, Citi expects that the negative $3.7 billion impact to AOCI in such a scenario could potentially be offset over approximately 26 months.
The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis) under five different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies.

In millions of dollars, except as otherwise noted
Scenario 1
Scenario 2
Scenario 3
Scenario 4
Scenario 5
Overnight rate change (bps)
100

100

—

—

(100
)
10-year rate change (bps)
100

—

100

(100
)
(100
)
Estimated annualized impact to net interest revenue 
 
 
 
 
 
U.S. dollar
$
404

$
452

$
50

$
(81
)
$
(864
)
All other currencies
659

632

38

(38
)
(450
)
Total
$
1,063

$
1,084

$
88

$
(119
)
$
(1,314
)
Estimated initial impact to AOCI (after-tax)(1)
$
(3,738
)
$
(2,394
)
$
(1,364
)
$
940

$
3,082

Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)
(23
)
(15
)
(9
)
5

17

Note: Each scenario assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated.
(1)
Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

57


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

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of June 30, 2019, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.6 billion, or 1.0%, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the Euro and the Indian rupee.
 
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further affect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 17 to the Consolidated Financial Statements.


 
For the quarter ended
In millions of dollars, except as otherwise noted
Jun. 30, 2019
Mar. 31, 2019
Jun. 30, 2018
Change in FX spot rate(1)
0.4
%
0.4
%
(5.8
)%
Change in TCE due to FX translation, net of hedges
$
56

$
65

$
(2,241
)
As a percentage of TCE
—
%
—
%
(1.5
)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
  to changes in FX translation, net of hedges (bps)
—

—

—


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



58


Interest Revenue/Expense and Net Interest Margin (NIM)
a2q19chartforwdesk.jpg
 
2nd Qtr.
 
1st Qtr.
 
2nd Qtr.
 
Change
In millions of dollars, except as otherwise noted
2019
 
2019
 
2018
 
2Q19 vs. 2Q18
Interest revenue(1)
$
19,761

 
$
19,140

 
$
17,613

 
12
%
 
Interest expense(2) 
7,762

 
7,317

 
5,885

 
32

 
Net interest revenue
$
11,999

 
$
11,823

 
$
11,728

 
2
%
 
Interest revenue—average rate(3)
4.40
%
 
4.40
%
 
4.05
%
 
35

bps
Interest expense—average rate
2.14

 
2.10

 
1.73

 
41

bps
Net interest margin(3)(4) 
2.67

 
2.72

 
2.70

 
(3
)
bps
Interest-rate benchmarks
 
 
 
 
 
 
 
 
Two-year U.S. Treasury note—average rate
2.13
%
 
2.49
%
 
2.48
%
 
(35
)
bps
10-year U.S. Treasury note—average rate
2.34

 
2.65

 
2.92

 
(58
)
bps
10-year vs. two-year spread
21

bps
16

bps
44

bps
 

 
Note: All interest expense amounts include FDIC, as well as other similar deposit insurance assessments outside of the U.S. As of the fourth quarter of 2018, Citi’s FDIC surcharge was eliminated (approximately $130 million per quarter).
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rates of 21% in 2019 and 2018) of $49 million, $64 million and $63 million for the three months ended June 30, 2019, March 31, 2019 and June 30, 2018, respectively.
(2)
Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated Statement of Income and is therefore not reflected in Interest expense in the table above.
(3)
The average rate on interest revenue and net interest margin reflects the taxable equivalent gross-up adjustment. See footnote 1 on “Average Balances and Interest Rates—Assets” below.
(4)
Citi’s net interest margin (NIM) is calculated by dividing net interest revenue by average interest-earning assets.

Citi’s net interest revenue in the second quarter of 2019 increased 2% to $12.0 billion (as set forth in the table above, also up 2% on a taxable equivalent basis) versus the prior-year period. Excluding the impact of FX translation, net interest revenue increased 4%, or approximately $450 million. The increase in net interest revenue primarily reflected higher rates, loan growth and a favorable loan mix as well as higher trading-related net interest revenue, along with the absence of the FDIC surcharge.
 
As set forth above, Citi’s NIM was 2.67% on a taxable equivalent basis in the second quarter of 2019, a decrease of 5 basis points from the prior quarter, as higher net interest revenue was more than offset by higher cash balances reflecting strong deposit growth in the current quarter.

59


Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3) 
Taxable Equivalent Basis
 
Average volume
Interest revenue
% Average rate
 
2nd Qtr.
1st Qtr.
2nd Qtr.
2nd Qtr.
1st Qtr.
2nd Qtr.
2nd Qtr.
1st Qtr.
2nd Qtr.
In millions of dollars, except rates
2019
2019
2018
2019
2019
2018
2019
2019
2018
Assets
 
 
 
 
 
 
 
 
 
Deposits with banks(4)
$
192,483

$
171,369

$
176,151

$
736

$
607

$
493

1.53
%
1.44
%
1.12
%
Securities borrowed or purchased under agreements to resell(5)
 
 
 
 
 
 




In U.S. offices
$
147,677

$
152,530

$
153,273

$
1,345

$
1,262

$
838

3.65
%
3.36
%
2.19
%
In offices outside the U.S.(4)
118,973

123,109

118,098

552

528

498

1.86

1.74

1.69

Total
$
266,650

$
275,639

$
271,371

$
1,897

$
1,790

$
1,336

2.85
%
2.63
%
1.97
%
Trading account assets(6)(7)
 
 
 
 
 
 




In U.S. offices
$
108,993

$
95,904

$
92,791

$
1,014

$
940

$
851

3.73
%
3.98
%
3.68
%
In offices outside the U.S.(4)
136,733

124,673

117,840

1,129

752

922

3.31

2.45

3.14

Total
$
245,726

$
220,577

$
210,631

$
2,143

$
1,692

$
1,773

3.50
%
3.11
%
3.38
%
Investments
 
 
 
 
 
 




In U.S. offices
 
 
 
 
 
 




Taxable
$
217,593

$
225,733

$
225,886

$
1,273

$
1,509

$
1,315

2.35
%
2.71
%
2.34
%
Exempt from U.S. income tax
15,233

16,287

17,339

196

129

180

5.16

3.21

4.16

In offices outside the U.S.(4)
114,575

108,988

104,562

1,060

940

913

3.71

3.50

3.50

Total
$
347,401

$
351,008

$
347,787

$
2,529

$
2,578

$
2,408

2.92
%
2.98
%
2.78
%
Loans (net of unearned income)(8)
 
 
 
 
 
 




In U.S. offices
$
393,694

$
393,398

$
382,972

$
7,614

$
7,649

$
6,958

7.76
%
7.89
%
7.29
%
In offices outside the U.S.(4)
285,928

285,811

286,772

4,385

4,341

4,251

6.15

6.16

5.95

Total
$
679,622

$
679,209

$
669,744

$
11,999

$
11,990

$
11,209

7.08
%
7.16
%
6.71
%
Other interest-earning assets(9)
$
67,885

$
66,925

$
69,341

$
457

$
483

$
394

2.70
%
2.93
%
2.28
%
Total interest-earning assets
$
1,799,767

$
1,764,727

$
1,745,025

$
19,761

$
19,140

$
17,613

4.40
%
4.40
%
4.05
%
Non-interest-earning assets(6)
$
179,357

$
174,687

$
172,077

 
 
 
 
 
 
Total assets
$
1,979,124

$
1,939,414

$
1,917,102

 
 
 
 
 
 
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rates of 21% in 2019 and 2018) of $49 million, $64 million and $63 million for the three months ended June 30, 2019, March 31, 2019 and June 30, 2018, respectively.
(2)
Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.
(3)
Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
(6)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(7)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(8)
Includes cash-basis loans.
(9)
Includes Brokerage receivables.

60


Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3) 
Taxable Equivalent Basis
 
Average volume
Interest expense
% Average rate
 
2nd Qtr.
1st Qtr.
2nd Qtr.
2nd Qtr.
1st Qtr.
2nd Qtr.
2nd Qtr.
1st Qtr.
2nd Qtr.
In millions of dollars, except rates
2019
2019
2018
2019
2019
2018
2019
2019
2018
Liabilities
 
 
 
 
 
 
 
 
 
Deposits
 
 
 
 
 
 
 
 
 
In U.S. offices(4)
$
377,651

$
366,247

$
332,595

$
1,627

$
1,489

$
1,041

1.73
%
1.65
%
1.26
%
In offices outside the U.S.(5)
485,069

473,142

453,025

1,657

1,538

1,203

1.37

1.32

1.07

Total
$
862,720

$
839,389

$
785,620

$
3,284

$
3,027

$
2,244

1.53
%
1.46
%
1.15
%
Securities loaned or sold under
  agreements to repurchase(6)
 
 
 
 
 
 






In U.S. offices
$
112,386

$
111,033

$
102,517

$
1,149

$
1,107

$
796

4.10
%
4.04
%
3.11
%
In offices outside the U.S.(5)
76,659

72,904

68,556

575

482

428

3.01

2.68

2.50

Total
$
189,045

$
183,937

$
171,073

$
1,724

$
1,589

$
1,224

3.66
%
3.50
%
2.87
%
Trading account liabilities(7)(8)
 
 
 
 
 
 






In U.S. offices
$
35,939

$
40,163

$
36,103

$
215

$
196

$
140

2.40
%
1.98
%
1.56
%
In offices outside the U.S.(5)
59,065

55,127

61,048

105

131

96

0.71

0.96

0.63

Total
$
95,004

$
95,290

$
97,151

$
320

$
327

$
236

1.35
%
1.39
%
0.97
%
Short-term borrowings(9)
 
 
 
 
 
 






In U.S. offices
$
84,091

$
75,440

$
84,338

$
630

$
571

$
439

3.00
%
3.07
%
2.09
%
In offices outside the U.S.(5)
22,114

23,740

23,854

85

81

84

1.54

1.38

1.41

Total
$
106,205

$
99,180

$
108,192

$
715

$
652

$
523

2.70
%
2.67
%
1.94
%
Long-term debt(10)
 
 
 
 
 
 






In U.S. offices
$
197,578

$
191,903

$
198,291

$
1,685

$
1,685

$
1,620

3.42
%
3.56
%
3.28
%
In offices outside the U.S.(5)
4,946

5,060

4,980

34

37

38

2.76

2.97

3.06

Total
$
202,524

$
196,963

$
203,271

$
1,719

$
1,722

$
1,658

3.40
%
3.55
%
3.27
%
Total interest-bearing liabilities
$
1,455,498

$
1,414,759

$
1,365,307

$
7,762

$
7,317

$
5,885

2.14
%
2.10
%
1.73
%
Demand deposits in U.S. offices
$
29,929

$
26,893

$
33,737

 
 
 
 
 
 
Other non-interest-bearing liabilities(7)
296,747

301,259

316,907

 
 
 
 
 
 
Total liabilities
$
1,782,174

$
1,742,911

$
1,715,951

 
 
 
 
 
 
Citigroup stockholders’ equity
$
196,237

$
195,705

$
200,295

 
 
 
 
 
 
Noncontrolling interest
713

798

856

 
 
 
 
 
 
Total equity
$
196,950

$
196,503

$
201,151

 
 
 
 
 
 
Total liabilities and stockholders’ equity
$
1,979,124

$
1,939,414

$
1,917,102

 
 
 
 
 
 
Net interest revenue as a percentage of average interest-earning assets(11)
 
 
 
 
 
 
 
 
 
In U.S. offices
$
1,015,979

$
996,867

$
983,786

$
7,029

$
7,232

$
6,710

2.77
%
2.94
%
2.74
%
In offices outside the U.S.(6)
783,788

768,160

761,239

4,970

4,591

5,018

2.54

2.42

2.64

Total
$
1,799,767

$
1,765,027

$
1,745,025

$
11,999

$
11,823

$
11,728

2.67
%
2.72
%
2.70
%
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rates of 21% in 2019 and 2018) of $49 million, $64 million and $63 million for the three months ended June 30, 2019, March 31, 2019 and June 30, 2018, respectively.
(2)
Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(3)
Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.
(5)
Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of ASC 210-20-45.
(7)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(8)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

61


(9)
Includes Brokerage payables.
(10)
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as the changes in fair value for these obligations are recorded in Principal transactions.
(11)
Includes allocations for capital and funding costs based on the location of the asset.
Average Balances and Interest Rates—Assets(1)(2)(3) 
Taxable Equivalent Basis
 
Average volume
Interest revenue
% Average rate
 
Six Months
Six Months
Six Months
Six Months
Six Months
Six Months
In millions of dollars, except rates
2019
2018
2019
2018
2019
2018
Assets
 
 
 
 
 
 
Deposits with banks(4)
$
181,926

$
173,509

$
1,343

$
925

1.49
%
1.08
%
Securities borrowed or purchased under agreements to resell(5)
 
 
 
 
 
 
In U.S. offices
$
150,104

$
146,816

$
2,607

$
1,551

3.50
%
2.13
%
In offices outside the U.S.(4)
121,041

116,009

1,080

824

1.80

1.43

Total
$
271,145

$
262,825

$
3,687

$
2,375

2.74
%
1.82
%
Trading account assets(6)(7)
 
 
 
 
 
 
In U.S. offices
$
102,449

$
95,175

$
1,954

$
1,720

3.85
%
3.64
%
In offices outside the U.S.(4)
130,703

118,222

1,881

1,434

2.90

2.45

Total
$
233,152

$
213,397

$
3,835

$
3,154

3.32
%
2.98
%
Investments
 
 
 
 
 
 
In U.S. offices
 
 
 
 
 
 
Taxable
$
221,663

$
227,647

$
2,782

$
2,539

2.53
%
2.25
%
Exempt from U.S. income tax
15,760

17,435

325

350

4.16

4.05

In offices outside the U.S.(4)
111,782

104,935

2,000

1,790

3.61

3.44

Total
$
349,205

$
350,017

$
5,107

$
4,679

2.95
%
2.70
%
Loans (net of unearned income)(8)
 
 
 
 
 
 
In U.S. offices
$
393,546

$
381,665

$
15,263

$
13,690

7.82
%
7.23
%
In offices outside the U.S.(4)
285,870

287,170

8,726

8,428

6.16

5.92

Total
$
679,416

$
668,835

$
23,989

$
22,118

7.12
%
6.67
%
Other interest-earning assets(9)
$
67,405

$
68,051

$
940

$
758

2.81
%
2.25
%
Total interest-earning assets
$
1,782,249

$
1,736,634

$
38,901

$
34,009

4.40
%
3.95
%
Non-interest-earning assets(6)
$
177,022

$
174,032

 
 

 
 

Total assets
$
1,959,271

$
1,910,666

 
 

 
 

(1)
Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rates of 21% in 2019 and 2018) of $113 million and $127 million for the six months ended June 30, 2019 and 2018, respectively.
(2)
Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.
(3)
Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest revenue excludes the impact of ASC 210-20-45.
(6)
The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.
(7)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(8)
Includes cash-basis loans.
(9)
Includes Brokerage receivables.







62


Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3) 
Taxable Equivalent Basis
 
Average volume
Interest expense
% Average rate
 
Six Months
Six Months
Six Months
Six Months
Six Months
Six Months
In millions of dollars, except rates
2019
2018
2019
2018
2019
2018
Liabilities
 
 
 
 
 
 
Deposits
 
 
 
 
 
 
In U.S. offices(4)
$
371,949

$
327,974

$
3,118

$
1,938

1.69
%
1.19
%
In offices outside the U.S.(5)
479,106

449,721

3,193

2,303

1.34

1.03

Total
$
851,055

$
777,695

$
6,311

$
4,241

1.50
%
1.10
%
Securities loaned or sold under agreements to repurchase(6)
 
 
 
 
 
 
In U.S. offices
$
111,709

$
100,766

$
2,256

$
1,400

4.07
%
2.80
%
In offices outside the U.S.(5)
74,782

67,003

1,057

773

2.85

2.33

Total
$
186,491

$
167,769

$
3,313

$
2,173

3.58
%
2.61
%
Trading account liabilities(7)(8)
 
 
 
 
 
 
In U.S. offices
$
38,051

$
35,050

$
411

$
267

2.18
%
1.54
%
In offices outside the U.S.(5)
57,096

59,387

236

184

0.83

0.62

Total
$
95,147

$
94,437

$
647

$
451

1.37
%
0.96
%
Short-term borrowings(9)
 
 
 
 
 
 
In U.S. offices
$
79,766

$
86,770

$
1,201

$
828

3.04
%
1.92
%
In offices outside the U.S.(5)
22,927

23,668

166

166

1.46

1.41

Total
$
102,693

$
110,438

$
1,367

$
994

2.68
%
1.82
%
Long-term debt(10)
 
 
 
 
 
 
In U.S. offices
$
194,741

$
199,108

$
3,370

$
3,102

3.49
%
3.14
%
In offices outside the U.S.(5)
5,003

4,667

71

84

2.86

3.63

Total
$
199,744

$
203,775

$
3,441

$
3,186

3.47
%
3.15
%
Total interest-bearing liabilities
$
1,435,130

$
1,354,114

$
15,079

$
11,045

2.12
%
1.64
%
Demand deposits in U.S. offices
$
28,411

$
34,633

 
 

 
 
Other non-interest-bearing liabilities(7)
299,003

320,455

 
 

 
 
Total liabilities
$
1,762,544

$
1,709,202

 
 

 
 
Citigroup stockholders’ equity(11)
$
195,971

$
200,564

 
 

 
 
Noncontrolling interest
756

899

 
 

 
 
Total equity(11)
$
196,727

$
201,463

 
 

 
 
Total liabilities and stockholders’ equity
$
1,959,271

$
1,910,665

 
 

 
 
Net interest revenue as a percentage of average interest-earning assets
 
 
 
 
 
 
In U.S. offices
$
1,006,273

$
978,772

$
14,261

$
13,427

2.86
%
2.77
%
In offices outside the U.S.(5)
775,974

757,862

9,561

9,537

2.48

2.54

Total
$
1,782,247

$
1,736,634

$
23,822

$
22,964

2.70
%
2.67
%
(1)
Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rates of 21% in 2019 and 2018) of $113 million and $127 million for the six months ended June 30, 2019 and 2018, respectively.
(2)
Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.
(3)
Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance fees and charges.
(5)
Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest expense excludes the impact of ASC 210-20-45.
(7)
The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.
(8)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)
Includes Brokerage payables.
(10)
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as these obligations are accounted for in changes in fair value recorded in Principal transactions.
(11)
Includes allocations for capital and funding costs based on the location of the asset.

63


Analysis of Changes in Interest Revenue(1)(2)(3) 
 
2nd Qtr. 2019 vs. 1st Qtr. 2019
2nd Qtr. 2019 vs. 2nd Qtr. 2018
 
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits with banks(3)
$
78

$
51

$
129

$
49

$
194

$
243

Securities borrowed or purchased under agreements to resell
 
 
 
 
 
 
In U.S. offices
$
(41
)
$
124

$
83

$
(32
)
$
539

$
507

In offices outside the U.S.(3)
(18
)
42

24

4

50

54

Total
$
(59
)
$
166

$
107

$
(28
)
$
589

$
561

Trading account assets(4)
 
 
 
 
 
 
In U.S. offices
$
124

$
(50
)
$
74

$
151

$
12

$
163

In offices outside the U.S.(3)
78

299

377

154

53

207

Total
$
202

$
249

$
451

$
305

$
65

$
370

Investments(1)
 
 
 
 
 
 
In U.S. offices
$
(61
)
$
(108
)
$
(169
)
$
(65
)
$
39

$
(26
)
In offices outside the U.S.(3)
50

70

120

91

56

147

Total
$
(11
)
$
(38
)
$
(49
)
$
26

$
95

$
121

Loans (net of unearned income)(5)
 
 
 
 
 
 
In U.S. offices
$
6

$
(41
)
$
(35
)
$
199

$
457

$
656

In offices outside the U.S.(3)
2

42

44

(13
)
147

134

Total
$
8

$
1

$
9

$
186

$
604

$
790

Other interest-earning assets(6)
$
7

$
(33
)
$
(26
)
$
(8
)
$
71

$
63

Total interest revenue
$
225

$
396

$
621

$
530

$
1,618

$
2,148

(1)
The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rates of 21% in 2019 and 2018 and is included in this presentation.
(2)
Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)
Includes cash-basis loans.
(6)
Includes Brokerage receivables.


64


Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3) 
 
2nd Qtr. 2019 vs. 1st Qtr. 2019
2nd Qtr. 2019 vs. 2nd Qtr. 2018
 
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits
 
 
 
 
 
 
In U.S. offices
$
47

$
91

$
138

$
155

$
431

$
586

In offices outside the U.S.(3)
39

80

119

90

364

454

Total
$
86

$
171

$
257

$
245

$
795

$
1,040

Securities loaned or sold under agreements to repurchase
 
 
 
 
 
 
In U.S. offices
$
14

$
28

$
42

$
82

$
271

$
353

In offices outside the U.S.(3)
26

67

93

54

93

147

Total
$
40

$
95

$
135

$
136

$
364

$
500

Trading account liabilities(4)
 
 
 
 
 
 
In U.S. offices
$
(22
)
$
41

$
19

$
(1
)
$
76

$
75

In offices outside the U.S.(3)
9

(35
)
(26
)
(3
)
12

9

Total
$
(13
)
$
6

$
(7
)
$
(4
)
$
88

$
84

Short-term borrowings(5)
 
 
 
 
 
 
In U.S. offices
$
65

$
(6
)
$
59

$
(1
)
$
192

$
191

In offices outside the U.S.(3)
(6
)
10

4

(6
)
7

1

Total
$
59

$
4

$
63

$
(7
)
$
199

$
192

Long-term debt
 
 
 
 
 
 
In U.S. offices
$
49

$
(49
)
$
—

$
(6
)
$
71

$
65

In offices outside the U.S.(3)
(1
)
(2
)
(3
)
—

(4
)
(4
)
Total
$
48

$
(51
)
$
(3
)
$
(6
)
$
67

$
61

Total interest expense
$
220

$
225

$
445

$
364

$
1,513

$
1,877

Net interest revenue
$
4

$
172

$
176

$
165

$
106

$
271

(1)
The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rates of 21% in 2019 and 2018 and is included in this presentation.
(2)
Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)
Includes Brokerage payables.










65


Analysis of Changes in Interest Revenue(1)(2)(3) 
 
Six Months 2019 vs. Six Months 2018
 
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Deposits with banks(3)
$
47

$
371

$
418

Securities borrowed or purchased under agreements to resell
 
 
 
In U.S. offices
$
35

$
1,021

$
1,056

In offices outside the U.S.(3)
37

219

256

Total
$
72

$
1,240

$
1,312

Trading account assets(4)
 
 
 
In U.S. offices
$
136

$
98

$
234

In offices outside the U.S.(3)
162

285

447

Total
$
298

$
383

$
681

Investments(1)
 
 
 
In U.S. offices
$
(92
)
$
310

$
218

In offices outside the U.S.(3)
120

90

210

Total
$
28

$
400

$
428

Loans (net of unearned income)(5)
 
 
 
In U.S. offices
$
436

$
1,137

$
1,573

In offices outside the U.S.(3)
(38
)
336

298

Total
$
398

$
1,473

$
1,871

Other interest-earning assets(6)
$
(7
)
$
189

$
182

Total interest revenue
$
836

$
4,056

$
4,892

(1)
The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rates of 21% in 2019 and 2018 and is included in this presentation.
(2)
Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)
Includes cash-basis loans.
(6)
Includes Brokerage receivables.


66


Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3) 
 
Six Months 2019 vs. Six Months 2018
 
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Deposits
 
 
 
In U.S. offices
$
286

$
892

$
1,178

In offices outside the U.S.(3)
159

733

892

Total
$
445

$
1,625

$
2,070

Securities loaned or sold under agreements to repurchase
 
 
 
In U.S. offices
$
165

$
691

$
856

In offices outside the U.S.(3)
97

187

284

Total
$
262

$
878

$
1,140

Trading account liabilities(4)
 
 
 
In U.S. offices
$
24

$
120

$
144

In offices outside the U.S.(3)
(7
)
59

52

Total
$
17

$
179

$
196

Short-term borrowings(5)
 
 
 
In U.S. offices
$
(72
)
$
445

$
373

In offices outside the U.S.(3)
(5
)
5

—

Total
$
(77
)
$
450

$
373

Long-term debt
 
 
 
In U.S. offices
$
(69
)
$
337

$
268

In offices outside the U.S.(3)
6

(19
)
(13
)
Total
$
(63
)
$
318

$
255

Total interest expense
$
584

$
3,450

$
4,034

Net interest revenue
$
252

$
606

$
858

(1)
The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rates of 21% in 2019 and 2018 and is included in this presentation.
(2)
Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)
Includes Brokerage payables.











67

Market Risk of Trading Portfolios

Value at Risk
As of June 30, 2019, Citi estimates that the conservative features of its VAR calibration contributed an approximate 25% add-on to what would be a VAR estimated under the assumption of stable and perfectly normal distributed markets. As of March 31, 2019, the add-on was 26%.
As set forth in the table below, Citi's average trading VAR decreased from March 31, 2019 to June 30, 2019. The decrease was mainly due to a decrease in exposure and a reduction in credit spread risk in the Markets businesses within ICG.

Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
 
 
Second Quarter
 
First Quarter
 
Second Quarter
In millions of dollars
June 30, 2019
2019 Average
March 31, 2019
2019 Average
June 30, 2018
2018 Average
Interest rate
$
40

$
36

$
32

$
37

$
60

$
61

Credit spread
46

43

43

48

46

47

Covariance adjustment(1)
(24
)
(20
)
(21
)
(23
)
(25
)
(26
)
Fully diversified interest rate and credit spread(2)
$
62

$
59

$
54

$
62

$
81

$
82

Foreign exchange
29

25

15

26

29

30

Equity
22

13

20

17

23

20

Commodity
25

25

30

28

16

17

Covariance adjustment(1)
(69
)
(63
)
(66
)
(67
)
(74
)
(69
)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$
69

$
59

$
53

$
66

$
75

$
80

Specific risk-only component(3)
$
2

$
2

$
2

$
3

$
2

$
3

Total trading VAR—general market risk factors only (excluding credit portfolios)
$
67

$
57

$
51

$
63

$
73

$
77

Incremental impact of the credit portfolio(4)
$
7

$
10

$
14

$
15

$
16

$
10

Total trading and credit portfolio VAR
$
76

$
69

$
67

$
81

$
91

$
90


(1)
Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each individual risk type. The benefit reflects the fact that the risks within each and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each individual risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.
(2)
The total trading VAR includes mark-to-market and certain fair value option trading positions in ICG, with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.
(3)
The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.
(4)
The credit portfolio is composed of mark-to-market positions associated with non-trading business units including Citi Treasury, the CVA relating to derivative counterparties and all associated CVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges to the loan portfolio, fair value option loans and hedges to the leveraged finance pipeline within capital markets origination in ICG.



 

68

The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
 
Second Quarter
First Quarter
Second Quarter
 
2019
2019
2018
In millions of dollars
Low
High
Low
High
Low
High
Interest rate
$
27

$
47

$
30

$
58

$
38

$
91

Credit spread
39

48

41

55

43

52

Fully diversified interest rate and credit spread
$
49

$
72

$
51

$
89

$
59

$
118

Foreign exchange
20

32

15

34

20

44

Equity
7

22

10

29

15

26

Commodity
20

33

19

43

13

22

Total trading
$
46

$
69

$
53

$
87

$
57

$
120

Total trading and credit portfolio
59

77

62

103

69

123

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

The following table provides the VAR for ICG, excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio:
In millions of dollars
Jun. 30, 2019
Total—all market risk factors, including
  general and specific risk
 
Average—during quarter
$
58

High—during quarter
68

Low—during quarter
46


Regulatory VAR Back-testing
In accordance with Basel III, Citi is required to perform back-testing to evaluate the effectiveness of its Regulatory VAR model. Regulatory VAR back-testing is the process in which the daily one-day VAR, at a 99% confidence interval, is compared to the buy-and-hold profit and loss (i.e., the profit and loss impact if the portfolio is held constant at the end of the day and re-priced the following day). Buy-and-hold profit and loss represents the daily mark-to-market profit and loss attributable to price movements in covered positions from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, fees and commissions, intra-day trading profit and loss and changes in reserves.
Based on a 99% confidence level, Citi would expect two to three days in any one year where buy-and-hold losses exceeded the Regulatory VAR. Given the conservative calibration of Citi’s VAR model (as a result of taking the greater of short- and long-term volatilities and fat-tail scaling of volatilities), Citi would expect fewer exceptions under normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.
As of June 30, 2019, there were no back-testing exceptions observed for Citi’s Regulatory VAR for the prior 12 months.

69


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

Country Risk

Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by
country (excluding the U.S.) as of June 30, 2019. The total exposure as of June 30, 2019 to the top 25 countries disclosed below, in combination with the U.S., would represent approximately 95% of Citi’s exposure to all countries. For purposes of the table, loan amounts are reflected in the country where the loan is booked, which is generally based on the domicile of the borrower. For example, a loan to a Chinese subsidiary of a Switzerland-based corporation will generally be categorized as a loan in China. In addition, Citi has
 
developed regional booking centers in certain countries, most significantly in the United Kingdom (U.K.) and Ireland, in order to more efficiently serve its corporate customers. As an
example, with respect to the U.K., only 29% of corporate
loans presented in the table below are to U.K. domiciled
entities (29% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 85% of the total U.K. funded loans and 90% of
the total U.K. unfunded commitments were investment grade
as of June 30, 2019. Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.
For additional information on strategic risk at Citi, see “Strategic Risk” in Citi’s 2018 Annual Report on Form 10-K.
In billions of dollars
ICG
loans(1)
GCB loans
Other funded(2)
Unfunded(3)
Net MTM on derivatives/repos(4)
Total hedges (on loans and CVA)
Investment securities(5)
Trading account assets(6)
Total
as of
2Q19
Total
as of
1Q19
Total
as of
2Q18
Total as a % of Citi as of 2Q19
United Kingdom
$
42.4

$
—

$
10.3

$
55.2

$
11.0

$
(4.4
)
$
5.6

$
(2.4
)
$
117.7

$
122.3

$
125.8

7.2
%
Mexico
10.3

25.8

0.3

8.4

1.2

(0.7
)
14.9

6.6

66.8

63.4

60.2

4.1

Hong Kong
17.8

14.0

0.7

7.3

1.4

(0.4
)
7.5

1.2

49.5

50.3

45.1

3.0

Singapore
13.2

13.2

0.2

4.8

1.0

(0.1
)
8.7

1.7

42.7

41.0

41.2

2.6

Ireland
13.4

—

0.5

18.1

0.3

—

—

0.6

32.9

33.5

31.3

2.0

Korea
1.7

17.7

0.2

2.5

1.1

(0.4
)
8.0

0.8

31.6

33.7

35.0

1.9

India
4.3

7.3

1.0

5.6

1.9

(0.6
)
9.9

1.9

31.3

32.0

27.6

1.9

Brazil
12.3

—

—

3.5

3.9

(1.0
)
4.2

3.5

26.4

26.8

24.4

1.6

Australia
4.8

9.9

—

6.7

1.2

(0.4
)
1.5

(1.9
)
21.8

22.9

23.2

1.3

Japan
2.7

—

0.1

2.5

4.5

(1.6
)
6.2

4.6

19.0

14.4

15.9

1.2

Germany
0.8

—

—

6.2

2.4

(3.3
)
8.8

3.9

18.8

22.2

16.8

1.2

China
6.1

4.7

0.4

1.8

1.1

(0.4
)
4.3

0.3

18.3

17.4

19.5

1.1

Taiwan
5.0

8.8

0.1

1.0

0.3

(0.1
)
0.8

1.7

17.6

17.6

19.0

1.1

Canada
2.3

0.7

0.4

7.5

2.3

(0.4
)
2.9

0.7

16.4

15.3

15.8

1.0

Poland
3.7

2.0

0.1

3.3

0.2

(0.1
)
5.1

1.0

15.3

15.3

13.0

0.9

Jersey
7.2

—

0.1

5.5

—

—

—

—

12.8

9.9

10.0

0.8

United Arab Emirates
6.9

1.4

0.1

3.1

0.4

(0.1
)
—

—

11.8

12.4

10.2

0.7

Malaysia
1.8

4.5

0.2

1.0

0.1

(0.1
)
1.7

0.5

9.7

10.0

9.7

0.6

Thailand
0.8

2.6

0.2

1.7

0.1

—

1.9

1.2

8.5

6.8

6.9

0.5

Indonesia
2.3

1.0

0.1

1.4

0.1

(0.1
)
1.2

0.2

6.2

6.1

6.2

0.4

Italy
0.3

—

—

2.1

4.6

(1.5
)
—

0.6

6.1

2.6

3.2

0.4

Russia
1.9

0.9

—

0.8

0.7

(0.1
)
0.9

0.3

5.4

4.7

4.6

0.3

Philippines
0.7

1.4

—

0.5

0.2

—

1.9

0.5

5.2

5.9

5.2

0.3

South Africa
1.4

—

0.1

0.7

0.3

(0.1
)
1.6

0.1

4.1

3.9

5.3

0.3

Czech Republic
0.9

—

—

0.7

2.4

—

—

—

4.0

3.3

2.2

0.2

Total as a % of Citi’s Total Exposure
 
 
 
 
 
 
36.6
%
Total as a % of Citi’s non-U.S. Total Exposure
 
 
 
 
 
 
90.4
%

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

70


(2)
Other funded includes other direct exposure such as accounts receivable, loans HFS, other loans in Corporate/Other and investments accounted for under the equity method.                                        
(3)
Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.            
(4)
Net mark-to-market counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.
(5)
Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost.    
(6)
Trading account assets are shown on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country.
    

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

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



 
INCOME TAXES

Deferred Tax Assets
For additional information on Citi’s deferred tax assets (DTAs), see “Risk Factors—Strategic Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and Notes 1 and 9 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
At June 30, 2019, Citigroup had recorded net DTAs of approximately $22.3 billion, a decrease of $0.5 billion from March 31, 2019 and a decrease of $0.6 billion from December 31, 2018. The decrease for the quarter was primarily driven by gains in Other comprehensive income and taxable earnings.
The table below summarizes Citi’s net DTAs balance:
Jurisdiction/Component
DTAs balance
In billions of dollars
June 30,
2019
December 31, 2018
Total U.S.
$
20.4

$
20.7

Total foreign
1.9

2.2

Total
$
22.3

$
22.9


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

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






71


FUTURE APPLICATION OF ACCOUNTING STANDARDS

Accounting for Financial Instruments—Credit Losses
In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU introduces a new credit loss methodology, the Current Expected Credit Losses (CECL) methodology, which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities and other receivables measured at amortized cost at the time the financial asset is originated or acquired. The allowance for credit losses is adjusted each period for changes in expected lifetime credit losses. This methodology replaces the multiple existing impairment methods in current GAAP, which generally require that a loss be incurred before it is recognized. Within the life cycle of a loan or other financial asset, the ASU will generally result in the earlier recognition of the provision for credit losses and the related allowance for credit losses than current practice. For available-for-sale debt securities that Citi intends to hold and where fair value is less than cost, credit-related impairment, if any, will be recognized through an allowance for credit losses and adjusted each period for changes in credit risk.
The CECL methodology represents a significant change from existing GAAP and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The impact of the ASU will, among other things, depend upon the state of the economy, forecasted macroeconomic conditions and Citi’s portfolios at the date of adoption. Based on a preliminary analysis performed in the second quarter of 2019 and forecasts of macroeconomic conditions and exposures at that time, the overall impact is estimated to be an approximate 20% to 30% increase in expected credit loss reserves. The ASU will be effective for Citi as of January 1, 2020. This increase would be reflected as a decrease to opening Retained earnings, net of income taxes, at January 1, 2020.
Implementation efforts have been underway, including model development and validation, fulfillment of additional data needs for new disclosures and reporting requirements, and drafting of accounting policies. Substantial progress has been made in model development. Model validations and user acceptance testing commenced in the first quarter of 2019, with parallel runs to begin in the third quarter of 2019. The Company intends to utilize a single macroeconomic scenario in estimating expected credit losses. Reasonable and supportable forecast periods and methods to revert to historical averages to arrive at lifetime expected credit losses vary by product.
For additional information on regulatory capital treatment, see “Capital Resources—Regulatory Capital
 
Standards Developments-Regulatory Capital Treatment—Implementation and Transition of the Current Expected Credit
Losses (CECL) Methodology” in Citi’s 2018 Annual Report on Form 10-K.

Subsequent Measurement of Goodwill
In January 2017, the FASB issued ASU No. 2017-04, Intangibles—Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment. The ASU simplifies the subsequent measurement of goodwill impairment by eliminating the requirement to calculate the implied fair value of goodwill (i.e., the current Step 2 of the goodwill impairment test) to measure a goodwill impairment charge. Under the ASU, the impairment test is the comparison of the fair value of a reporting unit with its carrying amount (the current Step 1), with the impairment charge being the deficit in fair value but not exceeding the total amount of goodwill allocated to that reporting unit. The simplified one-step impairment test applies to all reporting units (including those with zero or negative carrying amounts).
The ASU will be effective for Citi as of January 1, 2020. The impact of the ASU will depend upon the performance of Citi’s reporting units and the market conditions impacting the fair value of each reporting unit going forward.

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



72


DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of June 30, 2019 and, based on that evaluation, the CEO and CFO have concluded that at that date, Citigroup’s disclosure controls and procedures were effective.

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

Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act of 2012, which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with individuals or entities that are subject to sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law. Citi disclosed reportable activities pursuant to Section 219 in the first quarter of 2019.
During the second quarter of 2019, and as a result of an operational error, on March 28, 2019, the Czech Republic branch of Citibank Europe plc (“CEP Czech Republic”), a non-U.S. subsidiary of Citigroup Inc., on behalf of its client, provided a performance bond for the benefit of Mapna Europe GmbH (“Mapna”), an entity that appears to be majority owned by the Government of Iran. The aggregate value of  the bond was EUR 100,670.00 (approximately $113,118.62). Mapna did not make any claims against the bond and CEP Czech Republic did not make any payments to Mapna. Citi realized CZK 106,273.59 (approximately $4,673.91) in administrative fees from its client. The transaction was voluntarily self-disclosed to the U.S. Office of Foreign Asset Control (OFAC) on June 10, 2019.


