Companies: 10,652     total market cap: $142.071 T
โ‚ฌEUR๐Ÿ‡ช๐Ÿ‡บโ‚นINR๐Ÿ‡ฎ๐Ÿ‡ณยฃGBP๐Ÿ‡ฌ๐Ÿ‡ง$CAD๐Ÿ‡จ๐Ÿ‡ฆ$AUD๐Ÿ‡ฆ๐Ÿ‡บ$NZD๐Ÿ‡ณ๐Ÿ‡ฟ$HKD๐Ÿ‡ญ๐Ÿ‡ฐ$SGD๐Ÿ‡ธ๐Ÿ‡ฌ
Citigroup
C
#79
Rank
$218.55 B
Marketcap
๐Ÿ‡บ๐Ÿ‡ธ United States
Country
$122.15
Share price
-1.31%
Change (1 day)
53.51%
Change (1 year)
๐Ÿฆ Banks๐Ÿ’ณ Financial services
Categories
  1. Citigroup
  2. Quarterly Reports (10-Q)
  3. Financial Year FY2021 Q1

Citigroup - 10-Q quarterly report FY2021 Q1


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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 March 31, 2021

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)
Delaware52-1568099
(State or other jurisdiction of incorporation or organization)(I.R.S. Employer Identification No.)
388 Greenwich Street, New YorkNY10013
(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 March 31, 2021: 2,067,047,519

Available on the web at www.citigroup.com


CITIGROUP’S FIRST QUARTER 2021—FORM 10-Q
OVERVIEW
1
MANAGEMENT’S DISCUSSION AND
  ANALYSIS OF FINANCIAL CONDITION AND
  RESULTS OF OPERATIONS
3
Executive Summary
3
Citi’s Consent Order Compliance5
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
CAPITAL RESOURCES
23
MANAGING GLOBAL RISK TABLE OF
  CONTENTS
36
MANAGING GLOBAL RISK
37
SIGNIFICANT ACCOUNTING POLICIES AND
  SIGNIFICANT ESTIMATES
77
DISCLOSURE CONTROLS AND
  PROCEDURES
82
DISCLOSURE PURSUANT TO SECTION 219 OF
  THE IRAN THREAT REDUCTION AND SYRIA
  HUMAN RIGHTS ACT
82
FORWARD-LOOKING STATEMENTS
83
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
87
CONSOLIDATED FINANCIAL STATEMENTS
88
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS (UNAUDITED)
96
UNREGISTERED SALES OF EQUITY SECURITIES,
  REPURCHASES OF EQUITY SECURITIES AND
  DIVIDENDS
202

















OVERVIEW

This Quarterly Report on Form 10-Q should be read in conjunction with Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2020 (2020 Annual Report on Form 10-K).
Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s annual reports on Form 10-K, quarterly reports on Form 10-Q and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available free of charge through Citi’s website by clicking on the “Investors” tab and selecting “SEC Filings,” then “Citigroup Inc.” The SEC’s website also contains current reports on Form 8-K and other information regarding Citi at www.sec.gov.
Certain reclassifications and updates have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation. For additional information, see Note 1 to the Consolidated Financial Statements.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.



Please see “COVID-19 Pandemic Overview” and “Risk Factors” in Citi’s 2020 Annual Report on Form 10-K for a discussion of the trends, uncertainties and material risks that will or could impact Citigroup’s businesses, results of operations and financial condition.
1

Citigroup is managed pursuant to two business segments: Global Consumer Banking and Institutional Clients Group, with the remaining operations in Corporate/Other.
CITIGROUP SEGMENTS
Global
Consumer Banking
(GCB)		Institutional Clients
Group
(ICG)		Corporate/
Other
  
•North America
•Latin America(1)
•Asia(2)

Consisting of:
•Retail banking and wealth management, including
–Residential real estate
–Small business banking
•Citi-branded cards in
all regions
•Citi retail services in North America
  
•Banking
–Investment banking
–Treasury and trade solutions
–Corporate lending
–Private bank
  
•Markets and
securities services
–Fixed income markets
–Equity markets
–Securities services
  
•Corporate Treasury
•Operations and technology
•Global staff functions and other corporate expenses
•Legacy non-core assets:
–Consumer loans
–Certain portfolios of securities, loans and other assets
•Discontinued operations

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

CITIGROUP REGIONS(3)
North
America
Europe,
Middle East
and Africa
(EMEA)
Latin
America		Asia

(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.

As previously reported, Citi will focus its consumer banking franchise in Asia and EMEA on four wealth centers—Singapore, Hong Kong, the United Arab Emirates (UAE) and London—and intends to pursue exits of its consumer franchises in 13 markets across the two regions. ICG will continue to serve clients, including its commercial banking clients, in all of these markets. For additional information, see “Executive Summary” and “Asia GCB” below.
2

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

EXECUTIVE SUMMARY

First Quarter of 2021—Results Demonstrated Solid Performance
As described further throughout this Executive Summary, during the first quarter of 2021, Citi demonstrated a solid performance, driven by a benefit from cost of credit and a constructive capital markets environment:

•    Citi’s earnings increased significantly, reflecting an allowance for credit loss (ACL) release of $3.9 billion as a result of the improved macroeconomic outlook and lower loan balances (see “Cost of Credit” below).
•    Citi’s revenues declined, as continued strength in investment banking and equity markets in Institutional Clients Group (ICG) was more than offset by the impact of lower interest rates and the absence of the prior-year period’s mark-to-market gains on loan hedges within ICG, as well as lower card volumes in Global Consumer Banking (GCB), due to the continued impact of the COVID-19 pandemic.
•    Citi continued to invest in its transformation, including infrastructure supporting its risk and control environment, as well as other strategic investments.
•    Citi had broad-based deposit growth across GCB and ICG, reflecting consistent client engagement, with both corporate and consumer clients continuing to hold higher levels of liquidity, while loans declined reflecting lower spending activity in GCB, as well as higher repayments across both GCB and ICG.
•    Citi returned $2.7 billion of capital to its shareholders in the form of $1.1 billion in dividends and $1.6 billion in common share repurchases, totaling approximately 23 million common shares, while maintaining robust regulatory capital ratios.

Citi recently announced strategic actions as part of its ongoing strategy refresh, including the announcement of a dedicated management team for Citi Global Wealth, as well as its decision to focus its consumer banking franchise in Asia and EMEA on four wealth centers, in Singapore, Hong Kong, the UAE and London. As a result, Citi intends to pursue exits of its remaining consumer businesses in the two regions (for additional information, see “Citigroup Segments” above and “Asia GCB” below).
For a discussion of risks and uncertainties that will or could impact Citi’s businesses, results of operations and financial condition during 2021, see each respective business’s results of operations and “Forward-Looking Statements” below, and “COVID-19 Pandemic Overview,” “Risk Factors” and “Managing Global Risk” in Citi’s 2020 Annual Report on Form 10-K.


First Quarter of 2021 Results Summary

Citigroup
Citigroup reported net income of $7.9 billion, or $3.62 per share, compared to net income of $2.5 billion, or $1.06 per share, in the prior-year period. Net income increased significantly, driven by the lower cost of credit. Earnings per share also increased significantly, reflecting the increase in net income, as well as a slight decline in average diluted shares outstanding.
Citigroup revenues of $19.3 billion in the first quarter of 2021 decreased 7% from the prior-year period, primarily reflecting lower revenues in both GCB and ICG.
Citigroup’s end-of-period loans decreased 8% to $666 billion. Excluding the impact of FX translation, Citigroup’s end-of-period loans decreased 10%, reflecting lower spend activity in GCB, as well as a higher level of repayments in both GCB and ICG. Citigroup’s end-of-period deposits increased 10% to $1.3 trillion. Excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 7%, primarily driven by 17% growth in GCB and 5% growth in ICG, reflecting consistent client engagement and elevated levels of liquidity in the financial system. (Citi’s results of operations and financial condition excluding the impact of FX translation are non-GAAP financial measures.)

Expenses
Citigroup operating expenses of $11.1 billion increased 4% from the prior-year period, primarily driven by investments in Citi’s transformation, including infrastructure supporting its risk and control environment, as well as other strategic investments, partially offset by efficiency savings. Year-over-year, GCB operating expenses remained largely unchanged, while ICG operating expenses increased 8%.

Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims was a benefit of $2.1 billion compared to a cost of $7.0 billion in the prior-year period, reflecting net ACL reserve releases across ICG, GCB and Corporate/Other. Citi’s net ACL release of $3.9 billion primarily reflected an improvement in Citi’s macroeconomic outlook, as well as lower loan balances. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates—Citi’s Allowance for Credit Losses (ACL)” below.
Net credit losses of $1.7 billion decreased 15% from the prior-year period. Consumer net credit losses of $1.6 billion decreased 19%, primarily reflecting lower loan volumes and improved delinquencies in the North America cards portfolios. Corporate net credit losses increased to $186 million from $127 million in the prior-year period.
For additional information on Citi’s consumer and corporate credit costs, see each respective business’s results of operations and “Credit Risk” below.


3

Capital
Citigroup’s Common Equity Tier 1 (CET1) Capital ratio was 11.8% as of March 31, 2021, compared to 11.1% as of March 31, 2020, both based on the Basel III Advanced Approaches framework for determining risk-weighted assets. The increase in the ratio reflected higher net income, partially offset by the return of capital to common shareholders and an increase in risk-weighted assets.
Citigroup’s Supplementary Leverage ratio as of March 31, 2021 was 7.0%, compared to 6.0% as of March 31, 2020. The increase was primarily driven by a decrease in Total Leverage Exposure, reflecting the benefit of temporary relief granted by the Federal Reserve Board. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.

Global Consumer Banking
GCB net income of $2.2 billion compared to a net loss of $740 million in the prior-year period, reflecting lower cost of credit, partially offset by lower revenues. GCB operating expenses of $4.4 billion were largely unchanged from the prior-year period. Excluding the impact of FX translation, expenses decreased 1%, primarily driven by efficiency savings and lower volume-related expenses, partially offset by investments.
GCB revenues of $7.0 billion decreased 14%. Excluding the impact of FX translation, revenues decreased 15%, as strong deposit growth and momentum in wealth management were more than offset by lower card volumes and lower interest rates across all regions, reflecting the continued impact of the pandemic.
North America GCB revenues of $4.4 billion decreased 15%, with lower revenues across Citi-branded cards, Citi retail services and retail banking, largely reflecting the continued impact of the pandemic. Citi-branded cards revenues of $2.1 billion decreased 11%, reflecting higher payment rates driving lower average loans. Citi retail services revenues of $1.3 billion decreased 26%, primarily driven by higher partner payments as well as lower average loans. Retail banking revenues of $1.0 billion decreased 8%, as the benefit of stronger deposit volumes was more than offset by lower deposit spreads.
Year-over-year, North America GCB average deposits of $197 billion increased 22%, average retail banking loans of $52 billion increased 3% and assets under management of $82 billion increased 32%. Average Citi-branded card loans of $79 billion decreased 15%, while average Citi retail services loans of $44 billion decreased 13%, both reflecting higher payment rates. Citi-branded card purchase sales of $86 billion were largely unchanged, while Citi retail services purchase sales of $19 billion increased 4%, reflecting a continued recovery in sales activity. For additional information on the results of operations of North America GCB for the first quarter of 2021, see “Global Consumer Banking—North America GCB” below.
International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes the results of operations in certain EMEA countries)) of $2.6 billion declined 12% versus the prior-year period. Excluding the impact of FX translation, international GCB revenues declined 14%, largely
reflecting the continued impact of the pandemic. On this basis, Latin America GCB revenues declined 16%, driven by lower loan volumes and lower deposit spreads, partially offset by strong deposit growth. Asia GCB revenues decreased 12%, as lower card revenues and lower deposit spreads were partially offset by higher investments revenues and strong deposit growth. For additional information on the results of operations of Latin America GCB and Asia GCB for the first quarter of 2021, including the impact of FX translation, see “Global Consumer Banking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below.
Year-over-year, excluding the impact of FX translation, international GCB average deposits of $148 billion increased 12%, average retail banking loans of $76 billion were largely unchanged and assets under management of $141 billion increased 23%. On this basis, international GCB average card loans of $22 billion decreased 14% and card purchase sales of $24 billion decreased 5%, both driven by continued lower customer activity related to the pandemic.

Institutional Clients Group
ICG net income of $5.9 billion increased 64%, driven by lower cost of credit, partially offset by higher expenses and lower revenues. ICG operating expenses increased 8% to $6.3 billion, primarily driven by investments in infrastructure and controls as well as other strategic investments, higher compensation costs and volume-driven growth, partially offset by efficiency savings.
ICG revenues of $12.2 billion decreased 2%, reflecting a 7% decrease in Banking revenues, partially offset by a 2% increase in Markets and securities services revenues. The decrease in Banking revenues included the impact of $81 million of losses on loan hedges related to corporate lending and the private bank, compared to gains of $816 million related to corporate lending and the private bank in the prior-year period.
Excluding the impact of gains (losses) on loan hedges, Banking revenues of $5.6 billion increased 9%, as higher revenues in investment banking, the private bank and corporate lending were partially offset by a decline in treasury and trade solutions. Investment banking revenues of $2.0 billion increased 46%, primarily driven by strength in equity underwriting and growth in debt underwriting, partially offset by a decline in advisory revenues. Advisory revenues decreased 27% to $281 million, equity underwriting revenues increased significantly to $876 million and debt underwriting revenues increased 4% to $816 million.
Treasury and trade solutions revenues of $2.2 billion declined 11%, or 10% excluding the impact of FX translation, as good client engagement and growth in deposits were more than offset by the impact of lower USD and non-USD interest rates and reduced commercial cards spend. Private bank revenues increased 1% to $1.0 billion. Excluding the impact of gains (losses) on loan hedges, private bank revenues increased 8%, driven by higher loan volumes and spreads, as well as higher deposit volumes and managed investments revenue, partially offset by lower deposit spreads reflecting the impact of lower interest rates. Corporate lending revenues of $411 million decreased 66%. Excluding the impact of gains (losses) on loan hedges, corporate lending revenues of $483 million
4

increased 8%, due to the absence of marks on the portfolio driven by the elevated market volatility related to the pandemic in the prior-year period, partially offset by lower loan volumes.
Markets and securities services revenues of $6.7 billion increased 2%. Fixed income markets revenues of $4.6 billion decreased 5%, primarily reflecting strength in rates and currencies in the prior-year period, partially offset by higher revenues in spread products. Equity markets revenues of $1.5 billion increased 26%, driven by strength in cash equities, derivatives and prime finance, reflecting solid client activity and favorable market conditions. Securities services revenues of $653 million increased 1%. Excluding the impact of FX translation, securities services revenues were unchanged, as growth in deposit volumes, assets under custody and settlement volumes was offset by lower deposit spreads, given lower interest rates. For additional information on the results of operations of ICG for the first quarter of 2021, see “Institutional Clients Group” below.

Corporate/Other
Corporate/Other net loss was $170 million in the first quarter of 2021, compared to a net loss of $351 million in the prior-year period, driven primarily by lower cost of credit, reflecting a net ACL release on Citi’s residual legacy portfolio. Operating expenses of $413 million declined 1%, as investments in infrastructure, risk and controls were largely offset by the allocation of certain costs to GCB and ICG. (For additional information about these cost allocations, see Note 3 to the Consolidated Financial Statements.)
Corporate/Other revenues of $70 million declined from $73 million in the prior-year period, as the impact of lower interest rates was offset by the absence of marks versus the prior-year period, as well as episodic gains in the current quarter. For additional information on the results of operations of Corporate/Other for the first quarter of 2021, see “Corporate/Other” below.



CITI’S CONSENT ORDER COMPLIANCE
Citi’s multiyear transformation efforts continue. This includes efforts to effectively implement the October 2020 Federal Reserve Board and Office of the Comptroller of the Currency (OCC) consent orders issued to Citigroup and Citibank, respectively. In the second quarter of 2021, Citi made a submission to the OCC. Citi continues to work closely with the regulators to meet their expectations and intends to submit its complete plan to both regulators no later than the third quarter of 2021.
For additional information about Citi’s transformation and the consent orders, see “Citi’s Consent Order Compliance” and “Risk Factors—Compliance Risks” in Citi’s 2020 Annual Report on Form 10-K.

COVID-19 PANDEMIC
In addition to the widespread public health implications, the COVID-19 pandemic has continued to have an extraordinary impact on macroeconomic conditions in the U.S. and around the world. Despite these impacts, Citi has maintained strong capital and liquidity positions with consistently strong business operations. For information on Citi’s support of its colleagues, customers and communities and its management of pandemic risks, see “COVID-19 Pandemic Overview” in Citigroup’s 2020 Annual Report on Form 10-K.



































5

RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA
Citigroup Inc. and Consolidated Subsidiaries
First Quarter
In millions of dollars, except per share amounts2021
2020(1)
% Change
Net interest revenue$10,166 $11,492 (12)%
Non-interest revenue9,161 9,239 (1)
Revenues, net of interest expense$19,327 $20,731 (7)%
Operating expenses11,073 10,643 4 
Provisions for credit losses and for benefits and claims(2,055)6,960 NM
Income from continuing operations before income taxes$10,309 $3,128 NM
Income taxes2,332 580 NM
Income from continuing operations$7,977 $2,548 NM
Income (loss) from discontinued operations, net of taxes(2)(18)89 %
Net income before attribution of noncontrolling interests$7,975 $2,530 NM
Net income attributable to noncontrolling interests33 (6)NM
Citigroup’s net income$7,942 $2,536 NM
Earnings per share
Basic
Income from continuing operations$3.64 $1.07 NM
Net income3.64 1.06 NM
Diluted
Income from continuing operations$3.62 $1.06 NM
Net income3.62 1.06 NM
Dividends declared per common share 0.51 0.51 — %
Common dividends $1,074 $1,081 (1)%
Preferred dividends(2)
292 291 — 
Common share repurchases1,600 2,925 (45)

Table continues on the next page, including footnotes.

6

SUMMARY OF SELECTED FINANCIAL DATA
(Continued)
Citigroup Inc. and Consolidated Subsidiaries
In millions of dollars, except per share amounts, ratios and
direct staff		First Quarter
2021
2020(1)
% Change
At March 31:
Total assets$2,314,266 $2,220,114 4 %
Total deposits 1,300,975 1,184,911 10 
Long-term debt256,335 266,098 (4)
Citigroup common stockholders’ equity182,269 174,695 4 
Total Citigroup stockholders’ equity202,549 192,675 5 
Average assets2,316,793 2,080,054 11 
Direct staff (in thousands)
211 201 5 %
Performance metrics
Return on average assets1.39 %0.49 %
Return on average common stockholders’ equity(3)
17.2 5.2 
Return on average total stockholders’ equity(3)
16.1 5.3 
Return on tangible common equity (RoTCE)(4)
20.1 6.1 
Efficiency ratio (total operating expenses/total revenues, net)57.3 51.3 
Basel III ratios
Common Equity Tier 1 Capital(5)
11.78 %11.11 %
Tier 1 Capital(5)
13.49 12.54 
Total Capital(5)
15.64 14.97 
Supplementary Leverage ratio6.96 5.96 
Citigroup common stockholders’ equity to assets7.88 %7.87 %
Total Citigroup stockholders’ equity to assets8.75 8.68 
Dividend payout ratio(6)
14 48 
Total payout ratio(7)
35 178 
Book value per common share$88.18 $83.92 5 %
Tangible book value (TBV) per share(4)
75.50 71.69 5 
(1)    In the fourth quarter of 2020, Citi revised the 2020 second quarter accounting conclusion for its variable post-charge-off third-party collection costs from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly results for 2020 were revised to reflect this change as if it were effective as of January 1, 2020, as follows: an increase to beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million in the allowance for credit losses on loans, as well as a $113 million decrease in other assets related to income taxes; a decrease of $18 million to provisions for credit losses on loans in the first quarter and increases of $339 million and $122 million to provisions for credit losses on loans in the second and third quarters, respectively; and increases in operating expenses of $49 million and $45 million with a corresponding decrease in net credit losses, in the first and second quarters, respectively. See Note 1 to the Consolidated Financial Statements for additional information.
(2)    Certain series of preferred stock have semi-annual payment dates. See Note 9 to the Consolidated Financial Statements.
(3)    The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(4)    RoTCE and TBV are non-GAAP financial measures. For information on RoTCE and TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity” below.
(5)    Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital as of March 31, 2021 and March 31, 2020 were derived under the Basel III Advanced Approaches frameworks.
(6)    Dividend payout ratio is calculated as dividends declared per common share as a percentage of net income per diluted share.
(7)    Total payout ratio is calculated as total common dividends declared plus common share repurchases as a percentage of net income available to common shareholders (Net income, less preferred dividends). See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.
NM Not meaningful



7

SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
First Quarter
In millions of dollars20212020% Change
Income (loss) from continuing operations
Global Consumer Banking
  North America$1,857 $(916)NM
  Latin America53 (29)NM
  Asia(1)
264 204 29 %
Total$2,174 $(741)NM
Institutional Clients Group
  North America$2,798 $896 NM
  EMEA1,476 1,035 43 %
  Latin America646 526 23 
  Asia1,052 1,169 (10)
Total$5,972 $3,626 65 %
Corporate/Other(169)(337)50 
Income from continuing operations $7,977 $2,548 NM
Discontinued operations$(2)$(18)89 %
Less: Net income attributable to noncontrolling interests33 (6)NM
Citigroup’s net income$7,942 $2,536 NM

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


CITIGROUP REVENUES
First Quarter
In millions of dollars20212020% Change
Global Consumer Banking
  North America$4,428 $5,224 (15)%
  Latin America1,008 1,199 (16)
  Asia(1)
1,601 1,751 (9)
Total$7,037 $8,174 (14)%
Institutional Clients Group
  North America$4,898 $4,947 (1)%
  EMEA3,713 3,470 7 
  Latin America1,136 1,418 (20)
  Asia2,473 2,649 (7)
Total$12,220 $12,484 (2)%
Corporate/Other 70 73 (4)
Total Citigroup net revenues$19,327 $20,731 (7)%
(1)    Asia GCB includes the results of operations of GCB activities in certain EMEA countries.