 










73


FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-Q, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the rules and regulations of the SEC. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.
Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events. Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, target, illustrative, and similar expressions or future or conditional verbs such as will, should, would and could.
Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within each individual business’s discussion and analysis of its results of operations above and in Citi’s 2018 Annual Report on Form 10-K and other SEC filings; (ii) the factors listed and described under “Risk Factors” in Citi’s 2018 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:

•
the potential impact on Citi’s ability to return capital to common shareholders, consistent with its capital planning efforts and targets, due to, among other things, regulatory approval, Citi’s results of operations, financial condition and effectiveness in managing its level of risk-weighted assets and GSIB surcharge, potential changes to the regulatory capital framework, the CCAR process and the results of regulatory stress tests, such as the proposed integration of the annual stress testing requirements with ongoing regulatory capital requirements, including introduction of a firm-specific “stress capital buffer” (SCB), and any resulting year-to-year variability in the SCB, impact on Citi’s estimated management buffer and the impact of incorporating CECL in future stress testing requirements;
•
the ongoing regulatory and other uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, such as potential fiscal, monetary and regulatory changes from the U.S. Presidential administration and Congress, potential changes to various aspects of the regulatory capital framework and the terms of and other uncertainties resulting from the U.K.’s potential exit from the European Union, and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, strategy or organizational structure and compliance risks and costs;
 
•
Citi’s ability to utilize its DTAs (including the foreign tax credit component of its DTAs) and thus reduce the negative impact of the DTAs on Citi’s regulatory capital, including as a result of its ability to generate U.S. taxable income and by the provisions of and guidance issued in connection with Tax Reform;
•
the potential impact to Citi if its interpretation or application of the complex tax laws to which it is subject, such as withholding tax obligations and stamp and other transactional taxes, differs from those of the relevant governmental authorities;
•
Citi’s ability to achieve its expected results from its continued investments and efficiency initiatives, such as revenue growth and expense savings, as part of Citi’s operational and financial objectives and targets, including as a result of factors that Citi cannot control;
•
the potential impact from a deterioration in or failure to maintain Citi’s co-branding or private label credit card relationships, for example with Sears, due to, among other things, the general economic environment, declining sales and revenues or other operational difficulties of the retailer or merchant, termination of a particular relationship, or other factors, such as bankruptcies, liquidations, restructurings, consolidations or other similar events;
•
the potential impact to Citi’s businesses, credit costs, revenues or other results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties and volatilities, including, among others, changes in U.S. trade policies and resulting retaliatory measures from other countries, including imposition of tariffs, geopolitical tensions and conflicts and the terms or conditions regarding the U.K.’s potential withdrawal from the European Union;
•
the various risks faced by Citi as a result of weakening economic conditions or changes in governmental fiscal or monetary actions by central banks, such as interest rates and other policies, in the U.S. or Citi’s other target markets;
•
the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, sovereign volatility, regulatory changes and political events, foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyperinflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets, as well as the resulting increased compliance, regulatory and legal risks and costs;
•
Citi’s ability in its resolution plan submissions to address any deficiencies identified or future guidance, including resolution plan guidance, provided by the Federal Reserve Board and FDIC;
•
the potential impact on Citi’s performance and the performance of its individual businesses, including its competitive position and ability to effectively manage its businesses and continue to execute its strategies, if Citi is unable to attract, retain and motivate highly qualified employees;

74


•
Citi’s ability to effectively compete with U.S. and non-U.S. financial services companies and others, including as a result of emerging technologies;
•
the discontinuance of LIBOR or any other interest rate benchmark and the adverse consequences it could have for market participants, including Citi;
•
the potential impact on Citi’s results of operations from the CECL methodology, subsequent to its initial adoption on January 1, 2020, including due to changes in estimates of expected credit losses resulting from Citi’s CECL models and assumptions, existing and forecasted macroeconomic conditions and the credit quality, composition and other characteristics of Citi’s loan and other applicable portfolios;
•
the reclassification of any foreign currency translation adjustment (CTA) components of AOCI, including related hedges and taxes, into earnings, due to the sale or substantial liquidation of any foreign entity, such as those related to Citi’s legacy operations;
•
the potential impact of credit risk and concentrations of risk on Citi’s results of operations, whether due to a default of or deterioration involving consumer, corporate or public sector counterparties in the U.S. or in various countries and jurisdictions globally, including as a result of declines in commodity prices;
•
the potential impacts on Citi’s liquidity and/or costs of funding as a result of external factors, including, among others, the competitive environment for U.S. retail deposits, market disruptions and governmental fiscal and monetary policies as well as regulatory changes or negative investor perceptions of Citi’s creditworthiness;
•
the impact of ratings downgrades of Citi or one or more of its more significant subsidiaries or issuing entities on Citi’s funding and liquidity as well as the results of operations of certain of its businesses;
•
the potential impact to Citi from a disruption of its operational systems, including as a result of, among other things, human error, fraud or malice, accidental technological failure, electrical or telecommunication outages or failure of computer servers, or other similar damage to Citi’s property or assets, or failures by third parties with whom Citi does business, as well as disruptions in the operations of Citi’s clients, customers or other third parties;
•
the increasing risk of continually evolving, sophisticated cybersecurity activities faced by financial institutions and others, including Citi and third parties with whom it does business, such as, among other things, theft, loss, misuse or disclosure of confidential or proprietary client, customer or corporate information or assets and a disruption of computer or network systems, and the potential impact from such risks, including, reputational damage, regulatory penalties, loss of revenues, additional costs (including credit, remediation and other costs), exposure to litigation and other financial losses;
•
the potential impact of incorrect assumptions or estimates in Citi’s financial statements or the impact of ongoing changes to financial accounting and reporting standards or
 
interpretations, on how Citi records and reports its financial condition and results of operations;
•
the potential impact to Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk management and mitigation processes, strategies or models, including those related to its ability to manage and aggregate data, are deficient or ineffective, require refinement, modification or enhancement or any related approval is withdrawn by Citi’s U.S. banking regulators;
•
the potential impact to Citi of ongoing implementation and interpretation of regulatory changes and requirements in the U.S. and globally, including on Citi’s compliance risks and costs, reputational and legal risks as well as the impact of any remediation and other financial costs, such as penalties and fines; and
•
the potential outcomes of the extensive legal and regulatory proceedings, as well as regulatory examinations, investigations and other inquiries, to which Citi is or may be subject at any given time, particularly given the increased focus on conduct and controls risk and the severity of the remedies sought and potential collateral consequences to Citi arising from such outcomes.

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

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76


FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS
 
Consolidated Statement of Income (Unaudited)—
For the Three and Six Months Ended June 30, 2019
 and 2018
78
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three and Six Months Ended
    June 30, 2019 and 2018
79
Consolidated Balance Sheet—June 30, 2019 (Unaudited) and December 31, 2018
80
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three and Six Months Ended June 30, 2019 and 2018
82
Consolidated Statement of Cash Flows (Unaudited)—
For the Six Months Ended June 30, 2019 and 2018
83

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
 
Note 1—Basis of Presentation and Accounting Changes
85
Note 2—Discontinued Operations and Significant Disposals
86
Note 3—Business Segments
87
Note 4—Interest Revenue and Expense
88
Note 5—Commissions and Fees; Administration and Other
                 Fiduciary Fees
89
Note 6—Principal Transactions
91
Note 7—Incentive Plans
92
Note 8—Retirement Benefits
92
Note 9—Earnings per Share
97
Note 10—Securities Borrowed, Loaned and
Subject to Repurchase Agreements
98
Note 11—Brokerage Receivables and Brokerage Payables
101
Note 12—Investments
102
 


 
 
Note 13—Loans
116
Note 14—Allowance for Credit Losses
128
Note 15—Goodwill and Intangible Assets
130
Note 16—Debt
132
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
133
Note 18—Securitizations and Variable Interest Entities
139
Note 19—Derivatives
147
Note 20—Fair Value Measurement
158
Note 21—Fair Value Elections
177
Note 22—Guarantees, Leases and Commitments
181
Note 23—Contingencies
186
Note 24—Condensed Consolidating Financial Statements
188



77


CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED)
 
Citigroup Inc. and Subsidiaries
 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars, except per share amounts
2019
2018
2019
2018
Revenues
 
 
 

 

Interest revenue
$
19,712

$
17,550

$
38,788

$
33,882

Interest expense
7,762

5,885

15,079

11,045

Net interest revenue
$
11,950

$
11,665

$
23,709

$
22,837

Commissions and fees
$
2,881

$
3,111

$
5,807

$
6,141

Principal transactions
1,874

2,126

4,678

5,368

Administration and other fiduciary fees
869

934

1,708

1,839

Realized gains on sales of investments, net
468

102

598

272

Impairment losses on investments
 
 
 
 
Gross impairment losses
(5
)
(15
)
(13
)
(43
)
Net impairment losses recognized in earnings
$
(5
)
$
(15
)
$
(13
)
$
(43
)
Other revenue
$
721

$
546

$
847

$
927

Total non-interest revenues
$
6,808

$
6,804

$
13,625

$
14,504

Total revenues, net of interest expense
$
18,758

$
18,469

$
37,334

$
37,341

Provisions for credit losses and for benefits and claims
 
 
 

 

Provision for loan losses
$
2,089

$
1,795

$
4,033

$
3,598

Policyholder benefits and claims
19

21

31

47

Provision for unfunded lending commitments
(15
)
(4
)
9

24

Total provisions for credit losses and for benefits and claims
$
2,093

$
1,812

$
4,073

$
3,669

Operating expenses
 
 
 

 

Compensation and benefits
$
5,381

$
5,452

$
11,039

$
11,259

Premises and equipment
569

570

1,133

1,163

Technology/communication
1,724

1,797

3,444

3,555

Advertising and marketing
434

411

793

792

Other operating
2,392

2,482

4,675

4,868

Total operating expenses
$
10,500

$
10,712

$
21,084

$
21,637

Income from continuing operations before income taxes
$
6,165

$
5,945

$
12,177

$
12,035

Provision for income taxes
1,373

1,444

2,648

2,885

Income from continuing operations
$
4,792

$
4,501

$
9,529

$
9,150

Discontinued operations
 
 
 

 

Loss from discontinued operations
$
(10
)
$
(2
)
$
(12
)
$
(9
)
Benefit for income taxes
(27
)
(17
)
(27
)
(17
)
Income from discontinued operations, net of taxes
$
17

$
15

$
15

$
8

Net income before attribution of noncontrolling interests
$
4,809

$
4,516

$
9,544

$
9,158

Noncontrolling interests
10

26

35

48

Citigroup’s net income
$
4,799

$
4,490

$
9,509

$
9,110

Basic earnings per share(1)
 
 
 

 

Income from continuing operations
$
1.94

$
1.62

$
3.81

$
3.30

Income from discontinued operations, net of taxes
0.01

0.01

0.01

0.01

Net income
$
1.95

$
1.63

$
3.82

$
3.31

Weighted average common shares outstanding (in millions)
2,286.1

2,530.9

2,313.2

2,546.2

Diluted earnings per share(1)
 
 
 

 

Income from continuing operations
$
1.94

$
1.62

$
3.81

$
3.30

Income (loss) from discontinued operations, net of taxes
0.01

0.01

0.01

0.01

Net income
$
1.95

$
1.63

$
3.82

$
3.31

Adjusted weighted average common shares outstanding
  (in millions)
2,289.0

2,532.3

2,315.7

2,547.6


(1)
Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.

78


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

CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME
 
Citigroup Inc. and Subsidiaries
(UNAUDITED)
 
 
 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars
2019
2018
2019
2018
Citigroup’s net income
$
4,799

$
4,490

$
9,509

$
9,110

Add: Citigroup's other comprehensive income
 
  

 
 
Net change in unrealized gains and losses on debt securities, net of taxes(1)
$
703

$
(498
)
$
1,838

$
(1,556
)
Net change in debt valuation adjustment (DVA), net of taxes(1)
3

318

(568
)
446

Net change in cash flow hedges, net of taxes
517

(101
)
803

(323
)
Benefit plans liability adjustment, net of taxes
(253
)
301

(317
)
389

Net change in foreign currency translation adjustment, net of taxes and hedges
91

(2,867
)
149

(1,747
)
Net change in excluded component of fair value hedges, net of taxes
44

(28
)
62

(32
)
Citigroup’s total other comprehensive income
$
1,105

$
(2,875
)
$
1,967

$
(2,823
)
Citigroup’s total comprehensive income
$
5,904

$
1,615

$
11,476

$
6,287

Add: Other comprehensive income (loss) attributable to
  noncontrolling interests
$
20

$
(57
)
$
7

$
(43
)
Add: Net income attributable to noncontrolling interests
10

26

35

48

Total comprehensive income
$
5,934

$
1,584

$
11,518

$
6,292


(1)
See Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.


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


79


CONSOLIDATED BALANCE SHEET
 
Citigroup Inc. and Subsidiaries
 
June 30,
 
 
2019
December 31,
In millions of dollars
(Unaudited)
2018
Assets
 

 

Cash and due from banks (including segregated cash and other deposits)
$
24,997

$
23,645

Deposits with banks
178,246

164,460

Securities borrowed and purchased under agreements to resell (including $178,108 and $147,701 as of June 30, 2019 and December 31, 2018, respectively, at fair value)
259,769

270,684

Brokerage receivables
50,027

35,450

Trading account assets (including $132,781 and $112,932 pledged to creditors at June 30, 2019 and December 31, 2018, respectively)
306,831

256,117

Investments:
 
 
  Available-for-sale debt securities (including $10,488 and $9,289 pledged to creditors as of June 30, 2019 and December 31, 2018, respectively)
273,435

288,038

Held-to-maturity debt securities (including $1,521 and $971 pledged to creditors as of June 30, 2019 and December 31, 2018, respectively)
68,693

63,357

Equity securities (including $1,273 and $1,109 at fair value as of June 30, 2019 and December 31, 2018, respectively)
7,574

7,212

Total investments
$
349,702

$
358,607

Loans:
 

 

Consumer (including $20 and $20 as of June 30, 2019 and December 31, 2018, respectively, at fair value)
325,995

330,487

Corporate (including $3,804 and $3,203 as of June 30, 2019 and December 31, 2018, respectively, at fair value)
362,675

353,709

Loans, net of unearned income
$
688,670

$
684,196

Allowance for loan losses
(12,466
)
(12,315
)
Total loans, net
$
676,204

$
671,881

Goodwill
22,065

22,046

Intangible assets (including MSRs of $508 and $584 as of June 30, 2019 and December 31, 2018, at fair value)
5,026

5,220

Other assets (including $22,597 and $20,788 as of June 30, 2019 and December 31, 2018, respectively, at fair value)
115,359

109,273

Total assets
$
1,988,226

$
1,917,383


The following table presents certain assets of consolidated variable interest entities (VIEs), which are included in the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
 
June 30,
 
 
2019
December 31,
In millions of dollars
(Unaudited)
2018
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs
 

 

Cash and due from banks
$
127

$
270

Trading account assets
1,255

917

Investments
1,617

1,796

Loans, net of unearned income
 
 

Consumer
46,124

49,403

Corporate
16,940

19,259

Loans, net of unearned income
$
63,064

$
68,662

Allowance for loan losses
(1,833
)
(1,852
)
Total loans, net
$
61,231

$
66,810

Other assets
120

151

Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs
$
64,350

$
69,944

Statement continues on the next page.

80


CONSOLIDATED BALANCE SHEET                             Citigroup Inc. and Subsidiaries
(Continued)
 
June 30,
 
 
2019
December 31,
In millions of dollars, except shares and per share amounts
(Unaudited)
2018
Liabilities
 

 

Non-interest-bearing deposits in U.S. offices
$
95,659

$
105,836

Interest-bearing deposits in U.S. offices (including $1,634 and $717 as of June 30, 2019 and December 31, 2018, respectively, at fair value)
382,738

361,573

Non-interest-bearing deposits in offices outside the U.S.
82,750

80,648

Interest-bearing deposits in offices outside the U.S. (including $1,005 and $758 as of June 30, 2019 and December 31, 2018, respectively, at fair value)
484,460

465,113

Total deposits
$
1,045,607

$
1,013,170

Securities loaned and sold under agreements to repurchase (including $45,137 and $44,510 as of June 30, 2019 and December 31, 2018, respectively, at fair value)
181,133

177,768

Brokerage payables
69,839

64,571

Trading account liabilities
136,294

144,305

Short-term borrowings (including $5,291 and $4,483 as of June 30, 2019 and December 31, 2018, respectively, at fair value)
42,442

32,346

Long-term debt (including $49,488 and $38,229 as of June 30, 2019 and December 31, 2018, respectively, at fair value)
252,189

231,999

Other liabilities (including $16,799 and $15,906 as of June 30, 2019 and December 31, 2018, respectively, at fair value)
62,612

56,150

Total liabilities
$
1,790,116

$
1,720,309

Stockholders’ equity
 

 

Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of June 30, 2019— 719,200 and as of December 31, 2018—738,400, at aggregate liquidation value
$
17,980

$
18,460

Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of June 30, 2019—3,099,602,856 and as of December 31, 2018—3,099,567,177
31

31

Additional paid-in capital
107,657

107,922

Retained earnings
158,321

151,347

Treasury stock, at cost: June 30, 2019—840,546,390 shares and
  December 31, 2018—731,099,833 shares
(51,427
)
(44,370
)
Accumulated other comprehensive income (loss) (AOCI)
(35,203
)
(37,170
)
Total Citigroup stockholders’ equity
$
197,359

$
196,220

Noncontrolling interest
751

854

Total equity
$
198,110

$
197,074

Total liabilities and equity
$
1,988,226

$
1,917,383


The following table presents certain liabilities of consolidated VIEs, which are included in the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
 
June 30,
 
 
2019
December 31,
In millions of dollars
(Unaudited)
2018
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
  do not have recourse to the general credit of Citigroup
 

 

Short-term borrowings
$
12,865

$
13,134

Long-term debt
25,877

28,514

Other liabilities
820

697

Total liabilities of consolidated VIEs for which creditors or beneficial interest
  holders do not have recourse to the general credit of Citigroup
$
39,562

$
42,345

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

81


CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY
 
Citigroup Inc. and Subsidiaries
(UNAUDITED)
 
 
 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars
2019
2018
2019
2018
Preferred stock at aggregate liquidation value
 
 
 

 

Balance, beginning of period
$
17,980

$
19,156

$
18,460

$
19,253

Redemption of preferred stock
—

(121
)
(480
)
(218
)
Balance, end of period
$
17,980

$
19,035

$
17,980

$
19,035

Common stock and additional paid-in capital
 
 
 

 

Balance, beginning of period
$
107,582

$
107,630

$
107,953

$
108,039

Employee benefit plans
112

120

(270
)
(285
)
Other
(6
)
5

5

1

Balance, end of period
$
107,688

$
107,755

$
107,688

$
107,755

Retained earnings
 
 
 

 

Balance, beginning of period
$
154,859

$
141,863

$
151,347

$
138,425

Adjustment to opening balance, net of taxes(1)
—

—

151

(84
)
Adjusted balance, beginning of period
$
154,859

$
141,863

$
151,498

$
138,341

Citigroup’s net income
4,799

4,490

9,509

9,110

Common dividends(2)
(1,041
)
(824
)
(2,116
)
(1,650
)
Preferred dividends
(296
)
(318
)
(558
)
(590
)
Other(3)
—

—

(12
)
—

Balance, end of period
$
158,321

$
145,211

$
158,321

$
145,211

Treasury stock, at cost
 
 
 

 

Balance, beginning of period
$
(47,861
)
$
(32,115
)
$
(44,370
)
$
(30,309
)
Employee benefit plans(4)
9

2

573

471

Treasury stock acquired(5)
(3,575
)
(2,300
)
(7,630
)
(4,575
)
Balance, end of period
$
(51,427
)
$
(34,413
)
$
(51,427
)
$
(34,413
)
Citigroup’s accumulated other comprehensive income (loss)
 
 
 

 

Balance, beginning of period
$
(36,308
)
$
(34,619
)
$
(37,170
)
$
(34,668
)
Adjustment to opening balance, net of taxes
—

—

—

(3
)
Adjusted balance, beginning of period
$
(36,308
)
$
(34,619
)
$
(37,170
)
$
(34,671
)
Citigroup’s total other comprehensive income
1,105

(2,875
)
1,967

(2,823
)
Balance, end of period
$
(35,203
)
$
(37,494
)
$
(35,203
)
$
(37,494
)
Total Citigroup common stockholders’ equity
$
179,379

$
181,059

$
179,379

$
181,059

Total Citigroup stockholders’ equity
$
197,359

$
200,094

$
197,359

$
200,094

Noncontrolling interests
 
 
 

 

Balance, beginning of period
$
763

$
951

$
854

$
932

Transactions between Citigroup and the noncontrolling-interest shareholders
—

(1
)
(99
)
(16
)
Net income attributable to noncontrolling-interest shareholders
10

26

35

48

Distributions paid to noncontrolling-interest shareholders
(33
)
(36
)
(37
)
(36
)
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
20

(57
)
7

(43
)
Other
(9
)
(9
)
(9
)
(11
)
Net change in noncontrolling interests
$
(12
)
$
(77
)
$
(103
)
$
(58
)
Balance, end of period
$
751

$
874

$
751

$
874

Total equity
$
198,110

$
200,968

$
198,110

$
200,968


(1)
See Note 1 to the Consolidated Financial Statements for additional details.
(2)
Common dividends declared were $0.45 per share in the first and second quarters of 2019 and $0.32 for the first and second quarters of 2018.
(3)
Includes the impact of ASU 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. See Note 1 to the Consolidated Financial Statements.
(4)
Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.
(5)
Primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

82


CONSOLIDATED STATEMENT OF CASH FLOWS
 
Citigroup Inc. and Subsidiaries
(UNAUDITED)
 
 
 
Six Months Ended June 30,
In millions of dollars
2019
2018
Cash flows from operating activities of continuing operations
 

 

Net income before attribution of noncontrolling interests
$
9,544

$
9,158

Net income attributable to noncontrolling interests
35

48

Citigroup’s net income
$
9,509

$
9,110

Income from discontinued operations, net of taxes
15

8

Income from continuing operations—excluding noncontrolling interests
$
9,494

$
9,102

Adjustments to reconcile net income to net cash provided by operating activities of continuing operations
 

 

Depreciation and amortization
1,883

1,855

Provision for loan losses
4,033

3,598

Realized gains from sales of investments
(598
)
(272
)
Net impairment losses on investments, goodwill and intangible assets
13

43

Change in trading account assets
(50,776
)
(10,235
)
Change in trading account liabilities
(8,011
)
15,575

Change in brokerage receivables net of brokerage payables
(9,309
)
7,737

Change in loans HFS
1,029

(147
)
Change in other assets
(5,442
)
(5,799
)
Change in other liabilities
6,462

(2,685
)
Other, net
13,466

(10,453
)
Total adjustments
$
(47,250
)
$
(783
)
Net cash provided by (used in) operating activities of continuing operations
$
(37,756
)
$
8,319

Cash flows from investing activities of continuing operations
 

 

   Change in securities borrowed and purchased under agreements to resell
$
10,915

$
(33,048
)
   Change in loans
(7,803
)
(10,132
)
   Proceeds from sales and securitizations of loans
2,249

3,217

   Purchases of investments
(118,132
)
(81,871
)
   Proceeds from sales of investments
63,595

41,808

   Proceeds from maturities of investments
57,684

44,846

   Capital expenditures on premises and equipment and capitalized software
(3,349
)
(1,690
)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
      and repossessed assets
68

143

   Other, net
71

98

Net cash provided by (used in) investing activities of continuing operations
$
5,298

$
(36,629
)
Cash flows from financing activities of continuing operations
 

 

   Dividends paid
$
(2,650
)
$
(2,232
)
   Redemption of preferred stock
(480
)
(218
)
   Treasury stock acquired
(7,518
)
(4,686
)
   Stock tendered for payment of withholding taxes
(359
)
(475
)
   Change in securities loaned and sold under agreements to repurchase
3,365

21,551

   Issuance of long-term debt
31,849

40,757

   Payments and redemptions of long-term debt
(18,428
)
(35,087
)
   Change in deposits
32,437

36,908

   Change in short-term borrowings
10,096

(7,219
)

83


CONSOLIDATED STATEMENT OF CASH FLOWS
 
(UNAUDITED) (Continued)
Six Months Ended June 30,
In millions of dollars
2019
2018
Net cash provided by financing activities of continuing operations
$
48,312

$
49,299

Effect of exchange rate changes on cash and due from banks
$
(716
)
$
(603
)
Change in cash and due from banks and deposits with banks
$
15,138

$
20,386

Cash, due from banks and deposits with banks at beginning of period
188,105

180,516

Cash, due from banks and deposits with banks at end of period
$
203,243

$
200,902

Cash and due from banks
$
24,997

$
21,077

Deposits with banks
178,246

179,825

Cash, due from banks and deposits with banks at end of period
$
203,243

$
200,902

Supplemental disclosure of cash flow information for continuing operations
 

 

Cash paid during the period for income taxes
$
2,814

$
2,239

Cash paid during the period for interest
14,000

9,957

Non-cash investing activities
 

 
Transfers to loans HFS from loans
$
3,600

$
2,900



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

84


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION AND ACCOUNTING CHANGES

Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of June 30, 2019 and for the three- and six-month periods ended June 30, 2019 and 2018 include the accounts of Citigroup Inc. and its consolidated subsidiaries.
In the opinion of management, all adjustments, consisting of normal recurring adjustments, necessary for a fair presentation have been reflected. The accompanying unaudited Consolidated Financial Statements should be read in conjunction with the Consolidated Financial Statements and related notes included in Citigroup’s Annual Report on Form 10-K for the fiscal year ended December 31, 2018 (2018 Annual Report on Form 10-K) and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2019 (First Quarter of 2019 Form 10-Q).
Certain financial information that is normally included in annual financial statements prepared in accordance with U.S. generally accepted accounting principles (GAAP), but is not required for interim reporting purposes, has been condensed or omitted.
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. While management uses its best judgment, actual results could differ from those estimates.
As noted above, the Notes to Consolidated Financial Statements are unaudited.
Throughout these Notes, “Citigroup,” “Citi” and the “Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Certain reclassifications have been made to the prior periods’ financial statements and notes to conform to the current period’s presentation.

ACCOUNTING CHANGES

Lease Accounting
In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842), which increases the transparency and comparability of accounting for lease transactions. The ASU requires lessees to recognize liabilities for operating leases and corresponding right-of-use (ROU) assets on the balance sheet. The ASU also requires quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessee accounting for finance leases, as well as lessor accounting, are largely unchanged.
Effective January 1, 2019, the Company prospectively adopted the provisions of the ASU. At adoption, Citi recognized a lease liability and a corresponding ROU asset of approximately $4.4 billion on the Consolidated Balance Sheet related to its future lease payments as a lessee under operating leases. Additionally, the Company recorded a $151 million increase in Retained earnings for the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions. Adoption of the ASU did not have a
 
material impact on the Consolidated Statement of Income. See Notes 13 and 22 for additional details.
The Company has elected not to separate lease and non-lease components in its lease contracts and accounts for them as a single lease component. Citi has also elected not to record a ROU asset for short-term leases that have a term of 12 months or less and do not contain purchase options that Citi is reasonably certain to exercise. The cost of short-term leases is recognized in the Consolidated Statement of Income on a straight-line basis over the lease term. Additionally, Citi applies the portfolio approach to account for certain equipment leases with nearly identical contractual terms.

Lessee accounting
Operating lease ROU assets and lease liabilities are included in Other assets and Other liabilities, respectively, on the Consolidated Balance Sheet. Finance lease assets and liabilities are included in Other assets and Long-term debt, respectively, on the Consolidated Balance Sheet. The Company uses its incremental borrowing rate, factoring in the lease term, to determine the lease liability, which is measured at the present value of future lease payments. The ROU asset is measured at the amount of the lease liability plus any prepaid rent and remaining initial direct costs, less any remaining lease incentives and accrued rent. The ROU asset is subject to impairment, during the lease term, in a manner consistent with the impairment of long-lived assets. The lease terms include periods covered by options to extend or terminate the lease depending on whether Citi is reasonably certain to exercise such options.

Lessor accounting
Lessor accounting is largely unchanged under the ASU. Citi acts as a lessor for power, railcar, shipping and aircraft assets, where the Company has executed operating, direct financing and leveraged leasing arrangements. In a direct financing or a leveraged lease, Citi derecognizes the leased asset and records a lease financing receivable at lease commencement in Loans. Upon lease termination, Citi may obtain control of the asset, which is then recorded in Other assets on the Consolidated Balance Sheet and any remaining receivable for the asset’s residual value is derecognized. Under the ASU, leveraged lease accounting is grandfathered and may continue to be applied until the leveraged lease is terminated or modified. Upon modification, the lease must be classified as an operating, direct finance or sales-type lease in accordance with the ASU.
Separately, as part of managing its real estate footprint, Citi subleases excess real estate space via operating lease arrangements, while retaining its obligations as a lessee.



85


2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

The Company’s Discontinued operations consisted of residual activities related to the sales of the German Retail Banking operations and the Egg Banking plc Credit Card business in 2008 and 2011, respectively. All Discontinued operations results are recorded within Corporate/Other.
The following summarizes financial information for all Discontinued operations:

 
Three Months Ended
June 30,
Six Months Ended
June 30,
In millions of dollars
2019
2018
2019
2018
Total revenues, net of interest expense
$
—

$
—

$
—

$
—

Loss from discontinued operations
$
(10
)
$
(2
)
$
(12
)
$
(9
)
Provision (benefit) for income taxes
(27
)
(17
)
(27
)
(17
)
Income from discontinued operations, net of taxes
$
17

$
15

$
15

$
8



Cash flows from Discontinued operations were not material for the periods presented. For a description of the Company’s significant disposal transactions and financial impact, see Note 2 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.



 










86


3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the following business segments: Global Consumer Banking (GCB) and Institutional Clients Group (ICG). In addition, Corporate/Other includes activities not assigned to a specific business segment, as well as certain North America loan portfolios, discontinued operations and other legacy assets.
The prior-period balances reflect reclassifications to conform the presentation for all periods to the current period’s presentation. Effective January 1, 2019, financial data was reclassified to reflect:

•
the re-attribution of certain costs between Corporate/Other and GCB and ICG; and
•
certain other immaterial reclassifications.

Citi’s consolidated results remain unchanged for all periods presented as a result of the changes and reclassifications discussed above.
 

For additional information regarding Citigroup’s business segments, see Note 3 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
The following table presents certain information regarding the Company’s continuing operations by segment:














 
Three Months Ended June 30,
 
 
 
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
In millions of dollars, except identifiable assets in billions
2019
2018
2019
2018
2019
2018
June 30,
2019
December 31, 2018
Global Consumer Banking
$
8,505

$
8,244

$
417

$
411

$
1,413

$
1,276

$
437

$
432

Institutional Clients Group
9,721

9,697

919

971

3,343

3,241

1,454

1,394

Corporate/Other
532

528

37

62

36

(16
)
97

91

Total
$
18,758

$
18,469

$
1,373

$
1,444

$
4,792

$
4,501

$
1,988

$
1,917

(1)
Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $8.6 billion and $8.6 billion; in EMEA of $3.0 billion and $3.0 billion; in Latin America of $2.6 billion and $2.5 billion; and in Asia of $4.0 billion and $3.8 billion for the three months ended June 30, 2019 and 2018, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $2.0 billion and $1.9 billion; in the ICG results of $103 million and $25 million; and in the Corporate/Other results of $(22) million and $(118) million for the three months ended June 30, 2019 and 2018, respectively.

 
Six Months Ended June 30,
 
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
In millions of dollars
2019
2018
2019
2018
2019
2018
Global Consumer Banking
$
16,956

$
16,670

$
839

$
865

$
2,850

$
2,666

Institutional Clients Group
19,415

19,552

1,843

2,027

6,665

6,575

Corporate/Other
963

1,119

(34
)
(7
)
14

(91
)
Total
$
37,334

$
37,341

$
2,648

$
2,885

$
9,529

$
9,150


(1)
Includes total revenues, net of interest expense, in North America of $17.0 billion and $16.9 billion; in EMEA of $6.1 billion and $6.2 billion; in Latin America of $5.2 billion and $5.1 billion; and in Asia of $8.1 billion and $8.0 billion for the six months ended June 30, 2019 and 2018, respectively. Regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $4.0 billion and $3.8 billion; in the ICG results of $124 million and $(16) million; and in the Corporate/Other results of $(47) million and $(125) million for the six months ended June 30, 2019 and 2018, respectively.



87


4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars
2019
2018
2019
2018
Interest revenue
 
 
 
 
Loan interest, including fees
$
11,981

$
11,190

$
23,949

$
22,082

Deposits with banks
736

493

1,343

925

Securities borrowed or purchased under agreements to resell
1,893

1,336

3,677

2,375

Investments, including dividends
2,505

2,374

5,053

4,608

Trading account assets(1)
2,140

1,763

3,826

3,134

Other interest
457

394

940

758

Total interest revenue
$
19,712

$
17,550

$
38,788

$
33,882

Interest expense
 
 
 
 
Deposits(2)
$
3,284

$
2,244

$
6,311

$
4,241

Securities loaned or sold under agreements to repurchase
1,724

1,224

3,313

2,173

Trading account liabilities(1)
320

236

647

451

Short-term borrowings
715

523

1,367

994

Long-term debt
1,719

1,658

3,441

3,186

Total interest expense
$
7,762

$
5,885

$
15,079

$
11,045

Net interest revenue
$
11,950

$
11,665

$
23,709

$
22,837

Provision for loan losses
2,089

1,795

4,033

3,598

Net interest revenue after provision for loan losses
$
9,861

$
9,870

$
19,676

$
19,239


(1)
Interest expense on Trading account liabilities is reported as a reduction of interest revenue from Trading account assets.
(2)
Includes deposit insurance fees and charges of $189 million and $319 million for the three months ended June 30, 2019 and 2018, respectively, and $382 million and $695 million for the six months ended June 30, 2019 and 2018, respectively.




88


5.  COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES

For additional information on Citi’s Commissions and Fees; Administration and Other Fiduciary Fees, see Note 5 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

The following tables present Commissions and fees revenue:
 
Three Months Ended June 30,
Six Months Ended June 30,
 
2019
2019
In millions of dollars
ICG
GCB
Corporate/Other
Total
ICG
GCB
Corporate/Other
Total
Investment banking
$
934

$
—

$
—

$
934

$
1,844

$
—

$
—

$
1,844

Brokerage commissions
438

211

—

649

909

397

—

1,306

Credit- and bank-card income
 
 
 


 
 
 
 
     Interchange fees
313

2,198

—

2,511

591

4,182

—

4,773

     Card-related loan fees
16

183

—

199

29

343

—

372

     Card rewards and partner
     payments
(174
)
(2,277
)
—

(2,451
)
(327
)
(4,338
)
—

(4,665
)
Deposit-related fees(1)
247

138

—

385

492

277

—

769

Transactional service fees
194

36

—

230

389

71

—

460

Corporate finance(2)
150

1

—

151

328

2

—

330

Insurance distribution revenue
2

129

—

131

6

261

—

267

Insurance premiums
—

26

1

27

—

55

—

55

Loan servicing
—

16

3

19

42

46

9

97

Other
2

94

—

96

19

179

1

199

Total commissions and fees(3)
$
2,122

$
755

$
4

$
2,881

$
4,322

$
1,475

$
10

$
5,807



 
Three Months Ended June 30,
Six Months Ended June 30,
 
2018
2018
In millions of dollars
ICG
GCB
Corporate/Other
Total
ICG
GCB
Corporate/Other
Total
Investment banking
$
1,012

$
—

$
—

$
1,012

$
1,834

$
—

$
—

$
1,834

Brokerage commissions
491

206

—

697

1,057

454

—

1,511

Credit- and bank-card income
 
 
 
 
 
 
 
 
     Interchange fees
276

2,025

5

2,306

536

3,899

10

4,445

     Card-related loan fees
17

147

6

170

31

302

12

345

     Card rewards and partner
     payments
(126
)
(2,065
)
(6
)
(2,197
)
(250
)
(3,939
)
(11
)
(4,200
)
Deposit-related fees(1)
236

160

1

397

472

343

2

817

Transactional service fees
182

21

1

204

372

42

3

417

Corporate finance(2)
219

1

—

220

361

2

—

363

Insurance distribution revenue
5

142

5

152

10

285

10

305

Insurance premiums
—

32

1

33

—

65

—

65

Loan servicing
33

40

9

82

71

62

21

154

Other
—

34

1

35

15

67

3

85

Total commissions and fees(3)
$
2,345

$
743

$
23

$
3,111

$
4,509

$
1,582

$
50

$
6,141

(1)
Includes overdraft fees of $31 million and $30 million for the three months ended June 30, 2019 and 2018, respectively, and $61 million and $62 million for the six months ended June 30, 2019 and 2018, respectively. Overdraft fees are accounted for under ASC 310.
(2)
Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.

89


(3)
Commissions and fees includes $(2,025) million and $(1,648) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended June 30, 2019 and 2018, respectively, and $(3,746) million and $(3,193) million for the six months ended June 30, 2019 and 2018, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.


Administration and Other Fiduciary Fees
The following table presents Administration and other fiduciary fees:
 
Three Months Ended June 30,
Six Months Ended June 30,
 
2019
2019
In millions of dollars
ICG
GCB
Corporate/Other
Total
ICG
GCB
Corporate/Other
Total
Custody fees
$
381

$
6

$
18

$
405

$
745

$
9

$
34

$
788

Fiduciary fees
163

154

(1
)
316

315

300

11

626

Guarantee fees
132

14

2

148

262

28

4

294

Total administration and other fiduciary fees(1)
$
676

$
174

$
19

$
869

$
1,322

$
337

$
49

$
1,708

 
Three Months Ended June 30,
Six Months Ended June 30,
 
2018
2018
In millions of dollars
ICG
GCB
Corporate/Other
Total
ICG
GCB
Corporate/Other
Total
Custody fees
$
399

$
45

$
17

$
461

$
767

$
92

$
32

$
891

Fiduciary fees
165

150

12

327

332

297

19

648

Guarantee fees
130

14

2

146

267

29

4

300

Total administration and other fiduciary fees(1)
$
694

$
209

$
31

$
934

$
1,366

$
418

$
55

$
1,839


(1)
Administration and other fiduciary fees includes $148 million and $146 million for the three months ended June 30, 2019 and 2018, respectively, and $294 million and $300 million for the six months ended June 30, 2019 and 2018, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.


90


6. PRINCIPAL TRANSACTIONS
Principal transactions revenue consists of realized and unrealized gains and losses from trading activities. Trading activities include revenues from fixed income, equities, credit and commodities products and foreign exchange transactions that are managed on a portfolio basis characterized by primary risk. Not included in the table below is the impact of net interest revenue related to trading activities, which is an
integral part of trading activities’ profitability. See Note 4 to the Consolidated Financial Statements for information about net interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustments) and FVA (funding valuation adjustments) on over-the-counter derivatives, and gains (losses) on certain economic hedges on loans in ICG. These adjustments are discussed further in Note 20 to the Consolidated Financial Statements.
In certain transactions, Citi incurs fees and presents these fees paid to third parties in operating expenses.
The following table presents Principal transactions
revenue:
 


















 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars
2019
2018
2019
2018
Interest rate risks(1)
$
1,320

$
1,550

$
3,038

$
3,116

Foreign exchange risks(2)
427

175

900

905

Equity risks(3)
(1
)
120

455

709

Commodity and other risks(4)
89

208

208

309

Credit products and risks(5)
39

73

77

329

Total
$
1,874

$
2,126

$
4,678

$
5,368

(1)
Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.
(2)
Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(3)
Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(4)
Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(5)
Includes revenues from structured credit products.

91


7. INCENTIVE PLANS
For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.


8. RETIREMENT BENEFITS
For additional information on Citi’s retirement benefits, see Note 8 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

Net (Benefit) Expense
The following table summarizes the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement plans for Significant Plans and All Other Plans:
 
Three Months Ended June 30,
 
Pension plans
Postretirement benefit plans
 
U.S. plans
Non-U.S. plans
U.S. plans
Non-U.S. plans
In millions of dollars
2019
2018
2019
2018
2019
2018
2019
2018
Benefits earned during the period
$
—

$
—

$
35

$
38

$
—

$
—

$
2

$
3

Interest cost on benefit obligation
123

126

73

72

6

7

26

25

Expected return on plan assets
(202
)
(211
)
(68
)
(72
)
(4
)
(3
)
(21
)
(22
)
Amortization of unrecognized:
 

 
 

 

 

 

 

 

Prior service cost (benefit)
(1
)
—

(1
)
(1
)
—

—

(3
)
(3
)
Net actuarial loss
48

42

15

14

—

—

6

8

Curtailment loss(1)
—

1

—

—

—

—

—

—

Settlement loss(1)
—

—

2

1

—

—

—

—

Total net (benefit) expense
$
(32
)
$
(42
)
$
56

$
52

$
2

$
4

$
10

$
11


 























(1)
Losses due to curtailment and settlement relate to repositioning and divestiture activities.

 
Six Months Ended June 30,
 
Pension plans
Postretirement benefit plans
 
U.S. plans
Non-U.S. plans
U.S. plans
Non-U.S. plans
In millions of dollars
2019
2018
2019
2018
2019
2018
2019
2018
Benefits earned during the period
$
—

$
1

$
71

$
76

$
—

$
—

$
4

$
5

Interest cost on benefit obligation
253

249

148

147

13

13

52

51

Expected return on plan assets
(405
)
(424
)
(136
)
(150
)
(9
)
(6
)
(42
)
(45
)
Amortization of unrecognized




 

 

 
 

 

 

Prior service benefit
—

—

(2
)
(2
)
—

—

(5
)
(5
)
Net actuarial loss
92

89

30

27

—

—

11

15

Curtailment loss (1)
—

1

—

—

—

—

—

—

Settlement loss(1)
—

—

2

5

—

—

—

—

Total net (benefit) expense
$
(60
)
$
(84
)
$
113

$
103

$
4

$
7

$
20

$
21


1)
Losses due to curtailment and settlement relate to repositioning and divestiture activities.

92


Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following table summarizes the funded status and amounts recognized on the Consolidated Balance Sheet for the Company’s
Significant Plans:
 
Six Months Ended June 30, 2019
 
Pension plans
Postretirement benefit plans
In millions of dollars
U.S. plans
Non-U.S. plans
U.S. plans
Non-U.S. plans
Change in projected benefit obligation
 

 

 

 

Projected benefit obligation at beginning of year
$
12,655

$
7,149

$
662

$
1,159

Plans measured annually
(25
)
(1,862
)
—

(307
)
Projected benefit obligation at beginning of year—Significant Plans
$
12,630

$
5,287

$
662

$
852

First quarter activity
408

293

13

62

Projected benefit obligation at March 31, 2019—Significant Plans
$
13,038

$
5,580

$
675

$
914

Benefits earned during the period
—

21

—

1

Interest cost on benefit obligation
122

60

6

23

Actuarial loss
548

172

42

48

Benefits paid, net of participants’ contributions and government subsidy
(233
)
(79
)
(13
)
(19
)
Foreign exchange impact and other
—

3

—

8

Projected benefit obligation at period end—Significant Plans
$
13,475

$
5,757

$
710

$
975







93


 
Six Months Ended June 30, 2019
 
Pension plans
Postretirement benefit plans
In millions of dollars
U.S. plans
Non-U.S. plans
U.S. plans
Non-U.S. plans
Change in plan assets
 

 

 

 

Plan assets at fair value at beginning of year
$
11,490

$
6,699

$
345

$
1,036

Plans measured annually
—

(1,248
)
—

(9
)
Plan assets at fair value at beginning of year—Significant Plans
$
11,490

$
5,451

$
345

$
1,027

First quarter activity
487

257

2

32

Plan assets at fair value at March 31, 2019—Significant Plans
$
11,977

$
5,708

$
347

$
1,059

Actual return on plan assets
449

206

9

62

Company contributions, net of reimbursements
438

14

5

218

Benefits paid, net of participants’ contributions and government subsidy

(233
)
(79
)
(13
)
(19
)
Foreign exchange impact and other
—

250

—

(236
)
Plan assets at fair value at period end—Significant Plans
$
12,631

$
6,099

$
348

$
1,084

Funded status of the Significant Plans
 
 
 
 
Qualified plans(1)
$
(151
)
$
342

$
(362
)
$
109

Nonqualified plans
(693
)
—

—

—

Funded status of the plans at period end—Significant Plans
$
(844
)
$
342

$
(362
)
$
109

Net amount recognized at period end
 

 

 

 

Benefit asset
$
—

$
920

$
—

$
109

Benefit liability
(844
)
(578
)
(362
)
—

Net amount recognized on the balance sheet—Significant Plans
$
(844
)
$
342

$
(362
)
$
109

Amounts recognized in AOCI at period end
 

 

 

Prior service benefit
$
—

$
14

$
—

$
72

Net actuarial (loss) gain
(7,101
)
(995
)
13

(320
)
Net amount recognized in equity (pretax)—Significant Plans
$
(7,101
)
$
(981
)
$
13

$
(248
)
Accumulated benefit obligation at period end—Significant Plans
$
13,469

$
5,467

$
710

$
975


(1)
The U.S. qualified pension plan is fully funded pursuant to the Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 2019 and no minimum required funding is expected for 2019.


The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans:
In millions of dollars
Three Months Ended 
 June 30, 2019
Six Months Ended  
  June 30, 2019
Beginning of period balance, net of tax(1)(2)
$
(6,321
)
$
(6,257
)
Actuarial assumptions changes and plan experience
(814
)
(1,609
)
Net asset gain (loss) due to difference between actual and expected returns
443

1,133

Net amortization
66

128

Prior service cost
(5
)
(5
)
Curtailment/settlement gain(3)
2

2

Foreign exchange impact and other
(22
)
(47
)
Change in deferred taxes, net
77

81

Change, net of tax
$
(253
)
$
(317
)
End of period balance, net of tax(1)(2)
$
(6,574
)
$
(6,574
)

(1)
See Note 17 to the Consolidated Financial Statements for further discussion of net AOCI balance.
(2)
Includes net-of-tax amounts for certain profit sharing plans outside the U.S.
(3)
Curtailment and settlement relate to repositioning and divestiture activities.




 




94


Plan Assumptions
The discount rates utilized during the period in determining the pension and postretirement net (benefit) expense for the Significant Plans are as follows:
Net (benefit) expense assumed discount rates during the period
Three Months Ended
Jun. 30, 2019
Jun. 30, 2018
U.S. plans
 
 
Qualified pension
3.85
%
3.95
%
Nonqualified pension
3.90

3.95

Postretirement
3.80

3.90

Non-U.S. plans
 
 
Pension
0.45-10.30
0.75-9.90
Weighted average
4.74

4.86

Postretirement
10.30

9.50



The discount rates utilized at period-end in determining the pension and postretirement benefit obligations for the Significant Plans are as follows:
Plan obligations assumed discount rates at period ended
Jun. 30, 2019
Mar. 31, 2019
Dec. 31, 2018
U.S. plans
 
 
 
Qualified pension
3.45
%
3.85
%
4.25
%
Nonqualified pension
3.50

3.90

4.25

Postretirement
3.35

3.80

4.20

Non-U.S. plans
 
 
 
Pension
0.30-9.55
0.45-10.30
0.75-10.75
Weighted average
4.52

4.74

5.09

Postretirement
9.70

10.30

10.75

 
Sensitivities of Certain Key Assumptions
The following table summarizes the estimated effect on the Company’s Significant Plans quarterly expense of a one-percentage-point change in the discount rate:
 
Three Months Ended June 30, 2019
In millions of dollars
One-percentage-point increase
One-percentage-point decrease
Pension
 
 
   U.S. plans
$
7

$
(10
)
   Non-U.S. plans
(3
)
5

Postretirement
 
 
   U.S. plans
1

(1
)
   Non-U.S. plans
(2
)
2







95


Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first six months of 2019. The Company made a discretionary contribution of $425 million and $220 million to the U.S. qualified defined benefit plan and Mexico—Banco Nacional Healthcare Postretirement Plan, respectively, during the second quarter of 2019.
 
The following table summarizes the Company’s actual contributions for the six months ended June 30, 2019 and 2018, as well as estimated expected Company contributions for the remainder of 2019 and the actual contributions made for the remainder of 2018:
 
Pension plans 
Postretirement plans 
 
U.S. plans(1)
Non-U.S. plans
U.S. plans
Non-U.S. plans
In millions of dollars
2019
2018
2019
2018
2019
2018
2019
2018
Company contributions(2) for the six months ended
  June 30
$
463

$
28

$
64

$
112

$
—

$
7

$
223

$
5

Company contributions made during the remainder
  of the year
—

27

—

70

—

143

—

4

Company contributions expected to be made during
  the remainder of the year
30

—

70

—

2

—

5

—


(1)
The U.S. plans include benefits paid directly by the Company for the nonqualified pension plans.
(2)
Company contributions are composed of cash contributions made to the plans and benefits paid directly by the Company.

Defined Contribution Plans
The following table summarizes the Company’s contributions
for the defined contribution plans:
 
Three Months Ended June 30,
Six Months Ended 
 June 30,
In millions of dollars
2019
2018
2019
2018
   U.S. plans
$
99

$
99

$
198

$
203

   Non-U.S. plans
71

72

139

148



 
Post Employment Plans
The following table summarizes the components of net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:
 
Three Months Ended June 30,
Six Months Ended 
 June 30,
In millions of dollars
2019
2018
2019
2018
Service-related expense




$
—

$
—

Interest cost on benefit obligation
$
1

$
1

$
1

$
1

Expected return on plan assets
(1
)
(1
)
(1
)
(1
)
Amortization of unrecognized:








     Prior service
       benefit
—

(7
)
—

(15
)
     Net actuarial loss
—

—

1

1

Total service-related (benefit) expense
$
—

$
(7
)
$
1

$
(14
)
Non-service-related expense (benefit)
$
2

$
(3
)
$
6

$
3

Total net expense (benefit)
$
2

$
(10
)
$
7

$
(11
)














96


9.   EARNINGS PER SHARE
The following table reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations:
 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars, except per share amounts
2019
2018
2019
2018
Income from continuing operations before attribution of noncontrolling interests
$
4,792

$
4,501

$
9,529

$
9,150

Less: Noncontrolling interests from continuing operations
10

26

35

48

Net income from continuing operations (for EPS purposes)
$
4,782

$
4,475

$
9,494

$
9,102

Loss from discontinued operations, net of taxes
17

15

15

8

Citigroup's net income
$
4,799

$
4,490

$
9,509

$
9,110

Less: Preferred dividends(1)
296

318

558

590

Net income available to common shareholders
$
4,503

$
4,172

$
8,951

$
8,520

Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS
50

49

109

90

Net income allocated to common shareholders for basic and diluted EPS
4,453

4,123

8,842

8,430

Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,286.1

2,530.9

2,313.2

2,546.2

Effect of dilutive securities
 
 
 

 

   Options(2)
—

0.1

0.1

0.1

Other employee plans
2.9

1.3

2.4

1.3

Adjusted weighted-average common shares outstanding applicable to diluted EPS(3)
2,289.0

2,532.3

2,315.7

2,547.6

Basic earnings per share(4)
 
 
 

 

Income from continuing operations
$
1.94

$
1.62

$
3.81

$
3.30

Discontinued operations
0.01

0.01

0.01

0.01

Net income
$
1.95

$
1.63

$
3.82

$
3.31

Diluted earnings per share(4)
 
 
 
 
Income from continuing operations
$
1.94

$
1.62

$
3.81

$
3.30

Discontinued operations
0.01

0.01

0.01

0.01

Net income
$
1.95

$
1.63

$
3.82

$
3.31

(1)
As of June 30, 2019, Citi estimates it will distribute preferred dividends of approximately $550 million during the remainder of 2019, assuming such dividends are declared by the Citi Board of Directors.
(2)
During the second quarter of 2019, no significant options to purchase shares of common stock were outstanding. During the second quarter of 2018, weighted-average options to purchase 0.5 million shares of common stock were outstanding but not included in the computation of earnings per share because the weighted-average exercise price of $148.77 per share was anti-dilutive.
(3)
Due to rounding, common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to common shares outstanding applicable to diluted EPS.
(4)
Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.

97


10. SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS
For additional information on the Company’s resale and repurchase agreements and securities borrowing and lending agreements, see Note 11 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
Securities borrowed and purchased under agreements to resell, at their respective carrying values, consisted of the following:
In millions of dollars
June 30,
2019
December 31, 2018
Securities purchased under agreements to resell
$
163,786

$
159,364

Deposits paid for securities borrowed
95,983

111,320

Total(1)
$
259,769

$
270,684



Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:
In millions of dollars
June 30,
2019
December 31, 2018
Securities sold under agreements to repurchase
$
168,861

$
166,090

Deposits received for securities loaned
12,272

11,678

Total(1)
$
181,133

$
177,768


(1)
The above tables do not include securities-for-securities lending transactions of $16.8 billion and $15.9 billion at June 30, 2019 and December 31, 2018, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.

 
It is the Company’s policy to take possession of the underlying collateral, monitor its market value relative to the amounts due under the agreements and, when necessary, require prompt transfer of additional collateral in order to maintain contractual margin protection. For resale and repurchase agreements, when necessary, the Company posts additional collateral in order to maintain contractual margin protection.
A substantial portion of the resale and repurchase agreements is recorded at fair value, as described in Notes 20 and 21 to the Consolidated Financial Statements. The remaining portion is carried at the amount of cash initially advanced or received, plus accrued interest, as specified in the respective agreements.
A substantial portion of securities borrowing and lending agreements is recorded at the amount of cash advanced or received. The remaining portion is recorded at fair value as the Company elected the fair value option for certain securities borrowed and loaned portfolios, as described in Note 21 to the Consolidated Financial Statements. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
The following tables present the gross and net resale and repurchase agreements and securities borrowing and lending
agreements and the related offsetting amount permitted under ASC 210-20-45. The tables also include amounts related to financial instruments that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default occurred and a legal opinion supporting enforceability of the offsetting rights has been obtained. Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

 
As of June 30, 2019
In millions of dollars
Gross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities purchased under agreements to resell
$
292,088

$
128,302

$
163,786

$
128,476

$
35,310

Deposits paid for securities borrowed
95,983

—

95,983

26,429

69,554

Total
$
388,071

$
128,302

$
259,769

$
154,905

$
104,864



98


In millions of dollars
Gross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase
$
297,163

$
128,302

$
168,861

$
87,803

$
81,058

Deposits received for securities loaned
12,272

—

12,272

2,551

9,721

Total
$
309,435

$
128,302

$
181,133

$
90,354

$
90,779



 
As of December 31, 2018
In millions of dollars
Gross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities purchased under agreements to resell
$
246,788

$
87,424

$
159,364

$
124,557

$
34,807

Deposits paid for securities borrowed
111,320

—

111,320

35,766

75,554

Total
$
358,108

$
87,424

$
270,684

$
160,323

$
110,361

In millions of dollars
Gross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase
$
253,514

$
87,424

$
166,090

$
82,823

$
83,267

Deposits received for securities loaned
11,678

—

11,678

3,415

8,263

Total
$
265,192

$
87,424

$
177,768

$
86,238

$
91,530

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

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

 
As of June 30, 2019
In millions of dollars
Open and overnight
Up to 30 days
31–90 days
Greater than 90 days
Total
Securities sold under agreements to repurchase
$
152,704

$
69,173

$
34,516

$
40,770

$
297,163

Deposits received for securities loaned
7,576

155

2,359

2,182

12,272

Total
$
160,280

$
69,328

$
36,875

$
42,952

$
309,435



 
As of December 31, 2018
In millions of dollars
Open and overnight
Up to 30 days
31–90 days
Greater than 90 days
Total
Securities sold under agreements to repurchase
$
108,405

$
70,850

$
29,898

$
44,361

$
253,514

Deposits received for securities loaned
6,296

774

2,626

1,982

11,678

Total
$
114,701

$
71,624

$
32,524

$
46,343

$
265,192


99


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

 
As of June 30, 2019
In millions of dollars
Repurchase agreements
Securities lending agreements
Total
U.S. Treasury and federal agency securities
$
114,492

$
—

$
114,492

State and municipal securities
2,226

11

2,237

Foreign government securities
110,796

269

111,065

Corporate bonds
21,909

597

22,506

Equity securities
17,919

10,677

28,596

Mortgage-backed securities
18,541

—

18,541

Asset-backed securities
6,540

—

6,540

Other
4,740

718

5,458

Total
$
297,163

$
12,272

$
309,435


 
As of December 31, 2018
In millions of dollars
Repurchase agreements
Securities lending agreements
Total
U.S. Treasury and federal agency securities
$
86,785

$
41

$
86,826

State and municipal securities
2,605

—

2,605

Foreign government securities
99,131

179

99,310

Corporate bonds
21,719

749

22,468

Equity securities
12,920

10,664

23,584

Mortgage-backed securities
19,421

—

19,421

Asset-backed securities
6,207

—

6,207

Other
4,726

45

4,771

Total
$
253,514

$
11,678

$
265,192




100


11. BROKERAGE RECEIVABLES AND BROKERAGE PAYABLES

The Company has receivables and payables for financial instruments sold to and purchased from brokers, dealers and customers, which arise in the ordinary course of business.
For additional information on these receivables and payables, see Note 12 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
In millions of dollars
June 30,
2019
December 31, 2018
Receivables from customers
$
15,887

$
14,415

Receivables from brokers, dealers and clearing organizations
34,140

21,035

Total brokerage receivables(1)
$
50,027

$
35,450

Payables to customers
$
38,589

$
40,273

Payables to brokers, dealers and clearing organizations
31,250

24,298

Total brokerage payables(1)
$
69,839

$
64,571


(1)
Includes brokerage receivables and payables recorded by Citi broker-dealer entities that are accounted for in accordance with the AICPA Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320.

101


12.   INVESTMENTS

For additional information regarding Citi’s investment portfolios, including evaluating investments for other-than-temporary impairment (OTTI), see Note 13 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

 






The following table presents Citi’s investments by category:
 
In millions of dollars
June 30,
2019
December 31,
2018
 
 
Debt securities available-for-sale (AFS)
$
273,435

$
288,038

 
Debt securities held-to-maturity (HTM)(1)
68,693

63,357

 
Marketable equity securities carried at fair value(2)
533

220

 
Non-marketable equity securities carried at fair value(2)
740

889

 
Non-marketable equity securities measured using the measurement alternative(3)


642

538

 
Non-marketable equity securities carried at cost(4)
5,659

5,565

 
Total investments
$
349,702

$
358,607


(1)
Carried at adjusted amortized cost basis, net of any credit-related impairment.
(2)
Unrealized gains and losses are recognized in earnings.
(3)
Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings.
(4)
Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.

The following table presents interest and dividend income on investments:
 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars
2019
2018
2019
2018
Taxable interest
$
2,324

$
2,158

$
4,696

$
4,200

Interest exempt from U.S. federal income tax
126

132

253

262

Dividend income
55

84

104

146

Total interest and dividend income
$
2,505

$
2,374

$
5,053

$
4,608




The following table presents realized gains and losses on the sales of investments, which exclude OTTI losses:
 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars
2019
2018
2019
2018
Gross realized investment gains
$
474

$
170

$
642

$
396

Gross realized investment losses
(6
)
(68
)
(44
)
(124
)
Net realized gains on sale of investments
$
468

$
102

$
598

$
272



 



102


Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
 
June 30, 2019
December 31, 2018
In millions of dollars
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Debt securities AFS
 
 
 
 
 
 
 
 
Mortgage-backed securities(1)
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed
$
37,488

$
717

$
345

$
37,860

$
43,504

$
241

$
725

$
43,020

Alt-A
1

—

—

1

1

—

—

1

Non-U.S. residential
907

3

1

909

1,310

4

2

1,312

Commercial
114

1

—

115

173

1

2

172

Total mortgage-backed securities
$
38,510

$
721

$
346

$
38,885

$
44,988

$
246

$
729

$
44,505

U.S. Treasury and federal agency securities
 
 
 
 
 
 
 
 
U.S. Treasury
$
102,563

$
82

$
583

$
102,062

$
109,376

$
33

$
1,339

$
108,070

Agency obligations
7,488

7

48

7,447

9,283

1

132

9,152

Total U.S. Treasury and federal agency securities
$
110,051

$
89

$
631

$
109,509

$
118,659

$
34

$
1,471

$
117,222

State and municipal
$
6,228

$
139

$
197

$
6,170

$
9,372

$
96

$
262

$
9,206

Foreign government
101,400

803

463

101,740

100,872

415

596

100,691

Corporate
12,380

74

131

12,323

11,714

42

157

11,599

Asset-backed securities(1)
618

2

2

618

845

2

4

843

Other debt securities
4,191

—

1

4,190

3,973

—

1

3,972

Total debt securities AFS
$
273,378

$
1,828

$
1,771

$
273,435

$
290,423

$
835

$
3,220

$
288,038

(1)
The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.


103


The following table shows the fair value of AFS debt securities that have been in an unrealized loss position:
 
Less than 12 months
12 months or longer
Total
In millions of dollars
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
June 30, 2019
 
 
 
 
 
 
Debt securities AFS
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
U.S. government agency guaranteed
$
8,595

$
255

$
5,718

$
90

$
14,313

$
345

Non-U.S. residential
175

1

1

—

176

1

Commercial
7

—

61

—

68

—

Total mortgage-backed securities
$
8,777

$
256

$
5,780

$
90

$
14,557

$
346

U.S. Treasury and federal agency securities
 
 
 
 
 
 
U.S. Treasury
$
19,187

$
135

$
54,921

$
448

$
74,108

$
583

Agency obligations
316

2

6,857

46

7,173

48

Total U.S. Treasury and federal agency securities
$
19,503

$
137

$
61,778

$
494

$
81,281

$
631

State and municipal
$
925

$
156

$
960

$
41

$
1,885

$
197

Foreign government
25,294

337

7,038

126

32,332

463

Corporate
2,598

126

493

5

3,091

131

Asset-backed securities
476

2

29

—

505

2

Other debt securities
1,535

1

—

—

1,535

1

Total debt securities AFS
$
59,108

$
1,015

$
76,078

$
756

$
135,186

$
1,771

December 31, 2018
 

 

 

 

 

 

Debt securities AFS
 

 

 

 

 

 

Mortgage-backed securities
 

 

 

 

 

 

U.S. government agency guaranteed
$
11,160

$
286

$
13,143

$
439

$
24,303

$
725

Non-U.S. residential
284

2

2

—

286

2

Commercial
79

1

82

1

161

2

Total mortgage-backed securities
$
11,523

$
289

$
13,227

$
440

$
24,750

$
729

U.S. Treasury and federal agency securities
 

 

 

 

 

 

U.S. Treasury
$
8,389

$
42

$
77,883

$
1,297

$
86,272

$
1,339

Agency obligations
277

2

8,660

130

8,937

132

Total U.S. Treasury and federal agency securities
$
8,666

$
44

$
86,543

$
1,427

$
95,209

$
1,471

State and municipal
$
1,614

$
34

$
1,303

$
228

$
2,917

$
262

Foreign government
40,655

265

15,053

331

55,708

596

Corporate
4,547

115

2,077

42

6,624

157

Asset-backed securities
441

4

55

—

496

4

Other debt securities
1,790

1

—

—

1,790

1

Total debt securities AFS
$
69,236

$
752

$
118,258

$
2,468

$
187,494

$
3,220





104


The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
 
June 30, 2019
December 31, 2018
In millions of dollars
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Mortgage-backed securities(1)
 
 
 
 
Due within 1 year
$
12

$
12

$
14

$
14

After 1 but within 5 years
589

590

662

661

After 5 but within 10 years
1,986

2,133

2,779

2,828

After 10 years(2)
35,923

36,150

41,533

41,002

Total
$
38,510

$
38,885

$
44,988

$
44,505

U.S. Treasury and federal agency securities
 
 
 
 
Due within 1 year
$
42,893

$
42,803

$
41,941

$
41,867

After 1 but within 5 years
66,636

66,189

76,139

74,800

After 5 but within 10 years
497

489

489

462

After 10 years(2)
25

28

90

93

Total
$
110,051

$
109,509

$
118,659

$
117,222

State and municipal
 
 
 
 
Due within 1 year
$
1,282

$
1,251

$
2,586

$
2,586

After 1 but within 5 years
1,188

1,165

1,676

1,675

After 5 but within 10 years
446

454

585

602

After 10 years(2)
3,312

3,300

4,525

4,343

Total
$
6,228

$
6,170

$
9,372

$
9,206

Foreign government
 
 
 
 
Due within 1 year
$
41,222

$
41,247

$
39,078

$
39,028

After 1 but within 5 years
49,183

49,472

50,125

49,962

After 5 but within 10 years
9,758

9,836

10,153

10,149

After 10 years(2)
1,237

1,185

1,516

1,552

Total
$
101,400

$
101,740

$
100,872

$
100,691

All other(3)
 
 
 
 
Due within 1 year
$
7,424

$
7,420

$
6,166

$
6,166

After 1 but within 5 years
8,297

8,306

8,459

8,416

After 5 but within 10 years
1,249

1,213

1,474

1,427

After 10 years(2)
219

192

433

405

Total
$
17,189

$
17,131

$
16,532

$
16,414

Total debt securities AFS
$
273,378

$
273,435

$
290,423

$
288,038

(1)
Includes mortgage-backed securities of U.S. government-sponsored agencies.
(2)
Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)
Includes corporate, asset-backed and other debt securities.


105


Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM were as follows:
In millions of dollars
Carrying
value
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
June 30, 2019
 
 
 
 
Debt securities HTM
 
 
 
 
Mortgage-backed securities(1)
 
 
 
 
U.S. government agency guaranteed(2)
$
38,885

$
726

$
80

$
39,531

Non-U.S. residential
1,242

11

1

1,252

Commercial
443

—

1

442

Total mortgage-backed securities
$
40,570

$
737

$
82

$
41,225

State and municipal
$
7,892

$
359

$
13

$
8,238

Foreign government
1,920

17

8

1,929

Asset-backed securities(1)
18,311

8

51

18,268

Total debt securities HTM
$
68,693

$
1,121

$
154

$
69,660

December 31, 2018
 

 

 

 

Debt securities HTM
 

 

 

 

Mortgage-backed securities(1)
 

 

 

 

U.S. government agency guaranteed
$
34,239

$
199

$
578

$
33,860

Non-U.S. residential
1,339

12

1

1,350

Commercial
368

—

—

368

Total mortgage-backed securities
$
35,946

$
211

$
579

$
35,578

State and municipal
$
7,628

$
167

$
138

$
7,657

Foreign government
1,027

—

24

1,003

Asset-backed securities(1)
18,756

8

112

18,652

Total debt securities HTM
$
63,357

$
386

$
853

$
62,890


(1)
The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
(2)
In March 2019, Citibank transferred $5 billion of agency residential mortgage-backed securities (RMBS) from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized loss position of $56 million. The loss amounts will remain in AOCI and be amortized over the remaining life of the securities.


















106


The table below shows the fair value of debt securities HTM that have been in an unrecognized loss position:
 
Less than 12 months
12 months or longer
Total
In millions of dollars
Fair
value
Gross
unrecognized
losses
Fair
value
Gross
unrecognized
losses
Fair
value
Gross
unrecognized
losses
June 30, 2019
 
 
 
 
 
 
Debt securities held-to-maturity
 
 
 
 
 
 
Mortgage-backed securities
$
304

$
1

$
9,980

$
81

$
10,284

$
82

State and municipal
9

—

268

13

277

13

Foreign government
1,929

8

—

—

1,929

8

Asset-backed securities
11,532

46

501

5

12,033

51

Total debt securities held-to-maturity
$
13,774

$
55

$
10,749

$
99

$
24,523

$
154

December 31, 2018
 
 
 
 
 
 
Debt securities held-to-maturity
 
 
 
 
 
 
Mortgage-backed securities
$
2,822

$
20

$
18,086

$
559

$
20,908

$
579

State and municipal
981

34

1,242

104

2,223

138

Foreign government
1,003

24

—

—

1,003

24

Asset-backed securities
13,008

112

—

—

13,008

112

Total debt securities held-to-maturity
$
17,814

$
190

$
19,328

$
663

$
37,142

$
853

Note: Excluded from the gross unrecognized losses presented in the table above are $(658) million and $(653) million of net unrealized losses recorded in AOCI as of June 30, 2019 and December 31, 2018, respectively, primarily related to the difference between the amortized cost and carrying value of HTM debt securities that were
reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at June 30, 2019 and December 31, 2018.

107


The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
 
June 30, 2019
December 31, 2018
In millions of dollars
Carrying value
Fair value
Carrying value
Fair value
Mortgage-backed securities
 
 
 
 
Due within 1 year
$
3

$
3

$
3

$
3

After 1 but within 5 years
534

541

539

540

After 5 but within 10 years
1,816

1,885

997

1,011

After 10 years(1)
38,217

38,796

34,407

34,024

Total
$
40,570

$
41,225

$
35,946

$
35,578

State and municipal
 
 
 
 
Due within 1 year
$
38

$
38

$
37

$
37

After 1 but within 5 years
229

239

168

174

After 5 but within 10 years
502

526

540

544

After 10 years(1)
7,123

7,435

6,883

6,902

Total
$
7,892

$
8,238

$
7,628

$
7,657

Foreign government
 
 
 
 
Due within 1 year
$
661

$
664

$
60

$
36

After 1 but within 5 years
823

825

967

967

After 5 but within 10 years
436

440

—

—

After 10 years(1)
—

—

—

—

Total
$
1,920

$
1,929

$
1,027

$
1,003

All other(2)
 
 
 
 
Due within 1 year
$
—

$
—

$
—

$
—

After 1 but within 5 years
—

—

—

—

After 5 but within 10 years
3,161

3,162

2,535

2,539

After 10 years(1)
15,150

15,106

16,221

16,113

Total
$
18,311

$
18,268

$
18,756

$
18,652

Total debt securities HTM
$
68,693

$
69,660

$
63,357

$
62,890

(1)
Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(2)
Includes corporate and asset-backed securities.



108


Evaluating Investments for Other-Than-Temporary Impairment

Debt Securities

Overview
The Company conducts periodic reviews of all debt securities with unrealized losses to evaluate whether the impairment is other-than-temporary. This review applies to all debt securities that are not measured at fair value through earnings.
An unrealized loss exists when the current fair value of an individual debt security is less than its amortized cost basis. Unrealized losses that are determined to be temporary in nature are recorded, net of tax, in AOCI for AFS debt securities. Temporary losses related to HTM debt securities generally are not recorded, as these investments are carried at adjusted amortized cost basis. However, for HTM debt securities with credit-related impairment, the credit loss is recognized in earnings as OTTI, and any difference between the cost basis adjusted for the OTTI and fair value is recognized in AOCI and amortized as an adjustment of yield over the remaining contractual life of the security. For debt securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer.
Regardless of the classification of debt securities as AFS or HTM, the Company assesses each position with an unrealized loss for OTTI. Factors considered in determining whether a loss is temporary include:

•
the length of time and the extent to which fair value has been below cost;
•
the severity of the impairment;
•
the cause of the impairment and the financial condition and near-term prospects of the issuer;
•
activity in the market of the issuer that may indicate adverse credit conditions; and
•
the Company’s ability and intent to hold the investment for a period of time sufficient to allow for any anticipated recovery.

The Company’s review for impairment generally entails:

•
identification and evaluation of impaired investments;
•
analysis of individual investments that have fair values less than amortized cost, including consideration of the length of time the investment has been in an unrealized loss position and the expected recovery period;
•
consideration of evidential matter, including an evaluation of factors or triggers that could cause individual
 
investments to qualify as having other-than-temporary impairment and those that would not support other-than-temporary impairment; and
•
documentation of the results of these analyses, as required under business policies.

The entire difference between amortized cost basis and fair value is recognized in earnings as OTTI for impaired debt securities that the Company has an intent to sell or for which the Company believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those debt securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings and any non-credit-related impairment is recorded in AOCI.
For debt securities, credit impairment exists where management does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security.
The sections below describe the Company’s process for identifying credit-related impairments for debt security types that have the most significant unrealized losses as of June 30, 2019.

Mortgage-Backed Securities
For U.S. mortgage-backed securities, credit impairment is assessed using a cash flow model that estimates the principal and interest cash flows on the underlying mortgages using the security-specific collateral and transaction structure. The model distributes the estimated cash flows to the various tranches of securities, considering the transaction structure and any subordination and credit enhancements that exist in that structure. The cash flow model incorporates actual cash flows on the mortgage-backed securities through the current period and then estimates the remaining cash flows using a number of assumptions, including default rates, prepayment rates, recovery rates (on foreclosed properties) and loss severity rates (on non-agency mortgage-backed securities).
Management develops specific assumptions using market data, internal estimates and estimates published by rating agencies and other third-party sources. Default rates are projected by considering current underlying mortgage loan performance, generally assuming the default of (i) 10% of current loans, (ii) 25% of 30–59 day delinquent loans, (iii) 70% of 60–90 day delinquent loans and (iv) 100% of 91+ day delinquent loans. These estimates are extrapolated along a default timing curve to estimate the total lifetime pool default rate. Other assumptions contemplate the actual collateral attributes, including geographic concentrations, rating actions and current market prices.
Cash flow projections are developed using different stress test scenarios. Management evaluates the results of those stress tests (including the severity of any cash shortfall indicated and the likelihood of the stress scenarios actually occurring based on the underlying pool’s characteristics and performance) to assess whether management expects to recover the amortized cost basis of the security. If cash flow projections indicate that the Company does not expect to recover its amortized cost basis, the Company recognizes the estimated credit loss in earnings.


109


State and Municipal Securities
The process for identifying credit impairments in Citigroup’s AFS and HTM state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings.  Citigroup monitors the bond issuers and any insurers providing default protection in the form of financial guarantee insurance. The average external credit rating, ignoring any insurance, is Aa3/AA-.  In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments.
For state and municipal bonds with unrealized losses that Citigroup plans to sell, or would be more-likely-than-not required to sell, the full impairment is recognized in earnings.

Equity Method Investments
Management assesses equity method investments that have fair values that are less than their respective carrying values for OTTI. Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 20 to the Consolidated Financial Statements).
For impaired equity method investments that Citi plans to sell prior to recovery of value or would likely be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized in earnings as OTTI regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.
For impaired equity method investments that management does not plan to sell and is not likely to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators:

•
the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer;
•
the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and
•
the length of time and extent to which fair value has been less than the carrying value.

110


Recognition and Measurement of OTTI
The following tables present total OTTI on Investments recognized in earnings:

Three Months Ended 
 June 30, 2019
Six Months Ended  
  June 30, 2019
In millions of dollars
AFS
HTM
Total
AFS(1)
HTM
Total
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:
 
 
 
 
 
 
Total OTTI losses recognized during the period
$
—

$
—

$
—

$
—

$
—

$
—

Less: portion of impairment loss recognized in AOCI (before taxes)
—

—

—

—

—

—

Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell
$
—

$
—

$
—

$
—

$
—

$
—

Impairment losses recognized in earnings for debt securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise
2

—

2

5

—

5

Total OTTI losses recognized in earnings
$
2

$
—

$
2

$
5

$
—

$
5



Three Months Ended 
  June 30, 2018
Six Months Ended 
  June 30, 2018
In millions of dollars
AFS
HTM
Total
AFS(1)
HTM
Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:
 
 
 
 
 
 
Total OTTI losses recognized during the period
$
—

$
—

$
—

$
—

$
—

$
—

Less: portion of impairment loss recognized in AOCI (before taxes)
—

—

—

—

—

—

Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell
$
—

$
—

$
—

$
—

$
—

$
—

Impairment losses recognized in earnings for securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise
12

—

12

39

—

39

Total impairment losses recognized in earnings
$
12

$
—

$
12

$
39

$
—

$
39




The following are three-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities held that the Company does not intend to sell nor will likely be required to sell:

 
Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollars
March 31, 2019 balance
Credit
impairments
recognized in
earnings on
securities not
previously
impaired
Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired
Changes due to
credit-impaired
securities sold,
transferred or
matured
June 30, 2019 balance
AFS debt securities
 
 
 
 
 
Mortgage-backed securities(1)
$
1

$
—

$
—

$
—

$
1

State and municipal
—

—

—

—

—

Foreign government securities
—

—

—

—

—

Corporate
4

—

—

—

4

All other debt securities
—

—

—

—

—

Total OTTI credit losses recognized for AFS debt securities
$
5

$
—

$
—

$
—

$
5

HTM debt securities
 
 
 
 
 
Mortgage-backed securities(2)
$
—

$
—

$
—

$
—

$
—

State and municipal
—

—

—

—

—

Total OTTI credit losses recognized for HTM debt securities
$
—

$
—

$
—

$
—

$
—


111


 
Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollars
March 31, 2018 balance
Credit
impairments
recognized in
earnings on
securities not
previously
impaired
Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired
Changes due to
credit-impaired
securities sold,
transferred or
matured
June 30, 2018 balance
AFS debt securities
 
 
 
 
 
Mortgage-backed securities (1)
$
25

$
—

$
—

$
(24
)
$
1

State and municipal
—

—

—

—

—

Foreign government securities
—

—

—

—

—

Corporate
4

—

—

—

4

All other debt securities
2

—

—

—

2

Total OTTI credit losses recognized for AFS debt securities
$
31

$
—

$
—

$
(24
)
$
7

HTM debt securities
 
 
 
 
 
Mortgage-backed securities(2)
$
—

$
—

$
—

$
—

$
—

State and municipal
—

—

—

—

—

Total OTTI credit losses recognized for HTM debt securities
$
—

$
—

$
—

$
—

$
—

(1)
Primarily consists of Prime securities.
(2)
Primarily consists of Alt-A securities.


112


The following are six-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities that the Company does not intend to sell nor likely will be required to sell:
 
Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollars
December 31, 2018 balance
Credit
impairments
recognized in
earnings on
securities not
previously
impaired
Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired
Changes due to
credit-impaired
securities sold,
transferred or
matured
June 30, 2019 balance
AFS debt securities
 
 
 
 
 
Mortgage-backed securities(1)
$
1

$
—

$
—

$
—

$
1

State and municipal
—

—

—

—

—

Foreign government securities
—

—

—

—

—

Corporate
4

—

—

—

4

All other debt securities
—

—

—

—

—

Total OTTI credit losses recognized for AFS debt securities
$
5

$
—

$
—

$
—

$
5

HTM debt securities
 
 
 
 
 
Mortgage-backed securities(2)
$
—

$
—

$
—

$
—

$
—

State and municipal
—

—

—

—

—

Total OTTI credit losses recognized for HTM debt securities
$
—

$
—

$
—

$
—

$
—

 
Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollars
December 31, 2017 balance
Credit
impairments
recognized in
earnings on
securities not
previously
impaired
Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired
Changes due to
credit-impaired
securities sold,
transferred or
matured(3)
June 30, 2018 balance
AFS debt securities
 
 
 
 
 
Mortgage-backed securities(1)
$
38

$
—

$
—

$
(37
)
$
1

State and municipal
4

—

—

(4
)
—

Foreign government securities
—

—

—

—

—

Corporate
4

—

—

—

4

All other debt securities
2

—

—

—

2

Total OTTI credit losses recognized for AFS debt securities
$
48

$
—

$
—

$
(41
)
$
7

HTM debt securities
 
 
 
 
 
Mortgage-backed securities(2)
$
54

$
—

$
—

$
(54
)
$
—

State and municipal
3

—

—

(3
)
—

Total OTTI credit losses recognized for HTM debt securities
$
57

$
—

$
—

$
(57
)
$
—

(1)
Primarily consists of Prime securities.
(2)
Primarily consists of Alt-A securities.
(3) Includes $18 million in cumulative OTTI reclassified from HTM to AFS due to the transfer of the related debt securities from HTM to AFS. Citi adopted ASU 2017-12, Targeted Improvements to Accounting for Hedge Activities, on January 1, 2018 and transferred approximately $4 billion of HTM debt securities into AFS classification as permitted as a one-time transfer under the standard.

113


Non-Marketable Equity Securities Not Carried at Fair Value
Non-marketable equity securities are required to be measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost.
The election to measure a non-marketable equity security using the measurement alternative is made on an instrument-by-instrument basis. Under the measurement alternative, an equity security is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer. The carrying value of the equity security is adjusted to fair value on the date of an observed transaction. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.
Equity securities under the measurement alternative are also assessed for impairment. On a quarterly basis, management qualitatively assesses whether each equity security under the measurement alternative is impaired. Impairment indicators that are considered include, but are not limited to, the following:

•
a significant deterioration in the earnings performance, credit rating, asset quality or business prospects of the investee;
•
a significant adverse change in the regulatory, economic or technological environment of the investee;
•
a significant adverse change in the general market condition of either the geographical area or the industry in which the investee operates;
•
a bona fide offer to purchase, an offer by the investee to sell or a completed auction process for the same or similar investment for an amount less than the carrying amount of that investment; and
•
factors that raise significant concerns about the investee’s ability to continue as a going concern, such as negative cash flows from operations, working capital deficiencies or noncompliance with statutory capital requirements or debt covenants.

When the qualitative assessment indicates that impairment exists, the investment is written down to fair value, with the full difference between the fair value of the investment and its carrying amount recognized in earnings.

114


Below is the carrying value of non-marketable equity
 
securities measured using the measurement alternative at June 30, 2019 and December 31, 2018:
In millions of dollars
June 30, 2019
December 31, 2018
Measurement alternative:
 
 
Carrying value
$
642

$
538


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

 
Three Months Ended
June 30,
Six Months
Ended
June 30,
In millions of dollars
2019
2018
2019
2018
Measurement alternative:




 
 
Impairment losses(1)
$
3

$
3

$
8

$
4

Downward changes for observable prices(1)
12

2

12

4

Upward changes for observable prices(1)
19

4

85

112


(1)
See Note 20 to the Consolidated Financial Statements for additional information on these nonrecurring fair value measurements.

 
Life-to-date amounts on securities still held
In millions of dollars
June 30, 2019
Measurement alternative:
 
Impairment losses
$
15

Downward changes for observable prices
30

Upward changes for observable prices
304




A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three and six months ended June 30, 2019 and 2018, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.

Investments in Alternative Investment Funds That Calculate Net Asset Value
The Company holds investments in certain alternative investment funds that calculate net asset value (NAV), or its equivalent, including hedge funds, private equity funds, funds
of funds and real estate funds, as provided by third-party asset managers. Investments in such funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV of the Company’s ownership interest in the funds. Some of
these investments are in “covered funds” for purposes of the Volcker Rule, which prohibits certain proprietary investment activities and limits the ownership of, and relationships with,
covered funds. On April 21, 2017, Citi’s request for extension of the permitted holding period under the Volcker Rule for certain of its investments in illiquid funds was approved, allowing the Company to hold such investments until the earlier of five years from the July 21, 2017 expiration date of the general conformance period, or the date such investments mature or are otherwise conformed with the Volcker Rule.