8

SEGMENT BALANCE SHEET(1)—MARCH 31, 2021
In millions of dollarsGlobal
Consumer
Banking		Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Citigroup
parent company-
issued long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Assets    
Cash and deposits with banks, net of allowance$7,403 $82,109 $235,170 $— $324,682 
Securities borrowed and purchased under agreements to resell, net of allowance235 314,639 198 — 315,072 
Trading account assets1,828 345,604 13,227 — 360,659 
Investments, net of allowance1,239 129,331 342,389 — 472,959 
Loans, net of unearned income and allowance
for credit losses on loans		250,566 387,916 5,868 — 644,350 
Other assets, net of allowance39,902 114,004 42,638 — 196,544 
Net inter-segment liquid assets(4)
137,666 402,604 (540,270)— — 
Total assets$438,839 $1,776,207 $99,220 $— $2,314,266 
Liabilities and equity   
Total deposits$353,423 $938,292 $9,260 $— $1,300,975 
Securities loaned and sold under agreements
to repurchase		2,095 217,071 2 — 219,168 
Trading account liabilities1,208 177,139 770 — 179,117 
Short-term borrowings— 28,078 4,009 — 32,087 
Long-term debt(3)
1,174 74,804 16,258 164,099 256,335 
Other liabilities, net of allowance19,267 82,471 21,573 — 123,311 
Net inter-segment funding (lending)(3)
61,672 258,352 46,624 (366,648)— 
Total liabilities$438,839 $1,776,207 $98,496 $(202,549)$2,110,993 
Total stockholders’ equity(5)
— — 724 202,549 203,273 
Total liabilities and equity$438,839 $1,776,207 $99,220 $— $2,314,266 

(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of March 31, 2021. 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 are reflected on the Citigroup parent company balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage ratio (LCR) assumptions.
(5)Corporate/Other equity represents noncontrolling interests.






9

GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB) consists of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking, Citi-branded cards and, in the U.S., Citi retail services. GCB is focused on markets in the U.S., Mexico and Asia. As of March 31, 2021, GCB had 2,241 branches in 19 countries and jurisdictions with $439 billion in assets and $353 billion in retail banking deposits.
GCB’s strategy is to leverage its global footprint and digital capabilities to develop multi-product relationships with customers—both in and out of Citi’s branch footprint. To achieve this, GCB strives to optimize its clients’ experiences across lending, payments and wealth management through continued digitization, new partnerships and innovation. For information on Citi’s recently announced strategic actions, including its intention to pursue exits of consumer franchises in 13 markets across Asia and EMEA, see “Asia GCB” below.
First Quarter
In millions of dollars, except as otherwise noted20212020% Change
Net interest revenue$5,953 $7,072 (16)%
Non-interest revenue1,084 1,102 (2)
Total revenues, net of interest expense$7,037 $8,174 (14)%
Total operating expenses$4,396 $4,417 — %
Net credit losses on loans$1,580 $1,934 (18)%
Credit reserve build (release) for loans(1,806)2,811 NM
Provision (release) for credit losses on unfunded lending commitments— (1)100 
Provisions for benefits and claims, HTM debt securities and other assets35 20 75 
Provisions (releases) for credit losses and for benefits and claims (PBC)$(191)$4,764 NM
Income (loss) from continuing operations before taxes$2,832 $(1,007)NM
Income taxes (benefits)658 (266)NM
Income (loss) from continuing operations$2,174 $(741)NM
Noncontrolling interests(3)(1)NM
Net income (loss)$2,177 $(740)NM
Balance Sheet data and ratios
EOP assets (in billions of dollars)
$439 $403 9 %
Average assets (in billions of dollars)
439 406 8 
Return on average assets2.01 %(0.73)%
Efficiency ratio62 54 
Average retail banking deposits (in billions of dollars)
$345 $290 19 
Net credit losses as a percentage of average loans2.36 %2.68 %
Revenue by business
Retail banking$2,844 $3,046 (7)%
Cards(1)
4,193 5,128 (18)
Total$7,037 $8,174 (14)%
Income (loss) from continuing operations by business
Retail banking$261 $127 NM
Cards(1)
1,913 (868)NM
Total$2,174 $(741)NM
Table continues on the next page, including footnotes.
10

Foreign currency (FX) translation impact
Total revenue—as reported$7,037 $8,174 (14)%
Impact of FX translation(2)
— 69 
Total revenues—ex-FX(3)
$7,037 $8,243 (15)%
Total operating expenses—as reported$4,396 $4,417 — %
Impact of FX translation(2)
— 44 
Total operating expenses—ex-FX(3)
$4,396 $4,461 (1)%
Total provisions for credit losses and PBC—as reported$(191)$4,764 NM
Impact of FX translation(2)
— 20 
Total provisions for credit losses and PBC—ex-FX(3)
$(191)$4,784 NM
Net income—as reported$2,177 $(740)NM
Impact of FX translation(2)
— 3 
Net income—ex-FX(3)
$2,177 $(737)NM
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the first quarter of 2021 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 and Citi-branded and Citi retail services card products to retail and small business customers in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Citi-branded cards, as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Best Buy and Macy’s) within Citi retail services.
At March 31, 2021, North America GCB had 687 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of March 31, 2021, North America GCB had $50.9 billion in retail banking loans and $204.0 billion in retail banking deposits. In addition, North America GCB had $121.0 billion in outstanding card loan balances.
First Quarter
In millions of dollars, except as otherwise noted20212020% Change
Net interest revenue$4,307 $5,036 (14)%
Non-interest revenue121 188 (36)
Total revenues, net of interest expense$4,428 $5,224 (15)%
Total operating expenses$2,478 $2,572 (4)%
Net credit losses on loans$950 $1,490 (36)%
Credit reserve build (release) for loans(1,417)2,371 NM
Provision (release) for credit losses on unfunded lending commitments— (1)100 
Provisions for benefits and claims, HTM debt securities and other assets2 5 (60)
Provisions (releases) for credit losses and for benefits and claims$(465)$3,865 NM
Income (loss) from continuing operations before taxes$2,415 $(1,213)NM
Income taxes (benefits)558 (297)NM
Income (loss) from continuing operations$1,857 $(916)NM
Noncontrolling interests— — — %
Net income (loss)$1,857 $(916)NM
Balance Sheet data and ratios
Average assets (in billions of dollars)
$265 $246 8 %
Return on average assets2.84 %(1.50)%
Efficiency ratio56 49 
Average retail banking deposits (in billions of dollars)
$197 $161 22 
Net credit losses as a percentage of average loans2.21 %3.10 %
Revenue by business
Retail banking$1,041 $1,130 (8)%
Citi-branded cards2,091 2,347 (11)
Citi retail services1,296 1,747 (26)
Total$4,428 $5,224 (15)%
Income (loss) from continuing operations by business
Retail banking$3 $(73)NM
Citi-branded cards1,119 (523)NM
Citi retail services735 (320)NM
Total$1,857 $(916)NM

NM Not meaningful
12

1Q21 vs. 1Q20
Net income was $1.9 billion, compared to a net loss of $916 million in the prior-year period, reflecting significantly lower cost of credit and lower expenses, partially offset by lower revenues.
Revenues decreased 15%, reflecting lower revenues in Citi retail services, Citi-branded cards and retail banking, primarily reflecting the continued impact of the pandemic, including lower interest rates.
Retail banking revenues decreased 8%, as the benefit of stronger deposit volumes and growth in assets under management (increase of 32%) was more than offset by lower deposit spreads, reflecting lower interest rates. Average deposits increased 22%, driven by government stimulus payments and a reduction in overall consumer spending related to the pandemic, as well as continued strategic efforts to drive organic growth.
Cards revenues decreased 17%. Citi-branded cards revenues decreased 11%, primarily reflecting lower average loans (decline of 15%), driven by higher payment rates, reflecting increased customer liquidity from government stimulus. Purchase sales were largely unchanged, reflecting a continued recovery in sales activity.
Citi retail services revenues decreased 26%, primarily driven by higher contractual partner payments, reflecting higher income sharing as a result of lower forecasted losses, as well as lower average loans. (For additional information on partner payments, see Note 5 to the Consolidated Financial Statements.) Average loans were down 13%, reflecting higher payment rates, driven by the increased customer liquidity. Purchase sales increased 4%, reflecting a continued recovery in sales activity.
Expenses decreased 4%, primarily driven by lower marketing costs and volume-related expenses, partially offset by investments.
Provisions reflected a benefit of $465 million in the first quarter of 2021 compared to costs of $3.9 billion in the prior-year period, primarily driven by a net ACL release in the current period compared to a net ACL build in the prior-year period, as well as lower net credit losses. Net credit losses decreased 36%, comprised of lower net credit losses in Citi retail services (down 44% to $373 million) and Citi-branded cards (down 29% to $551 million), primarily reflecting lower loan volumes and improved delinquencies, due to the benefits of relief programs, higher levels of liquidity and lower overall customer spending activity.
The net ACL release in the first quarter was $1.4 billion (compared to a build of $2.4 billion in the prior-year period), reflecting lower loan volumes, as well as the impact of Citi’s improved macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on North America GCB’s retail banking, and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to North America GCB’s future results, see “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.


13

LATIN AMERICA GCB
Latin America GCB provides traditional retail banking and Citi-branded card products to retail and small business customers in Mexico through Citibanamex, one of Mexico’s largest banks.
At March 31, 2021, Latin America GCB had 1,331 retail branches in Mexico, with $9.1 billion in retail banking loans and $24.0 billion in deposits. In addition, the business had $4.3 billion in outstanding card loan balances.
First Quarter
In millions of dollars, except as otherwise noted20212020% Change
Net interest revenue$658 $887 (26)%
Non-interest revenue350 312 12 
Total revenues, net of interest expense$1,008 $1,199 (16)%
Total operating expenses$701 $705 (1)%
Net credit losses on loans$365 $271 35 %
Credit reserve build (release) for loans(163)256 NM
Provision for credit losses on unfunded lending commitments— — — 
Provisions for benefits and claims, HTM debt securities and other assets29 15 93 
Provisions for credit losses and for benefits and claims (PBC)$231 $542 (57)%
Income (loss) from continuing operations before taxes$76 $(48)NM
Income taxes (benefits)23 (19)NM
Income (loss) from continuing operations$53 $(29)NM
Net income (loss)$53 $(29)NM
Balance Sheet data and ratios
Average assets (in billions of dollars)
$34 $35 (3)%
Return on average assets0.63 %(0.33)%
Efficiency ratio70 59 
Average deposits (in billions of dollars)
$25 $23 9 
Net credit losses as a percentage of average loans10.65 %6.53 %
Revenue by business
Retail banking$723 $783 (8)%
Citi-branded cards285 416 (31)
Total$1,008 $1,199 (16)%
Income (loss) from continuing operations by business
Retail banking$41 $(20)NM
Citi-branded cards12 (9)NM
Total$53 $(29)NM
FX translation impact
Total revenues—as reported$1,008 $1,199 (16)%
Impact of FX translation(1)
— 2 
Total revenues—ex-FX(2)
$1,008 $1,201 (16)%
Total operating expenses—as reported$701 $705 (1)%
Impact of FX translation(1)
— 1 
Total operating expenses—ex-FX(2)
$701 $706 (1)%
Provisions for credit losses and PBC—as reported$231 $542 (57)%
Impact of FX translation(1)
— 1 
Provisions for credit losses and PBC—ex-FX(2)
$231 $543 (57)%
Net income (loss)—as reported$53 $(29)NM
Impact of FX translation(1)
— — 
Net income (loss)—ex-FX(2)
$53 $(29)NM
(1)Reflects the impact of FX translation into U.S. dollars at the first quarter of 2021 average exchange rates for all periods presented.
(2)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful
14

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.

1Q21 vs. 1Q20
Net income was $53 million, compared to a net loss of $29 million in the prior-year period, reflecting significantly lower cost of credit, partially offset by lower revenues.
Revenues decreased 16%, reflecting lower cards and retail banking revenues, largely reflecting the continued impact of the pandemic and the ongoing slowdown in overall economic growth and industry volumes in Mexico.
Retail banking revenues decreased 8%, driven by a decline in loan volumes and lower deposit spreads, partially offset by deposit growth. Average deposits increased 9%, while average loans decreased 13%, reflecting the impact of the pandemic on customer activity, as well as the ongoing economic slowdown. Assets under management increased 17%, including the continued benefit of market movements, as well as improved client engagement.
Cards revenues decreased 32%, primarily driven by lower purchase sales (down 8%) and lower average loans (down 17%), reflecting the continued impact of the pandemic on customer activity and the ongoing economic slowdown.
Expenses decreased 1%, as efficiency savings more than offset investments.
Provisions decreased 57%, primarily driven by a net ACL release compared to a net ACL build in the prior-year period, partially offset by higher net credit losses. Net credit losses increased 34%, driven by the expiration of consumer relief programs and the continued adverse pandemic-related macroeconomic impacts in Mexico.
The net ACL release in the first quarter was $163 million, compared to a build of $256 million in the prior-year period. The release reflected Citi’s improved macroeconomic outlook, as well as lower loan volumes. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on Latin America GCB’s retail banking and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to Latin America GCB’s future results, see “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.










15

ASIA GCB
Asia GCB provides traditional retail banking and Citi-branded card products to retail and small business customers. During the first quarter of 2021, Asia GCB’s most significant revenues were from Hong Kong, Singapore, South Korea, Taiwan, Australia, India, Thailand, China, the Philippines and Indonesia. Included within Asia GCB are traditional retail banking and Citi-branded card products provided to retail customers in certain EMEA countries, primarily the UAE, Russia and Poland.
At March 31, 2021, on a combined basis, the businesses had 223 retail branches, $65.8 billion in retail banking loans and $125.3 billion in deposits. In addition, the businesses had $16.8 billion in outstanding card loan balances.
As discussed above, Citi will focus its consumer banking franchise in Asia and EMEA on four wealth centers: Singapore, Hong Kong, the UAE and London. As a result, Citi intends to pursue exits of its consumer franchises in the remaining 13 markets across the two regions: Australia, Bahrain, China, India, Indonesia, South Korea, Malaysia, the Philippines, Poland, Russia, Taiwan, Thailand and Vietnam. These consumer franchises had a combined $82 billion of assets, $56 billion of total loans and $56 billion in deposits as of December 31, 2020.
First Quarter
In millions of dollars, except as otherwise noted(1)
20212020% Change
Net interest revenue$988 $1,149 (14)%
Non-interest revenue613 602 2 
Total revenues, net of interest expense$1,601 $1,751 (9)%
Total operating expenses$1,217 $1,140 7 %
Net credit losses on loans$265 $173 53 %
Credit reserve build (release) for loans(226)184 NM
Provisions for HTM debt securities and other assets4 — 100 
Provisions for credit losses$43 $357 (88)%
Income from continuing operations before taxes$341 $254 34 %
Income taxes77 50 54 
Income from continuing operations$264 $204 29 %
Noncontrolling interests(3)(1)NM
Net income$267 $205 30 %
Balance Sheet data and ratios
Average assets (in billions of dollars)
$140 $125 12 %
Return on average assets0.77 %0.66 %
Efficiency ratio76 65 
Average deposits (in billions of dollars)
$124 $106 17 
Net credit losses as a percentage of average loans1.29 %0.87 %
Revenue by business
Retail banking$1,080 $1,133 (5)%
Citi-branded cards521 618 (16)
Total$1,601 $1,751 (9)%
Income (loss) from continuing operations by business
Retail banking$217 $220 (1)%
Citi-branded cards47 (16)NM
Total$264 $204 29 %
16

FX translation impact
Total revenues—as reported$1,601 $1,751 (9)%
Impact of FX translation(2)
— 67 
Total revenues—ex-FX(3)
$1,601 $1,818 (12)%
Total operating expenses—as reported$1,217 $1,140 7 %
Impact of FX translation(2)
— 43 
Total operating expenses—ex-FX(3)
$1,217 $1,183 3 %
Provisions for credit losses—as reported$43 $357 (88)%
Impact of FX translation(2)
— 19 
Provisions for credit losses—ex-FX(3)
$43 $376 (89)%
Net income—as reported$267 $205 30 %
Impact of FX translation(2)
— 3 
Net income—ex-FX(3)
$267 $208 28 %

(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 first quarter of 2021 average exchange rates for all periods presented.
(3)    Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful

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.

1Q21 vs. 1Q20
Net income increased 28%, reflecting significantly lower cost of credit, partially offset by lower revenues and higher expenses.
Revenues decreased 12%, reflecting lower cards and retail banking revenues, largely due to the continued impact of the pandemic, including lower interest rates.
Retail banking revenues decreased 8%, primarily driven by lower deposit spreads due to lower interest rates and lower FX revenues, partially offset by strong investment revenues and deposit growth. Average deposits increased 13% and average loans increased 2%. Assets under management increased 29% and investment sales increased 49%, reflecting strong client engagement as well as favorable market conditions. The decline in retail banking was also impacted by a 2% decrease in retail lending revenues, as growth in mortgages was more than offset by a decline in personal loans, driven by the continued impact of the pandemic.
Cards revenues decreased 19%, primarily driven by lower spreads and by lower average loans (down 13%) and purchase sales (down 5%), largely reflecting the continued impact of the pandemic on customer activity, including lower travel spend in the region, given Citi’s skew to an affluent client base and a greater proportion of fee revenues coming from travel-related interchange and foreign transaction fees.
Expenses increased 3%, primarily driven by investments, partially offset by efficiency savings and volume-related expenses.
Provisions decreased 89%, primarily driven by a net ACL release compared to a net ACL build in the prior-year period, partially offset by higher net credit losses. Net credit losses increased 46%, driven by the expiration of consumer relief programs and the continued adverse pandemic-related macroeconomic impacts in the region.
The net ACL release in the first quarter was $226 million, compared to a build of $194 million in the prior-year period.
The release reflected Citi’s improved macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on Asia GCB’s retail banking portfolios and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to Asia GCB’s future results, see “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.