 
Fair value
Unfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
In millions of dollars
June 30,
2019
December 31, 2018
June 30,
2019
December 31, 2018
 
 
Hedge funds
$
—

$
—

$
—

$
—

Generally quarterly
10–95 days
Private equity funds(1)(2)
158

168

62

62

—
—
Real estate funds(2)(3)
12

14

18

19

—
—
Mutual/collective investment funds
26

25

—

—

—
—
Total
$
196

$
207

$
80

$
81

—
—
(1)
Private equity funds include funds that invest in infrastructure, emerging markets and venture capital.
(2)
With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.
(3)
Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.

115


13.   LOANS

Citigroup loans are reported in two categories: consumer and corporate. These categories are classified primarily according to the segment and subsegment that manage the loans. For additional information regarding Citi’s consumer and corporate loans, including related accounting policies, see Note 14 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

Consumer Loans
Consumer loans represent loans and leases managed primarily by GCB and Corporate/Other. The following table provides Citi’s consumer loans by loan type:

 








Consumer Loans, Delinquencies and Non-Accrual Details at June 30, 2019
In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices(5)
 
 
 
 
 
 
 
Residential first mortgages(6)
$
44,122

$
480

$
224

$
648

$
45,474

$
582

$
407

Home equity loans(7)(8)
10,028

153

223

—

10,404

476

—

Credit cards
137,091

1,536

1,639

—

140,266

—

1,639

Installment and other
3,193

40

12

—

3,245

19

—

Commercial banking loans
10,655

22

13

—

10,690

139

—

Total
$
205,089

$
2,231

$
2,111

$
648

$
210,079

$
1,216

$
2,046

In offices outside North America(5)
 
 
 
 
 
 
 
Residential first mortgages(6)
$
36,226

$
207

$
147

$
—

$
36,580

$
405

$
—

Credit cards
24,188

416

371

—

24,975

302

238

Installment and other
26,970

241

110

—

27,321

146

—

Commercial banking loans
26,926

60

54

—

27,040

159

—

Total
$
114,310

$
924

$
682

$
—

$
115,916

$
1,012

$
238

Total Citigroup(9)
$
319,399

$
3,155

$
2,793

$
648

$
325,995

$
2,228

$
2,284

(1)
Loans less than 30 days past due are presented as current.
(2)
Includes $20 million of residential first mortgages recorded at fair value.
(3)
Excludes loans guaranteed by U.S. government-sponsored entities.
(4)
Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.2 billion and 90 days or more past due of $0.4 billion.
(5)
North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(6)
Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(7)
Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(8)
Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(9)
Consumer loans are net of unearned income of $713 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.


During the three and six months ended June 30, 2019 and 2018, the Company sold and/or reclassified to HFS $0.4 billion and $2.3 billion and $1.9 billion and $2.8 billion, respectively, of consumer loans.


116


Consumer Loans, Delinquencies and Non-Accrual Details at December 31, 2018
In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices(5)
 
 
 
 
 
 
 
Residential first mortgages(6)
$
45,953

$
420

$
253

$
786

$
47,412

$
583

$
549

Home equity loans(7)(8)
11,135

161

247

—

11,543

527

—

Credit cards
141,106

1,687

1,764

—

144,557

—

1,764

Installment and other
3,395

43

16

—

3,454

22

—

Commercial banking loans
9,662

20

46

—

9,728

109

—

Total
$
211,251

$
2,331

$
2,326

$
786

$
216,694

$
1,241

$
2,313

In offices outside North America(5)
 
 
 
 
 
 
 
Residential first mortgages(6)
$
35,624

$
203

$
145

$
—

$
35,972

$
383

$
—

Credit cards
24,131

425

370

—

24,926

312

235

Installment and other
25,773

254

107

—

26,134

152

—

Commercial banking loans
26,657

51

53

—

26,761

138

—

Total
$
112,185

$
933

$
675

$
—

$
113,793

$
985

$
235

Total Citigroup(9)
$
323,436

$
3,264

$
3,001

$
786

$
330,487

$
2,226

$
2,548

(1)
Loans less than 30 days past due are presented as current.
(2)
Includes $20 million of residential first mortgages recorded at fair value.
(3)
Excludes loans guaranteed by U.S. government-sponsored entities.
(4)
Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.2 billion and 90 days or more past due of $0.6 billion.
(5)
North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(6)
Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(7)
Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(8)
Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(9)
Consumer loans are net of unearned income of $708 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.

Consumer Credit Scores (FICO)
The following tables provide details on the FICO scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables (commercial banking loans are excluded from the table since they are business based and FICO scores are not a primary driver in their credit evaluation). FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio.
FICO score distribution in U.S. portfolio(1)(2)
June 30, 2019
In millions of dollars
Less than
680
680 to 760
Greater
than 760
Residential first mortgages
$
3,803

$
12,699

$
26,618

Home equity loans
2,172

3,920

3,994

Credit cards
31,445

57,173

49,715

Installment and other
602

967

1,078

Total
$
38,022

$
74,759

$
81,405


 

FICO score distribution in U.S. portfolio(1)(2)
December 31, 2018

In millions of dollars
Less than
680
680 to 760
Greater
than 760
Residential first mortgages
$
4,530

$
13,848

$
26,546

Home equity loans
2,438

4,296

4,471

Credit cards
32,686

58,722

51,299

Installment and other
625

1,097

1,121

Total
$
40,279

$
77,963

$
83,437

(1)
Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (LTSC) with U.S. government-sponsored entities and loans recorded at fair value.
(2)
Excludes balances where FICO was not available. Such amounts are not material.


117


Loan to Value (LTV) Ratios
The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.
LTV distribution in U.S. portfolio(1)(2)
June 30, 2019
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages
$
40,482

$
2,577

$
168

Home equity loans
8,635

1,079

332

Total
$
49,117

$
3,656

$
500


LTV distribution in U.S. portfolio(1)(2)
December 31, 2018
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages
$
42,379

$
2,474

$
197

Home equity loans
9,465

1,287

390

Total
$
51,844

$
3,761

$
587

(1)
Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.
(2)
Excludes balances where LTV was not available. Such amounts are not material.


118


Impaired Consumer Loans
The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
 
 
 
 
 
Three Months Ended 
 June 30,
Six Months Ended 
 June 30,
 
Balance at June 30, 2019
2019
2018
2019
2018
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Mortgage and real estate
 
 
 
 
 
 
 
 
Residential first mortgages
$
2,022

$
2,222

$
219

$
2,133

$
18

$
21

$
35

$
42

Home equity loans
652

914

124

678

2

2

4

8

Credit cards
1,873

1,892

711

1,838

26

25

52

55

Installment and other
 
 
 
 
 
 
 
 
Individual installment and other
400

431

142

401

6

6

11

12

Commercial banking
365

534

35

316

7

5

10

8

Total
$
5,312

$
5,993

$
1,231

$
5,366

$
59

$
59

$
112

$
125

(1)
Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
(2)
$414 million of residential first mortgages, $245 million of home equity loans and $9 million of commercial market loans do not have a specific allowance.
(3)    Included in the Allowance for loan losses.
(4)
Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.
(5)    Includes amounts recognized on both an accrual and cash basis.

 
Balance at December 31, 2018
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Mortgage and real estate
 
 
 
 
Residential first mortgages
$
2,130

$
2,329

$
178

$
2,483

Home equity loans
684

946

122

698

Credit cards
1,818

1,842

677

1,815

Installment and other
 
 
 
 
Individual installment and other
400

434

146

414

Commercial banking
252

432

55

286

Total
$
5,284

$
5,983

$
1,178

$
5,696

(1)
Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
(2)
$484 million of residential first mortgages, $263 million of home equity loans and $2 million of commercial market loans do not have a specific allowance.
(3)
Included in the Allowance for loan losses.
(4)
Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.




119


Consumer Troubled Debt Restructurings
 
For the Three Months Ended June 30, 2019
In millions of dollars, except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America
 
 
 
 
 
 
Residential first mortgages
137

$
21

$
—

$
—

$
—

—
%
Home equity loans
188

22

1

—

—

1

Credit cards
63,281

273

—

—

—

17

Installment and other revolving
340

3

—

—

—

6

Commercial banking(6)
12

10

—

—

—

—

Total(8)
63,958

$
329

$
1

$
—

$
—



International
 
 
 
 
 
 
Residential first mortgages
638

$
17

$
—

$
—

$
—

—
%
Credit cards
18,453

73

—

—

3

16

Installment and other revolving
7,073

44

—

—

2

10

Commercial banking(6)
89

9

—

—

—

—

Total(8)
26,253

$
143

$
—

$
—

$
5




 
For the Three Months Ended June 30, 2018
In millions of dollars, except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America
 
 
 
 
 
 
Residential first mortgages
495

$
77

$
1

$
—

$
—

—
%
Home equity loans
380

37

1

—

—

1

Credit cards
55,459

220

—

—

—

17

Installment and other revolving
292

2

—

—

—

5

Commercial banking(6)
17

1

—

—

—

—

Total(8)
56,643

$
337

$
2

$
—

$
—

 

International
 
 
 
 
 
 
Residential first mortgages
624

$
22

$
—

$
—

$
—

—
%
Credit cards
17,782

78

—

—

2

16

Installment and other revolving
7,172

43

—

—

2

11

Commercial banking(6)
157

22

—

—

—

—

Total(8)
25,735

$
165

$
—

$
—

$
4

 


(1)
Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $5 million of residential first mortgages and $2 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended June 30, 2019. These amounts include $3 million of residential first mortgages and $1 million of home equity loans that were newly classified as TDRs in the three months ended June 30, 2019, based on previously received OCC guidance.
(3)
Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(4)
Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(5)
Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(6)
Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.
(7)
Post-modification balances in North America include $8 million of residential first mortgages and $3 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended June 30, 2018. These amounts include $5 million of residential first mortgages and $3 million of home equity loans that were newly classified as TDRs in the three months ended June 30, 2018, based on previously received OCC guidance.
(8)
The above tables reflect activity for loans outstanding that were considered TDRs as of the end of the reporting period.




120



 
For the Six Months Ended June 30, 2019
In millions of dollars, except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America
 
 
 
 
 
 
Residential first mortgages
630

$
95

$
—

$
—

$
—

—
%
Home equity loans
394

42

2

—

—

1

Credit cards
135,528

578

—

—

—

17

Installment and other revolving
691

6

—

—

—

6

Commercial banking(6)
27

48

—

—

—

—

Total(8)
137,270

$
769

$
2

$
—

$
—

 
International
 
 
 
 
 
 
Residential first mortgages
1,363

$
37

$
—

$
—

$
—

—
%
Credit cards
36,946

148

—

—

6

16

Installment and other revolving
14,625

88

—

—

3

10

Commercial banking(6)
188

41

—

—

—

—

Total(8)
53,122

$
314

$
—

$
—

$
9

 

 
For the Six Months Ended June 30, 2018
In millions of dollars, except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America
 
 
 
 
 
 
Residential first mortgages
1,083

$
166

$
1

$
—

$
—

—
%
Home equity loans
836

78

3

—

—

1

Credit cards
118,662

464

—

—

—

17

Installment and other revolving
634

5

—

—

—

5

Commercial banking(6)
26

2

—

—

—

—

Total(8)
121,241

$
715

$
4

$
—

$
—

 

International
 
 
 
 
 
 
Residential first mortgages
1,173

$
41

$
—

$
—

$
—

—
%
Credit cards
41,176

173

—

—

5

16

Installment and other revolving
16,497

102

—

—

4

10

Commercial banking(6)
302

50

—

—

—

1

Total(8)
59,148

$
366

$
—

$
—

$
9

 


(1)
Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $12 million of residential first mortgages and $4 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2019. These amounts include $7 million of residential first mortgages and $3 million of home equity loans that were newly classified as TDRs in the six months ended June 30, 2019, based on previously received OCC guidance.
(3)
Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(4)
Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(5)
Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(6)
Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.
(7)
Post-modification balances in North America include $19 million of residential first mortgages and $7 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2018. These amounts include $13 million of residential first mortgages and $6 million of home equity loans that were newly classified as TDRs in the six months ended June 30, 2018, based on previously received OCC guidance.
(8)
The above tables reflect activity for loans outstanding that were considered TDRs as of the end of the reporting period.



121


The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars
2019
2018
2019
2018
North America
 
 
 
 
Residential first mortgages
$
26

$
30

$
50

$
74

Home equity loans
4

6

7

16

Credit cards
73

57

144

116

Installment and other revolving
1

1

2

1

Commercial banking
1

13

1

21

Total
$
105

$
107

$
204

$
228

International
 
 
 
 
Residential first mortgages
$
4

$
2

$
7

$
4

Credit cards
36

55

75

108

Installment and other revolving
19

20

37

44

Commercial banking
2

9

2

10

Total
$
61

$
86

$
121

$
166



Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents information by corporate loan type:
In millions of dollars
June 30,
2019
December 31,
2018
In North America offices(1)
 
 
Commercial and industrial
$
54,519

$
52,063

Financial institutions
47,610

48,447

Mortgage and real estate(2)
51,321

50,124

Installment, revolving credit and other
33,555

32,425

Lease financing
1,385

1,429

Total
$
188,390

$
184,488

In offices outside North America(1)
 
 
Commercial and industrial
$
98,351

$
94,701

Financial institutions
37,523

36,837

Mortgage and real estate(2)
7,577

7,376

Installment, revolving credit and other
27,333

25,684

Lease financing
92

103

Governments and official institutions
3,409

4,520

Total
$
174,285

$
169,221

Corporate loans, net of unearned income(3)
$
362,675

$
353,709

(1)
North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(2)
Loans secured primarily by real estate.
(3)
Corporate loans are net of unearned income of ($815) million and ($822) million at June 30, 2019 and December 31, 2018, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
 

The Company sold and/or reclassified to held-for-sale $0.8 billion and $1.3 billion of corporate loans during the three and six months ended June 30, 2019, respectively, and $0.4 billion and $0.5 billion during the three and six months ended June 30, 2018, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and six months ended June 30, 2019 or 2018.

Lease financing
Citi is a lessor in the power, railcars, shipping and aircraft sectors, where the Company has executed operating, direct financing and leveraged leases. Citi’s $1.5 billion of lease financing receivables, as of June 30, 2019, is composed of approximately equal balances of direct financing lease receivables and net investments in leveraged leases. Citi uses the interest rate implicit in the lease to determine the present value of its lease financing receivables. Citi recognized $21 million and $42 million, respectively, of interest income on direct financing and leveraged leases during the three and six months ended June 30, 2019.
The Company’s leases have an average remaining maturity of approximately four years. In certain cases, Citi obtains residual value insurance from third parties and/or the lessee to manage the risk associated with the residual value of the leased assets. The receivable related to the residual value of the leased assets is approximately $0.9 billion as of June 30, 2019, while the amount covered by residual value guarantees is approximately $0.3 billion.
The Company’s operating leases, where Citi is a lessor, are not significant to the Consolidated Financial Statements.

122


Corporate Loan Delinquency and Non-Accrual Details at June 30, 2019
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
Commercial and industrial
$
473

$
32

$
505

$
1,064

$
149,418

$
150,987

Financial institutions
245

15

260

36

82,983

83,279

Mortgage and real estate
234

4

238

204

58,438

58,880

Lease financing
—

19

19

—

1,458

1,477

Other
159

56

215

106

63,927

64,248

Loans at fair value
 
 
 
 
 
3,804

Total
$
1,111

$
126

$
1,237

$
1,410

$
356,224

$
362,675



Corporate Loan Delinquency and Non-Accrual Details at December 31, 2018
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
Commercial and industrial
$
365

$
42

$
407

$
919

$
143,960

$
145,286

Financial institutions
87

7

94

102

83,672

83,868

Mortgage and real estate
128

5

133

215

57,116

57,464

Lease financing
5

10

15

—

1,516

1,531

Other
151

52

203

75

62,079

62,357

Loans at fair value
 
 
 
 
 
3,203

Total
$
736

$
116

$
852

$
1,311

$
348,343

$
353,709

(1)
Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)
Non-accrual loans generally include those loans that are 90 days or more past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest and/or principal is doubtful.
(3)
Loans less than 30 days past due are presented as current.
(4)
Total loans include loans at fair value, which are not included in the various delinquency columns.





123


Corporate Loans Credit Quality Indicators
 
Recorded investment in loans(1)
In millions of dollars
June 30,
2019
December 31,
2018
Investment grade(2)
 
 
Commercial and industrial
$
106,432

$
102,722

Financial institutions
72,625

73,080

Mortgage and real estate
26,569

25,855

Lease financing
945

1,036

Other
56,651

57,299

Total investment grade
$
263,222

$
259,992

Non-investment grade(2)
 
 
Accrual
 
 
Commercial and industrial
$
43,491

$
41,645

Financial institutions
10,618

10,686

Mortgage and real estate
3,222

3,793

Lease financing
532

496

Other
7,491

4,981

Non-accrual
 
 
Commercial and industrial
1,064

919

Financial institutions
36

102

Mortgage and real estate
204

215

Lease financing
—

—

Other
106

75

Total non-investment grade
$
66,764

$
62,912

Non-rated private bank loans managed on a delinquency basis(2)
$
28,885

$
27,602

Loans at fair value
3,804

3,203

Corporate loans, net of unearned income
$
362,675

$
353,709

(1)
Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)
Held-for-investment loans are accounted for on an amortized cost basis.
 












124


Non-Accrual Corporate Loans
The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans:
 
June 30, 2019
Three Months Ended 
 June 30, 2019
Six Months Ended 
 June 30, 2019
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Interest
 income recognized(3)
Interest income recognized(3)
Non-accrual corporate loans
 
 
 
 
 
 
Commercial and industrial
$
1,064

$
1,320

$
138

$
1,071

$
1

$
15

Financial institutions
36

57

9

76

—

—

Mortgage and real estate
204

416

16

215

—

—

Lease financing
—

—

—

—

—

—

Other
106

193

40

74

—

—

Total non-accrual corporate loans
$
1,410

$
1,986

$
203

$
1,436

$
1

$
15

 
December 31, 2018
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Non-accrual corporate loans
 
 
 
 
Commercial and industrial
$
919

$
1,070

$
183

$
1,099

Financial institutions
102

123

35

99

Mortgage and real estate
215

323

39

233

Lease financing
—

28

—

21

Other
75

165

6

83

Total non-accrual corporate loans
$
1,311

$
1,709

$
263

$
1,535

 
June 30, 2019
December 31, 2018
In millions of dollars
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Non-accrual corporate loans with valuation allowances
 
 
 
 
Commercial and industrial
$
452

$
138

$
603

$
183

Financial institutions
10

9

76

35

Mortgage and real estate
81

16

100

39

Lease financing
—

—

—

—

Other
73

40

24

6

Total non-accrual corporate loans with specific allowance
$
616

$
203

$
803

$
263

Non-accrual corporate loans without specific allowance
 
 
 
 
Commercial and industrial
$
612

 

$
316

 

Financial institutions
26

 

26

 

Mortgage and real estate
123

 

115

 

Lease financing
—

 

—

 

Other
33

 

51

 

Total non-accrual corporate loans without specific allowance
$
794

N/A

$
508

N/A

(1)
Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)
Average carrying value represents the average recorded investment balance and does not include related specific allowance.
(3)
Interest income recognized for the three and six months ended June 30, 2018 was $13 million and $17 million, respectively.
N/A Not applicable

125


Corporate Troubled Debt Restructurings

For the three months ended June 30, 2019:
In millions of dollars
Carrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial
$
42

$
19

$
—

$
23

Mortgage and real estate
3

—

—

3

Other
6

6

—

—

Total
$
51

$
25

$
—

$
26


For the three months ended June 30, 2018:
In millions of dollars
Carrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial
$
39

$
3

$
4

$
32

Mortgage and real estate
2

—

—

2

Total
$
41

$
3

$
4

$
34


For the six months ended June 30, 2019:
In millions of dollars
Carrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial
$
58

$
19

$
—

$
39

Mortgage and real estate
7

—

—

7

Other
6

6

—

—

Total
$
71

$
25

$
—

$
46

For the six months ended June 30, 2018:
In millions of dollars
Carrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial
$
41

$
3

$
4

$
34

Mortgage and real estate
3

—

—

3

Total
$
44

$
3

$
4

$
37

(1)
TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(2)
TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.


126


The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
 
 
TDR loans in payment default
 
TDR loans in payment default
In millions of dollars
TDR balances at June 30, 2019
Three Months Ended
June 30, 2019
Six Months Ended
June 30, 2019
TDR balances at
June 30, 2018
Three Months Ended
June 30, 2018
Six Months Ended
June 30, 2018
Commercial and industrial
$
424

$
19

$
19

$
440

$
11

$
70

Financial institutions
10

—

—

34

—

—

Mortgage and real estate
112

—

—

87

—

—

Other
6

—

—

37

—

—

Total(1)
$
552

$
19

$
19

$
598

$
11

$
70



(1)
The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.




127


14. ALLOWANCE FOR CREDIT LOSSES
 
 
Three Months Ended June 30,
Six Months Ended 
 June 30,
In millions of dollars
2019
2018
2019
2018
Allowance for loan losses at beginning of period
$
12,329

$
12,354

$
12,315

$
12,355

Gross credit losses
(2,354
)
(2,109
)
(4,699
)
(4,405
)
Gross recoveries(1)
391

405

788

834

Net credit losses (NCLs)
$
(1,963
)
$
(1,704
)
$
(3,911
)
$
(3,571
)
NCLs
$
1,963

$
1,704

$
3,911

$
3,571

Net reserve builds (releases)
53

31

120

133

Net specific reserve builds (releases)
73

60

2

(106
)
Total provision for loan losses
$
2,089

$
1,795

$
4,033

$
3,598

Other, net (see table below)
11

(319
)
29

(256
)
Allowance for loan losses at end of period
$
12,466

$
12,126

$
12,466

$
12,126

Allowance for credit losses on unfunded lending commitments at beginning of period
$
1,391

$
1,290

$
1,367

$
1,258

Provision (release) for unfunded lending commitments
(15
)
(4
)
9

24

Other, net
—

(8
)
—

(4
)
Allowance for credit losses on unfunded lending commitments at end of period(2)
$
1,376

$
1,278

$
1,376

$
1,278

Total allowance for loans, leases and unfunded lending commitments
$
13,842

$
13,404

$
13,842

$
13,404


(1)
Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)
Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.

Other, net details
Three Months Ended June 30,
Six Months Ended 
 June 30,
In millions of dollars
2019
2018
2019
2018
Sales or transfers of various consumer loan portfolios to HFS
 
 
 
 
Transfer of real estate loan portfolios
$
(4
)
$
(33
)
$
(4
)
$
(86
)
Transfer of other loan portfolios
—

(104
)
—

(106
)
Sales or transfers of various consumer loan portfolios to HFS
$
(4
)
$
(137
)
$
(4
)
$
(192
)
FX translation, consumer
13

(164
)
39

(46
)
Other
2

(18
)
(6
)
(18
)
Other, net
$
11

$
(319
)
$
29

$
(256
)



Allowance for Credit Losses and End-of-Period Loans
 
Three Months Ended
 
June 30, 2019
June 30, 2018
In millions of dollars
Corporate
Consumer
Total
Corporate
Consumer
Total
Allowance for loan losses at beginning of period
$
2,303

$
10,026

$
12,329

$
2,315

$
10,039

$
12,354

Charge-offs
(83
)
(2,271
)
(2,354
)
(20
)
(2,089
)
(2,109
)
Recoveries
13

378

391

22

383

405

Replenishment of net charge-offs
70

1,893

1,963

(2
)
1,706

1,704

Net reserve builds (releases)
38

15

53

(30
)
61

31

Net specific reserve builds (releases)
9

64

73

63

(3
)
60

Other
3

8

11

(18
)
(301
)
(319
)
Ending balance
$
2,353

$
10,113

$
12,466

$
2,330

$
9,796

$
12,126



128


 
Six Months Ended
 
June 30, 2019
June 30, 2018
In millions of dollars
Corporate
Consumer
Total
Corporate
Consumer
Total
Allowance for loan losses at beginning of period
$
2,365

$
9,950

$
12,315

$
2,486

$
9,869

$
12,355

Charge-offs
(156
)
(4,543
)
(4,699
)
(159
)
(4,246
)
(4,405
)
Recoveries
30

758

788

65

769

834

Replenishment of net charge-offs
126

3,785

3,911

94

3,477

3,571

Net reserve builds (releases)
45

75

120

(49
)
182

133

Net specific reserve builds (releases)
(52
)
54

2

(92
)
(14
)
(106
)
Other
(5
)
34

29

(15
)
(241
)
(256
)
Ending balance
$
2,353

$
10,113

$
12,466

$
2,330

$
9,796

$
12,126



 
June 30, 2019
December 31, 2018
In millions of dollars
Corporate
Consumer
Total
Corporate
Consumer
Total
Allowance for loan losses
 

 

 

 
 
 
Collectively evaluated in accordance with ASC 450
$
2,150

$
8,881

$
11,031

$
2,102

$
8,770

$
10,872

Individually evaluated in accordance with ASC 310-10-35
203

1,231

1,434

263

1,178

1,441

Purchased credit impaired in accordance with ASC 310-30
—

1

1

—

2

2

Total allowance for loan losses
$
2,353

$
10,113

$
12,466

$
2,365

$
9,950

$
12,315

Loans, net of unearned income
 
 
 
 
 
 
Collectively evaluated in accordance with ASC 450
$
357,487

$
320,540

$
678,027

$
349,292

$
325,055

$
674,347

Individually evaluated in accordance with ASC 310-10-35
1,384

5,312

6,696

1,214

5,284

6,498

Purchased credit impaired in accordance with ASC 310-30
—

123

123

—

128

128

Held at fair value
3,804

20

3,824

3,203

20

3,223

Total loans, net of unearned income
$
362,675

$
325,995

$
688,670

$
353,709

$
330,487

$
684,196








129


15.   GOODWILL AND INTANGIBLE ASSETS
Goodwill
The changes in Goodwill were as follows:
In millions of dollars
Global Consumer Banking
Institutional Clients Group
Total
Balance at December 31, 2018
$
12,743

$
9,303

$
22,046

Foreign currency translation
—

(9
)
(9
)
Balance at March 31, 2019
$
12,743

$
9,294

$
22,037

Foreign exchange translation
$
(15
)
$
43

$
28

Balance at June 30, 2019
$
12,728

$
9,337

$
22,065



There were no triggering events identified and no goodwill was impaired during the three and six months ended June 30, 2019.
Goodwill impairment testing is performed at the level below each business segment (referred to as a reporting
unit). See Note 3 for further information on business
 

segments. For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 16 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.




Intangible Assets
The components of intangible assets were as follows:
 
June 30, 2019
December 31, 2018
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships
$
5,666

$
3,964

$
1,702

$
5,733

$
3,936

$
1,797

Credit card contract-related intangibles(1)
5,375

2,959

2,416

5,225

2,791

2,434

Core deposit intangibles
428

427

1

419

415

4

Other customer relationships
465

302

163

470

299

171

Present value of future profits
33

30

3

32

29

3

Indefinite-lived intangible assets
222

—

222

218

—

218

Other
82

71

11

84

75

9

Intangible assets (excluding MSRs)
$
12,271

$
7,753

$
4,518

$
12,181

$
7,545

$
4,636

Mortgage servicing rights (MSRs)(2)
508

—

508

584

—

584

Total intangible assets
$
12,779

$
7,753

$
5,026

$
12,765

$
7,545

$
5,220


(1)
Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco, Sears and AT&T credit card program agreements, which represented 97% of the aggregate net carrying amount as of June 30, 2019 and December 31, 2018.
(2)
For additional information on Citi’s MSRs, see Note 18 to the Consolidated Financial Statements.

130



The changes in intangible assets were as follows:
 
Net carrying
amount at
 
 
 
Net carrying
amount at
In millions of dollars
December 31,
2018
Acquisitions/
divestitures
Amortization
FX translation and other
June 30,
2019
Purchased credit card relationships(1)
$
1,797

$
—

$
(95
)
$
—

$
1,702

Credit card contract-related intangibles(2)
2,434

—

(168
)
150

2,416

Core deposit intangibles
4

—

(4
)
1

1

Other customer relationships
171

—

(12
)
4

163

Present value of future profits
3

—

—

—

3

Indefinite-lived intangible assets
218

—

—

4

222

Other
9

—

(5
)
7

11

Intangible assets (excluding MSRs)
$
4,636

$
—

$
(284
)
$
166

$
4,518

Mortgage servicing rights (MSRs)(3)
584

 
 
 
508

Total intangible assets
$
5,220

 
 
 
$
5,026

(1)
Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract intangibles and include credit card accounts primarily in the Costco, Macy’s and Sears portfolios.
(2)
Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco, Sears and AT&T credit card program agreements, which represented 97% of the aggregate net carrying amount at June 30, 2019 and December 31, 2018.
(3)
For additional information on Citi’s MSRs, including the rollforward for the six months ended June 30, 2019, see Note 18 to the Consolidated Financial Statements.


131


16.   DEBT
For additional information regarding Citi’s short-term borrowings and long-term debt, see Note 17 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

Short-Term Borrowings
In millions of dollars
June 30,
2019
December 31,
2018
Commercial paper
 

Bank(1)
$
12,895

$
13,238

Broker-dealer and other(2)
4,231

—

Total commercial paper
$
17,126

$
13,238

Other borrowings(3)
25,316

19,108

Total
$
42,442

$
32,346



(1)
Represents Citibank entities as well as other bank entities.
(2)
Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.
(3)
Includes borrowings from Federal Home Loan Banks and other market participants. At June 30, 2019 and December 31, 2018, collateralized short-term advances from the Federal Home Loan Banks were $15.5 billion and $9.5 billion, respectively.

 

Long-Term Debt
In millions of dollars
June 30,
2019
December 31, 2018
Citigroup Inc.(1)
$
152,141

$
143,767

Bank(2)
62,619

61,237

Broker-dealer and other(3)
37,429

26,995

Total
$
252,189

$
231,999


(1)
Represents the parent holding company.
(2)
Represents Citibank entities as well as other bank entities. At June 30, 2019 and December 31, 2018, collateralized long-term advances from the Federal Home Loan Banks were $7.7 billion and $10.5 billion, respectively.
(3)
Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.

Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.7 billion at both June 30, 2019 and December 31, 2018.


The following table summarizes Citi’s outstanding trust preferred securities at June 30, 2019:
 
 
 
 
 
 
Junior subordinated debentures owned by trust
Trust
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
Amount
Maturity
Redeemable
by issuer
beginning
 In millions of dollars, except securities and share amounts









Citigroup Capital III
Dec. 1996
194,053

$
194

7.625
%
6,003

$
200

Dec. 1, 2036
Not redeemable
Citigroup Capital XIII
Sept. 2010
89,840,000

2,246

3 mo LIBOR + 637 bps

1,000

2,246

Oct. 30, 2040
Oct. 30, 2015
Citigroup Capital XVIII
Jun. 2007
99,901

127

3 mo LIBOR + 88.75 bps

50

127

Jun. 28, 2067
June 28, 2017
Total obligated
 
 

$
2,567

 
 
$
2,573

 
 

Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and Citigroup Capital XVIII and quarterly for Citigroup Capital XIII.
(1)
Represents the notional value received by outside investors from the trusts at the time of issuance.
(2)
In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.

132


17.   CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)
Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows:
Three Months Ended June 30, 2019
In millions of dollars
Net
unrealized
gains (losses)
on debt securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded component of fair value hedges(5)
Accumulated
other
comprehensive income (loss)
Balance, March 31, 2019
$
(1,115
)
$
(379
)
$
(442
)
$
(6,321
)
$
(28,012
)
$
(39
)
$
(36,308
)
Other comprehensive income before reclassifications
1,050

(14
)
414

(305
)
91

44

1,280

Increase (decrease) due to amounts reclassified from AOCI
(347
)
17

103

52

—

—

(175
)
Change, net of taxes
$
703

$
3

$
517

$
(253
)
$
91

$
44

$
1,105

Balance at June 30, 2019
$
(412
)
$
(376
)
$
75

$
(6,574
)
$
(27,921
)
$
5

$
(35,203
)
Six Months Ended June 30, 2019
In millions of dollars
Net
unrealized
gains (losses)
on debt securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded component of fair value hedges(5)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2018
$
(2,250
)
$
192

$
(728
)
$
(6,257
)
$
(28,070
)
$
(57
)
$
(37,170
)
Other comprehensive income before reclassifications
2,276

(589
)
600

(415
)
149

62

2,083

Increase (decrease) due to amounts reclassified from AOCI
(438
)
21

203

98

—

—

(116
)
Change, net of taxes 
$
1,838

$
(568
)
$
803

$
(317
)
$
149

$
62

$
1,967

Balance, June 30, 2019
$
(412
)
$
(376
)
$
75

$
(6,574
)
$
(27,921
)
$
5

$
(35,203
)
Note: Footnotes to the tables above appear on the following page.

133


Three Months Ended June 30, 2018
In millions of dollars
Net
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded Component of fair value hedges (5)
Accumulated
other
comprehensive income (loss)
Balance, March 31, 2018
$
(2,219
)
$
(793
)
$
(920
)
$
(6,095
)
$
(24,588
)
$
(4
)
$
(34,619
)
Other comprehensive income before reclassifications
(433
)
316

(36
)
261

(2,867
)
(28
)
(2,787
)
Increase (decrease) due to amounts reclassified from AOCI
(65
)
2

(65
)
40

—

—

(88
)
Change, net of taxes
$
(498
)
$
318

$
(101
)
$
301

$
(2,867
)
$
(28
)
$
(2,875
)
Balance at June 30, 2018
$
(2,717
)
$
(475
)
$
(1,021
)
$
(5,794
)
$
(27,455
)
$
(32
)
$
(37,494
)
Six Months Ended June 30, 2018
In millions of dollars
Net
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded Component of fair value hedges (5)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2017
$
(1,158
)
$
(921
)
$
(698
)
$
(6,183
)
$
(25,708
)
$
—

$
(34,668
)
Adjustment to opening balance, net of taxes(6)
(3
)
—

—

—

—

—

(3
)
Adjusted balance, beginning of period
$
(1,161
)
$
(921
)
$
(698
)
$
(6,183
)
$
(25,708
)
$
—

$
(34,671
)
Other comprehensive income before reclassifications
(1,383
)
417

(279
)
302

(1,747
)
(32
)
(2,722
)
Increase (decrease) due to amounts reclassified from AOCI
(173
)
29

(44
)
87

—

—

(101
)
Change, net of taxes 
$
(1,556
)
$
446

$
(323
)
$
389

$
(1,747
)
$
(32
)
$
(2,823
)
Balance at June 30, 2018
$
(2,717
)
$
(475
)
$
(1,021
)
$
(5,794
)
$
(27,455
)
$
(32
)
$
(37,494
)
(1)
Changes in DVA are reflected as a component of AOCI, pursuant to the adoption of the provisions of ASU 2016-01 relating to the presentation of DVA on fair value options liabilities. See Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
(2)
Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
(3)
Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.
(4)
Primarily reflects the movements in (by order of impact) the Japanese Yen, Mexican Peso, Euro and Polish Zloty against the U.S. dollar and changes in related tax effects and hedges for the three months ended June 30, 2019. Primarily reflects the movements in (by order of impact) the Mexican Peso, Canadian Dollar, Chilean Peso, and Russian Ruble against the U.S. dollar and changes in related tax effects and hedges for the six months ended June 30, 2019. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Euro, and Korean Won against the U.S. dollar and changes in related tax effects and hedges for the three months ended June 30, 2018. Primarily reflects the movements in (by order of impact) Brazilian real, Indian Rupee, Argentine peso, and Korean won against the U.S. dollar and changes in related tax effects and hedges for the six months ended June 30, 2018. Amounts recorded in the CTA component of AOCI remain in AOCI until the sale or substantial liquidation of the foreign entity, at which point such amounts related to the foreign entity are reclassified into earnings.
(5)
Beginning in the first quarter of 2018, changes in the excluded component of fair value hedges are reflected as a component of AOCI, pursuant to the early adoption of ASU 2017-12, Targeted Improvements to Accounting for Hedging Activities. See Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K for further information regarding this change.
(6)
Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to Retained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.


134


The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three Months Ended June 30, 2019
In millions of dollars
Pretax
Tax effect
After-tax
Balance, March 31, 2019
$
(42,904
)
$
6,596

$
(36,308
)
Change in net unrealized gains (losses) on debt securities
936

(233
)
703

Debt valuation adjustment (DVA)
3

—

3

Cash flow hedges
680

(163
)
517

Benefit plans
(329
)
76

(253
)
Foreign currency translation adjustment
83

8

91

Excluded component of fair value hedges
59

(15
)
44

Change
$
1,432

$
(327
)
$
1,105

Balance, June 30, 2019
$
(41,472
)
$
6,269

$
(35,203
)
Six Months Ended June 30, 2019
In millions of dollars
Pretax
Tax effect
After-tax
Balance, December 31, 2018
$
(44,082
)
$
6,912

$
(37,170
)
Change in net unrealized gains (losses) on debt securities
2,436

(598
)
1,838

Debt valuation adjustment (DVA)
(722
)
154

(568
)
Cash flow hedges
1,058

(255
)
803

Benefit plans
(397
)
80

(317
)
Foreign currency translation adjustment
152

(3
)
149

Excluded component of fair value hedges
83

(21
)
62

Change
$
2,610

$
(643
)
$
1,967

Balance, June 30, 2019
$
(41,472
)
$
6,269

$
(35,203
)


135


Three Months Ended June 30, 2018
In millions of dollars
Pretax
Tax effect(1)
After-tax
Balance, March 31, 2018
$
(41,519
)
$
6,900

$
(34,619
)
Change in net unrealized gains (losses) on debt securities
(671
)
173

(498
)
Debt valuation adjustment (DVA)
418

(100
)
318

Cash flow hedges
(132
)
31

(101
)
Benefit plans
403

(102
)
301

Foreign currency translation adjustment
(2,869
)
2

(2,867
)
Excluded component of fair value hedges
(37
)
9

(28
)
Change
$
(2,888
)
$
13

$
(2,875
)
Balance, June 30, 2018
$
(44,407
)
$
6,913

$
(37,494
)

Six Months Ended June 30, 2018
In millions of dollars
Pretax
Tax effect(1)
After-tax
Balance, December 31, 2017(1)
$
(41,228
)
$
6,560

$
(34,668
)
Adjustment to opening balance (2)
(4
)
1

(3
)
Adjusted balance, beginning of period
$
(41,232
)
$
6,561

$
(34,671
)
Change in net unrealized gains (losses) on debt securities
(2,051
)
495

(1,556
)
Debt valuation adjustment (DVA)
585

(139
)
446

Cash flow hedges
(422
)
99

(323
)
Benefit plans
494

(105
)
389

Foreign currency translation adjustment
(1,739
)
(8
)
(1,747
)
Excluded component of fair value hedges
(42
)
10

(32
)
Change
$
(3,175
)
$
352

$
(2,823
)
Balance, June 30, 2018
$
(44,407
)
$
6,913

$
(37,494
)
(1)
Includes the impact of ASU 2018-02, which transferred amounts from AOCI to Retained earnings. For additional information, see Note 19 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
(2)
Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to Retained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.








136


The Company recognized pretax gains (losses) related to amounts in AOCI reclassified to the Consolidated Statement of Income as follows:
 
Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income
 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars
2019
2019
Realized (gains) losses on sales of investments
$
(468
)
$
(598
)
Gross impairment losses
2

5

Subtotal, pretax
$
(466
)
$
(593
)
Tax effect
119

155

Net realized (gains) losses on investments after-tax(1)
$
(347
)
$
(438
)
Realized DVA (gains) losses on fair value option liabilities
$
22

$
27

Subtotal, pretax
$
22

$
27

Tax effect
(5
)
(6
)
Net realized debt valuation adjustment, after-tax
$
17

$
21

Interest rate contracts
$
134

$
264

Foreign exchange contracts
2

4

Subtotal, pretax
$
136

$
268

Tax effect
(33
)
(65
)
Amortization of cash flow hedges, after-tax(2)
$
103

$
203

Amortization of unrecognized
 
 
Prior service cost (benefit)
$
(2
)
$
(6
)
Net actuarial loss
69

134

Curtailment/settlement impact(3)
2

2

Subtotal, pretax
$
69

$
130

Tax effect
(17
)
(32
)
Amortization of benefit plans, after-tax(3)
$
52

$
98

Foreign currency translation adjustment
$
—

$
—

Tax effect
—

—

   Foreign currency translation adjustment
$
—

$
—

Total amounts reclassified out of AOCI, pretax
$
(239
)
$
(168
)
Total tax effect
64

52

Total amounts reclassified out of AOCI, after-tax
$
(175
)
$
(116
)
(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses in the Consolidated Statement of Income. See Note 12 to the Consolidated Financial Statements for additional details.
(2)
See Note 19 to the Consolidated Financial Statements for additional details.
(3)
See Note 8 to the Consolidated Financial Statements for additional details.