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 2020 Annual Report on Form 10-K.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 96 countries and jurisdictions. At March 31, 2021, ICG had $1.8 trillion in assets and $938 billion in deposits, while two of its businesses—securities services and issuer services—managed $24.8 trillion in assets under custody compared to $24.0 trillion at December 31, 2020 and $18.7 trillion at March 31, 2020.
First Quarter
In millions of dollars, except as otherwise noted20212020% Change
Commissions and fees $1,252 $1,222 2 %
Administration and other fiduciary fees814 691 18 
Investment banking1,800 1,231 46 
Principal transactions3,842 5,359 (28)
Other360 (114)NM
Total non-interest revenue$8,068 $8,389 (4)%
Net interest revenue (including dividends)4,152 4,095 1 
Total revenues, net of interest expense$12,220 $12,484 (2)%
Total operating expenses$6,264 $5,810 8 %
Net credit losses on loans$186 $127 46 %
Credit reserve build (release) for loans(1,312)1,316 NM
Provision (release) for credit losses on unfunded lending commitments(621)553 NM
Provisions (releases) for credit losses on HTM debt securities and other assets(5)8 NM
Provisions (releases) for credit losses$(1,752)$2,004 NM
Income from continuing operations before taxes$7,708 $4,670 65 %
Income taxes1,736 1,044 66 
Income from continuing operations$5,972 $3,626 65 %
Noncontrolling interests37 (1)NM
Net income$5,935 $3,627 64 %
Balance Sheet data and ratios (in billions of dollars)
EOP assets (in billions of dollars)
$1,776 $1,723 3 %
Average assets (in billions of dollars)
1,787 1,580 13 
Return on average assets1.35 %0.92 %
Efficiency ratio51 47 
Revenues by region
North America$4,898 $4,947 (1)%
EMEA3,713 3,470 7 
Latin America1,136 1,418 (20)
Asia2,473 2,649 (7)
Total$12,220 $12,484 (2)%
Income from continuing operations by region
North America$2,798 $896 NM
EMEA1,476 1,035 43 %
Latin America646 526 23 
Asia1,052 1,169 (10)
Total$5,972 $3,626 65 %
18

Average loans by region (in billions of dollars)
North America$195 $196 (1)%
EMEA89 88 1 
Latin America32 38 (16)
Asia71 73 (3)
Total$387 $395 (2)%
EOP deposits by business (in billions of dollars)
Treasury and trade solutions$649 $622 4 %
All other ICG businesses
289 256 13 
Total$938 $878 7 %

NM Not meaningful

ICG Revenue Details
First Quarter
In millions of dollars20212020% Change
Investment banking revenue details
Advisory$281 $386 (27)%
Equity underwriting876 180 NM
Debt underwriting816 788 4 
Total investment banking$1,973 $1,354 46 %
Treasury and trade solutions2,165 2,423 (11)
Corporate lending—excluding gains (losses) on loan hedges(1)
483 448 8 
Private bank—excluding gains (losses) on loan hedges(1)
1,027 949 8 
Total Banking revenues (ex-gains (losses) on loan hedges)
$5,648 $5,174 9 %
Gains (losses) on loan hedges(1)
$(81)$816 NM
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense
$5,567 $5,990 (7)%
Fixed income markets$4,550 $4,786 (5)%
Equity markets1,476 1,169 26 
Securities services653 645 1 
Other(26)(106)75 
Total Markets and securities services revenues, net of interest expense
$6,653 $6,494 2 %
Total revenues, net of interest expense$12,220 $12,484 (2)%
  Commissions and fees$200 $189 6 %
  Principal transactions(2)
2,930 3,549 (17)
  Other356 (63)NM
  Total non-interest revenue $3,486 $3,675 (5)%
  Net interest revenue1,064 1,111 (4)
Total fixed income markets(3)
$4,550 $4,786 (5)%
  Rates and currencies$3,039 $4,034 (25)%
  Spread products/other fixed income1,511 752 NM
Total fixed income markets$4,550 $4,786 (5)%
  Commissions and fees$392 $362 8 %
  Principal transactions(2)
835 774 8 
  Other32 8 NM
  Total non-interest revenue $1,259 $1,144 10 %
  Net interest revenue217 25 NM
Total equity markets(3)
$1,476 $1,169 26 %
    
(1)    Credit derivatives are used to economically hedge a portion of the private bank and corporate loan portfolio that includes both accrual loans and loans at fair value. Gains (losses) on loan hedges include the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The
19

fixed premium costs of these hedges are netted against the private bank and corporate lending revenues to reflect the cost of credit protection. Gains (losses) on loan hedges include $(72) million and $754 million related to the corporate loan portfolio and $(9) million and $62 million related to the private bank for the three months ended March 31, 2021 and March 31, 2020, respectively. All of gains (losses) on loan hedges are related to corporate loan portfolio for the three months ended March 31, 2020. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.
(2)    Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
(3)    Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net interest revenue may be risk managed by derivatives that are recorded in Principal transactions revenue. For a description of the composition of these revenue line items, see Notes 4, 5 and 6 to the Consolidated Financial Statements.
NM Not meaningful

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

1Q21 vs. 1Q20
Net income increased 64% primarily driven by significantly lower cost of credit, partially offset by lower revenues and higher expenses.
Revenues declined 2%, reflecting lower Banking revenues (decline of 7% including the impact of gains (losses) on loan hedges), partially offset by higher Markets and securities services revenues (increase of 2%). Excluding the impact of gains/(losses) on loan hedges, Banking revenues were up 9%, driven by higher revenues in investment banking, corporate lending and the private bank, partially offset by lower revenues in treasury and trade solutions. Markets and securities services revenues were up 2%, reflecting higher revenues in equity markets, partially offset by lower revenues in fixed income markets.
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 were up 46%, reflecting growth in overall market wallet as well as gains in wallet share, particularly in equity underwriting. Advisory revenues decreased 27%, largely reflecting a decline in wallet share, driven by North America, partially offset by EMEA. Equity underwriting revenues increased significantly, driven by continued strength in the market wallet as well as wallet share gains, with growth in all regions. The increase in equity underwriting also reflected higher underwriting activity for special purpose acquisition companies (SPAC). Debt underwriting revenues increased 4%, reflecting strength in EMEA, Asia and Latin America, largely driven by the higher market wallet, partially offset by a decline in wallet share.
•Treasury and trade solutions revenues decreased 11%. Excluding the impact of FX translation, revenues declined 10%, reflecting declines in all regions. The decline in revenues was driven by the cash business, reflecting the continued impact of lower USD and non-USD interest rates and a slowdown in commercial cards spend both due to the continued impact of the pandemic, partially offset by strong deposit volumes. Average deposit balances increased 16% (14% excluding the impact of FX translation), due to strong client engagement and an elevated level of liquidity in the financial system. In trade, revenues were largely unchanged, as a decline in loans, driven by continued softness in underlying trade flows
due to the pandemic, was offset by improved loan spreads.
•Corporate lending revenues decreased 66%, including the impact of gains (losses) on loan hedges, primarily driven by the widening of credit spreads in the prior-year period, reflecting market volatility related to the pandemic. Excluding the impact of gains (losses) on loan hedges, revenues increased 8%, primarily due to the absence of marks on the portfolio driven by the elevated market volatility related to the pandemic in the prior-year period. The increase was partially offset by lower average loan volumes, reflecting paydowns on draws in 2020 and continued weakness in demand given stronger client liquidity positions.
•Private bank revenues increased 1%. Excluding the impact of gains (losses) on loan hedges, revenues increased 8%, reflecting growth across all regions. The increase was driven by higher loan volumes and spreads, as well as higher deposit volumes and managed investments revenue, all driven by continued client activity, partially offset by lower deposit spreads due to the ongoing low interest rate environment.

Within Markets and securities services:

•Fixed income markets revenues decreased 5%, as growth in North America and EMEA were more than offset by declines in Asia and Latin America, reflecting a strong performance in rates and currencies in the prior-year period. Non-interest revenues decreased, reflecting lower corporate and investor activity in rates and currencies, partially offset by higher activity in spread products. Net interest revenues also decreased, largely reflecting a change in the mix of trading positions.
Rates and currencies revenues decreased 25%, primarily reflecting the strong performance in the prior-year period, particularly in G10 rates and currencies, driven by record volatility related to the impact of the pandemic. Spread products and other fixed income revenues increased significantly, reflecting strong client activity, as clients searched for yield in a low-rate environment, with steady demand across flow trading and structured products.
•Equity markets revenues increased 26%, driven by growth across all products. Cash equities revenues increased, reflecting elevated levels of client activity as well as favorable market conditions, particularly in North America and Asia. Equity derivatives revenues increased, due to strong client activity and favorable market
20

conditions, particularly in North America. The increase in prime finance revenues was largely due to higher client balances as well as favorable market conditions. Non-interest revenues increased, primarily driven by higher principal transactions and commissions and fee revenues, primarily due to the higher client activity.
•Securities services revenues increased 1%. Excluding the impact of FX translation, revenues were unchanged, as an increase in fee revenues, driven by growth in assets under custody and settlement volumes as well as higher deposit volumes, was offset by lower deposit spreads due to the continued low interest rate environment.

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

Expenses were up 8%, reflecting continued investments in infrastructure and controls, as well as other strategic investments, higher compensation costs and volume-driven growth, partially offset by efficiency savings.
Provisions for the quarter reflected a net benefit of $1.8 billion, driven by an ACL release, partially offset by higher net credit losses of $186 million, compared to $127 million in the prior-year period.
The ACL release for the quarter was $1.9 billion, compared to a build of $1.9 billion in the prior-year period. The release was primarily driven by Citi’s improved macroeconomic outlook, including global GDP, and modest improvements in portfolio credit quality. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
As of March 31, 2021, reserves held on Citi’s balance sheet represented 1.1% of funded loans, compared to 1.4% as of December 31, 2020, including 3.6% of reserves held against the non-investment grade portion, compared to 4.4% as of December 31, 2020.
For additional information on ICG’s corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information about trends, uncertainties and risks related to ICG’s future results, see “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.






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 March 31, 2021, Corporate/Other had $99 billion in assets.
First Quarter
In millions of dollars20212020% Change
Net interest revenue$61 $325 (81)%
Non-interest revenue9 (252)NM
Total revenues, net of interest expense$70 $73 (4)%
Total operating expenses$413 $416 (1)%
Net credit losses (recoveries) on loans$(18)$(2)NM
Credit reserve build (release) for loans(109)191 NM
Provision (release) for credit losses on unfunded lending commitments(5)5 NM
Provisions (releases) for benefits and claims, HTM debt securities and other assets20 (2)NM
Provisions (release) for credit losses and for benefits and claims$(112)$192 NM
Income (loss) from continuing operations before taxes$(231)$(535)57 %
Income taxes (benefits)(62)(198)69 
Income (loss) from continuing operations$(169)$(337)50 %
Income (loss) from discontinued operations, net of taxes(2)(18)89 
Net income (loss) before attribution of noncontrolling interests$(171)$(355)52 %
Noncontrolling interests(1)(4)75 
Net income (loss)$(170)$(351)52 %
NM Not meaningful

1Q21 vs. 1Q20
Net loss was $170 million, compared to a net loss of $351 million in the prior-year period, driven by significantly lower cost of credit.
Revenues of $70 million declined from $73 million in the prior-year period, as the impact of lower interest rates was largely offset by the absence of marks on securities in the prior-year period and certain episodic gains in the current quarter.
Expenses decreased 1%, as investments in infrastructure, risk and controls were largely offset by the allocation of certain costs to GCB and ICG.
Provisions reflected a benefit of $112 million, compared to costs of $192 million in the prior-year period, primarily driven by a net ACL release on legacy assets in the current period.
The net ACL release in the first quarter was $109 million, compared to a build of $191 million in the prior-year period, primarily reflecting Citi’s improved macroeconomic outlook.
For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.


For additional information about trends, uncertainties and risks related to Corporate Other’s future results, see “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.



22

CAPITAL RESOURCES
For additional information about capital resources, including Citi’s capital management, current regulatory capital standards, regulatory capital buffers, the stress testing component of capital planning and regulatory capital standards developments, see “Capital Resources” and “Risk Factors” in Citi’s 2020 Annual Report on Form 10-K.
As previously announced, Citi commenced share repurchases in February 2021. During the first quarter of 2021, Citi returned a total of $2.7 billion of capital to common shareholders in the form of share repurchases (approximately 23 million common shares) and dividends. For additional information, see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends—Equity Security Repurchases” below.

Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 11.8% as of March 31, 2021, compared to 11.7% as of December 31, 2020, both under the Basel III Advanced Approaches framework, as quarterly net income of $7.9 billion was partially offset by a net increase in risk-weighted assets, the return of $2.7 billion of capital to common shareholders in the form of share repurchases and dividends, and adverse net movements in Accumulated other comprehensive income (AOCI).

Temporary Supplementary Leverage Ratio Relief
In March 2021, the Federal Reserve Board announced that temporary Supplementary Leverage ratio relief for bank holding companies would expire as scheduled on March 31, 2021. The temporary Supplementary Leverage ratio relief has been in place since the second quarter of 2020 and has permitted Citigroup to exclude U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure. Commencing April 1, 2021, U.S. Treasuries and deposits at Federal Reserve Banks will once again be included in Citigroup’s Total Leverage Exposure.
During the first quarter of 2021, as a result of the
temporary relief, Citigroup’s reported Supplementary Leverage ratio of 7.0% benefited approximately 100 basis points. For additional information on temporary Supplementary Leverage ratio relief, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief” in Citi’s 2020 Annual Report on Form 10-K.

Federal Reserve Board Limitations on Capital Distributions
In March 2021, the Federal Reserve Board announced that it was extending for an additional quarter several measures that were previously announced for the first quarter of 2021 to ensure that large banks maintain a high level of capital resilience. Through the end of the second quarter of 2021, the Federal Reserve Board has authorized firms, including Citi, to pay common stock dividends and make share repurchases that, in the aggregate, do not exceed an amount equal to the average of the firm’s net income for the four preceding calendar quarters, unless otherwise specified by the Federal Reserve Board, provided that the firm does not exceed the amount of
common stock dividends paid in the second quarter of 2020. Additionally, through the end of the second quarter of 2021, the Federal Reserve Board has authorized firms to make share repurchases relating to issuances of common stock related to employee stock ownership plans, and to redeem and make scheduled payments on Additional Tier 1 Capital and Tier 2 Capital instruments.
Under the Federal Reserve Board’s capital distribution limitations, Citi is permitted to return capital to common shareholders of up to $4.1 billion during the second quarter of 2021, including the previously announced common dividends of $0.51 per share in the quarter.
The Federal Reserve Board also announced in March 2021 that the temporary limitations on capital distributions that are currently in place will be lifted for most firms after June 30, 2021, based on the results of the Federal Reserve Board’s 2021 Comprehensive Capital Analysis and Review (CCAR), which will be released by July 1, 2021. If firms, including Citi, remain above all of their minimum risk-based requirements in the 2021 CCAR, the temporary limitations on capital distributions will end after June 30 and those firms will be subject to the normal Stress Capital Buffer framework. However, if firms, including Citi, fall below any of their minimum risk-based capital requirements in the 2021 CCAR, those firms will remain subject to the temporary limitations on capital distributions for an additional three months through September 30, 2021. For the fourth quarter of 2021 and onward, unless the Federal Reserve Board further extends the temporary limitations on capital distributions, Citi and all other firms would be authorized to make distributions consistent with their Stress Capital Buffer requirements.


23

Citigroup’s Capital Resources
The following tables set forth Citi’s capital components and ratios:
Advanced ApproachesStandardized Approach
In millions of dollars, except ratios
Effective Minimum Requirement(1)
March 31,
2021		December 31,
2020		March 31,
2021		December 31,
2020
Common Equity Tier 1 Capital(2)
$148,944 $147,274 $148,944 $147,274 
Tier 1 Capital
170,484 167,053 170,484 167,053 
Total Capital (Tier 1 Capital
+ Tier 2 Capital)(2)
197,700 195,959 206,971 204,849 
Total Risk-Weighted Assets
1,263,926 1,255,284 1,260,080 1,221,576 
   Credit Risk(2)
$845,718 $844,374 $1,143,975 $1,109,435 
   Market Risk
112,592 107,812 116,105 112,141 
   Operational Risk
305,616 303,098 — — 
Common Equity Tier 1
Capital ratio(3)
10.0 %11.78 %11.73 %11.82 %12.06 %
Tier 1 Capital ratio(3)
11.5 13.49 13.31 13.53 13.68 
Total Capital ratio(3)
13.5 15.64 15.61 16.43 16.77 
In millions of dollars, except ratios
Effective Minimum RequirementMarch 31,
2021		December 31,
2020
Quarterly Adjusted Average Total Assets(2)(4)
$2,282,935 $2,265,615 
Total Leverage Exposure(2)(5)
2,450,412 2,386,881 
Tier 1 Leverage ratio
4.0 %7.47 %7.37 %
Supplementary Leverage ratio
5.0 6.96 7.00 

(1)Citi’s effective minimum risk-based capital requirements include the 2.5% Stress Capital Buffer and 3.0% GSIB surcharge under the Standardized Approach, and the 2.5% Capital Conservation Buffer and 3.0% GSIB surcharge under the Advanced Approaches (all of which must be composed of Common Equity Tier 1 Capital).
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. In addition, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.
(3)Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were derived under the Basel III Advanced Approaches framework as of March 31, 2021 and December 31, 2020.
(4)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(5)Supplementary Leverage ratio denominator. Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. This temporary Supplementary Leverage ratio relief expired as scheduled on March 31, 2021. During the first quarter of 2021, as a result of the temporary relief, Citigroup’s reported Supplementary Leverage ratio benefited approximately 100 basis points. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.

As indicated in the table above, Citigroup’s risk-based capital ratios at March 31, 2021 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 March 31, 2021.


24

Components of Citigroup Capital
In millions of dollars
March 31,
2021		December 31,
2020
Common Equity Tier 1 Capital
Citigroup common stockholders’ equity(1)
$182,402 $180,118 
Add: Qualifying noncontrolling interests
132 141 
Regulatory capital adjustments and deductions:
Add: CECL transition and 25% provision deferral(2)
4,359 5,348 
Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax
1,037 1,593 
Less: Cumulative unrealized net gain (loss) related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax
(1,172)(1,109)
Less: Intangible assets:
Goodwill, net of related DTLs(3)
20,854 21,124 
Identifiable intangible assets other than MSRs, net of related DTLs
4,054 4,166 
Less: Defined benefit pension plan net assets
1,485 921 
Less: DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards(4)
11,691 11,638 
Total Common Equity Tier 1 Capital (Advanced Approaches and Standardized Approach)
$148,944 $147,274 
Additional Tier 1 Capital
Qualifying noncumulative perpetual preferred stock(1)
$20,147 $19,324 
Qualifying trust preferred securities(5)
1,395 1,393 
Qualifying noncontrolling interests
33 35 
Regulatory capital deductions:
Less: Permitted ownership interests in covered funds(6)
— 917 
Less: Other
35 56 
Total Additional Tier 1 Capital (Advanced Approaches and Standardized Approach)
$21,540 $19,779 
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
(Advanced Approaches and Standardized Approach)
$170,484 $167,053 
Tier 2 Capital
Qualifying subordinated debt
$21,890 $23,481 
Qualifying trust preferred securities(7)
248 331 
Qualifying noncontrolling interests
39 41 
Excess of eligible credit reserves over expected credit losses(2)(8)
5,081 5,084 
Regulatory capital deduction:
Less: Other
42 31 
Total Tier 2 Capital (Advanced Approaches)
$27,216 $28,906 
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)
$197,700 $195,959 
Adjustment for eligible allowance for credit losses(2)(8)
$9,271 $8,890 
Total Tier 2 Capital (Standardized Approach)
$36,487 $37,796 
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)
$206,971 $204,849 

(1)Issuance costs of $133 million and $156 million related to outstanding noncumulative perpetual preferred stock as of March 31, 2021 and December 31, 2020, respectively, are excluded from common stockholders’ equity and are netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax) and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date.
(3)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.


Footnotes continue on the following page.
25

(4)Of Citi’s $24.2 billion of net DTAs at March 31, 2021, $14.4 billion was includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $9.8 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of March 31, 2021 was $11.7 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards. The amount excluded was reduced by $1.9 billion of net DTLs primarily associated with goodwill and certain other intangible assets that are separately deducted from capital. DTAs arising from tax carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under the U.S. Basel III rules. DTAs arising from temporary differences are required to be deducted from capital only if these DTAs exceed 10%/15% limitations under the U.S. Basel III rules. Citi’s DTAs do not currently exceed these limitations and, therefore, are not subject to deduction from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.
(5)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(6)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Commencing January 1, 2021, Citi no longer deducts permitted market making positions in third-party covered funds from Tier 1 Capital, in accordance with the revised Volcker Rule 2.0 issued by the U.S. agencies in November 2019. Upon the removal of the capital deduction, permitted market making positions in third-party covered funds are included in risk-weighted assets.
(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 Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach, in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets. The total amount of allowance for credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Standardized Approach framework was $14.4 billion and $14.0 billion at March 31, 2021 and December 31, 2020, respectively.
26

Citigroup Capital Rollforward
In millions of dollars
Three Months Ended
March 31, 2021
Common Equity Tier 1 Capital, beginning of period
$147,274 
Net income
7,942 
Common and preferred dividends declared
(1,366)
Net increase in treasury stock
(1,132)
Net decrease in common stock and additional paid-in capital
(175)
Net change in foreign currency translation adjustment net of hedges, net of tax
(1,274)
Net increase in unrealized gains (losses) on debt securities AFS, net of tax
(1,785)
Net decrease in defined benefit plans liability adjustment, net of tax
714 
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax
21 
Net increase in excluded component of fair value hedges
(10)
Net decrease in goodwill, net of related DTLs
270 
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs
112 
Net increase in defined benefit pension plan net assets
(564)
Net increase in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards
(53)
Net decrease in CECL 25% provision deferral
(989)
Other
(41)
Net increase in Common Equity Tier 1 Capital
$1,670 
Common Equity Tier 1 Capital, end of period
(Advanced Approaches and Standardized Approach)
$148,944 
Additional Tier 1 Capital, beginning of period
$19,779 
Net increase in qualifying perpetual preferred stock
823 
Net increase in qualifying trust preferred securities
2 
Net decrease in permitted ownership interests in covered funds
917 
Other
19 
Net increase in Additional Tier 1 Capital
$1,761 
Tier 1 Capital, end of period
(Advanced Approaches and Standardized Approach)
$170,484 
Tier 2 Capital, beginning of period (Advanced Approaches)
$28,906 
Net decrease in qualifying subordinated debt
(1,591)
Net decrease in excess of eligible credit reserves over expected credit losses
(3)
Other
(96)
Net decrease in Tier 2 Capital (Advanced Approaches)
$(1,690)
Tier 2 Capital, end of period (Advanced Approaches)
$27,216 
Total Capital, end of period (Advanced Approaches)
$197,700 
Tier 2 Capital, beginning of period (Standardized Approach)
$37,796 
Net decrease in qualifying subordinated debt
(1,591)
Net increase in eligible allowance for credit losses
378 
Other
(96)
Net decrease in Tier 2 Capital (Standardized Approach)
$(1,309)
Tier 2 Capital, end of period (Standardized Approach)
$36,487 
Total Capital, end of period (Standardized Approach)
$206,971 

27

Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
In millions of dollars
Three Months Ended
March 31, 2021
 Total Risk-Weighted Assets, beginning of period$1,255,284 
Changes in Credit Risk-Weighted Assets
Retail exposures(1)
(10,755)
Wholesale exposures(2)
9,420 
Repo-style transactions
(2,786)
Securitization exposures(3)
3,729 
Equity exposures
(586)
Over-the-counter (OTC) derivatives(4)
7,824 
Derivatives CVA(5)
(7,779)
Other exposures(6)
1,866 
Supervisory 6% multiplier
411 
Net increase in Credit Risk-Weighted Assets
$1,344 
Changes in Market Risk-Weighted Assets
Risk levels(7)
$4,222 
Model and methodology updates558 
 Net increase in Market Risk-Weighted Assets
$4,780 
Net change in Operational Risk-Weighted Assets(8)
$2,518 
Total Risk-Weighted Assets, end of period
$1,263,926 

(1)Retail exposures decreased during the three months ended March 31, 2021, primarily driven by seasonal holiday spending repayments and less spending on qualifying revolving (cards) exposures.
(2)Wholesale exposures increased during the three months ended March 31, 2021, primarily due to an increase in wholesale loan commitments.
(3)Securitization exposures increased during the three months ended March 31, 2021, primarily due to increases in new deals.
(4)OTC derivatives increased during the three months ended March 31, 2021, primarily due to changes in risk parameters, partially offset by a decrease in exposure.
(5)Derivatives CVA decreased during the three months ended March 31, 2021, primarily driven by a decrease in exposure.
(6)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios.
(7)Risk levels increased during the three months ended March 31, 2021, primarily due to exposure changes.
(8)Operational risk-weighted assets increased during the three months ended March 31, 2021, mainly driven by changes in operational loss severity.




28

Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
In millions of dollars
Three Months Ended
March 31, 2021
 Total Risk-Weighted Assets, beginning of period$1,221,576 
Changes in Credit Risk-Weighted Assets
General credit risk exposures(1)
(12,940)
Repo-style transactions(2)
3,038 
Securitization exposures(3)
3,647 
Equity exposures
(579)
Over-the-counter (OTC) derivatives(4)
19,628 
Other exposures(5)
11,306 
Off-balance sheet exposures(6)
10,440 
Net change in Credit Risk-Weighted Assets
$34,540 
Changes in Market Risk-Weighted Assets
Risk levels(7)
$3,406 
Model and methodology updates558 
Net increase in Market Risk-Weighted Assets
$3,964 
Total Risk-Weighted Assets, end of period
$1,260,080 

(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures decreased during the three months ended March 31, 2021, primarily due to seasonal holiday spending repayments and less spending on qualifying revolving (cards).
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions increased during the three months ended March 31, 2021, primarily due to volume- and exposure-driven increases.
(3)Securitization exposures increased during the three months ended March 31, 2021, primarily due to increases in new deals.
(4)OTC derivatives increased during the three months ended March 31, 2021, mainly due to changes in risk parameters and an increase in notionals.
(5)Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures increased during the three months ended March 31, 2021, primarily due to an increase in various other assets.
(6)Off-balance sheet exposures increased during the three months ended March 31, 2021, primarily due to an increase in wholesale loan commitments.
(7)Risk levels increased during the three months ended March 31, 2021, primarily due to exposure changes.





29

Supplementary Leverage Ratio
The following table sets forth Citi’s Supplementary Leverage ratio and related components:
In millions of dollars, except ratiosMarch 31, 2021December 31, 2020
Tier 1 Capital$170,484 $167,053 
Total Leverage Exposure
On-balance sheet assets(1)(2)(3)
$1,906,422 $1,864,374 
Certain off-balance sheet exposures:(4)
   Potential future exposure on derivative contracts201,735 183,604 
   Effective notional of sold credit derivatives, net(5)
27,164 32,640 
   Counterparty credit risk for repo-style transactions(6)
21,805 20,168 
   Unconditionally cancellable commitments71,293 71,163 
   Other off-balance sheet exposures260,112 253,754 
Total of certain off-balance sheet exposures$582,109 $561,329 
Less: Tier 1 Capital deductions38,119 38,822 
Total Leverage Exposure(3)
$2,450,412 $2,386,881 
Supplementary Leverage ratio6.96 %7.00 %

(1)Represents the daily average of on-balance sheet assets for the quarter.
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in DTAs arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in Total Leverage Exposure.
(3)Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. This temporary Supplementary Leverage ratio relief expired as scheduled on March 31, 2021. During the first quarter of 2021, as a result of the temporary relief, Citigroup’s reported Supplementary Leverage ratio benefited approximately 100 basis points. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.
(4)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(5)Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(6)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.

As set forth in the table above, Citigroup’s Supplementary Leverage ratio was approximately 7.0% at March 31, 2021 and December 31, 2020, as the return of capital to common shareholders in the form of share repurchases and dividends, adverse net movements in AOCI and an increase in Total Leverage Exposure due to an increase in both average on-balance sheet assets and average off-balance sheet exposures were offset by net income in the quarter.
30

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






Advanced ApproachesStandardized Approach
In millions of dollars, except ratios
Effective Minimum Requirement(1)
March 31, 2021December 31, 2020March 31, 2021December 31, 2020
Common Equity Tier 1 Capital(2)
$146,359 $142,854 $146,359 $142,854 
Tier 1 Capital
148,487 144,962 148,487 144,962 
Total Capital (Tier 1 Capital
+ Tier 2 Capital)(2)(3)
164,921 161,319 173,212 169,303 
Total Risk-Weighted Assets(4)
1,043,858 1,021,479 1,069,933 1,038,031 
   Credit Risk(2)
$731,159 $716,513 $1,011,308 $977,366 
   Market Risk
57,808 59,815 58,625 60,665 
   Operational Risk
254,891 245,151 — — 
Common Equity Tier 1
Capital ratio(4)(5)
7.0 %14.02 %13.99 %13.68 %13.76 %
Tier 1 Capital ratio(4)(5)
8.5 14.22 14.19 13.88 13.97 
Total Capital ratio(4)(5)
10.5 15.80 15.79 16.19 16.31 
In millions of dollars, except ratios
Effective Minimum RequirementMarch 31, 2021December 31, 2020
Quarterly Adjusted Average Total Assets(2)(6)
$1,665,791 $1,680,026 
Total Leverage Exposure(2)(7)
2,182,668 2,180,821 
Tier 1 Leverage ratio(5)
5.0 %8.91 %8.63 %
Supplementary Leverage ratio(5)
6.0 6.80 6.65 

(1)Citibank’s effective minimum risk-based capital requirements are inclusive of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)Citibank has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citibank is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. In addition, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.
(3)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the ACL is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess ACL being deducted in arriving at credit risk-weighted assets.
(4)Citibank’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches framework as of March 31, 2021 and December 31, 2020, whereas Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach framework for all periods presented.
(5)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.”
(6)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(7)Supplementary Leverage ratio denominator. Citibank did not elect to temporarily exclude U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief” in Citi’s 2020 Annual Report on Form 10-K.





31

As indicated in the table above, Citibank’s capital ratios at March 31, 2021 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 March 31, 2021.

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 March 31, 2021. 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
0.80.90.81.10.81.2
Standardized Approach
0.80.90.81.10.81.3
Citibank
Advanced Approaches
1.01.31.01.41.01.5
Standardized Approach
0.91.30.91.30.91.5
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
0.40.30.40.3
Citibank
0.60.50.50.3

32

Citigroup Broker-Dealer Subsidiaries
At March 31, 2021, 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 $11.8 billion, which exceeded the minimum requirement by $8.1 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 $27.0 billion at March 31, 2021, 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 March 31, 2021.

Total Loss-Absorbing Capacity (TLAC)
The table below details Citi’s eligible external TLAC and long-term debt (LTD) amounts and ratios, and each effective minimum TLAC and LTD ratio requirement, as well as the surplus amount in dollars in excess of each requirement.
As of March 31, 2021, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $24 billion surplus above its binding TLAC requirement of LTD as a percentage of Advanced Approaches risk-weighted assets.
March 31, 2021
In billions of dollars, except ratiosExternal TLACLTD
Total eligible amount$313 $138 
% of Advanced Approaches risk-
weighted assets		24.8 %10.9 %
Effective minimum requirement(1)(2)
22.5 %9.0 %
Surplus amount$29 $24 
% of Total Leverage Exposure(3)
12.8 %5.6 %
Effective minimum requirement9.5 %4.5 %
Surplus amount$81 $28 

(1)    External TLAC includes Method 1 GSIB surcharge of 2.0%.
(2)    LTD includes Method 2 GSIB surcharge of 3.0%.
(3)    Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excludes U.S. Treasuries and deposits at Federal Reserve Banks. These exclusions expired as scheduled on March 31, 2021. Excluding the temporary relief, Citigroup’s binding TLAC requirement would have been LTD as a percentage of Total Leverage Exposure, with a surplus of $9 billion. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.

For additional information on Citi’s TLAC-related requirements, see “Capital Resources—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance Risks” in Citi’s 2020 Annual Report on Form 10-K.


33

Capital Resources (Full Adoption of CECL, and Excluding Temporary Supplementary Leverage Ratio Relief for Citigroup)
The following tables set forth Citigroup’s and Citibank’s capital components and ratios reflecting the full impact of CECL, and excluding temporary Supplementary Leverage ratio relief for Citigroup, as of March 31, 2021:
CitigroupCitibank
Effective Minimum RequirementAdvanced ApproachesStandardized ApproachEffective Minimum RequirementAdvanced ApproachesStandardized Approach
Common Equity Tier 1 Capital ratio
10.0 %11.46 %11.50 %7.0 %13.67 %13.33 %
Tier 1 Capital ratio
11.5 13.17 13.21 8.5 13.87 13.53 
Total Capital ratio13.5 15.33 16.12 10.5 15.45 15.85 
Effective Minimum RequirementCitigroupEffective Minimum RequirementCitibank
Tier 1 Leverage ratio
4.0 %7.29 %5.0 %8.69 %
Supplementary Leverage ratio(1)
5.0 5.80 6.0 6.63 

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

TLAC Holdings
In January 2021, the U.S. banking agencies issued a final rule that creates a new regulatory capital deduction applicable to Advanced Approaches banking organizations for certain investments in covered debt instruments issued by GSIBs. The final rule became effective for Citigroup and Citibank on April 1, 2021, and did not have a significant impact on either Citigroup’s or Citibank’s regulatory capital. For additional information, see “Capital Resources—Regulatory Capital Standards Developments—U.S. Banking Agencies—TLAC Holdings” in Citi’s 2020 Annual Report on Form 10-K.

Regulatory Capital Standards Developments

Supplementary Leverage Ratio
In March 2021, the Federal Reserve Board announced that it would soon invite public comment on several potential modifications to the Supplementary Leverage ratio. The Federal Reserve Board noted that, because of recent growth in the supply of central bank reserves and issuance of U.S. Treasuries, the Federal Reserve Board may need to address the current design and calibration of the Supplementary Leverage ratio over time to prevent strains from developing that could both constrain economic growth and undermine financial stability. Additional details on any forthcoming proposals are not yet available.







34


Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return 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 return on average TCE are non-GAAP financial measures.










In millions of dollars or shares, except per share amounts
March 31,
2021		December 31,
2020
Total Citigroup stockholders’ equity
$202,549 $199,442 
Less: Preferred stock
20,280 19,480 
Common stockholders’ equity
$182,269 $179,962 
Less:
  Goodwill
21,905 22,162 
  Identifiable intangible assets (other than MSRs)
4,308 4,411 
Tangible common equity (TCE)
$156,056 $153,389 
Common shares outstanding (CSO)
2,067.0 2,082.1 
Book value per share (common equity/CSO)
$88.18 $86.43 
Tangible book value per share (TCE/CSO)
75.50 73.67 

Three Months Ended March 31,
In millions of dollars
20212020
Net income available to common shareholders
$7,650 $2,245 
Average common stockholders’ equity
180,421 174,468 
Average TCE
154,723 149,024 
Return on average common stockholders’ equity
17.2 %5.2 %
Return on average TCE (RoTCE)(1)
20.1 6.1 

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
























35



Managing Global Risk Table of Contents
MANAGING GLOBAL RISK
37
CREDIT RISK(1)
37
Consumer Credit
37
Corporate Credit
44
Additional Consumer and Corporate Credit Details
50
 Loans Outstanding
50
 Details of Credit Loss Experience
51
     Allowance for Credit Losses on Loans (ACLL)52
     Non-Accrual Loans and Assets and Renegotiated Loans
54
LIQUIDITY RISK
57
High-Quality Liquid Assets (HQLA)
57
Liquidity Coverage Ratio (LCR)
57
Loans58
Deposits58
Long-Term Debt59
Secured Funding Transactions and Short-Term Borrowings61
Credit Ratings62
MARKET RISK(1)
64
Market Risk of Non-Trading Portfolios
64
Market Risk of Trading Portfolios
72
STRATEGIC RISK
74
LIBOR Transition Risk
74
Country Risk
75
Argentina
76

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

36

MANAGING GLOBAL RISK

For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to 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, value proposition, key guiding principles and risk appetite. For more information on Citi’s management of global risk, see “Managing Global Risk” in Citi’s 2020 Annual Report on Form 10-K. As discussed above, Citi is continuing its efforts to comply with the Federal Reserve Board and OCC consent orders, relating principally to various aspects of risk management, compliance, data quality management and governance, and internal controls. See “Citi’s Consent Order Compliance” above and in Citi’s 2020 Annual Report on Form 10-K..



CREDIT RISK

For more information on credit risk, including Citi’s credit risk management, measurement and stress testing, and Citi’s consumer and corporate credit portfolios, see “Credit Risk” and “Risk Factors” in Citi’s 2020 Annual Report on Form 10-K.

CONSUMER CREDIT
The following table shows Citi’s quarterly end-of-period consumer loans:(1)
In billions of dollars1Q’202Q’203Q’204Q’201Q’21
Retail banking:
Mortgages$83.6 $86.0 $87.5 $88.9 $86.7 
Personal, small business and other36.6 37.6 38.3 40.1 39.1 
Total retail banking$120.2 $123.6 $125.8 $129.0 $125.8 
Cards:
Citi-branded cards$110.2 $103.6 $102.2 $106.7 $99.6 
Citi retail services48.9 45.4 44.4 46.4 42.5 
Total cards$159.1 $149.0 $146.6 $153.1 $142.1 
Total GCB
$279.3 $272.6 $272.4 $282.1 $267.9 
GCB regional distribution:
North America67 %66 %66 %65 %64 %
Latin America5 5 5 5 5 
Asia(2)
28 29 29 30 31 
Total GCB
100 %100 %100 %100 %100 %
Corporate/Other(3)
$9.1 $8.5 $7.6 $6.7 $6.1 
Total consumer loans$288.4 $281.1 $280.0 $288.8 $274.0 

(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 consumer loans, see “Liquidity Risk—Loans” below.



37

Overall Consumer Credit Trends
Global Consumer Banking
c-20210331_g1.jpg

c-20210331_g2.jpg

As shown in the chart above, GCB’s net credit loss rate and the 90+ days past due delinquency rate decreased year-over-year as of the first quarter of 2021, driven by North America GCB, primarily reflecting the benefit of significant government stimulus and assistance, and lower customer spending.
Quarter-over-quarter, GCB’s net credit loss rate increased and its 90+ days past due rate decreased, driven by Asia GCB and Latin America GCB, as Citi charged off most of the spike in delinquencies from the fourth quarter of 2020 related to customer accounts exiting consumer relief programs, as well as the seasonality observed in North America GCB’s net credit loss rate.
For additional information on consumer credit trends, see “Managing Global Risk—Credit Risk—Overall Consumer Credit Trends” in Citi’s 2020 Annual Report on Form 10-K.
North America GCB
c-20210331_g1.jpg
c-20210331_g3.jpg

North America GCB provides mortgage, home equity, small business and personal loans through Citi’s retail banking network and card products through Citi-branded cards and Citi retail services businesses. The retail bank is concentrated in six major metropolitan cities in the U.S. (for additional information on the U.S. retail bank, see “North America GCB” above).
As of March 31, 2021, 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 net credit loss rate in North America GCB as of the first quarter of 2021 increased quarter-over-quarter, primarily driven by seasonality in both cards portfolios, and decreased year-over-year, primarily driven by the continued impacts of government stimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate in North America GCB decreased quarter-over-quarter, reflecting higher payment rates driven by government stimulus. Year-over-year, the decrease in the 90+ days past due delinquency rate was driven by the continued impacts of government stimulus, unemployment benefits and consumer relief programs.
Latin America GCB
c-20210331_g1.jpg
c-20210331_g4.jpg

Latin America GCB operates in Mexico through Citibanamex, one of Mexico’s largest banks, and provides credit cards, consumer mortgages and small business and personal loans. Latin America GCB serves a more mass-market segment in Mexico and focuses on developing multiproduct relationships with customers.
As shown in the chart above, the net credit loss rate in Latin America GCB as of the first quarter of 2021 increased significantly quarter-over quarter and year-over-year, driven by a majority of customers exiting consumer relief programs at the end of the third quarter of 2020 as well as the continued adverse pandemic-related macroeconomic impacts.
The 90+ days past due delinquency rate increased year-over-year, primarily due to the continued adverse pandemic-related macroeconomic impacts, including lower loan balances. The 90+ days past due delinquency rate decreased quarter-over-quarter, primarily due to the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 related to customers exiting consumer relief programs.
38

Asia(1) GCB
c-20210331_g1.jpg
c-20210331_g5.jpg
(1)Asia includes GCB activities in certain EMEA countries for all periods presented.

Asia GCB operates in 17 countries and jurisdictions in Asia and EMEA and provides credit cards, consumer mortgages and small business and personal loans.
As shown in the chart above, the net credit loss rate in Asia GCB as of the first quarter of 2021 increased quarter-over-quarter and year-over-year, driven by customers exiting consumer relief programs in certain countries, as well as the continued adverse pandemic-related macroeconomic impacts in the region.
The 90+ days past due delinquency rate was largely unchanged year-over-year. Quarter-over-quarter, the 90+ days past due delinquency rate decreased due to the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 related to customers exiting consumer relief programs in 2020.
The performance of Asia GCB’s portfolios continues to reflect the strong credit profiles in the region’s target customer segments. Regulatory changes in many markets in Asia over the past few years have also resulted in improved credit quality.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see each respective business’s results of operations above and Notes 13 and 14 to the Consolidated Financial Statements.

Credit Card Trends

Global Cards
c-20210331_g1.jpg
c-20210331_g6.jpg

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

North America Citi-Branded Cards
c-20210331_g1.jpg
c-20210331_g7.jpg

North America GCB’s Citi-branded cards portfolio issues proprietary and co-branded cards.
As shown in the chart above, the net credit loss rate in Citi-branded cards as of the first quarter of 2021 increased quarter-over-quarter, primarily driven by seasonality, and decreased year-over-year, primarily reflecting the benefit of significant government stimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate decreased quarter-over-quarter, reflecting higher payment rates due to government stimulus. Year-over-year, the 90+ days past due delinquency rate decreased, driven by the continued impact of government stimulus, unemployment benefits and consumer relief programs.

39

North America Citi Retail Services
c-20210331_g1.jpg
c-20210331_g8.jpg

Citi retail services partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Citi retail services’ target market focuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel.
Citi retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
As shown in the chart above, the net credit loss rate in Citi retail services as of the first quarter of 2021 increased quarter-over-quarter, primarily due to seasonality, and decreased year-over-year, primarily reflecting the benefit of significant government stimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate was largely unchanged quarter-over-quarter. Year-over-year, the 90+ days past due delinquency rate declined, driven by the continued impact of government stimulus, unemployment benefits and consumer relief programs.

Latin America Citi-Branded Cards
c-20210331_g1.jpg
c-20210331_g9.jpg

Latin America GCB issues proprietary and co-branded cards.
As shown in the chart above, the net credit loss rate in Latin America Citi-branded cards as of the first quarter of 2021 increased significantly quarter-over quarter and year-over-year, driven by a majority of customers exiting
consumer relief programs at the end of the third quarter in 2020, as well as the continued adverse pandemic-related macroeconomic impacts.
The 90+ days past due delinquency rate increased year-over-year, due to the continued adverse pandemic-related macroeconomic impacts, including lower loan balances. The 90+ days past due delinquency rate decreased quarter-over-
quarter, primarily due to the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 related to customers exiting consumer relief programs.