137


The Company recognized pretax gains (losses) related to amounts in AOCI reclassified to the Consolidated Statement of Income as follows:
 
Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income
 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars
2018
2018
Realized (gains) losses on sales of investments
$
(102
)
$
(272
)
OTTI gross impairment losses
15

43

Subtotal, pretax
$
(87
)
$
(229
)
Tax effect
22

56

Net realized (gains) losses on investment securities, after-tax(1)
$
(65
)
$
(173
)
Realized DVA (gains) losses on fair value option liabilities
$
2

$
37

Subtotal, pretax
$
2

$
37

Tax effect
—

(8
)
Net realized debt valuation adjustment, after-tax
$
2

$
29

Interest rate contracts
$
(82
)
$
(51
)
Foreign exchange contracts
(4
)
(6
)
Subtotal, pretax
$
(86
)
$
(57
)
Tax effect
21

13

Amortization of cash flow hedges, after-tax(2)
$
(65
)
$
(44
)
Amortization of unrecognized
 
 
Prior service cost (benefit)
$
(11
)
$
(22
)
Net actuarial loss
64

133

Curtailment/settlement impact(3)
2

6

Subtotal, pretax
$
55

$
117

Tax effect
(15
)
(30
)
Amortization of benefit plans, after-tax(3)
$
40

$
87

Foreign currency translation adjustment
$
—

$
—

Tax effect
—

—

   Foreign currency translation adjustment
$
—

$
—

Total amounts reclassified out of AOCI, pretax
$
(116
)
$
(132
)
Total tax effect
28

31

Total amounts reclassified out of AOCI, after-tax
$
(88
)
$
(101
)

(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses in the Consolidated Statement of Income. See Note 12 to the Consolidated Financial Statements for additional details.
(2)
See Note 19 to the Consolidated Financial Statements for additional details.
(3)
See Note 8 to the Consolidated Financial Statements for additional details.



138


18. SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

For additional information regarding Citi’s use of special purpose entities (SPEs) and variable interest entities (VIEs), see Note 21 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE is presented below:
 
As of June 30, 2019
 
 
 
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
 
 
 
Funded exposures(2)
Unfunded exposures
 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations
$
43,090

$
43,090

$
—

$
—

$
—

$
—

$
—

$
—

Mortgage securitizations(4)
 
 
 
 
 
 
 
 
U.S. agency-sponsored
114,735

—

114,735

2,920

—

—

71

2,991

Non-agency-sponsored
35,021

1,337

33,684

757

—

—

1

758

Citi-administered asset-backed commercial paper conduits
16,419

16,419

—

—

—

—

—

—

Collateralized loan obligations (CLOs)
19,062

—

19,062

4,945

—

—

8

4,953

Asset-based financing
144,436

660

143,776

24,532

842

9,873

—

35,247

Municipal securities tender option bond trusts (TOBs)
7,841

1,623

6,218

13

—

4,085

—

4,098

Municipal investments
18,479

—

18,479

2,620

4,081

2,809

—

9,510

Client intermediation
1,183

955

228

169

—

—

—

169

Investment funds
1,054

264

790

15

—

20

—

35

Other
369

2

367

213

—

15

—

228

Total
$
401,689

$
64,350

$
337,339

$
36,184

$
4,923

$
16,802

$
80

$
57,989


 
As of December 31, 2018
 
 
 
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
 
 
 
Funded exposures(2)
Unfunded exposures
 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations
$
46,232

$
46,232

$
—

$
—

$
—

$
—

$
—

$
—

Mortgage securitizations(4)
 
 
 
 
 
 
 
 
U.S. agency-sponsored
116,563

—

116,563

3,038

—

—

60

3,098

Non-agency-sponsored
30,886

1,498

29,388

431

—

—

1

432

Citi-administered asset-backed commercial paper conduits
18,750

18,750

—

—

—

—

—

—

Collateralized loan obligations (CLOs)
21,837

—

21,837

5,891

—

—

9

5,900

Asset-based financing
99,433

628

98,805

21,640

715

9,757

—

32,112

Municipal securities tender option bond trusts (TOBs)
7,998

1,776

6,222

9

—

4,262

—

4,271

Municipal investments
18,044

3

18,041

2,813

3,922

2,738

—

9,473

Client intermediation
858

614

244

172

—

—

2

174

Investment funds
1,272

440

832

12

—

1

1

14

Other
63

3

60

37

—

23

—

60

Total
$
361,936

$
69,944

$
291,992

$
34,043

$
4,637

$
16,781

$
73

$
55,534


(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)
Included on Citigroup’s June 30, 2019 and December 31, 2018 Consolidated Balance Sheet.
(3)
A significant unconsolidated VIE is an entity in which the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss.
(4)
Citigroup mortgage securitizations also include agency and non-agency (private label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.

139


The previous tables do not include:

•
certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC 946);
•
certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;
•
certain VIEs structured by third parties in which the Company holds securities in inventory, as these investments are made on arm’s-length terms;
•
certain positions in mortgage- and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, in which the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 12 and 20 to the Consolidated Financial Statements);
•
certain representations and warranties exposures in legacy ICG-sponsored mortgage- and asset-backed securitizations in which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 in which the Company has no variable interest or continuing involvement as servicer was approximately $7 billion at June 30, 2019 and December 31, 2018;
•
certain representations and warranties exposures in Citigroup residential mortgage securitizations, in which the original mortgage loan balances are no longer outstanding; and
•
VIEs such as trust-preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.

 

The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., loan or security) and the Company’s standard accounting policies for the asset type and line of business.
The asset balances for unconsolidated VIEs in which the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments, unless fair value information is readily available to the Company.
The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE, adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.

140


Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:
 
June 30, 2019
December 31, 2018
In millions of dollars
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing
$
—

$
9,873

$
—

$
9,757

Municipal securities tender option bond trusts (TOBs)
4,085

—

4,262

—

Municipal investments
—

2,809

—

2,738

Investment funds
—

20

—

1

Other
—

15

—

23

Total funding commitments
$
4,085

$
12,717

$
4,262

$
12,519


Significant Interests in Unconsolidated VIEs—Balance Sheet Classification
The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs:
In billions of dollars
June 30, 2019
December 31, 2018
Cash
$
—

$
—

Trading account assets
3.1

3.0

Investments
10.0

10.7

Total loans, net of allowance
27.5

24.5

Other
0.6

0.5

Total assets
$
41.2

$
38.7


Credit Card Securitizations
Substantially all of the Company’s credit card securitization activity is through two trusts—Citibank Credit Card Master Trust (Master Trust) and Citibank Omni Master Trust (Omni
 
Trust), with the substantial majority through the Master Trust. These trusts are consolidated entities.
The following table reflects amounts related to the Company’s securitized credit card receivables:
In billions of dollars
June 30, 2019
December 31, 2018
Ownership interests in principal amount of trust credit card receivables
   Sold to investors via trust-issued securities
$
24.8

$
27.3

   Retained by Citigroup as trust-issued securities
7.2

7.6

   Retained by Citigroup via non-certificated interests
11.2

11.3

Total
$
43.2

$
46.2


The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:
 
Three Months Ended June 30,
In billions of dollars
2019
2018
Proceeds from new securitizations
$
—

$
1.1

Pay down of maturing notes
—

(2.6
)

 
Six Months Ended June 30,
In billions of dollars
2019
2018
Proceeds from new securitizations
$
—

$
3.9

Pay down of maturing notes
(2.5
)
(5.4
)


Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 2.8 years as of June 30, 2019 and 3.0 years as of December 31, 2018.



 
In billions of dollars
Jun. 30, 2019
Dec. 31, 2018
Term notes issued to third parties
$
23.3

$
25.8

Term notes retained by Citigroup affiliates
5.3

5.7

Total Master Trust liabilities
$
28.6

$
31.5



Omni Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was 2.2 years as of June 30, 2019 and 2.7 years as of December 31, 2018.
In billions of dollars
Jun. 30, 2019
Dec. 31, 2018
Term notes issued to third parties
$
1.5

$
1.5

Term notes retained by Citigroup affiliates
1.9

1.9

Total Omni Trust liabilities
$
3.4

$
3.4



141


Mortgage Securitizations
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
 
Three Months Ended June 30,
 
2019
2018
In billions of dollars
U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages
Principal securitized
$
1.1

$
6.1

$
1.0

$
1.0

Proceeds from new securitizations
1.2

6.1

1.1

1.0

Purchases of previously transferred financial assets
0.1

—

0.1

—

 
Six Months Ended June 30,
 
2019
2018
In billions of dollars
U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages
Principal securitized
$
2.1

$
8.8

$
2.2

$
1.0

Proceeds from new securitizations
2.2

8.8

2.3

2.6

Purchases of previously transferred financial assets
0.1

—

0.2

—



Note: Excludes re-securitization transactions.
(1)
The principal securitized and proceeds from new securitizations in 2019 include $0.2 billion related to personal loan securitizations.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $5 million for the three and six months ended June 30, 2019. For the three and six months ended June 30, 2019, gains recognized on the securitization of non-agency sponsored mortgages were $26 million and $43 million, respectively.
 
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $6 million and $11 million for the three and six months ended June 30, 2018, respectively. For the three and six months ended June 30, 2018, gains recognized on the securitization of non-agency sponsored mortgages were $7 million and $18 million, respectively.
 
June 30, 2019
December 31, 2018
 
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
In millions of dollars
U.S. agency-
sponsored mortgages
Senior
interests(3)
Subordinated
interests
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Carrying value of retained interests(2)
$
487

$
804

$
63

$
564

$
300

$
51


(1)
Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)
Retained interests consist of Level 2 or Level 3 assets depending on the observability of significant inputs. See Note 20 to the Consolidated Financial Statements for more information about fair value measurements.
(3)
Senior interests in non-agency-sponsored mortgages include $168 million related to personal loan securitizations at June 30, 2019.

Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
 
Three Months Ended June 30, 2019
 
 
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Weighted average discount rate
7.4
%
3.2
%
5.3
%
Weighted average constant prepayment rate
15.7
%
5.7
%
5.9
%
Weighted average anticipated net credit losses(2)
NM

3.0
%
3.7
%
Weighted average life
5.9 years

3.2 years

15.6 years





142


 
Three Months Ended June 30, 2018
 
 
Non-agency-sponsored mortgages(1)
 
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate
9.4
%
3.8
%
3.5
%
Weighted average constant prepayment rate
5.7
%
8.0
%
8.0
%
Weighted average anticipated net credit losses(2)
NM

4.6
%
4.6
%
Weighted average life
7.7 years

6.7 years

3.4 years

 
Six Months Ended June 30, 2019
 
 
Non-agency-sponsored mortgages(1)
 
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate
7.0
%
3.5
%
5.5
%
Weighted average constant prepayment rate
14.8
%
5.8
%
5.9
%
Weighted average anticipated net credit losses(2)
NM

4.4
%
3.7
%
Weighted average life
6.0 years

6.6 years

16.1 years

 
Six Months Ended June 30, 2018
 
 
Non-agency-sponsored mortgages(1)
 
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate
9.9
%
3.6
%
3.2
%
Weighted average constant prepayment rate
5.1
%
9.8
%
9.9
%
Weighted average anticipated net credit losses(2)
NM

4.9
%
3.3
%
Weighted average life
7.7 years

6.8 years

3.0 years


(1)
Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)
Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM
Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests.
The key assumptions used to value retained interests, and the sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions, are presented in the tables below.
 
The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.
 
June 30, 2019
 
 
Non-agency-sponsored mortgages(1)
 
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate
8.0
%
7.5
%
4.9
%
Weighted average constant prepayment rate
13.1
%
3.1
%
4.2
%
Weighted average anticipated net credit losses(2)
NM

9.0
%
—

Weighted average life
5.8 years

7.9 years

24.3 years



143


 
December 31, 2018
 
 
Non-agency-sponsored mortgages(1)
 
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate
7.8
%
9.3
%
—
Weighted average constant prepayment rate
9.1
%
8.0
%
—
Weighted average anticipated net credit losses(2)
   NM

40.0
%
—
Weighted average life
6.4 years

6.6 years

—

(1)
Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)
Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM
Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
 
June 30, 2019
 
 
Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate
 
 
 
   Adverse change of 10%
$
(14
)
$
—

$
(1
)
   Adverse change of 20%
(27
)
(1
)
(1
)
Constant prepayment rate
 
 
 
   Adverse change of 10%
(23
)
—

—

   Adverse change of 20%
(45
)
—

—

Anticipated net credit losses
 
 
 
   Adverse change of 10%
NM

—

—

   Adverse change of 20%
NM

—

—


 
December 31, 2018
 
 
Non-agency-sponsored mortgages
In millions of dollars
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate
 
 
 
   Adverse change of 10%
$
(16
)
$
—

$
—

   Adverse change of 20%
(32
)
—

—

Constant prepayment rate
 
 
 
   Adverse change of 10%
(21
)
—

—

   Adverse change of 20%
(41
)
—

—

Anticipated net credit losses
 
 
 
   Adverse change of 10%
NM

—

—

   Adverse change of 20%
NM

—

—


NM
Anticipated net credit losses are not meaningful due to U.S. agency guarantees.


144


The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities:
 
 
 
 
 
Liquidation losses
 
Securitized assets
90 days past due
Three Months Ended June 30,
Six Months Ended June 30,
In billions of dollars, except liquidation losses in millions
Jun. 30, 2019
Dec. 31, 2018
Jun. 30, 2019
Dec. 31, 2018
2019
2018
2019
2018
Securitized assets
 
 
 
 
 
 
 
 
Residential mortgage
$
11.4

$
5.2

$
0.3

$
0.4

$
9

$
18

$
20

$
32

Commercial and other
14.4

13.1

—

—

—

—

—

—

Total
$
25.8

$
18.3

$
0.3

$
0.4

$
9

$
18

$
20

$
32



Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $508 million and $596 million at June 30, 2019 and 2018, respectively. The MSRs correspond to principal loan balances of $60 billion and $63 billion as of June 30, 2019 and 2018, respectively. The following table summarizes the changes in capitalized MSRs:
 
Three Months Ended June 30,
In millions of dollars
2019
2018
Balance, as of March 31
$
551

$
587

Originations
16

15

Changes in fair value of MSRs due to changes in inputs and assumptions
(37
)
11

Other changes(1)
(22
)
(16
)
Sale of MSRs
—

(1
)
Balance, as of June 30
$
508

$
596

 
Six Months Ended June 30,
In millions of dollars
2019
2018
Balance, beginning of year
$
584

$
558

Originations
28

32

Changes in fair value of MSRs due to changes in inputs and assumptions
(64
)
57

Other changes(1)
(40
)
(33
)
Sale of MSRs
—

(18
)
Balance, as of June 30
$
508

$
596


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

The fair value of the MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, higher interest rates tend to lead to declining prepayments, which causes the fair value of the MSRs to increase. In managing this risk, Citigroup economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities, all classified as Trading account assets.
The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
 
 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars
2019
2018
2019
2018
Servicing fees
$
35

$
43

$
76

$
89

Late fees
2

1

4

2

Ancillary fees
—

3

1

6

Total MSR fees
$
37

$
47

$
81

$
97



In the Consolidated Statement of Income these fees are primarily classified as Commissions and fees, and changes in MSR fair values are classified as Other revenue.

Re-securitizations
The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. Citi did not transfer non-agency (private label) securities to re-securitization entities during the quarters ended June 30, 2019 and 2018. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of June 30, 2019, Citi held no retained interests in private label re-securitization transactions structured by Citi. As of December 31, 2018, the fair value of Citi-retained interests in private label re-securitization transactions structured by Citi totaled approximately $16 million (all related to re-securitization transactions executed prior to 2016). Of this amount, substantially all was related to subordinated beneficial interests. The original par value of private label re-securitization transactions in which Citi held a retained interest as of December 31, 2018 was approximately $271 million.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the three and six months ended June 30, 2019, Citi transferred agency securities with a fair value of approximately $6.9 billion and $14.5 billion, respectively, to re-securitization entities compared to approximately $6.6 billion and $13.6 billion for the three and six months ended June 30, 2018.
As of June 30, 2019, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.5 billion (including $1.1 billion related to re-securitization transactions executed in 2019) compared to $2.5 billion as of December 31, 2018 (including $1.4 billion related to re-securitization transactions executed in 2018), which is recorded in Trading account assets. The original fair value of agency re-securitization transactions in

145


which Citi holds a retained interest as of June 30, 2019 and December 31, 2018 was approximately $69.9 billion and $70.9 billion, respectively.
As of June 30, 2019 and December 31, 2018, the Company did not consolidate any private label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits
At June 30, 2019 and December 31, 2018, the commercial paper conduits administered by Citi had approximately $16.4 billion and $18.8 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $16.3 billion and $14.0 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At June 30, 2019 and December 31, 2018, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 43 and 53 days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. In addition to the transaction-specific credit enhancements, the conduits, other than the government guaranteed loan conduit, have obtained a letter of credit from the Company, which is equal to at least 8% to 10% of the conduit’s assets with a minimum of $200 million. The letters of credit provided by the Company to the conduits total approximately $1.5 billion and $1.7 billion as of June 30, 2019 and December 31, 2018, respectively. The net result across multi-seller conduits administered by the Company is that, in the event that defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then to the commercial paper investors.
At June 30, 2019 and December 31, 2018, the Company owned $3.5 billion and $5.5 billion, respectively, of the commercial paper issued by its administered conduits. The Company's investments were not driven by market illiquidity and the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.

Collateralized Loan Obligations (CLOs)
There were no new securitizations during the three or six months ended June 30, 2019 and 2018. The following table summarizes selected retained interests related to Citigroup CLOs:
In millions of dollars
Jun. 30, 2019
Dec. 31, 2018
Carrying value of retained interests
$
1,765

$
3,142



All of Citi’s retained interests were held-to-maturity securities as of June 30, 2019 and December 31, 2018.

 
Asset-Based Financing
The primary types of Citi’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement and Citi’s maximum exposure to loss are shown below. For Citi to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.
 
June 30, 2019
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type
 
 
Commercial and other real estate
$
28,770

$
6,803

Corporate loans
8,701

7,254

Hedge funds and equities
485

53

Airplanes, ships and other assets
105,820

21,137

Total
$
143,776

$
35,247

 
December 31, 2018
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type
 
 
Commercial and other real estate
$
23,918

$
6,928

Corporate loans
6,973

5,744

Hedge funds and equities
388

53

Airplanes, ships and other assets
67,526

19,387

Total
$
98,805

$
32,112



Municipal Securities Tender Option Bond (TOB) Trusts
At June 30, 2019 and December 31, 2018, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At June 30, 2019 and December 31, 2018, liquidity agreements provided with respect to customer TOB trusts totaled $4.1 billion and $4.3 billion, respectively, of which $2.0 billion and $2.3 billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the residual owned by the customer was at least 25% of the bond value at the inception of the transaction, no reimbursement agreement was executed.
The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $7.0 billion and $6.1 billion as of June 30, 2019 and December 31, 2018, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.

146


19.  DERIVATIVES
In the ordinary course of business, Citigroup enters into various types of derivative transactions. All derivatives are recorded in Trading account assets/Trading account liabilities on the Consolidated Balance Sheet. For additional information regarding Citi’s use of and accounting for derivatives, see Note 22 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
Information pertaining to Citigroup’s derivative activities, based on notional amounts, is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete measure of Citi’s exposure to derivative transactions. Rather, Citi’s derivative exposure arises primarily from market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades. For example, if Citi enters into a receive-fixed interest rate swap with $100 million notional, and offsets this risk with an identical but opposite pay-fixed position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk. In addition, aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors.
 




























147


Derivative Notionals
 
Hedging instruments under
ASC 815
Trading derivative instruments
In millions of dollars
June 30,
2019
December 31,
2018
June 30,
2019
December 31,
2018
Interest rate contracts
 
 
 
 
Swaps
$
301,560

$
273,636

$
21,499,304

$
18,138,686

Futures and forwards
—

—

6,717,597

4,632,257

Written options
—

—

2,924,051

3,018,469

Purchased options
—

—

2,645,790

2,532,479

Total interest rate contracts
$
301,560

$
273,636

$
33,786,742

$
28,321,891

Foreign exchange contracts
 
 
 
 
Swaps
$
59,644

$
57,153

$
6,894,570

$
6,738,158

Futures, forwards and spot
41,395

41,410

5,769,581

5,115,504

Written options
494

1,726

1,498,054

1,566,717

Purchased options
517

2,104

1,519,070

1,543,516

Total foreign exchange contracts
$
102,050

$
102,393

$
15,681,275

$
14,963,895

Equity contracts
 
 
 
 
Swaps
$
—

$
—

$
237,294

$
217,580

Futures and forwards
—

—

58,086

52,053

Written options
—

—

490,146

454,675

Purchased options
—

—

361,189

341,018

Total equity contracts
$
—

$
—

$
1,146,715

$
1,065,326

Commodity and other contracts
 
 
 
 
Swaps
$
—

$
—

$
80,780

$
79,133

Futures and forwards
910

802

161,555

146,647

Written options
—

—

84,958

62,629

Purchased options
—

—

81,833

61,298

Total commodity and other contracts
$
910

$
802

$
409,126

$
349,707

Credit derivatives(1)
 
 
 
 
Protection sold
$
—

$
—

$
666,733

$
724,939

Protection purchased
—

—

747,129

795,649

Total credit derivatives
$
—

$
—

$
1,413,862

$
1,520,588

Total derivative notionals
$
404,520

$
376,831

$
52,437,720

$
46,221,407



(1)
Credit derivatives are arrangements designed to allow one party (protection purchaser) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.

148


The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of June 30, 2019 and December 31, 2018. Gross positive fair values are offset against gross negative fair values by counterparty, pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.
In addition, the following tables reflect rule changes adopted by clearing organizations that require or allow entities to treat certain derivative assets, liabilities and the related variation margin as settlement of the related derivative fair values for legal and accounting purposes, as opposed to presenting gross derivative assets and liabilities that are subject to collateral, whereby the counterparties would also record a related collateral payable or receivable. As a result, the tables reflect a reduction of approximately $160 billion and $100 billion as of June 30, 2019 and December 31, 2018, respectively, of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now legally settled and not subject to collateral. The tables also present amounts that are not permitted to be offset, such as security collateral or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent that an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.

149


Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at June 30, 2019
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedges
Assets
Liabilities
Over-the-counter
$
523

$
138

Cleared
1,262

95

Interest rate contracts
$
1,785

$
233

Over-the-counter
$
3,372

$
684

Cleared
—

5

Foreign exchange contracts
$
3,372

$
689

Total derivatives instruments designated as ASC 815 hedges
$
5,157

$
922

Derivatives instruments not designated as ASC 815 hedges
 
 
Over-the-counter
$
205,779

$
183,048

Cleared
5,860

7,317

Exchange traded
220

163

Interest rate contracts
$
211,859

$
190,528

Over-the-counter
$
126,634

$
130,424

Cleared
1,931

1,661

Exchange traded
37

56

Foreign exchange contracts
$
128,602

$
132,141

Over-the-counter
$
16,911

$
21,437

Cleared
83

53

Exchange traded
10,194

10,304

Equity contracts
$
27,188

$
31,794

Over-the-counter
$
14,042

$
17,212

Exchange traded
698

571

Commodity and other contracts
$
14,740

$
17,783

Over-the-counter
$
9,886

$
10,721

Cleared
1,101

1,199

Credit derivatives
$
10,987

$
11,920

Total derivatives instruments not designated as ASC 815 hedges
$
393,376

$
384,166

Total derivatives
$
398,533

$
385,088

Cash collateral paid/received(3)
$
14,134

$
14,041

Less: Netting agreements(4)
(311,423
)
(311,423
)
Less: Netting cash collateral received/paid(5)
(47,136
)
(37,933
)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$
54,108

$
49,773

Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
 
 
Less: Cash collateral received/paid
$
(752
)
$
(110
)
Less: Non-cash collateral received/paid
(13,600
)
(14,185
)
Total net receivables/payables(6)
$
39,756

$
35,478

(1)
The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.
(2)
Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(3)
Reflects the net amount of the $52,067 million and $61,177 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $37,933 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $47,136 million was used to offset trading derivative assets.
(4)
Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $297 billion, $4 billion and $10 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)
Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)
The net receivables/payables include approximately $5 billion of derivative asset and $5 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

150


In millions of dollars at December 31, 2018
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedges
Assets
Liabilities
Over-the-counter
$
1,631

$
172

Cleared
238

53

Interest rate contracts
$
1,869

$
225

Over-the-counter
$
1,402

$
736

Cleared
—

4

Foreign exchange contracts
$
1,402

$
740

Total derivatives instruments designated as ASC 815 hedges
$
3,271

$
965

Derivatives instruments not designated as ASC 815 hedges
 
 
Over-the-counter
$
161,183

$
146,909

Cleared
8,489

7,594

Exchange traded
91

99

Interest rate contracts
$
169,763

$
154,602

Over-the-counter
$
159,099

$
156,904

Cleared
1,900

1,671

Exchange traded
53

40

Foreign exchange contracts
$
161,052

$
158,615

Over-the-counter
$
18,253

$
21,527

Cleared
17

32

Exchange traded
11,623

12,249

Equity contracts
$
29,893

$
33,808

Over-the-counter
$
16,661

$
19,894

Exchange traded
894

795

Commodity and other contracts
$
17,555

$
20,689

Over-the-counter
$
6,967

$
6,155

Cleared
3,798

4,196

Credit derivatives
$
10,765

$
10,351

Total derivatives instruments not designated as ASC 815 hedges
$
389,028

$
378,065

Total derivatives
$
392,299

$
379,030

Cash collateral paid/received(3)
$
11,518

$
13,906

Less: Netting agreements(4)
(311,089
)
(311,089
)
Less: Netting cash collateral received/paid(5)
(38,608
)
(29,911
)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$
54,120

$
51,936

Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
 
 
Less: Cash collateral received/paid
$
(767
)
$
(164
)
Less: Non-cash collateral received/paid
(13,509
)
(13,354
)
Total net receivables/payables(6)
$
39,844

$
38,418

(1)
The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.
(2)
Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(3)
Reflects the net amount of the $41,429 million and $52,514 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $29,911 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $38,608 million was used to offset trading derivative assets.
(4)
Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $296 billion, $4 billion and $11 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)
Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)
The net receivables/payables include approximately $5 billion of derivative asset and $7 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.


151


For the three and six months ended June 30, 2019 and 2018, amounts recognized in Principal transactions in the Consolidated Statement of Income include certain derivatives not designated in a qualifying hedging relationship. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents how these portfolios are risk managed. See Note 6 to the Consolidated Financial Statements for further information.
The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains (losses) on the economically hedged items to the extent that such amounts are also recorded in Other revenue.
 
Gains (losses) included in
Other revenue

Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars
2019
2018
2019
2018
Interest rate contracts
$
35

$
(15
)
$
62

$
(43
)
Foreign exchange
71

(517
)
13

13

Total
$
106

$
(532
)
$
75

$
(30
)


Fair Value Hedges

Hedging of Benchmark Interest Rate Risk
Citigroup’s fair value hedges are primarily hedges of fixed-rate long-term debt or assets, such as available-for-sale debt securities or loans.
For qualifying fair value hedges of interest rate risk, the changes in the fair value of the derivative and the change in the fair value of the hedged item attributable to the hedged risk are presented within Interest revenue or Interest expense based on whether the hedged item is an asset or a liability.
In the first quarter of 2019, Citigroup executed a last-of-layer hedge, which permits an entity to hedge the interest rate risk of a stated portion of a closed portfolio of pre-payable financial assets that are expected to remain outstanding for the designated tenor of the hedge. In accordance with ASC 815, an entity may exclude prepayment risk when measuring the change in fair value of the hedged item attributable to interest rate risk under the last-of-layer approach. Similar to other fair value hedges, where the hedged item is an asset, the fair value of the hedged item attributable to interest rate risk will be presented in Interest revenue along with the change in the fair value of the hedging instrument.

 
Hedging of Foreign Exchange Risk
Citigroup hedges the change in fair value attributable to foreign exchange rate movements in available-for-sale debt securities and long-term debt that are denominated in currencies other than the functional currency of the entity holding the securities or issuing the debt. The hedging instrument is generally a forward foreign exchange contract or a cross-currency swap contract. Citigroup considers the premium associated with forward contracts (i.e., the differential between the spot and contractual forward rates) as the cost of hedging; this amount is excluded from the assessment of hedge effectiveness and is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness and records it in Other comprehensive income.

Hedging of Commodity Price Risk
Citigroup hedges the change in fair value attributable to spot price movements in physical commodities inventory. The hedging instrument is a futures contract to sell the underlying commodity. In this hedge, the change in the value of the hedged inventory is reflected in earnings, which offsets the change in the fair value of the futures contract that is also reflected in earnings. Although the change in the fair value of the hedging instrument recorded in earnings includes changes in forward rates, Citigroup excludes the differential between the spot and the contractual forward rates under the futures contract from the assessment of hedge effectiveness and reflects it directly in earnings over the life of the hedge.

























152


The following table summarizes the gains (losses) on the Company’s fair value hedges:
 
Gains (losses) on fair value hedges(1)
 
Three Months Ended June 30,
Six Months Ended June 30,
 
2019
2018
2019
2018
In millions of dollars
Other revenue
Net interest revenue
Other revenue
Net interest revenue
Other
revenue
Net interest revenue
Other revenue
Net interest revenue
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges
 
 
 
 
 
 
 
 
Interest rate hedges
$
—

$
1,853

$
—

$
(518
)
$
—

$
2,816

$
—

$
360

Foreign exchange hedges
(180
)
—

320

—

(12
)
—

499

—

Commodity hedges
(172
)
—

2

—

(102
)
—

—

—

Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges
$
(352
)
$
1,853

$
322

$
(518
)
$
(114
)
$
2,816

$
499

$
360

Gain (loss) on the hedged item in designated and qualifying fair value hedges
 
 
 
 
 
 
 
 
Interest rate hedges
$
—

$
(1,783
)
$
—

$
520

$
—

$
(2,662
)
$
—

$
(346
)
Foreign exchange hedges
180

—

(347
)
—

12

—

(596
)
—

Commodity hedges
172

—

—

—

102

—

1

—

Total gain (loss) on the hedged item in designated and qualifying fair value hedges
$
352

$
(1,783
)
$
(347
)
$
520

$
114

$
(2,662
)
$
(595
)
$
(346
)
Net gain (loss), on the hedging derivatives, excluded from assessment of the effectiveness of fair value hedges
 
 
 
 
 
 
 
 
Interest rate hedges
$
—

$
(4
)
$
—

$
(5
)
$
—

$
(4
)
$
—

$
(5
)
Foreign exchange hedges(2)
(118
)
—

33

—

(121
)
—

56

—

Commodity hedges
5

—

1

—

23

—

2

—

Total net gain (loss), on the hedging derivatives, excluded from assessment of the effectiveness of fair value hedges
$
(113
)
$
(4
)
$
34

$
(5
)
$
(98
)
$
(4
)
$
58

$
(5
)


(1)
Gain (loss) amounts for hedges of interest rate risk are included in Interest income/Interest expense. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.
(2)
Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis that was included in AOCI was $59 million and $83 million for the three and six months ended June 30, 2019 and $(37) million and $(42) million for the three and six months ended June 30, 2018, respectively.


153


Cumulative Basis Adjustment
Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative changes in the hedged risk. The hedge basis adjustment, whether from an active or de-designated hedge relationship, remains with the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at June 30, 2019 and December 31, 2018, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities.
In millions of dollars
Balance sheet line item in which hedged item is recorded
Carrying amount of hedged asset/ liability
Cumulative fair value hedging adjustment increasing (decreasing) the carrying amount
Active
De-designated
As of June 30, 2019
 
 
Debt securities
AFS(1)
$
110,515

$
360

$
628

Long-term debt
162,894

4,548

1,407

As of December 31, 2018
 
 
Debt securities
AFS
$
81,632

$
(196
)
$
295

Long-term
debt
149,054

1,211

869



(1)
These amounts include a cumulative basis adjustment of $172 million as of June 30, 2019 related to certain prepayable financial assets designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated $2 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $26.4 billion as of June 30, 2019) in a last-of-layer hedging relationship, which commenced in the first quarter of 2019.

154


Cash Flow Hedges
Citigroup hedges the variability of forecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. These cash flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.
For cash flow hedges, the entire change in the fair value of the hedging derivative is recognized in AOCI and then reclassified to earnings in the same period that the forecasted hedged cash flows impact earnings. The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of June 30, 2019 is approximately $91 million. The maximum length of time over which forecasted cash flows are hedged is 10 years.
The pretax change in AOCI from cash flow hedges is presented below. The after-tax impact of cash flow hedges on AOCI is shown in Note 17 to the Consolidated Financial Statements.
 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars
2019
2018
2019
2018
Amount of gain (loss) recognized in AOCI on derivative
 
 
 
 
Interest rate contracts(1)
$
545
 
$
(222
)
$
799
 
$
(544
)
Foreign exchange contracts
(1
)
5
 
(9
)
(1
)
Total gain (loss) recognized in AOCI
$
544
 
$
(217
)
$
790
 
$
(545
)
Amount of gain (loss) reclassified from AOCI to earnings
Other
revenue
Net interest
revenue
Other
revenue

Net interest
revenue

Other
revenue
Net interest
revenue
Other
revenue
Net interest
revenue
Interest rate contracts(1)
$
—

$
(134
)
$
—

$
(88
)
$
—

$
(264
)
$
—

$
(119
)
Foreign exchange contracts
(2
)
—

(6
)
—

(4
)
—

(4
)
—

Total gain (loss) reclassified from AOCI into earnings
$
(2
)
$
(134
)
$
(6
)
$
(88
)
$
(4
)
$
(264
)
$
(4
)
$
(119
)
Net pretax change in cash flow hedges included within AOCI

$
680


$
(123
)
 
$
1,058

 
$
(422
)
(1)
All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest revenue in the Consolidated Statement of Income.

155


Net Investment Hedges
The pretax gain (loss) recorded in the foreign currency translation adjustment account within AOCI, related to net investment hedges, is $(134) million and $(298) million for the three and six months ended June 30, 2019 and $1,633 million and $1,143 million for the three and six months ended June 30, 2018, respectively.

Credit Derivatives
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
 
Fair values
Notionals
In millions of dollars at June 30, 2019
Receivable(1)
Payable(2)
Protection
purchased
Protection
sold
By industry of counterparty
 
 
 
 
Banks
$
4,748

$
4,551

$
206,498

$
204,392

Broker-dealers
1,535

1,470

59,717

61,717

Non-financial
77

119

2,323

1,567

Insurance and other financial
  institutions
4,627

5,780

478,591

399,057

Total by industry of counterparty
$
10,987

$
11,920

$
747,129

$
666,733

By instrument
 
 
 
 
Credit default swaps and options
$
10,384

$
10,526

$
720,153

$
655,896

Total return swaps and other
603

1,394

26,976

10,837

Total by instrument
$
10,987

$
11,920

$
747,129

$
666,733

By rating of reference entity
 
 
 
 
Investment grade
$
5,027

$
5,281

$
590,084

$
515,070

Non-investment grade
5,960

6,639

157,045

151,663

Total by rating of reference entity
$
10,987

$
11,920

$
747,129

$
666,733

By maturity
 
 
 
 
Within 1 year
$
1,733

$
2,493

$
240,625

$
206,633

From 1 to 5 years
7,542

7,760

452,460

417,738

After 5 years
1,712

1,667

54,044

42,362

Total by maturity
$
10,987

$
11,920

$
747,129

$
666,733


(1)
The fair value amount receivable is composed of $3,931 million under protection purchased and $7,056 million under protection sold.
(2)
The fair value amount payable is composed of $8,377 million under protection purchased and $3,543 million under protection sold.

156


 
Fair values
Notionals
In millions of dollars at December 31, 2018
Receivable(1)
Payable(2)
Protection
purchased
Protection
sold
By industry of counterparty
 
 
 
 
Banks
$
4,785

$
4,432

$
214,842

$
218,273

Broker-dealers
1,706

1,612

62,904

63,014

Non-financial
64

87

2,687

1,192

Insurance and other financial
   institutions
4,210

4,220

515,216

442,460

Total by industry of counterparty
$
10,765

$
10,351

$
795,649

$
724,939

By instrument
 
 
 
 
Credit default swaps and options
$
10,030

$
9,755

$
771,865

$
712,623

Total return swaps and other
735

596

23,784

12,316

Total by instrument
$
10,765

$
10,351

$
795,649

$
724,939

By rating of reference entity
 
 
 
 
Investment grade
$
4,725

$
4,544

$
637,790

$
568,849

Non-investment grade
6,040

5,807

157,859

156,090

Total by rating of reference entity
$
10,765

$
10,351

$
795,649

$
724,939

By maturity
 
 
 
 
Within 1 year
$
2,037

$
2,063

$
251,994

$
225,597

From 1 to 5 years
6,720

6,414

493,096

456,409

After 5 years
2,008

1,874

50,559

42,933

Total by maturity
$
10,765

$
10,351

$
795,649

$
724,939


(1)
The fair value amount receivable is composed of $5,126 million under protection purchased and $5,639 under protection sold.
(2)
The fair value amount payable is composed of $5,882 million under protection purchased and $4,469 million under protection sold.

Credit Risk-Related Contingent Features in Derivatives
Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates.
The fair value (excluding CVA) of all derivative instruments with credit risk-related contingent features that were in a net liability position at both June 30, 2019 and December 31, 2018 was $30 billion and $33 billion, respectively. The Company posted $29 billion and $33 billion as collateral for this exposure in the normal course of business as of June 30, 2019 and December 31, 2018, respectively.
A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all three major rating agencies as of June 30, 2019, the Company could be required to post an additional $0.7 billion as either collateral or settlement of the derivative transactions. Additionally, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $0.8 billion.


 
Derivatives Accompanied by Financial Asset Transfers
For transfers of financial assets accounted for as a sale by the Company and for which the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed with the same counterparty in contemplation of the initial sale (and still outstanding), both the asset amounts derecognized and the gross cash proceeds received as of the date of derecognition were $6.0 billion and $4.1 billion as of June 30, 2019 and December 31, 2018, respectively.
At June 30, 2019, the fair value of these previously derecognized assets was $6.1 billion. The fair value of the total return swaps as of June 30, 2019 was $90 million recorded as gross derivative assets and $57 million recorded as gross derivative liabilities. At December 31, 2018, the fair value of these previously derecognized assets was $4.1 billion, and the fair value of the total return swaps was $55 million recorded as gross derivative assets and $9 million recorded as gross derivative liabilities.
The balances for the total return swaps are on a gross basis, before the application of counterparty and cash collateral netting, and are included primarily as equity derivatives in the tabular disclosures in this Note.


157


20.   FAIR VALUE MEASUREMENT
For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

Market Valuation Adjustments
The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at June 30, 2019 and December 31, 2018:
 
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollars
June 30,
2019
December 31,
2018
Counterparty CVA
$
(866
)
$
(1,085
)
Asset FVA
(563
)
(544
)
Citigroup (own-credit) CVA
375

482

Liability FVA
105

135

Total CVA—derivative instruments(1)
$
(949
)
$
(1,012
)

(1)
FVA is included with CVA for presentation purposes.

The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:
 
Credit/funding/debt valuation
adjustments gain (loss)
 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars
2019
2018
2019
2018
Counterparty CVA
$
28

$
—

$
102

$
23

Asset FVA
(39
)
40

(19
)
49

Own-credit CVA
(13
)
24

(105
)
99

Liability FVA
18

22

(30
)
15

Total CVA—derivative instruments
$
(6
)
$
86

$
(52
)
$
186

DVA related to own FVO liabilities(1)
$
3

$
418

$
(722
)
$
585

Total CVA and DVA(2)
$
(3
)
$
504

$
(774
)
$
771


(1)
See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
(2)
FVA is included with CVA for presentation purposes.