Asia Citi-Branded Cards(1)
c-20210331_g1.jpg
c-20210331_g10.jpg

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

As shown in the chart above, the net credit loss rate in Asia Citi-branded cards as of the first quarter of 2021 increased quarter-over-quarter and year-over-year, primarily driven by customers exiting consumer relief programs in certain countries, as well as the continued adverse pandemic-related macroeconomic impacts in the region.
The 90+ days past due delinquency rate increased year-over-year, due to the continued adverse macroeconomic impacts of the pandemic, and decreased quarter-over-quarter, due to the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 relating to customers exiting consumer relief programs in 2020.
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.


40

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

Citi-Branded Cards
FICO distribution(1)
March 31, 2021December 31, 2020March 31, 2020
  > 76046 %46 %39 %
   680–76040 39 42 
  < 68014 15 19 
Total100 %100 %100 %


Citi Retail Services
FICO distribution(1)
March 31, 2021December 31, 2020March 31, 2020
   > 76026 %27 %23 %
   680–76045 44 42 
  < 68029 29 35 
Total100 %100 %100 %

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

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


41

Additional Consumer Credit Details

Consumer Loan Delinquencies Amounts and Ratios(1)
 
EOP
loans(2)
90+ days past due(3)
30–89 days past due(3)
In millions of dollars,
except EOP loan amounts in billions		March 31,
2021		March 31,
2021		December 31,
2020		March 31,
2020		March 31,
2021		December 31,
2020		March 31,
2020
Global Consumer Banking(4)(5)
Total$267.9 $2,175 $2,507 $2,603 $2,003 $2,517 $2,870 
Ratio0.81 %0.89 %0.93 %0.75 %0.89 %0.90 %
Retail banking
Total$125.8 $598 $632 $429 $662 $860 $794 
Ratio0.48 %0.49 %0.36 %0.53 %0.67 %0.66 %
North America50.9 263 299 161 220 328 298 
Ratio0.52 %0.58 %0.32 %0.44 %0.63 %0.59 %
Latin America9.1 142 130 90 164 220 140 
Ratio1.56 %1.33 %0.98 %1.80 %2.24 %1.52 %
Asia(6)
65.8 193 203 178 278 312 356 
Ratio0.29 %0.31 %0.30 %0.42 %0.47 %0.59 %
Cards
Total$142.1 $1,577 $1,875 $2,174 $1,341 $1,657 $2,076 
Ratio1.11 %1.22 %1.37 %0.94 %1.08 %1.30 %
North America—Citi-branded
78.5 590 686 891 484 589 770 
Ratio0.75 %0.82 %1.01 %0.62 %0.70 %0.87 %
North America—Citi retail services
42.5 591 644 958 513 639 903 
Ratio1.39 %1.39 %1.96 %1.21 %1.38 %1.85 %
Latin America4.3 173 233 121 115 170 132 
Ratio4.02 %4.85 %2.69 %2.67 %3.54 %2.93 %
Asia(6)
16.8 223 312 204 229 259 271 
Ratio1.33 %1.74 %1.18 %1.36 %1.45 %1.57 %
Corporate/Other—Consumer(7)
Total$6.1 $277 $313 $281 $138 $179 $252 
Ratio4.86 %5.13 %3.23 %2.42 %2.93 %2.90 %
Total Citigroup$274.0 $2,452 $2,820 $2,884 $2,141 $2,696 $3,122 
Ratio0.90 %0.98 %1.00 %0.78 %0.94 %1.09 %
(1)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification (which have various durations, and certain of which may be renewed by the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020.
(2)End-of-period (EOP) loans include interest and fees on credit cards.
(3)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(4)The 90+ days past due balances for North America—Citi-branded and North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(5)The 90+ days past due and 30–89 days past due and related ratios for North America GCB exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $176 million ($0.7 billion), $171 million ($0.7 billion) and $124 million ($0.5 billion) as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) were $84 million ($0.7 billion), $98 million ($0.7 billion) and $64 million ($0.5 billion) as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively.
(6)Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(7)The loans 90+ days past due and related ratios exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and (EOP loans) for each period were $169 million ($0.4 billion), $183 million ($0.5 billion) and $167 million ($0.4 billion) as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) for each period were $55 million ($0.4 billion), $73 million ($0.5 billion) and $58 million ($0.4 billion) as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively.
42

Consumer Loan Net Credit Losses and Ratios
 
Average
loans(1)
Net credit losses(2)
In millions of dollars, except average loan amounts in billions1Q211Q214Q201Q20
Global Consumer Banking  
Total$271.7 $1,580 $1,272 $1,934 
Ratio2.36 %1.83 %2.68 %
Retail banking
Total$127.4 $274 $185 $230 
Ratio0.87 %0.58 %0.75 %
North America51.9 26 31 37 
Ratio0.20 %0.23 %0.29 %
Latin America9.4 168 68 127 
Ratio7.25 %2.82 %4.60 %
Asia(3)
66.1 80 86 66 
Ratio0.49 %0.52 %0.43 %
Cards
Total$144.3 $1,306 $1,087 $1,704 
Ratio3.67 %2.91 %4.10 %
North America—Citi-branded
78.7 551 500 781 
Ratio2.84 %2.43 %3.40 %
North America—Citi retail services
43.8 373 339 672 
Ratio3.45 %3.00 %5.35 %
Latin America4.5 197 94 144 
Ratio17.75 %7.96 %10.34 %
Asia(3)
17.3 185 154 107 
Ratio4.34 %3.56 %2.29 %
Corporate/Other—Consumer
Total$6.4 $(18)$(10)$(2)
Ratio(1.14)%(0.54)%(0.09)%
Total Citigroup$278.1 $1,562 $1,262 $1,932 
Ratio2.28 %1.77 %2.59 %
(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.
















43

CORPORATE CREDIT

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

 March 31, 2021December 31, 2020March 31, 2020
In billions of dollarsDue
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)
$182 $142 $22 $346 $177 $142 $25 $344 $195 $175 $24 $394 
Unfunded lending commitments (off-balance sheet)(2)
170 284 12 466 158 272 11 441 152 231 11 394 
Total exposure$352 $426 $34 $812 $335 $414 $36 $785 $347 $406 $35 $788 


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

Portfolio Mix—Geography and Counterparty
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region (excluding the delinquency-managed private bank portfolio) based on Citi’s internal management geography:
March 31,
2021		December 31,
2020		March 31,
2020
North America57 %56 %57 %
EMEA25 25 25 
Asia13 13 12 
Latin America5 6 6 
Total100 %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.
The following table presents the corporate credit portfolio (excluding the delinquency-managed private bank portfolio) by facility risk rating as a percentage of the total corporate credit portfolio:
 Total exposure
 March 31,
2021		December 31,
2020		March 31,
2020
AAA/AA/A50 %49 %48 %
BBB31 31 33 
BB/B16 17 17 
CCC or below3 3 2 
Total100 %100 %100 %

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

In addition to the obligor and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi’s interpretation of the U.S. banking regulators’ definition of criticized exposures, which may categorize exposures as special mention, substandard, doubtful, or loss.
Risk ratings and classifications are reviewed regularly, and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment. This includes but is not limited to exposures in those sectors significantly impacted by the pandemic (including consumer retail, commercial real estate and transportation).
Citigroup believes the corporate credit portfolio to be appropriately rated and classified as of March 31, 2021. Since the onset of the COVID-19 pandemic, Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.
As obligor risk ratings are downgraded, the probability of default increases. Downgrades of obligor risk ratings tend to result in a higher provision for credit losses. In addition,
44

downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in Citi’s seeking to reduce exposure to an obligor or an industry sector. Citi will continue to review exposures to ensure that the appropriate probability of default is incorporated into all risk assessments.
For additional information on Citi’s corporate credit portfolio, see Note 13 to the Consolidated Financial Statements.

Portfolio Mix—Industry
Citi’s corporate credit portfolio is diversified by industry. The following details the allocation of Citi’s total corporate credit portfolio by industry (excluding the delinquency-managed private bank portfolio):
 Total exposure
 March 31,
2021		December 31,
2020		March 31,
2020
Transportation and industrials19 %19 %19 %
Private bank14 14 13 
Consumer retail 10 10 11 
Technology, media and telecom11 11 10 
Real estate8 8 7 
Power, chemicals, metals and mining8 8 9 
Banks and finance companies7 7 8 
Energy and commodities6 6 7 
Health5 5 4 
Public sector3 3 3 
Insurance3 3 3 
Asset managers and funds3 3 3 
Financial markets infrastructure2 2 2 
Securities firms— — — 
Other industries1 1 1 
Total100 %100 %100 %
45

The following table details Citi’s corporate credit portfolio by industry as of March 31, 2021:
Non-investment gradeSelected metrics
In millions of dollarsTotal credit exposure
Funded(1)
Unfunded(1)
Investment gradeNon-criticizedCriticized performing
Criticized non-performing(2)
30 days or more past due and accruing(3)
Net charge-offs (recoveries)(4)
Credit derivative hedges(5)
Transportation and industrials$149,737 $57,653 $92,084 $109,655 $19,267 $19,083 $1,732 $209 $75 $(8,628)
   Autos(6)
51,939 23,993 27,946 41,823 4,895 5,018 203 50 1 (3,521)
   Transportation31,387 13,436 17,951 20,581 3,354 6,064 1,388 16 57 (1,140)
   Industrials66,411 20,224 46,187 47,251 11,018 8,001 141 143 17 (3,967)
Private bank116,606 78,556 38,050 111,784 2,243 2,364 215 898 (1)(1,080)
Consumer retail79,201 33,424 45,777 59,944 11,452 7,129 676 148 9 (5,394)
Technology, media and telecom89,307 29,314 59,993 69,458 14,801 4,785 263 72 1 (6,929)
Real estate66,712 43,938 22,774 55,302 5,929 5,141 340 90 13 (597)
Power, chemicals, metals and mining64,069 21,086 42,983 49,505 10,474 3,837 253 102 51 (5,426)
  Power26,922 6,278 20,644 23,055 3,036 626 205 7 47 (2,624)
  Chemicals22,962 8,499 14,463 16,838 4,429 1,685 10 9 4 (2,170)
  Metals and mining14,185 6,309 7,876 9,612 3,009 1,526 38 86 — (632)
Banks and finance companies56,327 32,840 23,487 46,764 4,775 4,760 28 90 — (867)
Energy and commodities(7)
47,741 14,024 33,717 33,749 7,465 5,899 628 101 33 (3,934)
Health39,384 8,126 31,258 29,701 7,403 2,093 187 43 — (2,059)
Public sector27,699 14,522 13,177 22,939 2,090 2,654 16 27 (3)(1,146)
Insurance27,869 2,517 25,352 27,055 712 102 — — — (2,541)
Asset managers and funds20,158 4,793 15,365 18,358 1,228 572 — 1 — (82)
Financial markets infrastructure15,531 853 14,678 15,504 27 — — — — (8)
Securities firms1,422 227 1,195 762 563 89 8 12 — (6)
Other industries10,319 4,597 5,722 5,523 2,431 2,077 288 22 6 (94)
Total$812,082 $346,470 $465,612 $656,003 $90,860 $60,585 $4,634 $1,815 $184 $(38,791)

(1)    Excludes $45,484 million and $6,774 million of funded and unfunded exposure at March 31, 2021, respectively, primarily related to the delinquency-managed private bank portfolio.
(2)    Includes non-accrual loan exposures and criticized unfunded exposures.
(3)    Excludes $411 million of past due loans primarily related to delinquency-managed private bank portfolio.
(4)    Net charge-offs (recoveries) are for the three months ended March 31, 2021 and exclude delinquency-managed private bank charge-offs of $2 million.
(5)    Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $38.8 billion of purchased credit protection, $36.8 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.0 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(6)    Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $19.1 billion ($9.8 billion in funded, with more than 99% rated investment grade) as of March 31, 2021.
(7)    In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrial sector (e.g., off-shore drilling entities) included in the table above. As of March 31, 2021, Citi’s total exposure to these energy-related entities was approximately $6.9 billion, of which approximately $3.6 billion consisted of direct outstanding funded loans.




46

Exposure to Commercial Real Estate
As of March 31, 2021, ICG’s total corporate credit exposure to commercial real estate (CRE) was $62 billion, with $44 billion consisting of direct outstanding funded loans (mainly included in the real estate and private bank categories in the above table), or 7% of Citi’s total outstanding loans. In addition, as of March 31, 2021, more than 70% of ICG’s total corporate CRE exposure was to borrowers in the United States. Also as of March 31, 2021, approximately 73% of ICG’s total corporate CRE exposure was rated investment grade.
As of March 31, 2021, the ACLL was 1.8% of funded CRE exposure, including 4.3% of funded non-investment grade exposure.

Of the total CRE exposure:

•$20 billion of the exposure ($13 billion of direct outstanding funded loans) relates to Community Reinvestment Act-related lending provided pursuant to Citi’s regulatory requirements to meet the credit needs of borrowers in low and moderate income neighborhoods.
•$18 billion of the exposure ($15 billion of direct outstanding funded loans) relates to exposure secured by mortgages on underlying properties or in well-rated securitization exposures.
•$13 billion of the exposure ($5 billion of direct outstanding funded loans) relates to unsecured loans to large REITs, with nearly 74% of the exposure rated investment grade.
•$11 billion of exposure ($11 billion of direct outstanding funded loans) relates to CRE exposure in the private bank of which 100% is secured by mortgages. In addition, 44% of the exposure is also full recourse to the client. As of March 31, 2021, 78% of the exposure was rated investment grade.

47

The following table details Citi’s corporate credit portfolio by industry as of December 31, 2020:
Non-investment gradeSelected metrics
In millions of dollarsTotal credit exposure
Funded(1)
Unfunded(1)
Investment gradeNon-criticizedCriticized performing
Criticized non-performing(2)
30 days or more past due and accruing(3)
Net charge-offs (recoveries)(4)
Credit derivative hedges(5)
Transportation and industrials$147,218 $60,122 $87,096 $106,041 $17,452 $21,927 $1,798 $136 $239 $(8,110)
   Autos(6)
53,874 25,310 28,564 43,059 4,374 6,167 274 8 45 (3,220)
   Transportation27,693 14,107 13,586 16,410 2,993 6,872 1,418 17 144 (1,166)
   Industrials65,651 20,705 44,946 46,572 10,085 8,888 106 111 50 (3,724)
Private bank109,397 75,693 33,704 104,244 2,395 2,510 248 963 78 (1,080)
Consumer retail82,129 34,809 47,320 60,741 11,653 9,418 317 146 64 (5,493)
Technology, media and telecom82,657 30,880 51,777 61,296 15,924 5,214 223 107 74 (7,237)
Real estate65,392 43,285 22,107 54,413 5,342 5,453 184 334 18 (642)
Power, chemicals, metals and mining63,926 20,810 43,116 47,923 11,554 4,257 192 59 70 (5,341)
  Power26,916 6,379 20,537 22,665 3,336 761 154 14 57 (2,637)
  Chemicals22,356 7,969 14,387 16,665 3,804 1,882 5 32 8 (2,102)
  Metals and mining14,654 6,462 8,192 8,593 4,414 1,614 33 13 5 (602)
Banks and finance companies52,925 29,856 23,069 43,831 4,648 4,387 59 27 79 (765)
Energy and commodities(7)
49,524 15,086 34,438 34,636 7,345 6,546 997 70 285 (4,199)
Health35,504 8,658 26,846 29,164 4,354 1,749 237 17 17 (1,964)
Public sector26,887 13,599 13,288 22,276 1,887 2,708 16 45 9 (1,089)
Insurance26,576 1,925 24,651 25,864 575 136 1 27 1 (2,682)
Asset managers and funds19,745 4,491 15,254 18,528 1,013 191 13 41 (1)(84)
Financial markets infrastructure12,610 229 12,381 12,590 20 — — — — (9)
Securities firms976 430 546 573 298 97 8 — — (6)
Other industries9,307 4,545 4,762 4,980 2,702 1,442 183 10 43 (138)
Total$784,773 $344,418 $440,355 $627,100 $87,162 $66,035 $4,476 $1,982 $976 $(38,839)

(1)    Excludes $42.6 billion and $4.4 billion of funded and unfunded exposure at December 31, 2020, respectively, primarily related to the delinquency-managed private bank portfolio.
(2)    Includes non-accrual loan exposures and criticized unfunded exposures.
(3)    Excludes $162 million of past due loans primarily related to the delinquency-managed private bank portfolio.
(4)    Net charge-offs (recoveries) are for the year ended December 31, 2020 and exclude delinquency-managed private bank charge-offs of $10 million.
(5)    Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $38.8 billion of purchased credit protection, $36.8 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.0 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(6)    Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $20.2 billion ($10.3 billion in funded, with more than 99% rated investment grade) as of December 31, 2020.
(7)    In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2020, Citi’s total exposure to these energy-related entities was approximately $7.0 billion, of which approximately $3.8 billion consisted of direct outstanding funded loans.







48

Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Principal transactions in the Consolidated Statement of Income.
At March 31, 2021, December 31, 2020 and March 31, 2020, ICG (excluding the delinquency-managed private bank portfolio) had economic hedges on the corporate credit portfolio of $38.8 billion, $38.8 billion and $33.0 billion, respectively. Citigroup’s expected credit loss model used in the calculation of its ACL does not include the favorable impact of credit derivatives and other mitigants that are marked to market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying ICG (excluding the delinquency-managed private bank portfolio) corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure
March 31,
2021		December 31,
2020		March 31,
2020
AAA/AA/A32 %30 %32 %
BBB47 48 52 
BB/B18 19 14 
CCC or below3 3 2 
Total100 %100 %100 %



49

ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding
1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars20212020202020202020
Consumer loans
In North America offices(1)
Residential first mortgages(2)
$45,739 $47,778 $48,370 $48,167 $47,260 
Home equity loans(2)
6,638 7,128 7,625 8,524 8,936 
Credit cards121,048 130,385 125,485 128,032 137,316 
Personal, small business and other4,600 4,509 4,689 4,859 3,675 
Total$178,025 $189,800 $186,169 $189,582 $197,187 
In offices outside North America(1)
Residential first mortgages(2)
$39,833 $39,969 $38,507 $37,194 $35,744 
Credit cards21,137 22,692 21,108 20,966 21,801 
Personal, small business and other35,039 36,378 34,241 33,371 33,698 
Total$96,009 $99,039 $93,856 $91,531 $91,243 
Consumer loans, net of unearned income(3)
$274,034 $288,839 $280,025 $281,113 $288,430 
Corporate loans
In North America offices(1)
Commercial and industrial$55,497 $57,731 $59,921 $70,755 $81,231 
Financial institutions57,009 55,809 52,884 53,860 60,653 
Mortgage and real estate(2)
60,976 60,675 59,340 57,821 55,428 
Installment and other29,186 26,744 26,858 25,602 30,591 
Lease financing539 673 704 869 988 
Total$203,207 $201,632 $199,707 $208,907 $228,891 
In offices outside North America(1)
Commercial and industrial$102,666 $104,072 $108,551 $115,471 $121,703 
Financial institutions34,729 32,334 32,583 35,173 37,003 
Mortgage and real estate(2)
11,166 11,371 10,424 10,332 9,639 
Installment and other35,347 33,759 32,323 30,678 31,728 
Lease financing56 65 63 66 72 
Governments and official institutions4,783 3,811 3,235 3,552 3,554 
Total$188,747 $185,412 $187,179 $195,272 $203,699 
Corporate loans, net of unearned income(4)
$391,954 $387,044 $386,886 $404,179 $432,590 
Total loans—net of unearned income$665,988 $675,883 $666,911 $685,292 $721,020 
Allowance for credit losses on loans (ACLL)(21,638)(24,956)(26,426)(26,420)(20,841)
Total loans—net of unearned income and ACLL$644,350 $650,927 $640,485 $658,872 $700,179 
ACLL as a percentage of total loans—
net of unearned income(5)
3.29 %3.73 %4.00 %3.87 %2.84 %
ACLL for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5)
6.41 %6.77 %6.96 %6.93 %5.87 %
ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5)
1.06 %1.42 %1.82 %1.71 %0.81 %
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification of corporate loans between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Consumer loans are net of unearned income of $700 million, $749 million, $739 million, $734 million and $771 million at March 31, 2021, December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(4)Corporate loans include private bank loans and are net of unearned income of $(844) million, $(844) million, $(857) million, $(854) million and $(791) million at March 31, 2021, December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(5)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
50

Details of Credit Loss Experience
1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars20212020202020202020
Allowance for credit losses on loans (ACLL) at beginning of period$24,956 $26,426 $26,298 $20,380 $12,783 
Adjustment to opening balance:
Financial instruments—credit losses (CECL)(1)
— — — — 4,201 
Variable post-charge-off third-party collection costs(2)
— — — — (443)
Adjusted ACLL at beginning of period$24,956 $26,426 $26,298 $20,380 $16,541 
Provision for credit losses on loans (PCLL)
Consumer(2)
$(354)$1,034 $1,500 $4,297 $4,934 
Corporate(1,125)(1,410)431 3,693 1,443 
Total$(1,479)$(376)$1,931 $7,990 $6,377 
Gross credit losses on loans
Consumer
In U.S. offices$1,247 $1,130 $1,479 $1,675 $1,763 
In offices outside the U.S.758 524 537 506 577 
Corporate
In U.S. offices156 159 194 177 117 
In offices outside the U.S.47 76 157 170 22 
Total$2,208 $1,889 $2,367 $2,528 $2,479 
Credit recoveries on loans(2)
Consumer
In U.S. offices$316 $270 $304 $235 $274 
In offices outside the U.S.127 122 118 109 134 
Corporate
In U.S. offices10 16 8 12 7 
In offices outside the U.S.7 9 18 11 5 
Total$460 $417 $448 $367 $420 
Net credit losses on loans (NCLs)
In U.S. offices$1,077 $980 $1,361 $1,605 $1,599 
In offices outside the U.S.671 492 558 556 460 
Total$1,748 $1,472 $1,919 $2,161 $2,059 
Other—net(3)(4)(5)(6)(7)(8)
$(91)$378 $116 $89 $(479)
Allowance for credit losses on loans (ACLL) at end of period$21,638 $24,956 $26,426 $26,298 $20,380 
ACLL as a percentage of EOP loans(9)
3.29 %3.73 %4.00 %3.87 %2.84 %
Allowance for credit losses on unfunded lending commitments (ACLUC)(10)(11)
$2,012 $2,655 $2,299 $1,859 $1,813 
Total ACLL and ACLUC$23,650 $27,611 $28,725 $28,157 $22,193 
Net consumer credit losses on loans$1,562 $1,262 $1,594 $1,837 $1,932 
As a percentage of average consumer loans2.28 %1.77 %2.26 %2.63 %2.59 %
Net corporate credit losses on loans$186 $210 $325 $324 $127 
As a percentage of average corporate loans0.20 %0.22 %0.33 %0.31 %0.13 %
ACLL by type at end of period(12)
Consumer$17,554 $19,554 $19,488 $19,474 $16,929 
Corporate4,084 5,402 6,938 6,824 3,451 
Total $21,638 $24,956 $26,426 $26,298 $20,380 
(1)On January 1, 2020, Citi adopted Accounting Standards Update (ASC) 326, Financial Instruments—Credit Losses (CECL). The ASU introduces a new credit loss methodology requiring earlier recognition of credit losses while also providing additional transparency about credit risk. On January 1, 2020, Citi recorded a $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the consumer allowance for credit losses due to longer estimated tenors for cards than under the incurred loss methodology under prior U.S. GAAP, net of recoveries; and (ii) a $(0.8) billion decrease to the corporate allowance for
51

credit losses due to shorter remaining tenors, incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies. See Note 1 to the Consolidated Financial Statements for further discussion on the impact of Citi’s adoption of CECL.
(2)Citi had a change in accounting related to its variable post-charge-off third-party collection costs that was recorded as an adjustment to its January 1, 2020 opening allowance for credit losses on loans of $443 million. See Note 1 to the Consolidated Financial Statements.
(3)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.
(4)The first quarter of 2021 includes a decrease of approximately $108 million related to FX translation.
(5)The fourth quarter of 2020 includes an increase of approximately $376 million related to FX translation.
(6)The third quarter of 2020 includes an increase of approximately $116 million related to FX translation.
(7)The second quarter of 2020 includes an increase of approximately $88 million related to FX translation.
(8)The first quarter of 2020 includes a decrease of approximately $483 million related to FX translation.
(9)March 31, 2021, December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020, exclude $7.5 billion, $6.9 billion, $5.5 billion, $5.8 billion and $4.0 billion, respectively, of loans that are carried at fair value.
(10)At June 30, 2020, the corporate ACLUC includes a non-provision transfer of $68 million, representing reserves on performance guarantees as of March 31, 2020. The reserves on these contracts have been reclassified out of the allowance for credit losses on unfunded lending commitments and into other liabilities as of June 30, 2020.
(11)Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(12)See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.

Allowance for Credit Losses on Loans (ACLL)
The following tables detail information on Citi’s ACLL, loans and coverage ratios:
 March 31, 2021
In billions of dollarsACLLEOP loans, net of
unearned income
ACLL as a
percentage of EOP loans(1)
North America cards(2)
$13.3 $121.0 11.0 %
North America mortgages(3)
0.5 52.4 1.0 
North America other
0.3 4.6 6.5 
International cards1.8 21.1 8.5 
International other(4)
1.6 74.9 2.1 
Total consumer$17.5 $274.0 6.4 %
Total corporate4.1 392.0 1.1 
Total Citigroup$21.6 $666.0 3.3 %
(1)Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both Citi-branded cards and Citi retail services. The $13.3 billion of loan loss reserves represented approximately 43 months of coincident net credit loss coverage. As of March 31, 2021, North America Citi-branded cards ACLL as a percentage of EOP loans was 9.8% and North America Citi retail services ACLL as a percentage of EOP loans was 13.4%.
(3)Of the $0.5 billion, approximately $0.2 billion was allocated to North America mortgages in Corporate/Other, including approximately $0.4 billion and $0.1 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $52.4 billion in loans, approximately $50.6 billion and $1.8 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.
 December 31, 2020
In billions of dollarsACLLEOP loans, net of
unearned income
ACLL as a
percentage of EOP loans(1)
North America cards(2)
$14.7 $130.4 11.3 %
North America mortgages(3)
0.7 54.9 1.3 
North America other
0.3 4.5 6.7 
International cards2.1 22.7 9.3 
International other(4)
1.8 76.3 2.4 
Total consumer$19.6 $288.8 6.8 %
Total corporate5.4 387.1 1.4 
Total Citigroup$25.0 $675.9 3.7 %
(1)Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both Citi-branded cards and Citi retail services. The $14.7 billion of loan loss reserves represented approximately 53 months of coincident net credit loss coverage. As of December 31, 2020, North America Citi-branded cards ACLL as a percentage of EOP loans was 10.0% and North America Citi retail services ACLL as a percentage of EOP loans was 13.6%.
(3)Of the $0.7 billion, approximately $0.3 billion was allocated to North America mortgages in Corporate/Other, including approximately $0.5 billion and $0.2 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $54.9 billion in loans, approximately $53.0 billion and $1.9 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.
52

The following table details Citi’s corporate credit allowance for credit losses on loans (ACLL) by industry exposure:
March 31, 2021
In millions of dollars, except percentages
Funded exposure(1)
ACLL(2)(3)
ACLL as a % of funded exposure
Transportation and industrials$55,775 $1,075 1.9 %
Private bank78,556 228 0.3 
Consumer retail33,415 414 1.2 
Technology, media and telecom28,288 275 1.0 
Real estate42,977 594 1.4 
Power, chemicals, metals and mining20,148 202 1.0 
Banks and finance companies32,581 85 0.3 
Energy and commodities13,844 446 3.2 
Health8,063 102 1.3 
Public sector14,353 229 1.6 
Insurance2,517 9 0.4 
Asset managers and funds4,793 21 0.4 
Financial markets infrastructure853 1 0.1 
Securities firms227 5 2.2 
Other industries2,570 85 3.3 
Total$338,960 $3,771 1.1 %

(1)    Funded exposure excludes approximately $45.5 billion, primarily related to the delinquency-managed credit portfolio of the private bank, with an associated ACLL of $313 million and $7.5 billion of loans at fair value that are not subject to ACLL under the CECL standard.
(2)    As of March 31, 2021, the ACLL shown above reflects coverage of 0.3% of funded investment-grade exposure and 3.6% of funded non-investment-grade exposure.
(3)    Excludes $313 million of ACLL associated with delinquency-managed private bank exposures at March 31, 2021. Including those reserves and exposures, the total ACLL is 1.1% of total funded exposure, including 0.4% of funded investment-grade exposure and 3.6% of funded non-investment-grade exposure.


53

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 2020 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.

Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,
In millions of dollars20212020202020202020
Corporate non-accrual loans(1)(2)
North America$1,566 $1,928 $2,018 $2,466 $1,138 
EMEA591 661 720 812 720 
Latin America739 719 609 585 447 
Asia 210 219 237 153 179 
Total corporate non-accrual loans$3,106 $3,527 $3,584 $4,016 $2,484 
Consumer non-accrual loans
North America$961 $1,059 $934 $928 $926 
Latin America720 774 493 608 489 
Asia(3)
303 308 263 293 284 
Total consumer non-accrual loans$1,984 $2,141 $1,690 $1,829 $1,699 
Total non-accrual loans $5,090 $5,668 $5,274 $5,845 $4,183 
(1)Approximately 51%, 59%, 58%, 63% and 45% of Citi’s corporate non-accrual loans were performing at March 31, 2021, December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020, respectively.
(2)The March 31, 2021 corporate non-accrual loans represented 0.79% of total corporate loans.
(3)    Asia GCB includes balances in certain EMEA countries for all periods presented.






54

The changes in Citigroup’s non-accrual loans were as follows:
Three Months EndedThree Months Ended
March 31, 2021March 31, 2020
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$3,527 $2,141 $5,668 $2,188 $1,816 $4,004 
Additions491 682 1,173 816 952 1,768 
Sales and transfers to HFS(1)(58)(59)(1)(20)(21)
Returned to performing(46)(189)(235)(48)(91)(139)
Paydowns/settlements(773)(120)(893)(354)(324)(678)
Charge-offs(75)(445)(520)(91)(327)(418)
Other(17)(27)(44)(26)(307)(333)
Ending balance$3,106 $1,984 $5,090 $2,484 $1,699 $4,183 

The table below summarizes Citigroup’s other real estate owned (OREO) assets. OREO is recorded on the Consolidated Balance Sheet within Other assets. 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:
Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,
In millions of dollars20212020202020202020
OREO
North America$14 $19 $22 $32 $35 
EMEA— — — — 1 
Latin America10 7 8 6 6 
Asia19 17 12 6 8 
Total OREO$43 $43 $42 $44 $50 
Non-accrual assets
Corporate non-accrual loans$3,106 $3,527 $3,584 $4,016 $2,484 
Consumer non-accrual loans1,984 2,141 1,690 1,829 1,699 
Non-accrual loans (NAL)$5,090 $5,668 $5,274 $5,845 $4,183 
OREO$43 $43 $42 $44 $50 
Non-accrual assets (NAA)$5,133 $5,711 $5,316 $5,889 $4,233 
NAL as a percentage of total loans0.76 %0.84 %0.79 %0.85 %0.58 %
NAA as a percentage of total assets0.22 0.25 0.24 0.26 0.19 
ACLL as a percentage of NAL(1)
425 %440 %501 %450 %487 %

(1)The ACLL 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).
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Renegotiated Loans
The following table presents Citi’s loans modified in TDRs:
In millions of dollarsMar. 31, 2021Dec. 31, 2020
Corporate renegotiated loans(1)
In U.S. offices
Commercial and industrial(2)
$175 $193 
Mortgage and real estate56 60 
Financial institutions— — 
Other31 30 
Total$262 $283 
In offices outside the U.S.
Commercial and industrial(2)
$108 $132 
Mortgage and real estate27 32 
Financial institutions— — 
Other4 3 
Total$139 $167 
Total corporate renegotiated loans$401 $450 
Consumer renegotiated loans(3)
In U.S. offices
Mortgage and real estate$1,808 $1,904 
Cards1,483 1,449 
Installment and other34 33 
Total$3,325 $3,386 
In offices outside the U.S.
Mortgage and real estate$357 $361 
Cards509 533 
Installment and other542 519 
Total$1,408 $1,413 
Total consumer renegotiated loans$4,733 $4,799 
(1)Includes $372 million and $415 million of non-accrual loans included in the non-accrual loans table above at March 31, 2021 and December 31, 2020, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at March 31, 2021 and December 31, 2020, Citi also modified none and $47 million, respectively, 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 or because the modifications qualified for exemptions from TDR accounting provided by the CARES Act or Interagency Guidance.
(3)Includes $864 million and $873 million of non-accrual loans included in the non-accrual loans table above at March 31, 2021 and December 31, 2020, respectively. The remaining loans were accruing interest.

56

LIQUIDITY RISK

For additional information on funding and liquidity at Citigroup, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors—Liquidity Risks” in Citi’s 2020 Annual Report on Form 10-K.




High-Quality Liquid Assets (HQLA)
CitibankCiti non-bank and other entitiesTotal
In billions of dollarsMar. 31, 2021Dec. 31, 2020Mar. 31, 2020Mar. 31, 2021Dec. 31, 2020Mar. 31, 2020Mar. 31, 2021Dec. 31, 2020Mar. 31, 2020
Available cash$276.6 $304.3 $170.9 $3.0 $2.1 $3.1 $279.6 $306.4 $174.0 
U.S. sovereign
85.0 77.8 92.1 67.7 64.8 34.7 152.7 142.6 126.8 
U.S. agency/agency MBS
37.0 31.8 52.4 6.3 6.5 7.2 43.3 38.3 59.6 
Foreign government debt(1)
43.6 39.6 66.3 13.7 16.2 12.7 57.3 55.8 78.9 
Other investment grade
1.4 1.2 1.5 0.6 0.5 1.1 2.0 1.7 2.7 
Total HQLA (AVG)$443.6 $454.7 $383.2 $91.3 $90.1 $58.8 $534.8 $544.8 $442.0 

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 applicable under the U.S. LCR rule. 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 Japan, Mexico, Hong Kong, South Korea and India.

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 decreased quarter-over-quarter, primarily reflecting a decrease in cash as Citi optimized its overall HQLA and deployed liquidity.
    As of March 31, 2021, Citigroup had approximately $957 billion of available liquidity resources to support client and business needs, including end-of-period HQLA assets; additional unencumbered securities, including excess liquidity held at bank entities that is non-transferable to other entities within Citigroup; and available assets not already accounted for within Citi’s HQLA to support Federal Home Loan Bank (FHLB) and Federal Reserve Bank discount window borrowing capacity.


Short-Term Liquidity Measurement: Liquidity Coverage Ratio (LCR)
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 dollarsMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
HQLA$534.8 $544.8 $442.0 
Net outflows463.7 460.7 385.8 
LCR115 %118 %115 %
HQLA in excess of net outflows$71.1 $84.1 $56.2 

Note: The amounts are presented on an average basis.

As of March 31, 2021, Citigroup’s average LCR decreased from the fourth quarter of 2020. The decrease was primarily driven by Citi’s deploying liquidity and optimizing its overall HQLA.

57

Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)
As previously disclosed, in October 2020, the U.S. banking agencies adopted a final rule to assess the availability of a bank’s stable funding against a required level.
In general, a bank’s available stable funding will include portions of equity, deposits and long-term debt, while its required stable funding will be based on the liquidity characteristics of its assets, derivatives and commitments. The ratio of available stable funding to required stable funding will be required to be greater than 100%.
The final rule becomes effective beginning July 1, 2021, while public disclosure requirements to report the ratio will occur on a semi-annual basis beginning June 30, 2023. Citi expects to be in compliance with the final rule upon its effective date.

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 dollarsMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
Global Consumer Banking
North America$174.4 $179.4 $193.3 
Latin America13.9 14.3 16.7 
Asia(1)
83.4 82.4 80.3 
Total$271.7 $276.1 $290.3 
Institutional Clients Group
Corporate lending$138.0 $146.2 $159.9 
Treasury and trade solutions (TTS) 67.9 67.1 73.1 
Private bank119.8 113.3 109.9 
Markets and securities services
and other
61.7 56.1 52.1 
Total$387.4 $382.7 $395.0 
Total Corporate/Other
$6.9 $7.4 $9.4 
Total Citigroup loans (AVG)$666.0 $666.2 $694.7 
Total Citigroup loans (EOP)$666.0 $676.1 $721.0 

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

End-of-period loans declined 8% year-over-year and 1% quarter-over-quarter.
On an average basis, loans declined 4% year-over-year and were unchanged sequentially. Excluding the impact of FX translation, average loans declined 5% year-over-year and 1% sequentially. On this basis, average GCB loans declined 8% year-over-year, primarily reflecting higher payment rates given high levels of liquidity due to U.S. fiscal stimulus and the impact of lower customer spending, primarily in Citi’s cards businesses in Asia and Mexico.
Excluding the impact of FX translation, average ICG loans declined 3% year-over-year. Loans in corporate lending declined 15% on an average basis, reflecting net repayments as Citi continued to assist its clients in accessing the capital markets, as well as lower demand. Private bank loans
increased 8%, largely driven by secured lending to high-net-worth clients, including residential real estate lending. TTS loans decreased 8%, reflecting weakness in underlying trade flows and the continued low level of spend in commercial cards driven by the impact of the pandemic.
Average Corporate/Other loans continued to decline (down 32%), 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 dollarsMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
Global Consumer Banking(1)
North America$197.0 $188.9 $161.3 
Latin America24.5 24.3 22.9 
Asia(2)
123.8 120.0 105.9 
Total$345.3 $333.2 $290.1 
Institutional Clients Group
Treasury and trade solutions (TTS) $661.4 $686.5 $571.3 
Banking ex-TTS
165.6 163.2 140.1 
Markets and securities services120.2 109.3 100.1 
Total$947.3 $959.0 $811.5 
Corporate/Other$11.4 $13.1 $12.9 
Total Citigroup deposits (AVG)$1,304.0 $1,305.3 $1,114.5 
Total Citigroup deposits (EOP)$1,301.0 $1,280.7 $1,184.9 
(1)Reflects deposits within retail banking.
(2)Includes deposits in certain EMEA countries for all periods presented.

End-of-period deposits increased 10% year-over-year and 2% sequentially.
On an average basis, deposits increased 17% year-over-year and were largely unchanged sequentially. Excluding the impact of FX translation, average deposits grew 15% from the prior-year period and declined 1% sequentially. The year-over-year increase reflected continued client engagement as well as the elevated level of liquidity in the financial system. On this basis, average deposits in GCB increased 18%, with strong growth across all regions.
Excluding the impact of FX translation, average deposits in ICG grew 15% year-over-year, primarily driven by growth in TTS, as well as continued growth in the private bank and securities services.



58

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 8.9 years as of March 31, 2021, compared to 9.0 years as of the prior year and 8.6 years as of the prior quarter. The weighted-average maturity is calculated based on the contractual maturity of each security. For securities that are redeemable prior to maturity at the option of the holder, the weighted-average maturity is calculated based on the earliest date an option becomes exercisable.
Citi’s long-term debt outstanding at the Citigroup parent company includes benchmark 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 bank notes, 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 dollarsMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
Non-bank(1)
Benchmark debt:
Senior debt
$120.1 $126.2 $115.5 
Subordinated debt
25.9 27.1 27.5 
Trust preferred
1.7 1.7 1.7 
Customer-related debt66.2 65.2 51.7 
Local country and other(2)
5.9 6.7 7.3 
Total non-bank$219.8 $226.9 $203.7 
Bank
FHLB borrowings$10.9 $10.9 $16.0 
Securitizations(3)
12.8 16.6 20.8 
Citibank benchmark senior debt9.2 13.6 22.2 
Local country and other(2)
3.6 3.7 3.4 
Total bank$36.5 $44.8 $62.4 
Total long-term debt$256.3 $271.7 $266.1 
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet that, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)Non-bank 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 March 31, 2021, non-bank included $55.7 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries, as well as certain Citigroup consolidated hedging activities.
(2)Local country and other includes debt issued by Citi’s affiliates in support of their local operations. Within non-bank, certain secured financing is also included.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

Citi’s total long-term debt outstanding decreased year-over-year, primarily driven by declines in unsecured benchmark senior debt, FHLB borrowings and securitizations at the bank, partially offset by the issuance of unsecured benchmark senior debt and customer-related debt at the non-bank entities. Sequentially, long-term debt outstanding decreased, driven primarily by declines in unsecured benchmark senior debt at the non-bank entities, as well as declines in unsecured benchmark senior debt and securitizations at the bank.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to redeem or repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such redemptions and repurchases help reduce Citi’s overall funding costs. During the first quarter of 2021, Citi redeemed or repurchased an aggregate of approximately $10.7 billion of its outstanding long-term debt.