158


Items Measured at Fair Value on a Recurring Basis
The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at June 30, 2019 and December 31, 2018. The Company may hedge positions that have been classified in the Level 3 category with other
 
financial instruments (hedging instruments) that may be classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables:

Fair Value Levels
In millions of dollars at June 30, 2019
Level 1
Level 2
Level 3
Gross
inventory
Netting(1)
Net
balance
Assets
 
 
 
 
 
 
Securities borrowed and purchased under agreements to resell
$
—

$
263,499

$
122

$
263,621

$
(85,513
)
$
178,108

Trading non-derivative assets
 
 
 
 
 
 
Trading mortgage-backed securities
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed
—

27,036

187

27,223

—

27,223

Residential
—

540

131

671

—

671

Commercial
—

1,482

53

1,535

—

1,535

Total trading mortgage-backed securities
$
—

$
29,058

$
371

$
29,429

$
—

$
29,429

U.S. Treasury and federal agency securities
$
38,082

$
5,231

$
—

$
43,313

$
—

$
43,313

State and municipal
—

2,671

177

2,848

—

2,848

Foreign government
59,912

24,133

20

84,065

—

84,065

Corporate
2,288

14,809

454

17,551

—

17,551

Equity securities
51,566

9,176

123

60,865

—

60,865

Asset-backed securities
—

1,735

1,411

3,146

—

3,146

Other trading assets(2)
10

10,756

740

11,506

—

11,506

Total trading non-derivative assets
$
151,858

$
97,569

$
3,296

$
252,723

$
—

$
252,723

Trading derivatives




 
 
Interest rate contracts
$
332

$
211,668

$
1,644

$
213,644

 
 
Foreign exchange contracts
—

131,595

379

131,974

 
 
Equity contracts
364

26,355

469

27,188

 
 
Commodity contracts
—

13,717

1,023

14,740

 
 
Credit derivatives
—

10,291

696

10,987

 
 
Total trading derivatives
$
696

$
393,626

$
4,211

$
398,533

 
 
Cash collateral paid(3)
 
 
 
$
14,134

 
 
Netting agreements
 
 
 
 
$
(311,423
)
 
Netting of cash collateral received
 
 
 
 
(47,136
)
 
Total trading derivatives
$
696

$
393,626

$
4,211

$
412,667

$
(358,559
)
$
54,108

Investments
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed
$
—

$
37,829

$
31

$
37,860

$
—

$
37,860

Residential
—

910

—

910

—

910

Commercial
—

115

—

115

—

115

Total investment mortgage-backed securities
$
—

$
38,854

$
31

$
38,885

$
—

$
38,885

  U.S. Treasury and federal agency securities
$
101,889

$
7,620

$
—

$
109,509

$
—

$
109,509

State and municipal
—

5,144

1,026

6,170

—

6,170

Foreign government
64,001

37,662

77

101,740

—

101,740

Corporate
5,115

7,152

56

12,323

—

12,323

Marketable equity securities
57

476

—

533

—

533

Asset-backed securities
—

559

59

618

—

618

Other debt securities
—

4,190

—

4,190

—

4,190

Non-marketable equity securities(4)
—

96

448

544

—

544

Total investments
$
171,062

$
101,753

$
1,697

$
274,512

$
—

$
274,512

Table continues on the next page.

159


In millions of dollars at June 30, 2019
Level 1
Level 2
Level 3
Gross
inventory
Netting(1)
Net
balance
Loans
$
—

$
3,405

$
419

$
3,824

$
—

$
3,824

Mortgage servicing rights
—

—

508

508

—

508

Non-trading derivatives and other financial assets measured on a recurring basis
$
16,669

$
5,928

$
—

$
22,597

$
—

$
22,597

Total assets
$
340,285

$
865,780

$
10,253

$
1,230,452

$
(444,072
)
$
786,380

Total as a percentage of gross assets(5)
28.0
%
71.2
%
0.8
%






Liabilities
 
 
 
 
 
 
Interest-bearing deposits
$
—

$
1,457

$
1,182

$
2,639

$
—

$
2,639

Securities loaned and sold under agreements to repurchase
—

129,565

1,085

130,650

(85,513
)
45,137

Trading account liabilities
 
 
 
 
 
 
Securities sold, not yet purchased
73,084

13,372

28

86,484

—

86,484

Other trading liabilities
—

37

—

37

—

37

Total trading liabilities
$
73,084

$
13,409

$
28

$
86,521

$
—

$
86,521

Trading derivatives
 
 
 
 
 
 
Interest rate contracts
$
211

$
188,797

$
1,753

$
190,761

 
 
Foreign exchange contracts
—

132,354

476

132,830

 
 
Equity contracts
296

29,835

1,663

31,794

 
 
Commodity contracts
—

16,907

876

17,783

 
 
Credit derivatives
—

11,310

610

11,920

 
 
Total trading derivatives
$
507

$
379,203

$
5,378

$
385,088

 
 
Cash collateral received(6)
 
 
 
$
14,041

 
 
Netting agreements
 
 
 
 
$
(311,423
)
 
Netting of cash collateral paid
 
 
 
 
(37,933
)
 
Total trading derivatives
$
507

$
379,203

$
5,378

$
399,129

$
(349,356
)
$
49,773

Short-term borrowings
$
—

$
5,137

$
154

$
5,291

$
—

$
5,291

Long-term debt
—

34,550

14,938

49,488

—

49,488

Total non-trading derivatives and other financial liabilities measured on a recurring basis
$
16,669

$
129

$
1

$
16,799

$
—

$
16,799

Total liabilities
$
90,260

$
563,450

$
22,766

$
690,517

$
(434,869
)
$
255,648

Total as a percentage of gross liabilities(5)
13.3
%
83.3
%
3.4
%
 
 
 


(1)
Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)
Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)
Reflects the net amount of $52,067 million gross cash collateral paid, of which $37,933 million was used to offset trading derivative liabilities.
(4)
Amounts exclude $0.2 billion of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)
Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)
Reflects the net amount $61,177 million of gross cash collateral received, of which $47,136 million was used to offset trading derivative assets.


160


Fair Value Levels
In millions of dollars at December 31, 2018
Level 1
Level 2
Level 3
Gross
inventory
Netting(1)
Net
balance
Assets
 
 
 
 
 
 
Securities borrowed and purchased under agreements to resell
$
—

$
214,570

$
115

$
214,685

$
(66,984
)
$
147,701

Trading non-derivative assets
 
 
 
 
 
 
Trading mortgage-backed securities
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed
—

24,090

156

24,246

—

24,246

Residential
—

709

268

977

—

977

Commercial
—

1,323

77

1,400

—

1,400

Total trading mortgage-backed securities
$
—

$
26,122

$
501

$
26,623

$
—

$
26,623

U.S. Treasury and federal agency securities
$
26,439

$
4,802

$
1

$
31,242

$
—

$
31,242

State and municipal
—

3,782

200

3,982

—

3,982

Foreign government
43,309

21,179

31

64,519

—

64,519

Corporate
1,026

14,510

360

15,896

—

15,896

Equity securities
36,342

7,308

153

43,803

—

43,803

Asset-backed securities
—

1,429

1,484

2,913

—

2,913

Other trading assets(2)
3

12,198

818

13,019

—

13,019

Total trading non-derivative assets
$
107,119

$
91,330

$
3,548

$
201,997

$
—

$
201,997

Trading derivatives
 
 
 
 
 
 
Interest rate contracts
$
101

$
169,860

$
1,671

$
171,632

 
 
Foreign exchange contracts
—

162,108

346

162,454

 
 
Equity contracts
647

28,903

343

29,893

 
 
Commodity contracts
—

16,788

767

17,555

 
 
Credit derivatives
—

9,839

926

10,765

 
 
Total trading derivatives
$
748

$
387,498

$
4,053

$
392,299

 
 
Cash collateral paid(3)
 
 
 
$
11,518

 
 
Netting agreements
 
 
 
 
$
(311,089
)
 
Netting of cash collateral received
 
 
 
 
(38,608
)
 
Total trading derivatives
$
748

$
387,498

$
4,053

$
403,817

$
(349,697
)
$
54,120

Investments
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed
$
—

$
42,988

$
32

$
43,020

$
—

$
43,020

Residential
—

1,313

—

1,313

—

1,313

Commercial
—

172

—

172

—

172

Total investment mortgage-backed securities
$
—

$
44,473

$
32

$
44,505

$
—

$
44,505

U.S. Treasury and federal agency securities
$
107,577

$
9,645

$
—

$
117,222

$
—

$
117,222

State and municipal
—

8,498

708

9,206

—

9,206

Foreign government
58,252

42,371

68

100,691

—

100,691

Corporate
4,410

7,033

156

11,599

—

11,599

Marketable equity securities

206

14

—

220

—

220

Asset-backed securities
—

656

187

843

—

843

Other debt securities
—

3,972

—

3,972

—

3,972

Non-marketable equity securities(4)
—

96

586

682

—

682

Total investments
$
170,445

$
116,758

$
1,737

$
288,940

$
—

$
288,940

Table continues on the next page.

161


In millions of dollars at December 31, 2018
Level 1
Level 2
Level 3
Gross
inventory
Netting(2)
Net
balance
Loans
$
—

$
2,946

$
277

$
3,223

$
—

$
3,223

Mortgage servicing rights
—

—

584

584

—

584

Non-trading derivatives and other financial assets measured on a recurring basis
$
15,839

$
4,949

$
—

$
20,788

$
—

$
20,788

Total assets
$
294,151

$
818,051

$
10,314

$
1,134,034

$
(416,681
)
$
717,353

Total as a percentage of gross assets(5)
26.2
%
72.9
%
0.9
%
 
 
 
Liabilities
 
 
 
 
 
 
Interest-bearing deposits
$
—

$
980

$
495

$
1,475

$
—

$
1,475

Securities loaned and sold under agreements to repurchase
—

110,511

983

111,494

(66,984
)
44,510

Trading account liabilities
 
 
 
 
 
 
Securities sold, not yet purchased
78,872

11,364

586

90,822

—

90,822

Other trading liabilities
—

1,547

—

1,547

—

1,547

Total trading liabilities
$
78,872

$
12,911

$
586

$
92,369

$
—

$
92,369

Trading account derivatives
 
 
 
 
 
 
Interest rate contracts
$
71

$
152,931

$
1,825

$
154,827

 
 
Foreign exchange contracts
—

159,003

352

159,355

 
 
Equity contracts
351

32,330

1,127

33,808

 
 
Commodity contracts
—

19,904

785

20,689

 
 
Credit derivatives
—

9,486

865

10,351

 
 
Total trading derivatives
$
422

$
373,654

$
4,954

$
379,030

 
 
Cash collateral received(6)
 
 
 
$
13,906

 
 
Netting agreements
 
 
 
 
$
(311,089
)
 
Netting of cash collateral paid
 
 
 
 
(29,911
)
 
Total trading derivatives
$
422

$
373,654

$
4,954

$
392,936

$
(341,000
)
$
51,936

Short-term borrowings
$
—

$
4,446

$
37

$
4,483

$
—

$
4,483

Long-term debt
—

25,659

12,570

38,229

—

38,229

Non-trading derivatives and other financial liabilities measured on a recurring basis
$
15,839

$
67

$
—

$
15,906

$
—

$
15,906

Total liabilities
$
95,133

$
528,228

$
19,625

$
656,892

$
(407,984
)
$
248,908

Total as a percentage of gross liabilities(5)
14.8
%
82.1
%
3.1
%
 
 
 


(1)
Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)
Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)
Reflects the net amount of $41,429 million of gross cash collateral paid, of which $29,911 million was used to offset trading derivative liabilities.
(4)
Amounts exclude $0.2 billion of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)
Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)
Reflects the net amount of $52,514 million of gross cash collateral received, of which $38,608 million was used to offset trading derivative assets.


162


Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the three and six months ended June 30, 2019 and 2018. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are classified in a different level. For example, the gains and losses for assets and liabilities in the Level 3
 
category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:

Level 3 Fair Value Rollforward
 
 
Net realized/unrealized
gains (losses) incl. in
Transfers
 
 
 
 
 
Unrealized
gains
(losses)
still held(3)
In millions of dollars
Mar. 31, 2019
Principal
transactions
Other(1)(2)
into
Level 3
out of
Level 3
Purchases
Issuances
Sales
Settlements
Jun. 30, 2019
Assets
 
 
 
 
 
 
 
 
 
 
 
Securities borrowed and
  purchased under
  agreements to resell
$
66

$
5

$
—

$
2

$
—

$
49

$
—

$
—

$
—

$
122

$
—

Trading non-derivative assets
 
 
 
 
 
 
 
 
           
 
 
Trading mortgage-
  backed securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed
154

6

—

1

(2
)
42

(1
)
(13
)
—

187

4

Residential
128

10

—

17

(9
)
61

—

(76
)
—

131

15

Commercial
69

2

—

3

(34
)
38

—

(25
)
—

53

(6
)
Total trading mortgage-
  backed securities
$
351

$
18

$
—

$
21

$
(45
)
$
141

$
(1
)
$
(114
)
$
—

$
371

$
13

U.S. Treasury and federal agency securities
$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

State and municipal
178

—

—

—

—

—

—

(1
)
—

177

—

Foreign government
39

2

—

—

—

—

—

(21
)
—

20

1

Corporate
378

255

—

41

(5
)
109

—

(322
)
(2
)
454

55

Marketable equity securities

127

13

—

(2
)
—

48

—

(63
)
—

123

(28
)
Asset-backed securities
1,429

20

—

6

(15
)
242

—

(271
)
—

1,411

10

Other trading assets
1,042

45

—

2

(135
)
97

6

(312
)
(5
)
740

6

Total trading non-
  derivative assets
$
3,544

$
353

$
—

$
68

$
(200
)
$
637

$
5

$
(1,104
)
$
(7
)
$
3,296

$
57

Trading derivatives, net(4)
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
(116
)
$
(68
)
$
—

$
(59
)
$
137

$
(21
)
$
19

$
8

$
(9
)
$
(109
)
$
(101
)
Foreign exchange contracts
46

(109
)
—

15

9

—

—

(2
)
(56
)
(97
)
(124
)
Equity contracts
(1,345
)
183

—

(38
)
100

2

(88
)
(2
)
(6
)
(1,194
)
193

Commodity contracts
304

(243
)
—

9

(4
)
66

—

(12
)
27

147

(135
)
Credit derivatives
34

59

—

(1
)
(38
)
—

—

14

18

86

10

Total trading derivatives,
  net(4)
$
(1,077
)
$
(178
)
$
—

$
(74
)
$
204

$
47

$
(69
)
$
6

$
(26
)
$
(1,167
)
$
(157
)
Table continues on the next page.








163


 
 
Net realized/unrealized
gains (losses) incl. in
Transfers
 
 
 
 
 
Unrealized
gains
(losses)
still held(3)
In millions of dollars
Mar. 31, 2019
Principal
transactions
Other(1)(2)
into
Level 3
out of
Level 3
Purchases
Issuances
Sales
Settlements
Jun. 30, 2019
Investments
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed
$
32

$
—

$
(1
)
$
—

$
—

$
—

$
—

$
—

$
—

$
31

$
(1
)
Residential
—

—

—

—

—

—

—

—

—

—

—

Commercial
—

—

—

—

—

—

—

—

—

—

—

Total investment mortgage-backed securities
$
32

$
—

$
(1
)
$
—

$
—

$
—

$
—

$
—

$
—

$
31

$
(1
)
U.S. Treasury and federal agency securities
$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

State and municipal
910

—

42

11

—

236

—

(173
)
—

1,026

48

Foreign government
71

—

5

—

—

17

—

(16
)
—

77

1

Corporate
60

—

—

—

—

—

—

(4
)
—

56

—

Marketable equity securities
—

—

—

—

—

—

—

—

—

—

—

Asset-backed securities
806

—

10

1

(585
)
—

—

(173
)
—

59

9

Other debt securities
—

—

—

—

—

—

—

—

—

—

—

Non-marketable equity securities
505

—

(2
)
6

—

3

—

(64
)
—

448

(12
)
Total investments
$
2,384

$
—

$
54

$
18

$
(585
)
$
256

$
—

$
(430
)
$
—

$
1,697

$
45

Loans
$
373

$
—

$
63

$
3

$
—

$
5

$
—

$
(25
)
$
—

$
419

$
174

Mortgage servicing rights
551

—

(37
)
—

—

—

16

—

(22
)
508

(34
)
Other financial assets measured on a recurring basis
—

—

9

—

4

—

(3
)
(4
)
(6
)
—

—

Liabilities
 
 
 
 
 
 
 
 
 
 
 
Interest-bearing deposits
$
1,047

$
—

$
(39
)
$
2

$
(18
)
$
—

$
129

$
—

$
(17
)
$
1,182

$
(211
)
Securities loaned and sold under agreements to repurchase
1,041

(42
)
—

2

—

—

—

—

—

1,085

(13
)
Trading account liabilities
 
 
 
 
 
 
 
 
 
 
 
Securities sold, not yet purchased
15

(6
)
—

15

(6
)
—

—

—

(2
)
28

(1
)
Other trading liabilities
—

—

—

—

—

—

—

—

—

—

—

Short-term borrowings
170

2

—

—

(25
)
—

12

—

(1
)
154

(2
)
Long-term debt
13,734

(819
)
—

747

(1,360
)
20

900

(1
)
79

14,938

(1,023
)
Other financial liabilities measured on a recurring basis
—

—

4

5

—

—

—

—

—

1

—


(1)
Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)
Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2019.
(4)
Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.




164


 
 
Net realized/unrealized
gains (losses) incl. in
Transfers
 
 
 
 
 
Unrealized
gains
(losses)
still held(3)
In millions of dollars
Dec. 31, 2018
Principal
transactions
Other(1)(2)
into
Level 3
out of
Level 3
Purchases
Issuances
Sales
Settlements
Jun. 30, 2019
Assets
 

 

 

 

 

 

 

 

 

 

 

Securities borrowed and purchased under agreements to resell
$
115

$
1

$
—

$
5

$
(4
)
$
94

$
—

$
—

$
(89
)
$
122

$
3

Trading non-derivative assets
 
 
 
 
 
 
 
 
 
 
 
Trading mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed
156

6

—

1

(27
)
90

(1
)
(38
)
—

187

7

Residential
268

11

—

22

(40
)
130

—

(260
)
—

131

15

Commercial
77

4

—

5

(35
)
62

—

(60
)
—

53

(5
)
Total trading mortgage-backed securities
$
501

$
21

$
—

$
28

$
(102
)
$
282

$
(1
)
$
(358
)
$
—

$
371

$
17

U.S. Treasury and federal agency securities
$
1

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
(1
)
$
—

$
—

State and municipal
200

(1
)
—

—

(19
)
1

—

(4
)
—

177

—

Foreign government
31

1

—

9

—

3

—

(24
)
—

20

1

Corporate
360

345

—

62

(31
)
178

(33
)
(425
)
(2
)
454

34

Marketable equity securities
153

3

—

(1
)
(11
)
57

—

(78
)
—

123

(25
)
Asset-backed securities
1,484

(6
)
—

13

(47
)
463

—

(496
)
—

1,411

57

Other trading assets
818

50

—

15

(167
)
437

10

(414
)
(9
)
740

(15
)
Total trading non-derivative assets
$
3,548

$
413

$
—

$
126

$
(377
)
$
1,421

$
(24
)
$
(1,799
)
$
(12
)
$
3,296

$
69

Trading derivatives, net(4)
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
(154
)
$
(119
)
$
—

$
(74
)
$
164

$
(15
)
$
31

$
8

$
50

$
(109
)
$
(85
)
Foreign exchange contracts
(6
)
(49
)
—

—

24

3

—

(6
)
(63
)
(97
)
(165
)
Equity contracts
(784
)
(111
)
—

(192
)
109

1

(147
)
—

(70
)
(1,194
)
(338
)
Commodity contracts
(18
)
37

—

6

6

120

—

(46
)
42

147

153

Credit derivatives
61

(260
)
—

(19
)
194

—

—

14

96

86

(335
)
Total trading derivatives, net(4)
$
(901
)
$
(502
)
$
—

$
(279
)
$
497

$
109

$
(116
)
$
(30
)
55

$
(1,167
)
$
(770
)
Investments
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed
$
32

$
—

$
(1
)
$
—

$
—

$
—

$
—

$
—

$
—

$
31

$
(3
)
Residential
—

—

—

—

—

—

—

—

—

—

—

Commercial
—

—

—

—

—

—

—

—

—

—

—

Total investment mortgage-backed securities
$
32

$
—

$
(1
)
$
—

$
—

$
—

$
—

$
—

$
—

$
31

$
(3
)
U.S. Treasury and federal agency securities
$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

State and municipal
708

—

94

14

—

421

—

(211
)
—

1,026

84

Foreign government
68

—

1

—

—

56

—

(48
)
—

77

1

Corporate
156

—

—

—

(94
)
—

—

(6
)
—

56

—

Marketable equity securities
—

—

—

—

—

—

—

—

—

—

—

Asset-backed securities
187

—

8

95

(585
)
550

—

(196
)
—

59

9

Other debt securities
—

—

—

—

—

—

—

—

—

—

—

Non-marketable equity securities
586

—

20

6

—

7

—

(150
)
(21
)
448

(15
)
Total investments
$
1,737

$
—

$
122

$
115

$
(679
)
$
1,034

$
—

$
(611
)
$
(21
)
$
1,697

$
76


165


 
 
Net realized/unrealized
gains (losses) incl. in
Transfers
 
 
 
 
 
Unrealized
gains
(losses)
still held(3)
In millions of dollars
Dec. 31, 2018
Principal
transactions
Other(1)(2)
into
Level 3
out of
Level 3
Purchases
Issuances
Sales
Settlements
Jun. 30, 2019
Loans
$
277

$
—

$
108

$
128

$
(70
)
$
11

$
—

$
(35
)
$
—

$
419

$
294

Mortgage servicing rights
584

—

(64
)
—

—

—

28

—

(40
)
508

(60
)
Other financial assets measured on a recurring basis
—

—

25

—

4

—

(5
)
(8
)
(16
)
—

—

Liabilities
 
 
 
 
 
 
 
 
 
 
 
Interest-bearing deposits
$
495

$
—

$
(49
)
$
3

$
(22
)
$
—

$
803

$
—

$
(146
)
$
1,182

$
(182
)
Securities loaned and sold under agreements to repurchase
983

(38
)
—

1

4

—

—

1

58

1,085

(24
)
Trading account liabilities
 
 
 
 
 
 
 
 
 
 
 
Securities sold, not yet purchased
586

118

—

16

(447
)
—

—

—

(9
)
28

—

Other trading liabilities
—

—

—

—

—

—

—

—

—

—

—

Short-term borrowings
37

25

—

9

(31
)
—

165

—

(1
)
154

(2
)
Long-term debt
12,570

(1,226
)
—

1,624

(2,961
)
20

6,850

(4
)
(4,387
)
14,938

(769
)
Other financial liabilities measured on a recurring basis
—

—

4

5

—

—

—

—

—

1

—

(1)
Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)
Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31, 2018.
(4)
Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.






































166


 
 
Net realized/unrealized
gains (losses) incl. in
Transfers
 
 
 
 
 
Unrealized
gains
(losses)
still held(3)
In millions of dollars
Mar. 31, 2018
Principal
transactions
Other(1)(2)
into
Level 3
out of
Level 3
Purchases
Issuances
Sales
Settlements
Jun. 30, 2018
Assets
 

 

 

 

 

 

 

 

 

 

 

Securities borrowed and purchased under agreements to resell
$
16

$
1

$
—

$
49

$
—

$
—

$
—

$
—

$
—

$
66

$
—

Trading non-derivative assets
 
 
 
 
 
 
 
 
 
 
 
Trading mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed
206

1

—

3

(41
)
37

—

(107
)
—

99

1

Residential
143

(17
)
—

23

(11
)
45

—

(51
)
—

132

(4
)
Commercial
35

(2
)
—

7

(2
)
23

—

(10
)
—

51

(1
)
Total trading mortgage-backed securities
$
384

$
(18
)
$
—

$
33

$
(54
)
$
105

$
—

$
(168
)
$
—

$
282

$
(4
)
U.S. Treasury and federal agency securities
$
—

$
—

$
—

$
6

$
—

$
1

$
—

$
—

$
—

$
7

$
—

State and municipal
211

4

—

—

—

13

—

(2
)
—

226

2

Foreign government
21

(1
)
—

—

(5
)
32

—

(11
)
—

36

(1
)
Corporate
252

52

—

12

(19
)
245

—

(22
)
—

520

248

Marketable equity securities
237

7

—

16

(5
)
74

—

(36
)
—

293

30

Asset-backed securities
1,597

17

—

27

(32
)
373

—

(294
)
—

1,688

(16
)
Other trading assets
716

(52
)
—

27

(32
)
45

—

(158
)
(4
)
542

(21
)
Total trading non-derivative assets
$
3,418

$
9

$
—

$
121

$
(147
)
$
888

$
—

$
(691
)
$
(4
)
$
3,594

$
238

Trading derivatives, net(4)
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
(6
)
$
206

$
—

$
—

$
(109
)
$
1

$
—

$
—

$
(6
)
$
86

$
270

Foreign exchange contracts
88

167

—

(12
)
(5
)
6

—

(5
)
—

239

146

Equity contracts
(1,741
)
34

—

(16
)
279

4

—

(4
)
(2
)
(1,446
)
469

Commodity contracts
(1,909
)
(141
)
—

4

90

7

—

—

43

(1,906
)
(118
)
Credit derivatives
(859
)
(36
)
—

(10
)
14

—

—

—

43

(848
)
(29
)
Total trading derivatives, net(4)
$
(4,427
)
$
230

$
—

$
(34
)
$
269

$
18

$
—

$
(9
)
$
78

$
(3,875
)
$
738

Investments
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed
$
23

$
—

$
11

$
—

$
—

$
—

$
—

$
—

$
—

$
34

$
12

Residential
—

—

—

—

—

—

—

—

—

—

—

Commercial
5

—

—

1

—

—

—

—

—

6

—

Total investment mortgage-backed securities
$
28

$
—

$
11

$
1

$
—

$
—

$
—

$
—

$
—

$
40

$
12

U.S. Treasury and federal agency securities
$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

State and municipal
682

—

3

—

(9
)
111

—

(25
)
—

762

3

Foreign government
70

—

(3
)
1

—

5

—

(19
)
—

54

(3
)
Corporate
76

—

—

—

(2
)
—

—

(6
)
—

68

—

Marketable equity securities
1

—

—

—

—

—

—

—

—

1

—

Asset-backed securities
497

—

(25
)
1

(2
)
11

—

(26
)
—

456

(25
)
Other debt securities
—

—

—

—

—

—

—

—

—

—

—


167


 
 
Net realized/unrealized
gains (losses) incl. in
Transfers
 
 
 
 
 
Unrealized
gains
(losses)
still held(3)
In millions of dollars
Mar. 31, 2018
Principal
transactions
Other(1)(2)
into
Level 3
out of
Level 3
Purchases
Issuances
Sales
Settlements
Jun. 30, 2018
Non-marketable equity securities
734

—

(54
)
—

—

—

—

(33
)
(36
)
611

(23
)
Total investments
$
2,088

$
—

$
(68
)
$
3

$
(13
)
$
127

$
—

$
(109
)
$
(36
)
$
1,992

$
(36
)
Loans
$
554

$
—

$
(274
)
$
—

$
60

$
47

$
—

$
(6
)
$
—

$
381

$
40

Mortgage servicing rights
587

—

11

—

—

—

15

(1
)
(16
)
596

11

Other financial assets measured on a recurring basis
13

—

14

—

(11
)
—

—

(4
)
(12
)
—

14

Liabilities
 
 
 
 
 
 
 
 
 
 
 
Interest-bearing deposits
$
292

$
—

$
(3
)
$
—

$
—

$
—

$
25

$
—

$
—

$
320

$
(6
)
Securities loaned and sold under agreements to repurchase
857

25

—

—

—

—

96

—

38

966

16

Trading account liabilities
 
 
 
 
 
 
 
 
 
 
 
Securities sold, not yet purchased
48

(142
)
—

4

(12
)
—

—

6

1

189

(50
)
Other trading liabilities
—

—

—

—

—

—

—

—

—

—

—

Short-term borrowings
81

(6
)
—

3

(21
)
—

24

—

(3
)
90

10

Long-term debt
13,484

(7
)
—

815

(540
)
—

4

—

11

13,781

92

Other financial liabilities measured on a recurring basis
3

—

(2
)
1

(5
)
—

—

—

(1
)
—

—


(1)
Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)
Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2018.
(4)
Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.



























168


 
 
Net realized/unrealized
gains (losses) incl. in
Transfers
 
 
 
 
 
Unrealized
gains
(losses)
still held(3)
In millions of dollars
Dec. 31, 2017
Principal
transactions
Other(1)(2)
into
Level 3
out of
Level 3
Purchases
Issuances
Sales
Settlements
Jun. 30, 2018
Assets
 

 

 

 

 

 

 

 

 

 

 

Securities borrowed and purchased under agreements to resell
$
16

$
19

$
—

$
49

$
—

$
—

$
—

$
—

$
(18
)
$
66

$
10

Trading non-derivative assets
 
 
 
 
 
 
 
 
 
 
 
Trading mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed
163

2

—

89

(90
)
153

—

(218
)
—

99

1

Residential
164

5

—

58

(88
)
91

—

(98
)
—

132

(4
)
Commercial
57

(1
)
—

11

(37
)
38

—

(17
)
—

51

3

Total trading mortgage-backed securities
$
384

$
6

$
—

$
158

$
(215
)
$
282

$
—

$
(333
)
$
—

$
282

$
—

U.S. Treasury and federal agency securities
$
—

$
—

$
—

$
6

$
—

$
1

$
—

$
—

$
—

$
7

$
—

State and municipal
274

10

—

—

(44
)
13

—

(27
)
—

226

1

Foreign government
16

(1
)
—

2

(5
)
46

—

(22
)
—

36

(1
)
Corporate
275

95

—

61

(91
)
279

—

(99
)
—

520

251

Marketable equity securities
120

82

—

17

(20
)
242

—

(148
)
—

293

26

Asset-backed securities
1,590

75

—

45

(47
)
689

—

(664
)
—

1,688

39

Other trading assets
615

83

—

85

(42
)
157

5

(352
)
(9
)
542

(11
)
Total trading non-derivative assets
$
3,274

$
350

$
—

$
374

$
(464
)
$
1,709

$
5

$
(1,645
)
$
(9
)
$
3,594

$
305

Trading derivatives, net(4)
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
(422
)
$
587

$
—

$
5

$
(72
)
$
8

$
—

$
(16
)
$
(4
)
$
86

$
529

Foreign exchange contracts
130

105

—

(13
)
3

7

—

(5
)
12

239

27

Equity contracts
(2,027
)
(102
)
—

(73
)
751

17

—

(11
)
(1
)
(1,446
)
203

Commodity contracts
(1,861
)
(174
)
—

(43
)
98

27

—

—

47

(1,906
)
(32
)
Credit derivatives
(799
)
(98
)
—

(9
)
12

2

—

1

43

(848
)
(219
)
Total trading derivatives, net(4)
$
(4,979
)
$
318

$
—

$
(133
)
$
792

$
61

$
—

$
(31
)
$
97

$
(3,875
)
$
508

Investments
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed
$
24

$
—

$
10

$
—

$
—

$
—

$
—

$
—

$
—

$
34

$
(12
)
Residential
—

—

—

—

—

—

—

—

—

—

—

Commercial
3

—

2

1

—

—

—

—

—

6

—

Total investment mortgage-backed securities
$
27

$
—

$
12

$
1

$
—

$
—

$
—

$
—

$
—

$
40

$
(12
)
U.S. Treasury and federal agency securities
$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

$
—

State and municipal
737

—

(13
)
—

(18
)
140

—

(84
)
—

762

(22
)
Foreign government
92

—

(4
)
1

(2
)
62

—

(95
)
—

54

(3
)
Corporate
71

—

(1
)
3

(2
)
3

—

(6
)
—

68

—

Marketable equity securities
2

—

—

—

—

—

—

(1
)
—

1

—

Asset-backed securities
827

—

(15
)
3

(344
)
11

—

(26
)
—

456

(25
)
Other debt securities
—

—

—

—

—

—

—

—

—

—

—


169


Non-marketable equity securities
681

—

(30
)
30

—

15

—

(33
)
(52
)
611

(7
)
Total investments
$
2,437

$
—

$
(51
)
$
38

$
(366
)
$
231

$
—

$
(245
)
$
(52
)
$
1,992

$
(69
)

 
 
Net realized/unrealized
gains (losses) incl. in
Transfers
 
 
 
 
 
Unrealized
gains
(losses)
still held(3)
In millions of dollars
Dec. 31, 2017
Principal
transactions
Other(1)(2)
into
Level 3
out of
Level 3
Purchases
Issuances
Sales
Settlements
Jun. 30, 2018
Loans
$
550

$
—

$
(255
)
$
—

$
59

$
51

$
—

$
(22
)
$
(2
)
$
381

$
175

Mortgage servicing rights
558

—

57

—

—

—

32

(18
)
(33
)
596

57

Other financial assets measured on a recurring basis
16

—

22

—

(11
)
4

12

(4
)
(39
)
—

33

Liabilities
 
 
 
 
 
 
 
 
 
 
 
Interest-bearing deposits
$
286

$
—

$
23

$
12

$
—

$
—

$
45

$
—

$
—

$
320

$
(60
)
Securities loaned and sold under agreements to repurchase
726

39

—

—

—

—

243

—

36

966

29

Trading account liabilities
 
 
 
 
 
 
 
 
 
 
 
Securities sold, not yet purchased
22

(247
)
—

7

(31
)
—

—

9

(65
)
189

(46
)
Other trading liabilities
5

5

—

—

—

—

—

—

—

—

—

Short-term borrowings
18

1

—

48

(21
)
—

49

—

(3
)
90

(9
)
Long-term debt
13,082

(243
)
—

1,755

(1,304
)
36

7

(44
)
6

13,781

(735
)
Other financial liabilities measured on a recurring basis
8

—

(2
)
1

(10
)
—

2

—

(3
)
—

(4
)



(1)
Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)
Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2018.
(4)
Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.

Level 3 Fair Value Rollforward
The following were the significant Level 3 transfers for the period December 31, 2018 to June 30, 2019:

•
During the three and six months ended June 30, 2019, transfers of Long-term debt of $0.7 billion and $1.6 billion from Level 2 to Level 3, and of $1.4 billion and $3.0 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.

The following were the significant Level 3 transfers for the period December 31, 2017 to June 30, 2018:

•
During the three and six months ended June 30, 2018, transfers of Long-term debt of $0.8 billion and $1.8 billion from Level 2 to Level 3, and of $0.5 billion and $1.3 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.



 




170


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








As of June 30, 2019
Fair value(1)
 (in millions)
Methodology
Input
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets
 
 
 
 
 
 
Securities borrowed and purchased under agreements to resell
$
122

Model-based
Interest rate
1.77
 %
3.67
%
2.90
 %
Mortgage-backed securities
$
220

Yield analysis
Yield
1.94
 %
7.72
%
3.23
 %
 
162

Price-based
Price
$
15.00

$
125.81

$
86.87

State and municipal, foreign government, corporate and other debt securities
$
1,261

Price-based
Price
$
—

$
1,127.39

$
77.56

 
1,093

Model-based
Credit spread
35bps

470bps

214 bps

Marketable equity securities(5)
$
81

Price-based
Price
$
0.01

$
41,284.00

$
5,730.26

 
41

Model-based
WAL
1 year

1 year

1 year

Asset-backed securities
$
1,429

Price-based
Price
$
2.75

$
100.00

$
78.27

Non-marketable equities
$
262

Comparables analysis
EBITDA multiples
8.10x

19.40x

11.72x

 
152

Price-based
Price
$
8.18

$
1,540.00

$
773.53

 
 
 
Appraised value
$
381,810

$
33,710,000

$
14,639,552

 
 
 
Discount to price
—
 %
10.00
%
2.30
 %
 

 
Revenue multiple
3.15x

26.12x

11.76x

Derivatives—gross(6)
 
 
 
 
 
 
Interest rate contracts (gross)
$
3,307

Model-based
Inflation volatility
0.22
 %
2.67
%
0.79
 %
 
 
 
Mean reversion
1.00
 %
20.00
%
10.50
 %
 
 
 
IR Normal volatility
0.15
 %
80.37
%
49.53
 %
Foreign exchange contracts (gross)
$
796

Model-based
FX volatility
3.09
 %
15.04
%
9.83
 %
 

 
IR-IR correlation
(51.00
)%
40.00
%
33.10
 %
 
 
 
IR-FX correlation
40.00
 %
60.00
%
50.00
 %
 
 
 
Interest rate
4.50
 %
11.33
%
9.24
 %
 
 
 
IR Normal volatility
—
 %
80
%
24
 %
 
 
 
Credit Spread
32bps

535bps

381bps

Equity contracts (gross)(7)
$
2,130

Model-based
Equity volatility
2.87
 %
88.26
%
48.13
 %
 
 
 
Forward price
59.57
 %
129.82
%
119.02
 %
 
 
 
Equity-Equity correlation
(48.61
)%
98.11
%
72.94
 %
 
 
 
Equity-FX correlation
(75.00
)%
37.27
%
(20.58
)%
Commodity and other contracts (gross)
$
1,900

Model-based
Forward price
26.15
 %
343.40
%
111.96
 %
 
 
 
Commodity volatility
10.08
 %
93.16
%
24.97
 %
 
 
 
Commodity correlation
(40.55
)%
89.50
%
45.81
 %
Credit derivatives (gross)
$
708

Model-based
Upfront points
4.99
 %
99.77
%
58.34
 %
 
597

Price-based
Credit correlation
25.00
 %
85.00
%
43.66
 %
 
 
 
Credit spread
4bps

334bps

70bps

 
 
 
Price
$
12.00

$
98.00

$
69.20


171


As of June 30, 2019
Fair value(1)
 (in millions)
Methodology
Input
Low(2)(3)
High(2)(3)
Weighted
average(4)
 
 
 
Recovery rate
20.00
 %
60.00
%
41.00
 %
Loans and leases
$
379

Model-based
Equity volatility
27
 %
37
%
32
 %
 


 
Credit spread
110bps

110bps

110bps

 
 
 
Yield
—
 %
—
%
—
 %
Mortgage servicing rights
$
424

Cash flow
Yield
4.77
 %
16.26
%
8.00
 %
 
83

Model-based
WAL
3.4 years

7.1 years

5.8 years

Liabilities
 
 
 
 
 
 
Interest-bearing deposits
$
1,182

Model-based
Mean reversion
1.00
 %
20.00
%
10.50
 %
Securities loaned and sold under agreement to repurchase
$
1,085

Model-based
Interest rate
1.77
 %
2.53
%
2.01
 %
Trading account liabilities
 
 
 
 
 
 
Securities sold, not yet purchased
$
27

Price-based
Price
$
—

$
2,164.17

$
86.14

Short-term borrowings and long-term debt
$
15,232

Model-based
Mean reversion
1.00
 %
20.00
%
10.50
 %
 
 
 
Forward price
26.15
 %
343.40
%
118.53
 %
 
 
 
IR Normal volatility
0.15
 %
80.37
%
44.02
 %
As of December 31, 2018
Fair value(1)
 (in millions)
Methodology
Input
Low(2)(3)

High(2)(3)
Weighted
average(4)
Assets
 
 
 
 

 
 
Securities borrowed and purchased under agreements to resell
$
115

Model-based
Interest rate
2.52
 %
7.43
%
5.08
 %
Mortgage-backed securities
$
313

Price-based
Price
$
11.25

$
110.35

$
90.07

 
198

Yield analysis
Yield
2.27
 %
8.70
%
3.74
 %
State and municipal, foreign government, corporate and other debt securities
$
1,212

Price-based
Price
$
—

$
103.75

$
91.39

 
938

Model-based
Credit spread
35 bps

446 bps

238 bps

Marketable equity securities(5)
$
108

Price-based
Price
$
—

$
20,255.00

$
1,247.85

 
45

Model-based
WAL
1.47years

1.47years

1.47years

Asset-backed securities
$
1,608

Price-based
Price
$
2.75

$
101.03

$
66.18

Non-marketable equity
$
293

Comparables analysis
Discount to price
—
 %
100.00
%
0.66
 %
 
255

Price-based
EBITDA multiples
5.00x

34.00x

9.73x

 


 
Net operating income multiple
24.70x

24.70x

24.70x

 
 
 
Price
$
2.38

$
1,073.80

$
420.24

 
 
 
Revenue multiple
2.25x

16.50x

7.06x

Derivatives—gross(6)

 
 




Interest rate contracts (gross)
$
3,467

Model-based
Mean reversion
1.00
 %
20.00
%
10.50
 %
 
 
 
Inflation volatility
0.22
 %
2.65
%
0.77
 %
 
 
 
IR Normal volatility
0.16
 %
86.31
%
56.24
 %
Foreign exchange contracts (gross)
$
626

Model-based
Foreign exchange (FX) volatility
3.15
 %
17.35
%
11.37
 %
 
73

Cash flow
IR-IR correlation
(51.00
)%
40.00
%
32.69
 %
 
 
 
IR-FX correlation
40.00
 %
60.00
%
50.00
 %
 


 
Credit spread
39bps

676bps

423bps

 
 
 
IR basis
(0.65
)%
0.11
%
(0.17
)%
 
 
 
Yield
6.98
 %
7.48
%
7.23
 %
Equity contracts (gross)(7)
$
1,467

Model-based
Equity volatility
3.00
 %
78.39
%
37.53
 %

172


As of December 31, 2018
Fair value(1)
 (in millions)
Methodology
Input
Low(2)(3)

High(2)(3)
Weighted
average(4)
 
 
 
Forward price
64.66
 %
144.45
%
98.55
 %
 
 
 
Equity-Equity correlation
(81.39
)%
100.00
%
35.49
 %
 
 
 
Equity-FX correlation
(86.27
)%
70.00
%
(1.20
)%
 


 
WAL
1.47 years

1.47 years

1.47 years

Commodity contracts (gross)
$
1,552

Model-based
Forward price
15.30
 %
585.07
%
145.08
 %
 
 
 
Commodity volatility
8.92
 %
59.86
%
20.34
 %
 


 
Commodity correlation
(51.90
)%
92.11
%
40.71
 %
Credit derivatives (gross)
$
1,089

Model-based
Credit correlation
5.00
 %
85.00
%
41.06
 %
 
701

Price-based
Upfront points
7.41
 %
99.04
%
58.95
 %
 
 
 
Credit spread
2 bps

1,127 bps

87 bps

 
 
 
Recovery rate
5.00
 %
65.00
%
46.40
 %
 
 
 
Price
$
16.59

$
98.00

$
81.19

Loans and leases
$
248

Model-based
Credit spread
138 bps

255 bps

147 bps

 
29

Price-based
Yield
0.30
 %
0.47
%
0.32
 %
 
 
 
Price
$
55.83

$
110.00

$
92.40

Mortgage servicing rights
$
500

Cash flow
Yield
4.60
 %
12.00
%
7.79
 %
 
84

Model-based
WAL
3.55 years

7.45 years

6.39 years

Liabilities
 
 
 
 
 
 
Interest-bearing deposits
$
495

Model-based
Mean reversion
1.00
 %
20.00
%
10.50
 %
 
 
 
Forward price
64.66
 %
144.45
%
98.55
 %
 


 
Equity volatility
3.00
 %
78.39
%
43.49
 %
Securities loaned and sold under agreements to repurchase
$
983

Model-based
Interest rate
2.52
 %
3.21
%
2.87
 %
Trading account liabilities
 
 
 
 
 
 
Securities sold, not yet purchased
$
509

Model-based
Forward price
15.30
 %
585.07
%
105.69
 %
 
77

Price-based
Equity volatility
3.00
 %
78.39
%
43.49
 %
 
 
 
Equity-Equity correlation
(81.39
)%
100.00
%
34.04
 %
 
 
 
Equity-FX correlation
(86.27
)%
70.00
%
(1.20
)%
 
 
 
Commodity volatility
8.92
 %
59.86
%
20.34
 %
 
 
 
Commodity correlation
(51.90
)%
92.11
%
40.71
 %
 
 
 
Equity-IR correlation
(40.00
)%
70.37
%
30.80
 %
Short-term borrowings and long-term debt
$
12,289

Model-based
Mean reversion
1.00
 %
20.00
%
10.50
 %
 
 
 
IR normal volatility
0.16
 %
86.31
%
56.61
 %
 
 
 
Forward price
64.66
 %
144.45
%
98.58
 %
 
 
 
Equity volatility
3.00
 %
78.39
%
43.24
 %
(1)
The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)
Some inputs are shown as zero due to rounding.
(3)
When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.
(4)
Weighted averages are calculated based on the fair values of the instruments.
(5)
For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.
(6)
Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)
Includes hybrid products.