59

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:
 1Q214Q201Q20
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Non-bank
Benchmark debt:
Senior debt
$4.3 $2.5 $3.0 $2.5 $2.1 $7.6 
Subordinated debt
— — — — — — 
Trust preferred
— — — — — — 
Customer-related debt8.6 12.2 6.3 7.4 6.4 7.9 
Local country and other1.4 0.5 1.6 0.2 0.4 0.2 
Total non-bank$14.3 $15.2 $10.9 $10.1 $8.9 $15.7 
Bank
FHLB borrowings$— $— $3.8 $— $2.4 $12.9 
Securitizations3.7 — 0.1 0.3 0.1 — 
Citibank benchmark senior debt4.3 — 0.7 — 1.0 — 
Local country and other0.1 0.3 0.4 0.5 0.7 0.3 
Total bank$8.1 $0.3 $5.0 $0.8 $4.2 $13.2 
Total$22.4 $15.5 $15.9 $10.9 $13.1 $28.9 

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2021, as well as its aggregate expected remaining long-term debt maturities by year as of March 31, 2021:
 1Q21Maturities
In billions of dollars202120222023202420252026ThereafterTotal
Non-bank
Benchmark debt:
Senior debt
$4.3 $10.2 $11.5 $12.8 $11.2 $7.3 $18.8 $48.2 $120.1 
Subordinated debt
— — 0.8 1.3 1.1 5.2 2.6 15.0 25.9 
Trust preferred
— — — — — — — 1.7 1.7 
Customer-related debt8.6 5.9 9.6 7.5 4.9 4.8 2.9 30.6 66.2 
Local country and other1.4 0.7 1.5 2.3 — 0.1 0.7 0.7 5.9 
Total non-bank$14.3 $16.8 $23.4 $23.9 $17.2 $17.4 $25.0 $96.2 $219.8 
Bank
FHLB borrowings$— $5.7 $5.3 $— $— $— $— $— $10.9 
Securitizations3.7 3.4 2.1 2.4 1.3 0.4 — 3.2 12.8 
Citibank benchmark senior debt4.3 — 2.5 4.0 — 2.7 — — 9.2 
Local country and other0.1 0.8 1.4 0.2 0.6 0.1 0.1 0.3 3.6 
Total bank$8.1 $9.9 $11.3 $6.6 $1.9 $3.2 $0.1 $3.5 $36.5 
Total long-term debt$22.4 $26.7 $34.7 $30.5 $19.1 $20.6 $25.1 $99.7 $256.3 


















60

Secured Funding Transactions and Short-Term Borrowings
Citi supplements its primary sources of funding with short-term financings that generally include (i) secured funding transactions consisting of securities loaned or sold under agreements to repurchase, i.e., 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 (i) secured lending activity and (ii) 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 are typically collateralized by 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 $219 billion as of March 31, 2021 declined 1% from the prior-year period and increased 10% sequentially. Excluding the impact of FX translation, secured funding declined 6% from the prior-year period and increased 12% sequentially, both driven by normal business activity. The average balance for secured funding was approximately $235 billion for the quarter ended March 31, 2021.
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 which 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 establishing minimum required funding tenors. The weighted average maturity of Citi’s secured funding of less liquid securities inventory was greater than 110 days as of March 31, 2021.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenor, haircut, collateral profile and client actions. In addition, 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 $32 billion decreased 42% year-over-year, primarily driven by a decline in FHLB advances. Sequentially, short-term borrowings increased by 9%, driven by customer-related debt issuance (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).
















61

Credit Ratings
While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were BBB+/A-2 at Standard & Poor’s and A/F1 at Fitch as of March 31, 2021.


Ratings as of March 31, 2021
Citigroup Inc.Citibank, N.A.
 Senior
debt		Commercial
paper		OutlookLong-
term		Short-
term		Outlook
Fitch Ratings (Fitch)AF1NegativeA+F1Negative
Moody’s Investors Service (Moody’s)A3P-2StableAa3P-1Stable
Standard & Poor’s (S&P)BBB+A-2StableA+A-1Stable

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 2020 Annual Report on Form 10-K.



Citigroup Inc. and Citibank—Potential Derivative Triggers
As of March 31, 2021, 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 $1.5 billion, compared to $0.6 billion as of December 31, 2020. 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 March 31, 2021, 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 due to derivative triggers by approximately $0.5 billion, compared to $0.4 billion as of December 31, 2020. Other funding sources, such as secured funding transactions and other margin requirements, for which there are no explicit triggers, could also be adversely impacted.
In total, as of March 31, 2021, Citi estimates that a one-notch downgrade of Citigroup and Citibank across all three major rating agencies could result in increased aggregate cash obligations and collateral requirements of approximately $1.9 billion, compared to $1.0 billion as of December 31, 2020 (see also Note 19 to the Consolidated Financial Statements). As detailed under “High-Quality Liquid Assets” above, Citigroup has various liquidity resources available to its bank and non-bank entities 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 at 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 substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.
62

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 March 31, 2021, Citibank had liquidity commitments of approximately $10.0 billion to consolidated asset-backed commercial paper conduits, unchanged from the prior quarter (for additional information, see 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.
63

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 2020 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 notedMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
Estimated annualized impact to net interest revenue
U.S. dollar(1)
$102 $373 $(142)
All other currencies636 683 660 
Total$738 $1,056 $518 
As a percentage of average interest-earning assets0.03 %0.05 %0.03 %
Estimated initial negative impact to AOCI (after-tax)(2)
$(5,395)$(5,645)$(5,746)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(32)(34)(34)

(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 $(9) million for a 100 bps instantaneous increase in interest rates as of March 31, 2021.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

As shown in the table above, Citi decreased its net interest revenue exposure due to an increase in interest rates. The decrease was predominantly in U.S. dollar exposure, which was $102 million as of March 31, 2021, primarily driven by an increase in investment securities.
The relatively small quarterly change in the estimated impact to AOCI primarily reflected a continuation of the positioning strategy of Citi Treasury’s investment securities and related interest rate derivatives portfolio. In the event of a parallel instantaneous 100 bps increase in interest rates, Citi expects that the negative impact to AOCI would be offset in stockholders’ equity through the expected recovery of the impact on AOCI through accretion of Citi’s investment portfolio over a period of time. As of March 31, 2021, Citi expects that the negative $5.4 billion impact to AOCI in such a scenario could potentially be offset over approximately 35 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. The 100 bps downward rate scenarios are impacted by the low level of interest rates in several countries and the assumption that market interest rates, as well as rates paid to depositors and charged to borrowers, do not fall below zero (i.e., the “flooring assumption”). The rate scenarios are also impacted by convexity related to mortgage products.
In addition, in the table below, 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.

In millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 4Scenario 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$102 $167 $64 $(264)$(549)
All other currencies636 594 37 (37)(391)
Total$738 $761 $101 $(301)$(940)
Estimated initial impact to AOCI (after-tax)(1)
$(5,395)$(3,356)$(2,361)$1,843 $3,301 
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(32)(20)(15)11 16 
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.
64

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of March 31, 2021, 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 $1.8 billion, or 1.1%, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, Euro and Indian rupee.
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further affect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates, and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio, are shown in the table below. For additional information on the changes in AOCI, see Note 17 to the Consolidated Financial Statements.
For the quarter ended
In millions of dollars, except as otherwise notedMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
Change in FX spot rate(1)
(2.3)%5.5 %(9.2)%
Change in TCE due to FX translation, net of hedges$(1,030)$1,829 $(3,201)
As a percentage of TCE(0.7)%1.2 %(2.1)%
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)2 (5)

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


65

Interest Revenue/Expense and Net Interest Margin (NIM)
c-20210331_g11.jpg
1st Qtr.4th Qtr.1st Qtr.Change
In millions of dollars, except as otherwise noted2021 2020 20201Q21 vs. 1Q20
Interest revenue(1)
$12,587  $13,095  $17,185 (27)%
Interest expense(2)
2,368  2,564  5,647 (58)
Net interest revenue, taxable equivalent basis$10,219  $10,531  $11,538 (11)%
Interest revenue—average rate(3)
2.41 %2.48 %3.69 %(128)bps
Interest expense—average rate0.56 0.60 1.49 (93)bps
Net interest margin(3)(4)
1.95 2.00 2.48 (53)bps
Interest-rate benchmarks  
Two-year U.S. Treasury note—average rate0.13 %0.15 %1.08 %(95)bps
10-year U.S. Treasury note—average rate1.34  0.86  1.37 (3)bps
10-year vs. two-year spread121 bps71 bps29 bps  
Note: All interest expense amounts include FDIC, as well as other similar deposit insurance assessments outside of the U.S.
(1)Net interest revenue includes the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of $53 million, $48 million and $46 million for the three months ended March 31, 2021, December 31, 2020 and March 31, 2020, 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 above.
(4)Citi’s net interest margin (NIM) is calculated by dividing net interest revenue by average interest-earning assets.

66

Non-ICG Markets Net Interest Revenue
1st Qtr.4th Qtr.1st Qtr.Change
In millions of dollars
2021
 
2020 20201Q21 vs. 1Q20
Net interest revenue (NIR)—taxable equivalent basis(1) per above
$10,219 $10,531 $11,538 (11)%
ICG Markets NIR—taxable equivalent basis(1)
1,334 1,348 1,182 13 
Non-ICG Markets NIR—taxable equivalent basis(1)
$8,885 $9,183 $10,356 (14)%


(1)Net interest revenue includes the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of $53 million, $48 million and $46 million for the three months ended March 31, 2021, December 31, 2020 and March 31, 2020, respectively.

Citi’s net interest revenue (NIR) in the first quarter of 2021 decreased 12% to $10.2 billion versus the prior-year period. Citi’s NIR on a taxable equivalent basis decreased 11% (as set forth in the table above). Excluding the impact of FX translation, this NIR declined year-over-year by approximately $1.4 billion, as a decline of approximately $1.5 billion in non-ICG Markets NIR was partially offset by a $140 million increase in ICG Markets (fixed income markets and equity markets) NIR. The decrease in non-ICG Markets NIR primarily reflected the impact of lower interest rates and lower loan balances in the consumer businesses as well as the impact of one fewer day versus last year. The increase in ICG Markets NIR largely reflected a change in the mix of trading positions in support of client activity.
Citi’s NIM was 1.95% on a taxable equivalent basis in the first quarter of 2021, a decrease of 5 basis points from the prior quarter, primarily reflecting the lower NIR, partially offset by Citi Treasury actions and balance sheet optimization.
Citi’s ICG Markets NIR and non-ICG Markets NIR are non-GAAP financial measures.




67

Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3)
Taxable Equivalent Basis
Quarterly—AssetsAverage volumeInterest revenue% Average rate
1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except rates202120202020202120202020202120202020
Deposits with banks(4)
$307,340 $334,056 $207,130 $145 $126 $527 0.19 %0.15 %1.02 %
Securities borrowed and purchased under agreements to resell(5)
In U.S. offices$163,790 $158,013 $141,351 $117 $126 $749 0.29 %0.32 %2.13 %
In offices outside the U.S.(4)
142,591 140,628 127,549 177 196 459 0.50 0.55 1.45 
Total$306,381 $298,641 $268,900 $294 $322 $1,208 0.39 %0.43 %1.81 %
Trading account assets(6)(7)
In U.S. offices$154,798 $147,080 $130,138 $752 $835 $975 1.97 %2.26 %3.01 %
In offices outside the U.S.(4)
153,019 148,317 122,320 586 571 619 1.55 1.53 2.04 
Total$307,817 $295,397 $252,458 $1,338 $1,406 $1,594 1.76 %1.89 %2.54 %
Investments
In U.S. offices
Taxable$295,570 $282,847 $238,298 $806 $801 $1,158 1.11 %1.13 %1.95 %
Exempt from U.S. income tax12,902 13,300 14,170 118 91 109 3.71 2.72 3.09 
In offices outside the U.S.(4)
149,477 146,221 128,867 856 873 1,038 2.32 2.38 3.24 
Total$457,949 $442,368 $381,335 $1,780 $1,765 $2,305 1.58 %1.59 %2.43 %
Loans (net of unearned income)(8)
In U.S. offices$379,956 $383,623 $403,558 $6,042 $6,334 $7,318 6.45 %6.57 %7.29 %
In offices outside the U.S.(4)
286,014 282,606 291,117 2,891 3,055 3,950 4.10 4.30 5.46 
Total$665,970 $666,229 $694,675 $8,933 $9,389 $11,268 5.44 %5.61 %6.52 %
Other interest-earning assets(9)
$76,091 $62,587 $68,737 $97 $87 $283 0.52 %0.55 %1.66 %
Total interest-earning assets$2,121,548 $2,099,278 $1,873,235 $12,587 $13,095 $17,185 2.41 %2.48 %3.69 %
Non-interest-earning assets(6)
$195,245 $200,002 $206,819 
Total assets$2,316,793 $2,299,280 $2,080,054 
(1)Net interest revenue includes the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of $53 million, $48 million and $46 million for the three months ended March 31, 2021, December 31, 2020 and March 31, 2020, 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.

68

Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)
Taxable Equivalent Basis
Quarterly—LiabilitiesAverage volumeInterest expense% Average rate
1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except rates202120202020202120202020202120202020
Deposits   
In U.S. offices(4)
$505,694 $516,844 $427,957 $531 $606 $1,360 0.43 %0.47 %1.28 %
In offices outside the U.S.(5)
568,133 564,257 506,494 521 555 1,254 0.37 0.39 1.00 
Total$1,073,827 $1,081,101 $934,451 $1,052 $1,161 $2,614 0.40 %0.43 %1.13 %
Securities loaned and sold under agreements to repurchase(6)
In U.S. offices$146,942 $138,118 $128,499 $171 $166 $718 0.47 %0.48 %2.25 %
In offices outside the U.S.(5)
88,321 89,139 70,011 82 81 367 0.38 0.36 2.11 
Total$235,263 $227,257 $198,510 $253 $247 $1,085 0.44 %0.43 %2.20 %
Trading account liabilities(7)(8)
In U.S. offices$51,797 $41,271 $36,453 $22 $44 $138 0.17 %0.42 %1.52 %
In offices outside the U.S.(5)
65,567 54,204 48,047 92 78 101 0.57 0.57 0.85 
Total$117,364 $95,475 $84,500 $114 $122 $239 0.39 %0.51 %1.14 %
Short-term borrowings and other interest-bearing liabilities(9)
In U.S. offices$72,414 $69,785 $86,710 $— $6 $326 — %0.03 %1.51 %
In offices outside the U.S.(5)
20,930 18,768 19,850 31 12 58 0.60 0.25 1.18 
Total$93,344 $88,553 $106,560 $31 $18 $384 0.13 %0.08 %1.45 %
Long-term debt(10)
In U.S. offices$201,491 $217,148 $198,006 $905 $1,016 $1,318 1.82 %1.86 %2.68 %
In offices outside the U.S.(5)
4,773 3,810 4,186 13 — 7 1.10 — 0.67 
Total$206,264 $220,958 $202,192 $918 $1,016 $1,325 1.80 %1.83 %2.64 %
Total interest-bearing liabilities$1,726,062 $1,713,344 $1,526,213 $2,368 $2,564 $5,647 0.56 %0.60 %1.49 %
Demand deposits in U.S. offices$56,632 $33,739 $26,709 
Other non-interest-bearing liabilities(7)
333,113 355,944 333,293 
Total liabilities$2,115,807 $2,103,027 $1,886,215 
Citigroup stockholders’ equity$200,301 $195,584 $193,198 
Noncontrolling interests685 669 641 
Total equity$200,986 $196,253 $193,839 
Total liabilities and stockholders’ equity$2,316,793 $2,299,280 $2,080,054 
Net interest revenue as a percentage of average interest-earning assets(11)
In U.S. offices$1,231,795 $1,231,902 $1,077,873 $6,335 $6,477 $7,001 2.09 %2.09 %2.61 %
In offices outside the U.S.(6)
889,753 867,376 795,362 3,884 4,054 4,537 1.77 1.86 2.29 
Total$2,121,548 $2,099,278 $1,873,235 $10,219 $10,531 $11,538 1.95 %2.00 %2.48 %
(1)Net interest revenue includes the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of $53 million, $48 million and $46 million for the three months ended March 31, 2021, December 31, 2020 and March 31, 2020, 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.
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(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.

Analysis of Changes in Interest Revenue(1)(2)(3)
 1Q21 vs. 4Q201Q21 vs. 1Q20
 Increase (decrease)
due to change in:		Increase (decrease)
due to change in:
In millions of dollarsAverage
volume		Average
rate		Net
change		Average
volume		Average
rate		Net
change
Deposits with banks(3)
$(11)$30 $19 $178 $(560)$(382)
Securities borrowed and purchased under agreements to resell
In U.S. offices$4 $(13)$(9)$103 $(735)$(632)
In offices outside the U.S.(3)
3 (22)(19)49 (331)(282)
Total$7 $(35)$(28)$152 $(1,066)$(914)
Trading account assets(4)
In U.S. offices$42 $(125)$(83)$162 $(385)$(223)
In offices outside the U.S.(3)
18 (3)15 136 (169)(33)
Total$60 $(128)$(68)$298 $(554)$(256)
Investments(1)
In U.S. offices$37 $(5)$32 $241 $(584)$(343)
In offices outside the U.S.(3)
19 (36)(17)149 (331)(182)
Total$56 $(41)$15 $390 $(915)$(525)
Loans (net of unearned income)(5)
In U.S. offices$(60)$(232)$(292)$(411)$(865)$(1,276)
In offices outside the U.S.(3)
36 (200)(164)(68)(991)(1,059)
Total$(24)$(432)$(456)$(479)$(1,856)$(2,335)
Other interest-earning assets(6)
$18 $(8)$10 $27 $(213)$(186)
Total interest revenue$106 $(614)$(508)$566 $(5,164)$(4,598)
(1)The taxable equivalent adjustments primarily related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21% in 2021 and 2020, are 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.

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Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3)
 1Q21 vs. 4Q201Q21 vs. 1Q20
 Increase (decrease)
due to change in:		Increase (decrease)
due to change in:
In millions of dollarsAverage
volume		Average
rate		Net
change		Average
volume		Average
rate		Net
change
Deposits
In U.S. offices$(13)$(62)$(75)$212 $(1,041)$(829)
In offices outside the U.S.(3)
4 (38)(34)137 (870)(733)
Total$(9)$(100)$(109)$349 $(1,911)$(1,562)
Securities loaned and sold under agreements to repurchase
In U.S. offices$11 $(6)$5 $90 $(637)$(547)
In offices outside the U.S.(3)
(1)2 1 77 (362)(285)
Total$10 $(4)$6 $167 $(999)$(832)
Trading account liabilities(4)
In U.S. offices$9 $(31)$(22)$42 $(158)$(116)
In offices outside the U.S.(3)
16 (2)14 30 (39)(9)
Total$25 $(33)$(8)$72 $(197)$(125)
Short-term borrowings and other interest-bearing liabilities(5)
In U.S. offices$— $(6)$(6)$(46)$(280)$(326)
In offices outside the U.S.(3)
2 17 19 3 (30)(27)
Total$2 $11 $13 $(43)$(310)$(353)
Long-term debt
In U.S. offices$(71)$(40)$(111)$23 $(436)$(413)
In offices outside the U.S.(3)
— 13 13 1 5 6 
Total$(71)$(27)$(98)$24 $(431)$(407)
Total interest expense$(43)$(153)$(196)$569 $(3,848)$(3,279)
Net interest revenue$151 $(463)$(312)$(3)$(1,316)$(1,319)
(1)The taxable equivalent adjustments primarily related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21% in 2021 and 2020, are 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.











71

Market Risk of Trading Portfolios

Value at Risk (VAR)
As of March 31, 2021, Citi believes its VAR model is conservatively calibrated to incorporate fat-tail scaling and the greater of short-term (approximately the most recent month) and long-term (three years) market volatility, and estimates that the conservative features of the VAR calibration contribute an approximate 34% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets. As of December 31, 2020, the add-on was 32%.
As set forth in the table below, Citi’s average trading VAR increased to $102 million at March 31, 2021 from $93 million at December 31, 2020, mainly due to an increase in foreign exchange and commodity exposures in ICG’s Markets businesses, while average trading and credit portfolio VAR declined to $123 million from $126 million due to a reduction in market volatility.

Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
First QuarterFourth QuarterFirst Quarter
In millions of dollarsMarch 31, 20212021 AverageDec. 31, 20202020 AverageMarch 31, 20202020 Average
Interest rate$68 $66 $72 $64 $78 $38 
Credit spread67 72 70 73 157 55 
Covariance adjustment(1)
(43)(43)(51)(47)(55)(26)
Fully diversified interest rate and credit spread(2)
$92 $95 $91 $90 $180 $67 
Foreign exchange45 45 40 33 29 21 
Equity37 30 31 32 92 37 
Commodity30 29 17 21 45 16 
Covariance adjustment(1)
(105)(97)(85)(83)(155)(66)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$99 $102 $94 $93 $191 $75 
Specific risk-only component(3)
$(2)$5 $(1)$3 $(16)$7 
Total trading VAR—general market risk factors only (excluding credit portfolios)$101 $97 $95 $90 $207 $68 
Incremental impact of the credit portfolio(4)
$28 $21 $29 $33 $217 $44 
Total trading and credit portfolio VAR$127 $123 $123 $126 $408 $119 

(1)Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each risk type. The benefit reflects the fact that the risks within individual 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 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.