173


Items Measured at Fair Value on a Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a nonrecurring basis and, therefore, are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for the identical or similar investment of the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market value.
The following tables present the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded:
In millions of dollars
Fair value
Level 2
Level 3
June 30, 2019
 
 
 
Loans HFS(1)
$
3,634

$
2,391

$
1,243

Other real estate owned
50

37

13

Loans(2)
482

172

310

Non-marketable equity securities measured using the measurement alternative
125

108

17

Total assets at fair value on a nonrecurring basis
$
4,291

$
2,708

$
1,583


In millions of dollars
Fair value
Level 2
Level 3
December 31, 2018
 
 
 
Loans HFS(1)
$
5,055

$
3,261

$
1,794

Other real estate owned
78

62

16

Loans(2)
390

139

251

Non-marketable equity securities measured using the measurement alternative
261

192

69

Total assets at fair value on a nonrecurring basis
$
5,784

$
3,654

$
2,130


(1)
Net of fair value amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.
(2)
Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.



174


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

As of June 30, 2019
Fair value(1)
 (in millions)
Methodology
Input
Low(2)
High
Weighted
average(3)
Loans held-for-sale
$
839

Price-based
Price
$
82.90

$
100.00

$
96.67

Other real estate owned
$
9

Price-based
Appraised value(4)
$
2,953,240

$
8,394,102

$
6,978,072

Loans(5)
62

Price-based
Price
2.65

63.00

30.48

 
59

Recovery analysis
Recovery rate
85.25
%
99.50
%
95.60
%
Non-marketable equity securities measured using the measurement alternative
$
17

Price-based
Price
$
13.78

$
13.78

$
13.78


As of December 31, 2018
Fair value(1)
 (in millions)
Methodology
Input
Low(2)
High
Weighted
average(3)
Loans held-for-sale
$
1,729

Price-based
Price
$
0.79

$
100.00

$
69.52

Other real estate owned
$
15

Price-based
Appraised value(4)
$
8,394,102

$
8,394,102

$
8,394,102

 
2

Recovery analysis
Discount to price(6)
13.00
%
13.00
%
13.00
%
 


 
Price
$
56.30

$
83.08

$
58.27

Loans(6)
$
251

Recovery analysis
Recovery rate
30.60
%
100.00
%
50.51
%
 


 
Price
$
2.60

$
85.04

$
28.21

Non-marketable equity securities measured using the measurement alternative
$
66

Price-based
Price
$
45.80

$
1,514.00

$
570.26


(1)
The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)
Some inputs are shown as zero due to rounding.
(3)
Weighted averages are calculated based on the fair values of the instruments.
(4)
Appraised values are disclosed in whole dollars.
(5)
Represents impaired loans held for investment whose carrying amounts are based on the fair value of the underlying collateral, primarily real estate secured loans.
(6)
Includes estimated costs to sell.


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

 
Three Months Ended June 30,
In millions of dollars
2019
2018
Loans HFS
$
(14
)
$
(7
)
Other real estate owned
(1
)
(1
)
Loans(1)
(44
)
(33
)
Non-marketable equity securities measured using the measurement alternative

4

(1
)
Total nonrecurring fair value gains (losses)
$
(55
)
$
(42
)
(1)
Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.

 
 
Six Months Ended June 30,
In millions of dollars
2019
2018
Loans HFS
$
(1
)
$
(8
)
Other real estate owned
—

(1
)
Loans(1)
(62
)
(33
)
Non-marketable equity securities measured using the measurement alternative
65

104

Total nonrecurring fair value gains (losses)
$
2

$
62

(1)
Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.

175


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

 
June 30, 2019
Estimated fair value
 
Carrying
value
Estimated
fair value
 
 
 
In billions of dollars
Level 1
Level 2
Level 3
Assets
 
 
 
 
 
Investments
$
74.4

$
75.3

$
1.9

$
71.0

$
2.4

Securities borrowed and purchased under agreements to resell
81.7

81.7

—

81.5

0.2

Loans(1)(2)
670.9

675.6

—

9.6

666.0

Other financial assets(2)(3)
281.0

281.4

187.6

15.6

78.2

Liabilities
 
 
 
 
 
Deposits
$
1,043.0

$
1,039.8

$
—

$
837.5

$
202.3

Securities loaned and sold under agreements to repurchase
136.0

136.0

—

136.0

—

Long-term debt(4)
202.6

212.2

—

197.8

14.4

Other financial liabilities(5)
121.8

121.8

—

20.2

101.6


 
December 31, 2018
Estimated fair value
 
Carrying
value
Estimated
fair value
 
 
 
In billions of dollars
Level 1
Level 2
Level 3
Assets
 
 
 
 
 
Investments
$
68.9

$
68.5

$
1.0

$
65.4

$
2.1

Securities borrowed and purchased under agreements to resell
123.0

123.0

—

121.6

1.4

Loans(1)(2)
667.1

666.9

—

5.6

661.3

Other financial assets(2)(3)
249.7

250.1

172.3

15.8

62.0

Liabilities
 
 
 
 
 
Deposits
$
1,011.7

$
1,009.5

$
—

$
847.1

$
162.4

Securities loaned and sold under agreements to repurchase
133.3

133.3

—

133.3

—

Long-term debt(4)
193.8

193.7

—

178.4

15.3

Other financial liabilities(5)
103.8

103.8

—

17.2

86.6

(1)
The carrying value of loans is net of the Allowance for loan losses of $12.5 billion for June 30, 2019 and $12.3 billion for December 31, 2018. In addition, the carrying values exclude $1.5 billion and $1.6 billion of lease finance receivables at June 30, 2019 and December 31, 2018, respectively.
(2)
Includes items measured at fair value on a nonrecurring basis.
(3)
Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(4)
The carrying value includes long-term debt balances under qualifying fair value hedges.
(5)
Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

The estimated fair values of the Company’s corporate unfunded lending commitments at June 30, 2019 and December 31, 2018 were liabilities of $8.0 billion and $7.8 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of
consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.


176


21.   FAIR VALUE ELECTIONS
The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election may not be revoked once an election is made. The changes in
 
fair value are recorded in current earnings, other than DVA, which from January 1, 2016 are reported in AOCI. Additional discussion regarding the applicable areas in which fair value elections were made is presented in Note 20 to the Consolidated Financial Statements.
The Company has elected fair value accounting for its mortgage servicing rights. See Note 18 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting of MSRs.

The following table presents the changes in fair value of those items for which the fair value option has been elected:
 
Changes in fair value—gains (losses)
 
Three Months Ended June 30,
Six Months Ended June 30,
In millions of dollars
2019
2018
2019
2018
Assets
 
 
 
 
Securities borrowed and purchased under agreements to resell
$
6

$
19

$
35

$
3

Trading account assets
45

(85
)
212

(101
)
Investments
—

—

—

—

Loans
 
 
 
 
Certain corporate loans
(80
)
(3
)
(213
)
(126
)
Certain consumer loans
—

—

—

—

Total loans
$
(80
)
$
(3
)
$
(213
)
$
(126
)
Other assets
 
 
 
 
MSRs
$
(37
)
$
11

$
(64
)
$
57

Certain mortgage loans HFS(1)
21

10

37

12

Total other assets
$
(16
)
$
21

$
(27
)
$
69

Total assets
$
(45
)
$
(48
)
$
7

$
(155
)
Liabilities
 
 
 
 
Interest-bearing deposits
$
(43
)
$
10

$
(134
)
$
38

Securities loaned and sold under agreements to repurchase
51

(15
)
86

(126
)
Trading account liabilities
2

(15
)
13

(21
)
Short-term borrowings(2)
94

(59
)
(81
)
118

Long-term debt(2)
(1,113
)
921

(3,794
)
1,539

Total liabilities
$
(1,009
)
$
842

$
(3,910
)
$
1,548


(1)
Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected under the fair value option.
(2)
Includes DVA that is included in AOCI. See Notes 17 and 20 to the Consolidated Financial Statements.

177


Own Debt Valuation Adjustments (DVA)
Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected using Citi’s credit spreads observed in the bond market. Effective January 1, 2016, changes in fair value of fair value option liabilities related to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI. See Note 1 to the Consolidated Financial Statements for additional information.
Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.
The estimated changes in the fair value of these liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) were gains of $3 million and $418 million for the three months ended June 30, 2019 and 2018, and a loss of $722 million and gain of $585 million for the six months ended June 30, 2019 and 2018, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.

The Fair Value Option for Financial Assets and Financial Liabilities

Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain Non-Collateralized Short-Term Borrowings
The Company elected the fair value option for certain portfolios of fixed income securities purchased under agreements to resell and fixed income securities sold under agreements to repurchase, securities borrowed, securities loaned and certain non-collateralized short-term borrowings held primarily by broker-dealer entities in the United States, United Kingdom and Japan. In each case, the election was made because the related interest rate risk is managed on a portfolio basis, primarily with offsetting derivative instruments that are accounted for at fair value through earnings.
 
Changes in fair value for transactions in these portfolios are recorded in Principal transactions. The related interest revenue and interest expense are measured based on the contractual rates specified in the transactions and are reported as Interest revenue and Interest expense in the Consolidated Statement of Income.

Certain Loans and Other Credit Products
Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.
The following table provides information about certain credit products carried at fair value:
 
June 30, 2019
December 31, 2018
In millions of dollars
Trading assets
Loans
Trading assets
Loans
Carrying amount reported on the Consolidated Balance Sheet
$
8,448

$
3,824

$
10,108

$
3,224

Aggregate unpaid principal balance in excess of (less than) fair value
410

779

435

741

Balance of non-accrual loans or loans more than 90 days past due
—

1

—

1

Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due
—

—

—

—



178


In addition to the amounts reported above, $1,057 million and $1,137 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of June 30, 2019 and December 31, 2018, respectively.
Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in Citi’s Consolidated Statement of Income. Related interest revenue is measured based on the contractual interest rates and reported as Interest revenue on Trading account assets or loan interest depending on the balance sheet classifications of the credit products. The changes in fair value for the six months ended June 30, 2019 and 2018 due to instrument-specific credit risk totaled to a gain of $53 million and a loss of $20 million, respectively.

Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $0.8 billion and $0.4 billion at June 30, 2019 and December 31, 2018, respectively. The amounts are expected to fluctuate based on trading activity in future periods.
As part of its commodity and foreign currency trading activities, Citi trades unallocated precious metals investments and executes forward purchase and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of June 30, 2019, there were approximately $9.6 billion and $7.2 billion of notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively.

 
Certain Investments in Private Equity and
Real Estate Ventures
Citigroup invests in private equity and real estate ventures for the purpose of earning investment returns and for capital appreciation. The Company has elected the fair value option for certain of these ventures, because such investments are considered similar to many private equity or hedge fund activities in Citi’s investment companies, which are reported at fair value. The fair value option brings consistency in the accounting and evaluation of these investments. All investments (debt and equity) in such private equity and real estate entities are accounted for at fair value. These investments are classified as Investments on Citigroup’s Consolidated Balance Sheet.
Changes in the fair values of these investments are classified in Other revenue in the Company’s Consolidated Statement of Income.

Certain Mortgage Loans Held-for-Sale (HFS)
Citigroup has elected the fair value option for certain purchased and originated prime fixed-rate and conforming adjustable-rate first mortgage loans HFS. These loans are intended for sale or securitization and are hedged with derivative instruments. The Company has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications.

The following table provides information about certain mortgage loans HFS carried at fair value:
In millions of dollars
June 30,
2019
December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet
$
648

$
556

Aggregate fair value in excess of (less than) unpaid principal balance
21

21

Balance of non-accrual loans or loans more than 90 days past due
—

—

Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due
—

—



179


The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the six months ended June 30, 2019 and 2018 due to instrument-specific credit risk. Related interest income continues to be measured based on the contractual interest rates and reported as Interest revenue in the Consolidated Statement of Income.
 
Certain Structured Liabilities
The Company has elected the fair value option for certain structured liabilities whose performance is linked to structured interest rates, inflation, currency, equity, referenced credit or commodity risks. The Company elected the fair value option because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives (Trading account liabilities) on the Company’s Consolidated Balance Sheet according to their legal form.
The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument:
In billions of dollars
June 30, 2019
December 31, 2018
Interest rate linked
$
21.5

$
17.3

Foreign exchange linked
1.0

0.5

Equity linked
19.5

14.8

Commodity linked
1.2

1.2

Credit linked
1.9

1.9

Total
$
45.1

$
35.7


Prior to 2016, the total change in the fair value of these structured liabilities was reported in Principal transactions in the Company’s Consolidated Statement of Income. Beginning in the first quarter of 2016, the portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions. Changes in the fair value of these structured liabilities include accrued interest, which is also included in the change in fair value reported in Principal transactions.

 
Certain Non-Structured Liabilities
The Company has elected the fair value option for certain non-structured liabilities with fixed and floating interest rates. The Company has elected the fair value option where the interest rate risk of such liabilities may be economically hedged with derivative contracts or the proceeds are used to purchase financial assets that will also be accounted for at fair value through earnings. The elections have been made to mitigate accounting mismatches and to achieve operational simplifications. These positions are reported in Short-term borrowings and Long-term debt on the Company’s Consolidated Balance Sheet. The portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions.
Interest expense on non-structured liabilities is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income.

The following table provides information about long-term debt carried at fair value:
In millions of dollars
June 30, 2019
December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet
$
49,488

$
38,229

Aggregate unpaid principal balance in excess of (less than) fair value
1,357

3,814


The following table provides information about short-term borrowings carried at fair value:
In millions of dollars
June 30, 2019
December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet
$
5,291

$
4,483

Aggregate unpaid principal balance in excess of (less than) fair value
729

861



180


22.   GUARANTEES, LEASES AND COMMITMENTS
Citi provides a variety of guarantees and indemnifications to its customers to enhance their credit standing and enable them to complete a wide variety of business transactions. For
certain contracts meeting the definition of a guarantee, the guarantor must recognize, at inception, a liability for the fair value of the obligation undertaken in issuing the guarantee.
In addition, the guarantor must disclose the maximum potential amount of future payments that the guarantor could be required to make under the guarantee, if there were a total
default by the guaranteed parties. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible
 
recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.
For additional information regarding Citi’s guarantees and indemnifications included in the tables below, as well as its other guarantees and indemnifications excluded from the tables below, see Note 26 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at June 30, 2019 and December 31, 2018:

 
Maximum potential amount of future payments
 
In billions of dollars at June 30, 2019
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit
$
32.9

$
66.2

$
99.1

$
132

Performance guarantees
7.7

4.3

12.0

27

Derivative instruments considered to be guarantees
39.3

63.6

102.9

413

Loans sold with recourse
—

1.3

1.3

8

Securities lending indemnifications(1)
105.3

—

105.3

—

Credit card merchant processing(1)(2)
90.0

—

90.0

—

Credit card arrangements with partners
0.1

0.8

0.9

136

Custody indemnifications and other
—

31.7

31.7

41

Total
$
275.3

$
167.9

$
443.2

$
757

 
Maximum potential amount of future payments
 
In billions of dollars at December 31, 2018
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit
$
32.1

$
67.5

$
99.6

$
131

Performance guarantees
7.7

4.2

11.9

29

Derivative instruments considered to be guarantees
23.5

87.4

110.9

567

Loans sold with recourse
—

1.2

1.2

9

Securities lending indemnifications(1)
98.3

—

98.3

—

Credit card merchant processing(1)(2)
94.7

—

94.7

—

Credit card arrangements with partners
0.3

0.8

1.1

162

Custody indemnifications and other
—

35.4

35.4

41

Total
$
256.6

$
196.5

$
453.1

$
939

(1)
The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)
At June 30, 2019 and December 31, 2018, this maximum potential exposure was estimated to be $90 billion and $95 billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants.










 











181


Loans Sold with Recourse
Loans sold with recourse represent Citi’s obligations to
reimburse the buyers for loan losses under certain
circumstances. Recourse refers to the clause in a sales
agreement under which a seller/lender will fully reimburse
the buyer/investor for any losses resulting from the
purchased loans. This may be accomplished by the seller
taking back any loans that become delinquent.
In addition to the amounts shown in the tables above,
Citi has recorded a repurchase reserve for its potential
repurchases or make-whole liability regarding residential
mortgage representation and warranty claims related to its
whole loan sales to U.S. government-sponsored
enterprises (GSEs) and, to a lesser extent, private investors.
The repurchase reserve was approximately $43 million and $49 million at June 30, 2019 and December 31, 2018, respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet.

Credit Card Arrangements with Partners
Citi, in certain of its credit card partner arrangements,
provides guarantees to the partner regarding the volume of
certain customer originations during the term of the
agreement. To the extent that such origination targets are not met, the guarantees serve to compensate the partner for certain payments that otherwise would have been generated in connection with such originations.

Other Guarantees and Indemnifications

Credit Card Protection Programs
Citi, through its credit card businesses, provides various
cardholder protection programs on several of its card
products, including programs that provide insurance
coverage for rental cars, coverage for certain losses
associated with purchased products, price protection for
certain purchases and protection for lost luggage. These
guarantees are not included in the table, since the total
outstanding amount of the guarantees and Citi’s maximum
exposure to loss cannot be quantified. The protection is
limited to certain types of purchases and losses, and it is not
possible to quantify the purchases that would qualify for
these benefits at any given time. Citi assesses the probability
and amount of its potential liability related to these programs
based on the extent and nature of its historical loss
experience. At June 30, 2019 and December 31, 2018, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were
immaterial.

Value-Transfer Networks
Citi is a member of, or shareholder in, hundreds of value-transfer networks (VTNs) (payment, clearing and settlement
systems as well as exchanges) around the world. As a
condition of membership, many of these VTNs require that
members stand ready to pay a pro rata share of the losses
incurred by the organization due to another member’s default
on its obligations. Citi’s potential obligations may be limited
to its membership interests in the VTNs, contributions to the
 
VTN’s funds, or, in limited cases, the obligation may be unlimited. The maximum exposure cannot be estimated as
this would require an assessment of claims that have
not yet occurred. Citi believes the risk of loss is remote
given historical experience with the VTNs. Accordingly,
Citi’s participation in VTNs is not reported in the guarantees
tables above, and there are no amounts reflected on the
Consolidated Balance Sheet as of June 30, 2019 or
December 31, 2018 for potential obligations that could arise
from Citi’s involvement with VTN associations.

Long-Term Care Insurance Indemnification
In 2000, Travelers Life & Annuity (Travelers), then a subsidiary of Citi, entered into a reinsurance agreement to transfer the risks and rewards of its long-term care (LTC) business to GE Life (now Genworth Financial Inc., or Genworth), then a subsidiary of the General Electric Company (GE). As part of this transaction, the reinsurance obligations were provided by two regulated insurance subsidiaries of GE Life, which funded two collateral trusts with securities. Presently, as discussed below, the trusts are referred to as the Genworth Trusts.
As part of GE’s spin-off of Genworth in 2004, GE retained the risks and rewards associated with the 2000 Travelers reinsurance agreement by providing a reinsurance contract to Genworth through its Union Fidelity Life Insurance Company (UFLIC) subsidiary that covers the Travelers LTC policies. In addition, GE provided a capital maintenance agreement in favor of UFLIC that is designed to assure that UFLIC will have the funds to pay its reinsurance obligations. As a result of these reinsurance agreements and the spin-off of Genworth, Genworth has reinsurance protection from UFLIC (supported by GE) and has reinsurance obligations in connection with the Travelers LTC policies. As noted below, the Genworth reinsurance obligations now benefit Brighthouse Financial, Inc. (Brighthouse). While neither Brighthouse nor Citi are direct beneficiaries of the capital maintenance agreement between GE and UFLIC, Brighthouse and Citi benefit indirectly from the existence of the capital maintenance agreement, which helps assure that UFLIC will continue to have funds necessary to pay its reinsurance obligations to Genworth.
In connection with Citi’s 2005 sale of Travelers to MetLife Inc. (MetLife), Citi provided an indemnification to MetLife for losses (including policyholder claims) relating to the LTC business for the entire term of the Travelers LTC policies, which, as noted above, are reinsured by subsidiaries of Genworth. In 2017, MetLife spun off its retail insurance business to Brighthouse. As a result, the Travelers LTC policies now reside with Brighthouse. The original reinsurance agreement between Travelers (now Brighthouse) and Genworth remains in place and Brighthouse is the sole beneficiary of the Genworth Trusts. The fair value of the Genworth Trusts is approximately $8.3 billion as of June 30, 2019, compared to approximately $7.5 billion at December 31, 2018. The Genworth Trusts are designed to provide collateral to Brighthouse in an amount equal to the statutory liabilities of Brighthouse in respect of the Travelers LTC policies. The assets in the Genworth Trusts are

182


evaluated and adjusted periodically to ensure that the fair value of the assets continues to provide collateral in an amount equal to these estimated statutory liabilities, as the liabilities change over time.
If both (i) Genworth fails to perform under the original
Travelers/GE Life reinsurance agreement for any reason,
including insolvency or the failure of UFLIC to perform in a timely manner, and (ii) the assets of the two Genworth Trusts
are insufficient or unavailable, then Citi, through its LTC
reinsurance indemnification, must reimburse Brighthouse for
any losses incurred in connection with the LTC policies. Since both events would have to occur before Citi would become responsible for any payment to Brighthouse pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is no liability reflected on the Consolidated Balance Sheet as of June 30, 2019 and December 31, 2018 related to this indemnification. Citi continues to closely monitor its potential exposure under this indemnification obligation.
Separately, Genworth announced that it had agreed to
be purchased by China Oceanwide Holdings Co., Ltd, subject to a series of conditions and regulatory approvals. Citi is monitoring these developments.

Futures and Over-the-Counter Derivatives Clearing
Citi provides clearing services on central clearing parties (CCP) for clients that need to clear exchange-traded and over-the-counter (OTC) derivative contracts with CCPs. Based on all relevant facts and circumstances, Citi has concluded that it acts as an agent for accounting purposes in its role as clearing member for these client transactions. As such, Citi does not reflect the underlying exchange-traded or OTC derivatives contracts in its Consolidated Financial Statements. See Note 19 for a discussion of Citi’s derivatives activities that are reflected in its Consolidated Financial Statements.
As a clearing member, Citi collects and remits cash and securities collateral (margin) between its clients and the
respective CCP. In certain circumstances, Citi collects a higher amount of cash (or securities) from its clients than it needs to remit to the CCPs. This excess cash is then held at depository institutions such as banks or carry brokers.
There are two types of margin: initial and variation. Where Citi obtains benefits from or controls cash initial margin (e.g., retains an interest spread), cash initial margin collected from clients and remitted to the CCP or depository institutions is reflected within Brokerage payables (payables to customers) and Brokerage receivables (receivables from brokers, dealers and clearing organizations) or Cash and due from banks, respectively.
However, for exchange-traded and OTC-cleared derivative contracts where Citi does not obtain benefits from or control the client cash balances, the client cash initial margin collected from clients and remitted to the CCP or depository institutions is not reflected on Citi’s Consolidated Balance Sheet. These conditions are met when Citi has contractually agreed with the client that (i) Citi will pass through to the client all interest paid by the CCP or depository institutions on the cash initial margin, (ii) Citi
 
will not utilize its right as a clearing member to transform cash margin into other assets, (iii) Citi does not guarantee and is not liable to the client for the performance of the CCP or the depository institution and (iv) the client cash balances are legally isolated from Citi’s bankruptcy estate. The total amount of cash initial margin collected and remitted in this manner was approximately $14.1 billion and $13.8 billion as of June 30, 2019 and December 31, 2018, respectively.
Variation margin due from clients to the respective CCP, or from the CCP to clients, reflects changes in the value of the client’s derivative contracts for each trading day. As a clearing member, Citi is exposed to the risk of non-performance by clients (e.g., failure of a client to post
variation margin to the CCP for negative changes in the
value of the client’s derivative contracts). In the event of
non-performance by a client, Citi would move to close out
the client’s positions. The CCP would typically utilize initial
margin posted by the client and held by the CCP, with any
remaining shortfalls required to be paid by Citi as clearing
member. Citi generally holds incremental cash or securities
margin posted by the client, which would typically be
expected to be sufficient to mitigate Citi’s credit risk in the
event the client fails to perform.
As required by ASC 860-30-25-5, securities collateral posted by clients is not recognized on Citi’s Consolidated Balance Sheet.

Carrying Value—Guarantees and Indemnifications
At June 30, 2019 and December 31, 2018, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted
to approximately $0.8 billion and $0.9 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities. For loans sold with recourse, the carrying value of the liability is included in Other liabilities.

Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $71 billion and $55 billion at June 30, 2019 and December 31, 2018, respectively. Securities and other marketable assets held as collateral amounted to $55 billion at both June 30, 2019 and December 31, 2018. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. Additionally, letters of credit in favor of Citi held as collateral amounted to $4.0 billion and $4.1 billion at June 30, 2019 and December 31, 2018, respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.


183


Performance Risk
Presented in the tables below are the maximum potential amounts of future payments that are classified based upon internal and external credit ratings. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.



 
Maximum potential amount of future payments
In billions of dollars at June 30, 2019
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit
$
71.6

$
11.7

$
15.8

$
99.1

Performance guarantees
9.7

2.0

0.3

12.0

Derivative instruments deemed to be guarantees
—

—

102.9

102.9

Loans sold with recourse
—

—

1.3

1.3

Securities lending indemnifications
—

—

105.3

105.3

Credit card merchant processing
—

—

90.0

90.0

Credit card arrangements with partners
—

—

0.9

0.9

Custody indemnifications and other
19.1

12.6

—

31.7

Total
$
100.4

$
26.3

$
316.5

$
443.2


 
Maximum potential amount of future payments
In billions of dollars at December 31, 2018
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit
$
71.3

$
11.9

$
16.4

$
99.6

Performance guarantees
9.2

2.1

0.6

11.9

Derivative instruments deemed to be guarantees
—

—

110.9

110.9

Loans sold with recourse
—

—

1.2

1.2

Securities lending indemnifications
—

—

98.3

98.3

Credit card merchant processing
—

—

94.7

94.7

Credit card arrangements with partners
—

—

1.1

1.1

Custody indemnifications and other
22.2

13.2

—

35.4

Total
$
102.7

$
27.2

$
323.2

$
453.1




 
Leases
The Company’s operating leases, where Citi is a lessee, include real estate, such as office space and branches, and various types of equipment. These leases have a weighted-average remaining lease term of approximately six years as of June 30, 2019. The operating lease ROU asset and lease liability were $2.9 billion and $3.1 billion, respectively, as of June 30, 2019. The Company recognizes fixed lease costs on a straight-line basis throughout the lease term in the Consolidated Statement of Income. Additionally, variable lease costs are recognized in the period in which the obligation for those payments is incurred. The total operating lease expense (principally for offices, branches and equipment), net of approximately $14 million and $35 million of sublease income, was approximately $265 million and $537 million for the three and six months ended June 30, 2019, respectively. The decrease in the lease liability and related financial information for operating leases from March 31, 2019 reflects the impact of a purchase of a previously leased property in London during the second quarter of 2019. The purchased property is included in Other assets on the Consolidated Balance Sheet at June 30, 2019.
While Citi has, as a lessee, certain finance leases, such leases are not material to the Company's Consolidated Financial Statements.
Citi’s lease arrangements that have not yet commenced as of June 30, 2019 and the Company’s short-term lease costs, variable lease costs and finance lease costs, for the three and six months ended June 30, 2019 are not material to the Consolidated Financial Statements. Citi’s operating cash outflows related to operating leases were approximately $252 million and $486 million for the three and six months ended June 30, 2019, respectively, while the future lease payments are as follows:
 In millions of dollars
Operating leases
As of June 30, 2019
 
Remaining 2019
$
436

2020
716

2021
592

2022
464

2023
355

Thereafter
930

Total future lease payments
$
3,493

Less imputed interest (based on weighted-average discount rate of 3.7%)
(391
)
Lease liability
$
3,102








 









 

184


Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:
In millions of dollars
U.S.
Outside of 
U.S.
June 30,
2019
December 31,
2018
Commercial and similar letters of credit
$
928

$
4,485

$
5,413

$
5,461

One- to four-family residential mortgages
2,367

1,783

4,150

2,671

Revolving open-end loans secured by one- to four-family residential properties
9,769

1,283

11,052

11,374

Commercial real estate, construction and land development
12,054

1,505

13,559

11,293

Credit card lines
613,905

94,579

708,484

696,007

Commercial and other consumer loan commitments
198,479

106,442

304,921

300,115

Other commitments and contingencies
3,033

415

3,448

3,321

Total
$
840,535

$
210,492

$
1,051,027

$
1,030,242



The majority of unused commitments are contingent upon customers maintaining specific credit standards.
Commercial commitments generally have floating interest rates and fixed expiration dates and may require payment of fees. Such fees (net of certain direct costs) are deferred and, upon exercise of the commitment, amortized over the life of
the loan or, if exercise is deemed remote, amortized over the commitment period.

Other commitments and contingencies
Other commitments and contingencies include all other transactions related to commitments and contingencies not reported on the lines above.

Unsettled reverse repurchase and securities borrowing agreements and unsettled repurchase and securities lending agreements
In addition, in the normal course of business, Citigroup enters into reverse repurchase and securities borrowing agreements, as well as repurchase and securities lending agreements, which settle at a future date. At June 30, 2019 and December 31, 2018, Citigroup had approximately $52.5 billion and $36.1 billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $61.1 billion and $30.7 billion of unsettled repurchase and securities lending agreements, respectively. For a further discussion of securities purchased under agreements to resell and securities borrowed, and securities sold under agreements to repurchase and securities loaned, including the Company’s policy for offsetting repurchase and reverse repurchase agreements, see Note 10 to the Consolidated Financial Statements.


 
Restricted Cash
Citigroup defines restricted cash (as cash subject to withdrawal restrictions) to include cash deposited with central banks that must be maintained to meet minimum regulatory requirements, and cash set aside for the benefit of customers or for other purposes such as compensating balance arrangements or debt retirement. Restricted cash includes minimum reserve requirements with the Federal
Reserve Bank and certain other central banks and cash segregated to satisfy rules regarding the protection of customer assets as required by Citigroup broker-dealers’ primary regulators, including the United States Securities and Exchange Commission (SEC), the Commodities Futures Trading Commission and the United Kingdom’s Prudential Regulation Authority.
Restricted cash is included on the Consolidated Balance Sheet within the following balance sheet lines:

In millions of dollars
June 30,
2019
December 31,
2018
Cash and due from banks
$
2,624

$
4,000

Deposits with banks
29,519

27,208

Total
$
32,143

$
31,208









185


23.   CONTINGENCIES

The following information supplements and amends, as applicable, the disclosure in Note 23 to the Consolidated Financial Statements of Citigroup’s First Quarter of 2019 Form 10-Q and Note 27 to the Consolidated Financial Statements of Citigroup’s 2018 Annual Report on Form 10-K. For purposes of this Note, Citigroup, its affiliates and subsidiaries, and current and former officers, directors and employees, are sometimes collectively referred to as Citigroup and Related Parties.
In accordance with ASC 450, Citigroup establishes accruals for contingencies, including the litigation, regulatory, and tax matters disclosed herein, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters.
If Citigroup has not accrued for a matter because the matter does not meet the criteria for accrual (as set forth above), or Citigroup believes an exposure to loss exists in excess of the amount accrued for a particular matter, in each case assuming a material loss is reasonably possible, Citigroup discloses the matter. In addition, for such matters, Citigroup discloses an estimate of the aggregate reasonably possible loss or range of loss in excess of the amounts accrued for those matters as to which an estimate can be made. At June 30, 2019, Citigroup’s estimate of the reasonably possible unaccrued loss for these matters was approximately $1.2 billion in the aggregate.
As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation, regulatory, tax or other matters are subject to particular uncertainties. For example, at the time of making an estimate, Citigroup may have only preliminary, incomplete, or inaccurate information about the facts underlying the claim; its assumptions about the future rulings of the court or other tribunal on significant issues, or the behavior and incentives of adverse parties, regulators, or tax authorities may prove to be wrong; and the outcomes it is attempting to predict are often not amenable to the use of statistical or other quantitative analytical tools. In addition, from time to time an outcome may occur that Citigroup had not accounted for in its estimates because it had deemed such an outcome to be remote. For all these reasons, the amount of loss in excess of accruals ultimately incurred for the matters as to which an estimate has been made could be substantially higher or lower than the range of loss included in the estimate.
Subject to the foregoing, it is the opinion of Citigroup's management, based on current knowledge and after taking into account its current legal accruals, that the eventual outcome of all matters described in this Note would not be likely to have a material adverse effect on the consolidated financial condition
 
of Citigroup. Nonetheless, given the substantial or indeterminate amounts sought in certain of these matters and the inherent unpredictability of such matters, an adverse outcome in certain of these matters could, from time to time, have a material adverse effect on Citigroup’s consolidated results of operations or cash flows in particular quarterly or annual periods.
For further information on ASC 450 and Citigroup's accounting and disclosure framework for contingencies, including for the litigation, regulatory, and tax matters disclosed herein, see Note 27 to the Consolidated Financial Statements of Citigroup’s 2018 Annual Report on Form 10-K.

Credit Crisis-Related Litigation and Other Matters

Mortgage-Related Litigation and Other Matters
Mortgage-Backed Securities Trustee Actions: On June 7, 2019, plaintiffs withdrew their appeal and the case was dismissed in the federal court litigation captioned FIXED INCOME SHARES: SERIES M ET. Al. v. CITIBANK N.A. Additional information concerning this action is publicly available in court filings under the docket numbers 14-cv-9373 (S.D.N.Y.) (Furman, J.) and 18-1196 (2d Cir.).
On June 7, 2019, plaintiffs filed an unopposed motion to discontinue the action in the state court litigation captioned FIXED INCOME SHARES: SERIES M, ET AL. v. CITIBANK N.A.  Additional information concerning this action is publicly available in court filings under the docket number 653891/2015 (N.Y. Sup. Ct.) (Borrok, J.).

Foreign Exchange Matters
Regulatory Actions: On May 16, 2019, the European Commission (EC) announced a settlement with Citigroup and Citibank resolving its foreign exchange spot investigation. Citi was among six banks settling the EC’s investigation. As part of the settlement, Citi agreed to pay a fine of 310,776,000 Euro.
On June 6, 2019, the Swiss Competition Commission (COMCO) announced a settlement with Citigroup for the same conduct covered by the EC settlement. Citigroup was among six banks settling COMCO’s investigation. As part of the settlement, Citigroup agreed to pay a fine of 28,500,000 CHF.
Antitrust and Other Litigation: On June 11, 2019, in ALLIANZ GLOBAL INVESTORS, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., plaintiffs filed a second amended complaint. Plaintiffs allege that defendants manipulated, and colluded to manipulate, the foreign exchange market. Plaintiffs assert Sherman Act and unjust enrichment claims and seek consequential and punitive damages and other forms of relief. Additional information concerning this action is publicly available in court filings under the docket number 18 Civ. 10364 (S.D.N.Y.) (Schofield, J.).
On May 29, 2019, in CONTANT, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., plaintiffs filed an amended motion for preliminary approval of their settlement with Citigroup, Citibank, Citicorp, and Citigroup Global Markets Inc. (CGMI). Additional information concerning this

186


action is publicly available in court filings under the docket number 17 Civ. 3139 (S.D.N.Y.) (Schofield, J.).
On May 27, 2019, a putative class action captioned J WISBEY & ASSOCIATES PTY LTD v. UBS AG & ORS was filed in the Federal Court of Australia against Citibank and other defendants. Plaintiffs allege manipulation of foreign exchange markets in violation of Australian antitrust laws and seek compensatory damages and declaratory and injunctive relief. Additional information concerning this action is publicly available in court filings under the docket number VID567/2019.
On July 29, 2019, an application was made to the U.K.’s Competition Appeal Tribunal, captioned MICHAEL O’HIGGINS FX CLASS REPRESENTATIVE LIMITED v. BARCLAYS BANK PLC AND OTHERS, requesting permission to commence collective proceedings against Citibank and other defendants. The application seeks compensatory damages for losses alleged to have arisen from the actions at issue in the EC settlement referenced above.
Interbank Offered Rates-Related Litigation and Other Matters
Antitrust and Other Litigation: On April 30, 2019, in 7 WEST 57th STREET REALTY CO. v. CITIGROUP, INC., ET AL., the United States Court of Appeals for the Second Circuit issued a summary order affirming the district court’s dismissal of the action. Additional information concerning this action is publicly available in court filings under the docket numbers 13 Civ. 981 (S.D.N.Y.) (Gardephe, J.) and 18-1102 (2d Cir.).
On May 17, 2019, in SULLIVAN, ET AL. v. BARCLAYS PLC, ET AL., the court granted final approval of the class settlement between plaintiffs and Citigroup, Citibank, and other settling defendants. Additional information concerning this action is publicly available in court filings under the docket number 13 Civ. 2811 (S.D.N.Y.) (Castel, J.).
Following the court’s March 25, 2019 ruling in IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION, on July 1, 2019, the court ordered the stipulations of the parties regarding the status of claims asserted by the Federal Deposit Insurance Corporation, Federal Home Loan Mortgage Corporation, and National Credit Union Administration Board. In the stipulations, the parties agreed on the claims that remain viable, the claims that were dismissed, and the claims whose viability remains in dispute. Additional information concerning these actions is publicly available in court filings under the docket numbers 11 MD 2262 (S.D.N.Y.) (Buchwald, J.) and 17-1569 (2d Cir.).
On May 23, 2019, in SCS BANQUE DELUBAC & CIE v. CITIGROUP INC. ET AL., Banque Delubac filed an appeal before France’s Court of Cassation challenging the Court of Appeal of Nîmes’s ruling that neither the Commercial Court of Aubenas nor the Commercial Court of Marseille has jurisdiction over Banque Delubac’s claims. Additional information concerning these actions is publicly available in court filings in the Court of Cassation under the docket number W1916931 (AROB), and the Commercial Court of Marseille under the docket number RG no. 2018F0750.
On July 1, 2019, in PUTNAM BANK v. INTERCONTINENTAL EXCHANGE, INC., ET AL., the
 
plaintiffs filed a consolidated amended complaint. Additional information relating to this action is publicly available in court filings under the docket number 19 Civ. 439 (S.D.N.Y.) (Daniels, J.).

Parmalat Litigation
On May 23, 2019, the Milan Court of Appeal rejected Parmalat’s appeal of the January 2018 decision of the Milan Commercial Court dismissing Parmalat’s claim. On June 28, 2019, Parmalat filed its appeal with the Italian Supreme Court. Additional information concerning this action is publicly available in court filings under the docket number 20598/2019.

Sovereign Securities Matters
Antitrust and Other Litigation: On May 23, 2019, in IN RE GSE BONDS ANTITRUST LITIGATION, plaintiffs filed a consolidated amended complaint against CGMI and numerous other defendants, on behalf of a purported class of persons or entities that transacted in bonds issued by United States
government-sponsored entities with one or more of the defendants. Plaintiffs no longer assert any claims against Citigroup. Plaintiffs assert a claim under the Sherman Act based on defendants’ alleged conspiracy to manipulate the market for such bonds, and seek treble damages and injunctive relief. On June 13, 2019, CGMI and other defendants moved to dismiss the consolidated amended complaint. Additional information relating to this action is publicly available in court filings under the docket number 19 Civ. 1704 (S.D.N.Y.) (Rakoff, J.).

Transaction Tax Matters
Citigroup and Citibank are engaged in litigation or examinations with tax authorities in India and Germany concerning the payment of transaction taxes and other non-income tax matters.

Variable Rate Demand Obligation Litigation
On May 31, 2019, plaintiffs in the consolidated actions CITY OF PHILADELPHIA v. BANK OF AMERICA CORP., ET AL. and MAYOR AND CITY COUNCIL OF BALTIMORE v. BANK OF AMERICA CORP., ET AL. filed a consolidated complaint naming as defendants Citigroup, Citibank, CGMI, Citigroup Global Markets Limited, and numerous other industry participants. The consolidated complaint asserts violations of the Sherman Act, as well as claims for breach of contract, breach of fiduciary duty, and unjust enrichment, and seeks damages and injunctive relief based on allegations that defendants served as remarketing agents for municipal bonds called variable rate demand obligations (VRDOs) and colluded to set artificially high VRDO interest rates.  Additional information concerning these actions is publicly available in court filings under the docket numbers 19-CV-1608 (S.D.N.Y.) (Furman, J.) and 19-CV-2667 (S.D.N.Y.) (Furman, J.).


187


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


24.   CONDENSED CONSOLIDATING FINANCIAL STATEMENTS

Citigroup amended its Registration Statement on Form S-3 on file with the SEC (File No. 33-192302) to add its wholly owned subsidiary, Citigroup Global Markets Holdings Inc. (CGMHI), as a co-registrant. Any securities issued by CGMHI under the Form S-3 will be fully and unconditionally guaranteed by Citigroup.
The following are the Condensed Consolidating Statements of Income and Comprehensive Income for the three and six months ended June 30, 2019 and 2018, Condensed Consolidating Balance Sheet as of June 30, 2019 and December 31, 2018 and Condensed Consolidating Statement of Cash Flows for the six months ended June 30, 2019 and 2018 for Citigroup Inc., the parent holding company (Citigroup parent company), CGMHI, other Citigroup subsidiaries and eliminations and total consolidating adjustments. “Other Citigroup subsidiaries and eliminations” includes all other subsidiaries of Citigroup, intercompany eliminations and income (loss) from discontinued operations. “Consolidating adjustments” includes Citigroup parent company elimination of distributed and undistributed income of subsidiaries and investment in subsidiaries.
These Condensed Consolidating Financial Statements have been prepared and presented in accordance with SEC Regulation S-X Rule 3-10, “Financial Statements of Guarantors and Issuers of Guaranteed Securities Registered or Being Registered.”
These Condensed Consolidating Financial Statements are presented for purposes of additional analysis, but should be considered in relation to the Consolidated Financial Statements of Citigroup taken as a whole.


188


Condensed Consolidating Statements of Income and Comprehensive Income
 
Three Months Ended June 30, 2019
In millions of dollars
Citigroup parent company
 
CGMHI
 
Other Citigroup subsidiaries and eliminations
 
Consolidating adjustments
 
Citigroup consolidated
Revenues
 
 
 
 
 
 
 
 
 
Dividends from subsidiaries
$
5,049

 
$
—

 
$
—

 
$
(5,049
)
 
$
—

Interest revenue
—

 
3,184

 
16,528

 
—

 
19,712

Interest revenue—intercompany
1,327

 
518

 
(1,845
)
 
—

 
—

Interest expense
1,278

 
1,911

 
4,573

 
—

 
7,762

Interest expense—intercompany
202

 
1,152

 
(1,354
)
 
—

 
—

Net interest revenue
$
(153
)
 
$
639

 
$
11,464

 
$
—

 
$
11,950

Commissions and fees
$
—

 
$
1,309

 
$
1,572

 
$
—

 
$
2,881

Commissions and fees—intercompany
—

 
94

 
(94
)
 
—

 
—

Principal transactions
(565
)
 
1,142

 
1,297

 
—

 
1,874

Principal transactions—intercompany
791

 
(675
)
 
(116
)
 
—

 
—

Other income
(368
)
 
498

 
1,923

 
—

 
2,053

Other income—intercompany
9

 
14

 
(23
)
 
—

 
—

Total non-interest revenues
$
(133
)
 
$
2,382

 
$
4,559

 
$
—

 
$
6,808

Total revenues, net of interest expense
$
4,763

 
$
3,021

 
$
16,023

 
$
(5,049
)
 
$
18,758

Provisions for credit losses and for benefits and claims
$
—

 
$
—

 
$
2,093

 
$
—

 
$
2,093

Operating expenses
 
 
 
 


 
 
 
 
Compensation and benefits
$
4

 
$
1,166

 
$
4,211

 
$
—

 
$
5,381

Compensation and benefits—intercompany
17

 
—

 
(17
)
 
—

 
—

Other operating
9

 
540

 
4,570

 
—

 
5,119

Other operating—intercompany
5

 
582

 
(587
)
 
—

 
—

Total operating expenses
$
35

 
$
2,288

 
$
8,177

 
$
—

 
$
10,500

Equity in undistributed income of subsidiaries
$
(146
)
 
$
—

 
$
—

 
$
146

 
$
—

Income (loss) from continuing operations before income taxes
$
4,582

 
$
733

 
$
5,753

 
$
(4,903
)
 
$
6,165

Provision (benefit) for income taxes
(217
)
 
8

 
1,582

 
—

 
1,373

Income (loss) from continuing operations
$
4,799

 
$
725

 
$
4,171

 
$
(4,903
)
 
$
4,792

Income from discontinued operations, net of taxes
—

 
—

 
17

 
—

 
17

Net income before attribution of noncontrolling interests
$
4,799

 
$
725

 
$
4,188

 
$
(4,903
)
 
$
4,809

Noncontrolling interests
—

 
—

 
10

 
—

 
10

Net income (loss)
$
4,799

 
$
725

 
$
4,178

 
$
(4,903
)
 
$
4,799

Comprehensive income
 
 
 
 
 
 
 
 
 
Add: Other comprehensive income (loss)
$
1,105

 
$
(12
)
 
$
734

 
$
(722
)
 
$
1,105

Total Citigroup comprehensive income (loss)
$
5,904


$
713


$
4,912


$
(5,625
)

$
5,904

Add: Other comprehensive income attributable to noncontrolling interests
$
—

 
$
—

 
$
20

 
$
—

 
$
20

Add: Net income attributable to noncontrolling interests
—

 
—

 
10

 
—

 
10

Total comprehensive income (loss)
$
5,904


$
713


$
4,942


$
(5,625
)

$
5,934










189


Condensed Consolidating Statements of Income and Comprehensive Income
 
Three Months Ended June 30, 2018
In millions of dollars
Citigroup parent company
 
CGMHI
 
Other Citigroup subsidiaries and eliminations
 
Consolidating adjustments
 
Citigroup consolidated
Revenues
 
 
 
 
 
 
 
 
 
Dividends from subsidiaries
$
3,115

 
$
—

 
$
—

 
$
(3,115
)
 
$
—

Interest revenue
14

 
2,398

 
15,138

 
—

 
17,550

Interest revenue—intercompany
1,225

 
399

 
(1,624
)
 
—

 
—

Interest expense
813

 
1,314

 
3,758

 
—

 
5,885

Interest expense—intercompany
716

 
896

 
(1,612
)
 
—

 
—

Net interest revenue
$
(290
)
 
$
587

 
$
11,368

 
$
—

 
$
11,665

Commissions and fees
$
—

 
$
1,347

 
$
1,764

 
$
—

 
$
3,111

Commissions and fees—intercompany
(1
)
 
91

 
(90
)
 
—

 
—

Principal transactions
(1,206
)
 
(697
)
 
4,029

 
—

 
2,126

Principal transactions—intercompany
(472
)
 
1,279

 
(807
)
 
—

 
—

Other income
1,480

 
188

 
(101
)
 
—

 
1,567

Other income—intercompany
(121
)
 
(19
)
 
140

 
—

 
—

Total non-interest revenues
$
(320
)
 
$
2,189

 
$
4,935


$
—

 
$
6,804

Total revenues, net of interest expense
$
2,505

 
$
2,776

 
$
16,303

 
$
(3,115
)
 
$
18,469

Provisions for credit losses and for benefits and claims
$
—

 
$
(24
)
 
$
1,836

 
$
—

 
$
1,812

Operating expenses
 
 
 
 
 
 
 
 
 
Compensation and benefits
$
1

 
$
1,282

 
$
4,169

 
$
—

 
$
5,452

Compensation and benefits—intercompany
29

 
—

 
(29
)
 
—

 
—

Other operating
(52
)
 
578

 
4,734

 
—

 
5,260

Other operating—intercompany
13

 
693

 
(706
)
 
—

 
—

Total operating expenses
$
(9
)
 
$
2,553

 
$
8,168

 
$
—

 
$
10,712

Equity in undistributed income of subsidiaries
$
1,485

 
$
—

 
$
—

 
$
(1,485
)
 
$
—

Income (loss) from continuing operations before income
taxes
$
3,999

 
$
247

 
$
6,299

 
$
(4,600
)
 
$
5,945

Provision (benefit) for income taxes
(491
)
—

619

 
1,316

 
—

 
1,444

Income (loss) from continuing operations
$
4,490

 
$
(372
)
 
$
4,983

 
$
(4,600
)
 
$
4,501

Income from discontinued operations, net of taxes
—

 
—

 
15

 
—

 
15

Net income (loss) before attribution of noncontrolling interests
$
4,490

 
$
(372
)
 
$
4,998

 
$
(4,600
)
 
$
4,516

Noncontrolling interests
—

 
—

 
26

 
—

 
26

Net income (loss)
$
4,490

 
$
(372
)
 
$
4,972

 
$
(4,600
)
 
$
4,490

Comprehensive income
 
 
 
 
 
 
 
 
 
Add: Other comprehensive income (loss)
$
(2,875
)
 
$
(72
)
 
$
5,401

 
$
(5,329
)
 
$
(2,875
)
Total Citigroup comprehensive income (loss)
$
1,615



$
(444
)


$
10,373


$
(9,929
)

$
1,615

Add: Other comprehensive income attributable to noncontrolling interests
$
—

 
$
—

—

$
(57
)
 
$
—

 
$
(57
)
Add: Net income attributable to noncontrolling interests
—

 
—

—

26

 
—

 
26

Total comprehensive income (loss)
$
1,615



$
(444
)


$
10,342


$
(9,929
)
 
$
1,584












190


Condensed Consolidating Statements of Income and Comprehensive Income
 
Six Months Ended June 30, 2019
In millions of dollars
Citigroup parent company
 
CGMHI
 
Other Citigroup subsidiaries and eliminations
 
Consolidating adjustments
 
Citigroup consolidated
Revenues
 
 
 
 
 
 
 
 
 
Dividends from subsidiaries
$
14,216

 
$
—

 
$
—

 
$
(14,216
)
 
$
—

Interest revenue
—

 
5,756

 
33,032

 
—

 
38,788

Interest revenue—intercompany
2,652

 
1,021

 
(3,673
)
 
—

 
—

Interest expense
2,549

 
3,735

 
8,795

 
—

 
15,079

Interest expense—intercompany
514

 
2,227

 
(2,741
)
 
—

 
—

Net interest revenue
$
(411
)
 
$
815

 
$
23,305

 
$
—

 
$
23,709

Commissions and fees
$
—

 
$
2,616

 
$
3,191

 
$
—

 
$
5,807

Commissions and fees—intercompany
(1
)
 
215

 
(214
)
 
—

 
—

Principal transactions
(1,390
)
 
108

 
5,960

 
—

 
4,678

Principal transactions—intercompany
1,238

 
1,361

 
(2,599
)
 
—

 
—

Other income
(49
)
 
597

 
2,592

 
—

 
3,140

Other income—intercompany
(25
)
 
56

 
(31
)
 
—

 
—

Total non-interest revenues
$
(227
)
 
$
4,953

 
$
8,899

 
$
—

 
$
13,625

Total revenues, net of interest expense
$
13,578

 
$
5,768

 
$
32,204

 
$
(14,216
)
 
$
37,334

Provisions for credit losses and for benefits and claims
$
—

 
$
—

 
$
4,073

 
$
—

 
$
4,073

Operating expenses
 
 
 
 

 
 
 
 
Compensation and benefits
$
37

 
$
2,450

 
$
8,552

 
$
—

 
$
11,039

Compensation and benefits—intercompany
43

 
—

 
(43
)
 
—

 
—

Other operating
14

 
1,093

 
8,938

 
—

 
10,045

Other operating—intercompany
10

 
1,164

 
(1,174
)
 
—

 
—

Total operating expenses
$
104

 
$
4,707

 
$
16,273

 
$
—

 
$
21,084

Equity in undistributed income of subsidiaries
$
(4,349
)
 
$
—

 
$
—

 
$
4,349

 
$
—

Income (loss) from continuing operations before income
taxes
$
9,125

 
$
1,061

 
$
11,858

 
$
(9,867
)
 
$
12,177

Provision (benefit) for income taxes
(384
)
—

148

 
2,884

 
—

 
2,648

Income (loss) from continuing operations
$
9,509

 
$
913

 
$
8,974

 
$
(9,867
)
 
$
9,529

Income from discontinued operations, net of taxes
—

 
—

 
15

 
—

 
15

Net income (loss) before attribution of noncontrolling interests
$
9,509

 
$
913

 
$
8,989

 
$
(9,867
)
 
$
9,544

Noncontrolling interests
—

 
—

 
35

 
—

 
35

Net income (loss)
$
9,509

 
$
913

 
$
8,954

 
$
(9,867
)
 
$
9,509

Comprehensive income
 
 
 
 
 
 
 
 
 
Add: Other comprehensive income (loss)
$
1,967

 
$
(301
)
 
$
1,733

 
$
(1,432
)
 
$
1,967

Total Citigroup comprehensive income (loss)
$
11,476

 
$
612

 
$
10,687

 
$
(11,299
)
 
$
11,476

Add: Other comprehensive income attributable to noncontrolling interests
$
—

 
$
—

—

$
7

 
$
—

 
$
7

Add: Net income attributable to noncontrolling interests
—

 
—

—

35

 
—

 
35

Total comprehensive income (loss)
$
11,476

 
$
612

 
$
10,729

 
$
(11,299
)
 
$
11,518












191


Condensed Consolidating Statements of Income and Comprehensive Income
 
Six Months Ended June 30, 2018
In millions of dollars
Citigroup parent company
 
CGMHI
 
Other Citigroup subsidiaries and eliminations
 
Consolidating adjustments
 
Citigroup consolidated
Revenues
 
 
 
 
 
 
 
 
 
Dividends from subsidiaries
$
8,700

 
$
—

 
$
—

 
$
(8,700
)
 
$
—

Interest revenue
66

 
4,053

 
29,763

 
—

 
33,882

Interest revenue—intercompany
2,355

 
782

 
(3,137
)
 
—

 
—

Interest expense
2,051

 
2,327

 
6,667

 
—

 
11,045

Interest expense—intercompany
975

 
1,668

 
(2,643
)
 
—

 
—

Net interest revenue
$
(605
)
 
$
840

 
$
22,602

 
$
—

 
$
22,837

Commissions and fees
$
—

 
$
2,599

 
$
3,542

 
$
—

 
$
6,141

Commissions and fees—intercompany
(1
)
 
91

 
(90
)
 
—

 
—

Principal transactions
(175
)
 
224

 
5,319

 
—

 
5,368

Principal transactions—intercompany
(858
)
 
1,471

 
(613
)
 
—

 
—

Other income
552

 
341

 
2,102

 
—

 
2,995

Other income—intercompany
(66
)
 
31

 
35

 
—

 
—

Total non-interest revenues
$
(548
)
 
$
4,757

 
$
10,295


$
—

 
$
14,504

Total revenues, net of interest expense
$
7,547

 
$
5,597

 
$
32,897

 
$
(8,700
)
 
$
37,341

Provisions for credit losses and for benefits and claims
$
—

 
$
(24
)
 
$
3,693

 
$
—

 
$
3,669

Operating expenses
 
 
 
 
 
 
 
 
 
Compensation and benefits
$
135

 
$
2,547

 
$
8,577

 
$
—

 
$
11,259

Compensation and benefits—intercompany
63

 
—

 
(63
)
 
—

 
—

Other operating
(9
)
 
1,126

 
9,261

 
—

 
10,378

Other operating—intercompany
25

 
1,271

 
(1,296
)
 
—

 
—

Total operating expenses
$
214

 
$
4,944

 
$
16,479

 
$
—

 
$
21,637

Equity in undistributed income of subsidiaries
$
1,039

 
$
—

 
$
—

 
$
(1,039
)
 
$
—

Income (loss) from continuing operations before income
taxes
$
8,372

 
$
677

 
$
12,725

 
$
(9,739
)
 
$
12,035

Provision (benefit) for income taxes
(738
)
—

684

 
2,939

 
—

 
2,885

Income (loss) from continuing operations
$
9,110

 
$
(7
)
 
$
9,786

 
$
(9,739
)
 
$
9,150

Income from discontinued operations, net of taxes
—

 
—

 
8

 
—

 
8

Net income (loss) before attribution of noncontrolling interests
$
9,110

 
$
(7
)
 
$
9,794

 
$
(9,739
)
 
$
9,158

Noncontrolling interests
—

 
—

 
48

 
—

 
48

Net income (loss)
$
9,110

 
$
(7
)
 
$
9,746

 
$
(9,739
)
 
$
9,110

Comprehensive income
 
 
 
 
 
 
 
 
 
Add: Other comprehensive income (loss)
$
(2,823
)
 
$
10

 
$
2,245

 
$
(2,255
)
 
$
(2,823
)
Total Citigroup comprehensive income (loss)
$
6,287

 
$
3

 
$
11,991

 
$
(11,994
)
 
$
6,287

Add: Other comprehensive income attributable to noncontrolling interests
$
—

 
$
—

—

$
(43
)
 
$
—

 
$
(43
)
Add: Net income attributable to noncontrolling interests
—

 
—

—

48

 
—

 
48

Total comprehensive income (loss)
$
6,287

 
$
3

 
$
11,996

 
$
(11,994
)
 
$
6,292



192


Condensed Consolidating Balance Sheet
 
June 30, 2019
In millions of dollars
Citigroup parent company
 
CGMHI
 
Other Citigroup subsidiaries and eliminations
 
Consolidating adjustments
 
Citigroup consolidated
Assets
 
 
 
 
 
 
 
 
 
Cash and due from banks
$
—

 
$
689

 
$
24,308

 
$
—

 
$
24,997

Cash and due from banks—intercompany
15

 
3,790

 
(3,805
)
 
—

 
—

Deposits with banks
—

 
4,420

 
173,826

 
—

 
178,246

Deposits with banks—intercompany
3,000

 
5,701

 
(8,701
)
 
—

 
—

Securities borrowed and purchased under resale agreements
—

 
204,516

 
55,253

 
—

 
259,769

Securities borrowed and purchased under resale agreements—intercompany
—

 
18,767

 
(18,767
)
 
—

 
—

Trading account assets
323

 
175,750

 
130,758

 
—

 
306,831

Trading account assets—intercompany
1,682

 
2,034

 
(3,716
)
 
—

 
—

Investments
1

 
609

 
349,092

 
—

 
349,702

Loans, net of unearned income
—

 
1,955

 
686,715

 
—

 
688,670

Loans, net of unearned income—intercompany
—

 
—

 
—

 
—

 
—

Allowance for loan losses
—

 
—

 
(12,466
)
 
—

 
(12,466
)
Total loans, net
$
—

 
$
1,955

 
$
674,249

 
$
—

 
$
676,204

Advances to subsidiaries
$
146,408

 
$
—

 
$
(146,408
)
 
$
—

 
$
—

Investments in subsidiaries
202,418

 
—

 
—

 
(202,418
)
 
—

Other assets(1)
11,700

 
70,341

 
110,436

 
—

 
192,477

Other assets—intercompany
3,726

 
51,954

 
(55,680
)
 
—

 
—

Total assets
$
369,273

 
$
540,526

 
$
1,280,845

 
$
(202,418
)
 
$
1,988,226

Liabilities and equity
 
 
 
 
 
 
 
 

Deposits
$
—

 
$
—

 
$
1,045,607

 
$
—

 
$
1,045,607

Deposits—intercompany
—

 
—

 
—

 
—

 
—

Securities loaned and sold under repurchase agreements
—

 
155,278

 
25,855

 
—

 
181,133

Securities loaned and sold under repurchase agreements—intercompany
—

 
42,564

 
(42,564
)
 
—

 
—

Trading account liabilities
6

 
93,842

 
42,446

 
—

 
136,294

Trading account liabilities—intercompany
3,159

 
1,832

 
(4,991
)
 
—

 
—

Short-term borrowings
244

 
8,633

 
33,565

 
—

 
42,442

Short-term borrowings—intercompany
—

 
20,190

 
(20,190
)
 
—

 
—

Long-term debt
152,141

 
34,394

 
65,654

 
—

 
252,189

Long-term debt—intercompany
—

 
72,039

 
(72,039
)
 
—

 
—

Advances from subsidiaries
12,887

 
—

 
(12,887
)
 
—

 
—

Other liabilities
3,243

 
68,497

 
60,711

 
—

 
132,451

Other liabilities—intercompany
234

 
9,978

 
(10,212
)
 
—

 
—

Stockholders’ equity
197,359

 
33,279

 
169,890

 
(202,418
)
 
198,110

Total liabilities and equity
$
369,273

 
$
540,526

 
$
1,280,845

 
$
(202,418
)
 
$
1,988,226


(1)
Other assets for Citigroup parent company at June 30, 2019 included $51.9 billion of placements to Citibank and its branches, of which $26.7 billion had a remaining term of less than 30 days.




193


Condensed Consolidating Balance Sheet
 
December 31, 2018
In millions of dollars
Citigroup parent company
 
CGMHI
 
Other Citigroup subsidiaries and eliminations
 
Consolidating adjustments
 
Citigroup consolidated
Assets
 
 
 
 
 
 
 
 
 
Cash and due from banks
$
1

 
$
689

 
$
22,955

 
$
—

 
$
23,645

Cash and due from banks—intercompany
19

 
3,545

 
(3,564
)
 
—

 
—

Deposits with banks
—

 
4,915

 
159,545

 
—

 
164,460

Deposits with banks—intercompany
3,000

 
6,528

 
(9,528
)
 
—

 
—

Securities borrowed and purchased under resale agreements
—

 
212,720

 
57,964

 
—

 
270,684

Securities borrowed and purchased under resale agreements—intercompany
—

 
20,074

 
(20,074
)
 
—

 
—

Trading account assets
302

 
146,233

 
109,582

 
—

 
256,117

Trading account assets—intercompany
627

 
1,728

 
(2,355
)
 
—

 
—

Investments
7

 
224

 
358,376

 
—

 
358,607

Loans, net of unearned income
—

 
1,292

 
682,904

 
—

 
684,196

Loans, net of unearned income—intercompany
—

 
—

 
—

 
—

 
—

Allowance for loan losses
—

 
—

 
(12,315
)
 
—

 
(12,315
)
Total loans, net
$
—

 
$
1,292

 
$
670,589

 
$
—

 
$
671,881

Advances to subsidiaries
$
143,119

 
$
—

 
$
(143,119
)
 
$
—

 
$
—

Investments in subsidiaries
205,337

 
—

 
—

 
(205,337
)
 
—

Other assets(1)
9,861

 
59,734

 
102,394

 
—

 
171,989

Other assets—intercompany
3,037

 
44,255

 
(47,292
)
 
—

 
—

Total assets
$
365,310

 
$
501,937

 
$
1,255,473

 
$
(205,337
)
 
$
1,917,383

Liabilities and equity
 
 
 
 
 
 
 
 
 
Deposits
$
—

 
$
—

 
$
1,013,170

 
$
—

 
$
1,013,170

Deposits—intercompany
—

 
—

 
—

 
—

 
—

Securities loaned and sold under repurchase agreements
—

 
155,830

 
21,938

 
—

 
177,768

Securities loaned and sold under repurchase agreements—intercompany
—

 
21,109

 
(21,109
)
 
—

 
—

Trading account liabilities
1

 
95,571

 
48,733

 
—

 
144,305

Trading account liabilities—intercompany
410

 
1,398

 
(1,808
)
 
—

 
—

Short-term borrowings
207

 
3,656

 
28,483

 
—

 
32,346

Short-term borrowings—intercompany
—

 
11,343

 
(11,343
)
 
—

 
—

Long-term debt
143,768

 
25,986

 
62,245

 
—

 
231,999

Long-term debt—intercompany
—

 
73,884

 
(73,884
)
 
—

 
—

Advances from subsidiaries
21,471

 
—

 
(21,471
)
 
—

 
—

Other liabilities
3,010

 
66,732

 
50,979

 
—

 
120,721

Other liabilities—intercompany
223

 
13,763

 
(13,986
)
 
—

 
—

Stockholders’ equity
196,220

 
32,665

 
173,526

 
(205,337
)
 
197,074

Total liabilities and equity
$
365,310

 
$
501,937

 
$
1,255,473

 
$
(205,337
)
 
$
1,917,383



(1)
Other assets for Citigroup parent company at December 31, 2018 included $34.7 billion of placements to Citibank and its branches, of which $22.4 billion had a remaining term of less than 30 days.



194


Condensed Consolidating Statement of Cash Flows
 
Six Months Ended June 30, 2019
In millions of dollars
Citigroup parent company
 
CGMHI
 
Other Citigroup subsidiaries and eliminations
 
Consolidating adjustments
 
Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations
$
17,500

 
$
(39,793
)
 
$
(15,463
)
 
$
—

 
$
(37,756
)
Cash flows from investing activities of continuing operations
 
 
 
 
 
 
 
 
 
Purchases of investments
$
—

 
$
—

 
$
(118,132
)
 
$
—

 
$
(118,132
)
Proceeds from sales of investments
4

 
—

 
63,591

 
—

 
63,595

Proceeds from maturities of investments
—

 
—

 
57,684

 
—

 
57,684

Change in loans
—

 
—

 
(7,803
)
 
—

 
(7,803
)
Proceeds from sales and securitizations of loans
—

 
—

 
2,249

 
—

 
2,249

Change in securities borrowed and purchased under agreements to resell

—

 
9,511

 
1,404

 
—

 
10,915

Changes in investments and advances—intercompany
(3,336
)
 
(10,607
)
 
13,943

 
—

 
—

Other investing activities
—

 
(32
)
 
(3,178
)
 
—

 
(3,210
)
Net cash provided by (used in) investing activities of continuing operations
$
(3,332
)
 
$
(1,128
)
 
$
9,758

 
$
—

 
$
5,298

Cash flows from financing activities of continuing operations
 
 
 
 
 
 
 
 
 
Dividends paid
$
(2,650
)
 
$
—

 
$
—

 
$
—

 
$
(2,650
)
Redemption of preferred stock
(480
)
 
—

 
—

 
—

 
(480
)
Treasury stock acquired
(7,518
)
 
—

 
—

 
—

 
(7,518
)
Proceeds (repayments) from issuance of long-term debt, net
5,418

 
10,817

 
(2,814
)
 
—

 
13,421

Proceeds (repayments) from issuance of long-term debt—intercompany, net
—

 
(3,941
)
 
3,941

 
—

 
—

Change in deposits
—

 
—

 
32,437

 
—

 
32,437

Change in securities loaned and sold under agreements to repurchase

—

 
20,903

 
(17,538
)
 
—

 
3,365

Change in short-term borrowings
—

 
4,977

 
5,119

 
—

 
10,096

Net change in short-term borrowings and other advances—intercompany
(8,584
)
 
7,088

 
1,496

 
—

 
—

Other financing activities
(359
)
 
—

 
—

 
—

 
(359
)
Net cash provided by (used in) financing activities of continuing operations
$
(14,173
)
 
$
39,844

 
$
22,641

 
$
—

 
$
48,312

Effect of exchange rate changes on cash and due from banks
$
—

 
$
—

 
$
(716
)
 
$
—

 
$
(716
)
Change in cash and due from banks and deposits with banks

$
(5
)

$
(1,077
)

$
16,220


$
—

 
$
15,138

Cash and due from banks and deposits with banks at beginning of period
3,020

 
15,677

 
169,408

 
—

 
188,105

Cash and due from banks and deposits with banks at end of period
$
3,015

 
$
14,600

 
$
185,628

 
$
—

 
$
203,243

Cash and due from banks
$
15

 
$
4,479

 
$
20,503

 
$
—

 
$
24,997

Deposits with banks
3,000

 
10,121

 
165,125

 
—

 
178,246

Cash and due from banks and deposits with banks at end of period
$
3,015

 
$
14,600

 
$
185,628

 
$
—

 
$
203,243

Supplemental disclosure of cash flow information for continuing operations
 
 
 
 
 
 
 
 
 
Cash paid during the year for income taxes
$
154

 
$
119

 
$
2,541

 
$
—

 
$
2,814

Cash paid during the year for interest
1,753

 
6,577

 
5,670

 
—

 
14,000

Non-cash investing activities
 
 
 
 
 
 
 
 
 
Transfers to loans HFS from loans
$
—

 
$
—

 
$
3,600

 
$
—

 
$
3,600


195


Condensed Consolidating Statement of Cash Flows
 
Six Months Ended June 30, 2018
In millions of dollars
Citigroup parent company
 
CGMHI
 
Other Citigroup subsidiaries and eliminations
 
Consolidating adjustments
 
Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations
$
5,156

 
$
1,207

 
$
1,956

 
$
—

 
$
8,319

Cash flows from investing activities of continuing operations
 
 
 
 
 
 
 
 


Purchases of investments
$
(7,955
)
 
$
—

 
$
(73,916
)
 
$
—

 
$
(81,871
)
Proceeds from sales of investments
7,634

 
—

 
34,174

 
—

 
41,808

Proceeds from maturities of investments
—

 
—

 
44,846

 
—

 
44,846

Change in loans
—

 
—

 
(10,132
)
 
—

 
(10,132
)
Proceeds from sales and securitizations of loans
—

 
—

 
3,217

 
—

 
3,217

Change in securities borrowed and purchased under agreements to resell

—

 
(30,331
)
 
(2,717
)
 
—

 
(33,048
)
Changes in investments and advances—intercompany
(4,780
)
 
(1,872
)
 
6,652

 
—

 
—

Other investing activities
212

 
(26
)
 
(1,635
)
 
—

 
(1,449
)
Net cash provided by (used in) investing activities of continuing operations
$
(4,889
)
 
$
(32,229
)
 
$
489

 
$
—

 
$
(36,629
)
Cash flows from financing activities of continuing operations
 
 
 
 
 
 
 
 
 
Dividends paid
$
(2,232
)
 
$
—

 
$
—

 
$
—

 
$
(2,232
)
Redemption of preferred stock
(218
)
 
—

 
—

 
—

 
(218
)
Treasury stock acquired
(4,686
)
 
—

 
—

 
—

 
(4,686
)
Proceeds from issuance of long-term debt, net
(1,167
)
 
5,805

 
1,032

 
—

 
5,670

Proceeds (repayments) from issuance of long-term debt—intercompany, net
—

 
(1,025
)
 
1,025

 
—

 
—

Change in deposits
—

 
—

 
36,908

 
—

 
36,908

Change in securities loaned and sold under agreements to repurchase

—

 
26,367

 
(4,816
)
 
—

 
21,551

Change in short-term borrowings
32

 
(459
)
 
(6,792
)
 
—

 
(7,219
)
Net change in short-term borrowings and other advances—intercompany
497

 
1,704

 
(2,201
)
 
—

 
—

Capital contributions from parent
—

 
(663
)
 
663

 
—

 
—

Other financing activities
(475
)
 
—

 
—

 
—

 
(475
)
Net cash provided by (used in) financing activities of continuing operations
$
(8,249
)
 
$
31,729

 
$
25,819

 
$
—

 
$
49,299

Effect of exchange rate changes on cash and due from banks
$
—

 
$
—

 
$
(603
)
 
$
—

 
$
(603
)
Change in cash and due from banks and deposits with banks

$
(7,982
)
 
$
707

 
$
27,661

 
$
—

 
$
20,386

Cash and due from banks and deposits with banks at beginning of period
11,013

 
12,695

 
156,808

 
—

 
180,516

Cash and due from banks and deposits with banks at end of period
$
3,031

 
$
13,402

 
$
184,469

 
$
—

 
$
200,902

Cash and due from banks
$
31

—

$
4,242

 
$
16,804

 
$
—

 
$
21,077

Deposits with banks
3,000

 
9,160

 
167,665

 
—

 
179,825

Cash and due from banks and deposits with banks at end of period
$
3,031

 
$
13,402

 
$
184,469

 
$
—

 
$
200,902

Supplemental disclosure of cash flow information for continuing operations
 
 
 
 
 
 
 
 
 
Cash paid (received) during the year for income taxes
$
941

 
$
42

 
$
1,256

 
$
—

 
$
2,239

Cash paid during the year for interest
1,729

 
3,676

 
4,552

 
—

 
9,957

Non-cash investing activities
 
 
 
 
 
 
 
 
 
Transfers to loans HFS from loans
$
—

 
$
—

 
$
2,900

 
$
—

 
$
2,900

Transfers to OREO and other repossessed assets
—

 
—

 
55

 
—

 
55



196


UNREGISTERED SALES OF EQUITY SECURITIES, PURCHASES OF EQUITY SECURITIES AND DIVIDENDS

Unregistered Sales of Equity Securities
None.

Equity Security Repurchases
The following table summarizes Citi’s common stock repurchases:

In millions, except per share amounts
Total shares
purchased
Average
price paid
per share
Approximate dollar
value of shares that
may yet be purchased
under the plan or
programs
April 2019
 
 
 
Open market repurchases(1)
14.4

$
67.51

$
2,606

Employee transactions(2)
—

—

N/A

May 2019
 
 
 
Open market repurchases(1)
22.8

66.05

1,100

Employee transactions(2)
—

—

N/A

June 2019
 
 
 
Open market repurchases(1)
16.4

67.03

—

Employee transactions(2)
—

—

N/A

Total for 2Q19 and remaining program balance as of June 30, 2019
53.6

$
66.74

$
—

(1)
Represents repurchases under the $17.6 billion 2018 common stock repurchase program (2018 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on June 28, 2018. The 2018 Repurchase Program was part of the planned capital actions included by Citi as part of the 2018 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 2018 Repurchase Program were added to treasury stock. The 2018 Repurchase Program expired on June 30, 2019. On June 27, 2019, Citigroup announced a $17.1 billion common stock repurchase program during the four quarters beginning in the third quarter of 2019 (2019 Repurchase Program), which was part of the planned capital actions included by Citi as part of the 2019 CCAR. The 2019 Repurchase Program expires on June 30, 2020. Shares repurchased under the 2019 Repurchase Program will be added to treasury stock.
(2)
Consisted of shares added to treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted share awards where shares are withheld to satisfy tax requirements.
N/A Not applicable

Dividends
In addition to Board of Directors’ approval, Citi’s ability to pay common stock dividends substantially depends on regulatory approval, including an annual regulatory review of the results of the CCAR process required by the Federal Reserve Board and the supervisory stress tests required under the Dodd-Frank Act. For additional information regarding Citi’s capital planning and stress testing, see “Capital Resources—Stress Testing Component of Capital Planning” and “Capital Resources—Regulatory Capital Standards Developments” and “Risk Factors—Strategic Risks” in Citi’s 2018 Annual Report on Form 10-K.
On June 27, 2019, Citi announced that the Federal Reserve Board did not object to its planned capital actions as part of the 2019 CCAR. In addition to the 2019 Repurchase Program discussed in the footnotes to the table above, the planned capital actions included an increase of Citi’s quarterly common stock dividend from $0.45 to $0.51 per share over the four quarters beginning with the third quarter of 2019 (subject to quarterly approval by the Board of Directors). Any dividend on Citi’s outstanding common stock would also need to be made in compliance with Citi’s obligations on its outstanding preferred stock.
 

For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 18 to the
Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.



197


SIGNATURES



Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on the 1st day of August, 2019.



CITIGROUP INC.
(Registrant)





By    /s/ Mark A. L. Mason
Mark A. L. Mason
Chief Financial Officer
(Principal Financial Officer)



By    /s/ Raja J. Akram
Raja J. Akram
Controller and Chief Accounting Officer
(Principal Accounting Officer)



198


EXHIBIT INDEX
 
Exhibit
 
 
Number
 
Description of Exhibit
3.01
 
Restated Certificate of Incorporation of the Company, as in effect on the date hereof, incorporated by reference to Exhibit 3.01 to the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2019 filed on April 30, 2019 (File No. 1-9924).
 
 
 
10.01*
 
Citigroup 2019 Stock Incentive Plan (effective April 16, 2019), incorporated by reference to Exhibit 10.1 to the Company’s Form 8-K filed on April 17, 2019 (File No. 1-09924).
 
 
 
31.01+
 
Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
 
 
 
31.02+
 
Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
 
 
 
32.01+
 
Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
 
 
 
99.01+
 
Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 formatted in Inline XBRL.

 
 
 
101.01+
 
Financial statements from the Quarterly Report on Form 10-Q of the Company for the quarter ended June 30, 2019, filed on August 1, 2019, formatted in Inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Shareholders’ Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to the Consolidated Financial Statements.
 
 
 
104
 
Form 10-Q Cover Page Inline XBRL: The Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2019 Cover Page Inline XBRL data file does not appear in Exhibit 104 because its Inline XBRL tagging is embedded within the Form 10-Q Inline XBRL document.
 
The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.
 
* Denotes a management contract or compensatory plan or arrangement. 
+ Filed herewith.    




199

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