The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
 First QuarterFourth QuarterFirst Quarter
202120202020
In millions of dollarsLowHighLowHighLowHigh
Interest rate$51 $84 $40 $89 $28 $78 
Credit spread63 82 63 78 36 162 
Fully diversified interest rate and credit spread$86 $106 $80 $106 $44 $180 
Foreign exchange41 49 27 40 14 32 
Equity21 37 26 41 13 141 
Commodity17 42 15 29 12 45 
Total trading$89 $120 $77 $112 $47 $191 
Total trading and credit portfolio108 139 115 135 58 414 
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.
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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 dollarsMar. 31, 2021
Total—all market risk factors, including
general and specific risk
Average—during quarter$104 
High—during quarter123 
Low—during quarter90 

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 exceed 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 March 31, 2021, there were no back-testing exceptions observed for Citi’s Regulatory VAR for the prior 12 months.






















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STRATEGIC RISK
For additional information regarding strategic risk, including Citi’s management of strategic risk, see “Managing Global Risk—Strategic Risk” in Citi’s 2020 Annual Report on Form 10-K.

LIBOR Transition Risk
Citi has continued its efforts to transition away from LIBOR, including implementing its LIBOR transition action plans and associated roadmaps under its key workstreams, as well as working with clients, regulators and various industry groups such as the Alternative Reference Rates Committee (ARRC). In addition, Citi has been monitoring regulatory, legislative and market developments regarding LIBOR transition, including the following:
•In March 2021, following the completion of its consultation, the ICE Benchmark Administration, the authorized LIBOR administrator, notified the U.K. Financial Conduct Authority of its intention to cease publication of GBP, EUR, CHF and JPY LIBOR settings for all tenors, as well as USD LIBOR settings for one-week and two-month tenors after December 31, 2021, while the publication of USD LIBOR settings for overnight and one-, three-, six- and 12-month tenors would cease after June 30, 2023.
•In April 2021, New York State legislation addressing USD LIBOR discontinuance became effective. The legislation addresses the transition away from USD LIBOR for legacy contracts that are governed by New York law and that lack fallback provisions or contain fallback provisions that are based in any way on USD LIBOR. Upon USD LIBOR’s permanent discontinuance, USD LIBOR in such contracts will be replaced with a rate based on SOFR plus a spread adjustment by operation of law.

For additional information about Citi’s actions to address a transition away from and discontinuance of LIBOR, see “Managing Global Risk—Strategic Risk—LIBOR Transition Risk” in Citi’s 2020 Annual Report on Form 10-K. For information about Citi’s LIBOR transition risks, see “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.


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Country Risk

Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by country (excluding the U.S.) as of March 31, 2021. (Including the U.S, the total exposure as of March 31, 2021 to the top 25 countries would represent approximately 96% of Citi’s exposure to all countries.)
For purposes of the table, loan amounts are reflected in the country where the loan is booked, which is generally based on the domicile of the borrower. For example, a loan to a Chinese subsidiary of a Switzerland-based corporation will generally be categorized as a loan in China. In addition, Citi has developed regional booking centers in certain countries,
most significantly in the United Kingdom (U.K.) and Ireland, in order to more efficiently serve its corporate customers. As an example, with respect to the U.K., only 35% of corporate loans presented in the table below are to U.K. domiciled entities (38% for unfunded commitments), with the balance of the loans predominately to European domiciled counterparties. Approximately 82% of the total U.K. funded loans and 84% of the total U.K. unfunded commitments were investment grade as of March 31, 2021.
Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.
In billions of dollars
ICG
loans(1)
GCB loans
Other funded(2)
Unfunded(3)
Net MTM on derivatives/repos(4)
Total hedges (on loans and CVA)
Investment securities(5)
Trading account assets(6)
Total
as of
1Q21		Total
as of
4Q20		Total
as of
1Q20		Total as a % of Citi as of 1Q21
United Kingdom$45.4 $— $1.7 $54.9 $16.7 $(6.4)$4.7 $(1.7)$115.3 $115.2 $118.9 6.5 %
Mexico13.9 13.4 0.3 8.2 3.9 (0.9)19.1 4.3 62.2 64.5 56.9 3.5 
Hong Kong20.4 13.5 0.3 7.2 2.5 (6.5)8.7 1.7 47.8 49.0 49.3 2.7 
Ireland12.3 — 0.7 30.0 0.5 (0.1)— 0.7 44.1 43.9 40.5 2.5 
Singapore14.5 13.6 0.1 6.2 1.9 (3.5)7.0 1.7 41.5 45.8 44.6 2.4 
South Korea3.3 17.8 0.1 2.4 1.3 (0.8)10.6 0.3 35.0 35.8 33.5 2.0 
India6.9 4.1 1.0 6.3 2.2 (0.5)9.1 0.5 29.6 31.4 30.2 1.7 
Germany0.3 — 0.2 6.2 5.0 (3.9)9.9 8.1 25.8 24.4 21.5 1.5 
Brazil11.0 — — 2.8 3.4 (0.6)4.1 3.0 23.7 26.2 26.2 1.3 
Australia4.8 9.3 — 6.7 1.5 (0.7)1.4 0.1 23.1 21.7 22.6 1.3 
China8.5 3.5 0.6 3.7 1.1 (0.5)5.5 (1.3)21.1 21.8 21.5 1.2 
Japan2.0 — 0.1 3.2 4.8 (1.9)5.4 5.3 18.9 21.8 20.5 1.1 
Taiwan5.5 8.3 0.2 1.2 0.7 (0.1)0.2 1.0 17.0 17.3 16.6 1.0 
Canada2.0 0.5 0.1 7.6 2.4 (1.1)4.2 0.4 16.1 17.8 18.2 0.9 
Jersey7.1 — 0.1 7.2 — (0.4)— — 14.0 13.4 11.7 0.8 
United Arab Emirates 7.0 1.3 — 3.7 0.3 (0.4)1.7 (0.1)13.5 12.4 14.2 0.8 
Poland3.6 1.8 — 2.7 0.2 (0.1)2.6 0.6 11.4 15.0 14.7 0.6 
Malaysia1.5 3.6 0.1 0.8 0.2 — 1.6 0.6 8.4 8.3 8.6 0.5 
Thailand0.9 2.8 — 2.2 — — 1.5 — 7.4 8.0 7.3 0.4 
Indonesia2.1 0.6 — 1.3 0.3 (0.1)1.7 0.2 6.1 6.0 5.3 0.3 
Luxembourg0.8 — — — 0.5 (1.0)5.0 0.2 5.5 5.1 6.1 0.3 
Cayman Islands— — — — 0.1 (0.8)5.1 0.7 5.1 2.1 3.1 0.3 
Russia2.0 0.8 — 0.9 0.1 (0.1)1.5 (0.1)5.1 5.2 5.1 0.3 
Czech Republic0.8 — — 0.7 2.2 — 0.7 0.1 4.5 4.3 3.3 0.3 
Philippines0.7 1.3 0.1 0.5 — — 1.7 (0.2)4.1 4.5 5.0 0.2 
Total as a % of Citi’s total exposure34.4 %
Total as a % of Citi’s non-U.S. total exposure91.2 %

(1)    ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of March 31, 2021, private bank loans in the table above totaled $33.5 billion, concentrated in Hong Kong ($10 billion), the U.K. ($8.5 billion) and Singapore ($7.3 billion).
(2)    Other funded includes other direct exposures 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.
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(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 debt securities available-for-sale, recorded at fair market value, and debt securities held-to-maturity, recorded at historical cost.    
(6)    Trading account assets are shown on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country.
    

Argentina
Citi operates in Argentina through its ICG businesses. As of March 31, 2021, Citi’s net investment in its Argentine operations was approximately $1.1 billion. Citi uses the U.S. dollar as the functional currency for its operations in Argentina because the Argentine economy is considered highly inflationary under U.S. GAAP.
As previously disclosed, the government of Argentina has continued to maintain certain capital and currency controls that restrict Citi’s ability to access U.S. dollars in Argentina and remit earnings from its Argentine operations. Citi’s net investment in its Argentine operations is likely to increase as Citi generates net income in its Argentine franchise and its earnings are unable to be remitted.
Citi economically hedges the foreign currency risk in its net Argentine peso-denominated assets to the extent possible and prudent using non-deliverable forward (NDF) derivative instruments that are primarily executed outside of Argentina. As of March 31, 2021, the international NDF market had very limited liquidity, resulting in Citi’s being unable to economically hedge nearly all of its Argentine peso exposure. As a result, and to the extent that Citi does not execute NDF contracts for this unhedged exposure in the future, Citi would record devaluations on its net Argentine peso‐denominated assets in earnings, without any benefit from a change in the fair value of derivative positions used to economically hedge the exposure.
Citi continually evaluates its economic exposure to its Argentine counterparties and reserves for changes in credit risk and sovereign risk associated with its Argentine assets. Citi believes it has established appropriate allowances for credit losses on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for such risks under U.S. GAAP as of March 31, 2021. However, U.S. regulatory agencies may require Citi to record additional reserves in the future, increasing ICG’s cost of credit, based on the perceived country risk associated with its Argentine exposures. For additional information on emerging markets risks, see “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.



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SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES

This section contains a summary of Citi’s most significant accounting policies. Note 1 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on Form 10-K contains a summary of all of Citigroup’s significant accounting policies. These policies, as well as estimates made by management, are integral to the presentation of Citi’s results of operations and financial condition. While all of these policies require a certain level of management judgment and estimates, this section highlights and discusses the significant accounting policies that require management to make highly difficult, complex or subjective judgments and estimates at times regarding matters that are inherently uncertain and susceptible to change (see also “Risk Factors—Operational Risks” in Citigroup’s 2020 Annual Report on Form 10-K). Management has discussed each of these significant accounting policies, the related estimates and its judgments with the Audit Committee of the Citigroup Board of Directors.

Valuations of Financial Instruments
Citigroup holds debt and equity securities, derivatives, retained interests in securitizations, investments in private equity and other financial instruments. A substantial portion of these assets and liabilities is reflected at fair value on Citi’s Consolidated Balance Sheet as Trading account assets, Available-for-sale securities and Trading account liabilities.
Citi purchases securities under agreements to resell (reverse repos or resale agreements) and sells securities under agreements to repurchase (repos), a substantial portion of which is carried at fair value. In addition, certain loans, short-term borrowings, long-term debt and deposits, as well as certain securities borrowed and loaned positions that are collateralized with cash, are carried at fair value. Citigroup holds its investments, trading assets and liabilities, and resale and repurchase agreements on Citi’s Consolidated Balance Sheet to meet customer needs and to manage liquidity needs, interest rate risks and private equity investing.
When available, Citi generally uses quoted market prices to determine fair value and classifies such items within Level 1 of the fair value hierarchy established under ASC 820-10, Fair Value Measurement. If quoted market prices are not available, fair value is based upon internally developed valuation models that use, where possible, current market-based or independently sourced market parameters, such as interest rates, currency rates and option volatilities. Such models are often based on a discounted cash flow analysis. In addition, items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified under the fair value hierarchy as Level 3 even though there may be some significant inputs that are readily observable.
Citi is required to exercise subjective judgments relating to the applicability and functionality of internal valuation models, the significance of inputs or value drivers to the valuation of an instrument and the degree of illiquidity and subsequent lack of observability in certain markets. These judgments have the potential to impact the Company’s
financial performance for instruments where the changes in fair value are recognized in either the Consolidated Statement of Income or in AOCI.
Losses on available-for-sale securities whose fair values are less than the amortized cost, where Citi intends to sell the security or could more-likely-than-not be required to sell the security, are recognized in earnings. Where Citi does not intend to sell the security nor could more-likely-than-not be required to sell the security, the portion of the loss related to credit is recognized as an allowance for credit losses with a corresponding provision for credit losses and the remainder of the loss is recognized in other comprehensive income. Such losses are capped at the difference between the fair value and amortized cost of the security.
For equity securities carried at cost or under the measurement alternative, decreases in fair value below the carrying value are recognized as impairment in the Consolidated Statement of Income. Moreover, for certain equity method investments, decreases in fair value are only recognized in earnings in the Consolidated Statement of Income if such decreases are judged to be an other-than-temporary impairment (OTTI). Adjudicating the temporary nature of fair value impairments is also inherently judgmental.
The fair value of financial instruments incorporates the effects of Citi’s own credit risk and the market view of counterparty credit risk, the quantification of which is also complex and judgmental. For additional information on Citi’s fair value analysis, see Notes 6, 20 and 21 to the Consolidated Financial Statements in this Form 10-Q and Note 1 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.


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Citi’s Allowance for Credit Losses (ACL)
The table below shows Citi’s ACL during the first quarter of 2021. For information on the drivers of Citi’s ACL release in the first quarter, see below. For additional information on Citi’s accounting policy on accounting for credit losses under CECL, see Note 1 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.




 ACL
In millions of dollarsBalance Dec. 31, 20201Q21 build (release)1Q21 FX/OtherBalance Mar. 31, 2021
ACLL/EOP loans Mar. 31, 2021(1)
Cards(1)
$16,805 $(1,523)$(42)$15,240 10.72 %
All other GCB
2,419 (283)(42)2,094 
Global Consumer Banking$19,224 $(1,806)$(84)$17,334 6.47 %
Institutional Clients Group5,402 (1,312)(6)4,084 1.06 
Corporate/Other330 (109)(1)220 
Allowance for credit losses on loans (ACLL)$24,956 $(3,227)$(91)$21,638 3.29 %
Allowance for credit losses on unfunded lending commitments (ACLUC)2,655 (626)(17)2,012 
Other146 1 (1)146 
Total ACL$27,757 $(3,852)$(109)$23,796 

(1)    As of March 31, 2021, in North America GCB, Citi-branded cards ACLL/EOP loans was 9.8% and Citi retail services ACLL/EOP loans was 13.4%.


Citi provides reserves for an estimate of current expected credit losses in the funded loan portfolio and for unfunded lending commitments, standby letters of credit and financial guarantees (excluding those that are performance guarantees), on the Consolidated Balance Sheet in Allowance for credit losses on loans (ACLL) and Other liabilities, respectively. In addition, Citi provides allowances for an estimate of current expected credit losses for other financial assets measured at amortized cost, including held-to-maturity securities, reverse repurchase agreements, securities borrowed, deposits with banks and other financial receivables carried at amortized cost (these allowances, together with the ACLL, are referred to as the ACL).
The ACL is composed of quantitative and qualitative components. For the quantitative component, Citi uses a forward-looking base macroeconomic forecast that is complemented by a qualitative management adjustment component. As further discussed below, this qualitative component reflects (i) economic uncertainty related to an alternative downside scenario, (ii) loss adjustments for concentration and collateral, and (iii) specific adjustments based on the associated portfolio for estimating the ACL, including adjustments that reflect the current uncertainty around the estimated impact of the pandemic on credit loss estimates.

Quantitative Component
Citi estimates expected credit losses for its quantitative component based on (i) its comprehensive internal history and system of credit risk ratings, (ii) rating and score agency information regarding default rates and loss data, including internal data on the severity of losses in the event of default,
and (iii) a reasonable and supportable forecast of future macroeconomic conditions.
For its consumer and corporate portfolios, Citi’s expected credit loss is determined primarily by utilizing models for the borrowers’ probability of default (PD), loss given default (LGD) and exposure at default (EAD). The loss likelihood and severity models used for estimating expected credit losses are sensitive to changes in macroeconomic variables that inform the forecasts.
For corporate portfolios, the loss likelihood and loss severity models cover a wide range of geographic, industry, product and business segments that contribute to the portfolios.
In addition, Citi’s delinquency-managed portfolios containing smaller-balance homogeneous loans also primarily use PD, LGD and EAD models to determine expected credit losses and reserve balances based on leading credit indicators, including loan delinquencies and changes in portfolio size, as well as other current economic factors and credit trends, including housing prices, unemployment and gross domestic product (GDP). This methodology is applied separately for each product within each geographic region in which these portfolios exist, including the U.S., Mexico and Asia.
Default frequency, risk ratings, loss recovery rates, size and diversity of individual large credits and ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account. Changes in these estimates could have a direct impact on Citi’s credit costs and the allowance in any period.


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Qualitative Management Adjustment Component
The qualitative management adjustment component considers, among other things, the uncertainty of forward-looking economic scenarios based on the likelihood and severity of downside scenarios, certain portfolio characteristics and concentrations, collateral coverage, model limitations, idiosyncratic events and other relevant criteria under banking supervisory guidance for the ACL. The qualitative management adjustment also reflects the current uncertainty around the estimated impact of the pandemic on credit loss estimates.

1Q21 Combined Quantitative and Qualitative Components
In the first quarter of 2021, Citi (i) released $1.9 billion of the ACL for its consumer portfolios and (ii) released $1.9 billion of the ACL for its corporate portfolios. Consumer and corporate ACLs were impacted by improvements in both macroeconomic conditions for the quantitative base scenario and the qualitative management adjustment associated with an alternative downside scenario, which incorporated a lower severity and likelihood. This release was partially offset by an increase in other qualitative adjustments related to ongoing uncertainty due to the pandemic, with focus on the collectability of consumer balances associated with borrowers who may be participating in non-Citi forbearance or rent moratorium programs.
The extent of the pandemic’s ultimate impact on Citi’s ACL will depend on, among other things, (i) how consumers respond to the conclusion of government stimulus and assistance programs; (ii) the impact on unemployment; (iii) the timing and extent of the economic recovery; (iv) the severity and duration of any resurgence of COVID-19; (v) the rate of distribution and administration of vaccines; and (vi) the extent of any market volatility. Citi believes its analysis of the ACL reflects the forward view of the economic analysis as of March 31, 2021, based on its latest available base macroeconomic forecast.


Macroeconomic Variables
Citi uses a multitude of variables in its base macroeconomic forecast as part of its calculation of both the quantitative and qualitative (including the downside scenario) components of the ACL, including both domestic and international variables for its global portfolios and exposures. Citi’s forecasts of the U.S. unemployment rate and U.S. Real GDP rate represent the key macroeconomic variables that most significantly affect its estimate of its consumer and corporate ACLs.
The tables below show these macroeconomic variables used in determining Citi’s 1Q20, 2Q20, 3Q20, 4Q20 and 1Q21 consumer and corporate ACLs, comparing Citi’s forecasted 2Q21, 4Q21 and 2Q22 quarterly average U.S. unemployment rate and Citi’s forecasted 2021, 2022 and 2023 year-over-year U.S. Real GDP growth rate:
Quarterly average
U.S. unemployment2Q214Q212Q22
13-quarter average(1)
Citi forecast at 1Q206.7 %6.5 %6.1 %6.1 %
Citi forecast at 2Q207.2 5.9 5.7 7.2 
Citi forecast at 3Q207.6 6.4 6.1 6.6 
Citi forecast at 4Q207.0 6.3 6.1 6.1 
Citi forecast at 1Q215.6 4.9 4.1 4.3 

(1)    Represents the average unemployment rate for the rolling, forward-looking 13 quarters in the forecast horizon.

Year-over-year growth rate(1)
Full year
U.S. Real GDP202120222023
Citi forecast at 1Q201.5 %1.9 %1.9 %
Citi forecast at 2Q205.5 3.3 2.1 
Citi forecast at 3Q203.3 2.8 2.6 
Citi forecast at 4Q203.7 2.7 2.6 
Citi forecast at 1Q216.2 4.1 1.9 

(1)    The year-over-year growth rate is the percentage change in the Real (inflation adjusted) GDP level.

Under the base macroeconomic forecast as of 1Q21, U.S. GDP growth is expected to remain strong in 2021 and 2022 and the unemployment rate is expected to continue to improve as the U.S. moves past the peak of the pandemic-related health and economic crisis.

Consumer
As discussed above, Citi’s total consumer ACL release (including Corporate/Other) of $1.9 billion in the first quarter of 2021 reduced the ACL balance to $17.6 billion, or 6.41% of total consumer loans at March 31, 2021. The release was primarily driven by the improved macroeconomic forecast for the first quarter, as well as a decrease in loan volumes. Citi’s consumer ACL is largely driven by the cards businesses.
For cards, including Citi’s international businesses, the level of reserves relative to EOP loans decreased to 10.72% at March 31, 2021, compared to 10.98% at December 31, 2020, primarily due to the improved base macroeconomic forecast
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for the first quarter of 2021. For the remaining consumer exposures, the level of reserves relative to EOP loans decreased slightly to 1.8% at March 31, 2021, compared to 2.0% at December 31, 2020.

Corporate
Citi’s corporate ACLL release of $1.3 billion in the first quarter of 2021 reduced the ACLL reserve balance to $4.1 billion, or 1.06% of total funded loans, and was primarily driven by the improved macroeconomic forecast scenario for the first quarter, as well as modest improvements in portfolio credit quality.
The ACLUC release of $0.6 billion in the first quarter of 2021 decreased the total corporate ACLUC reserve balance included in Other liabilities to $2.0 billion at March 31, 2021.

ACLL and Non-accrual Ratios
At March 31, 2021, the ratio of the allowance for credit losses to total funded loans was 3.29% (6.41% for consumer loans and 1.06% for corporate loans), compared to 3.73% at December 31, 2020 (6.77% for consumer loans and 1.42% for corporate loans).
Citi’s total non-accrual loans were $5.1 billion at March 31, 2021, down $578 million from December 31, 2020. Consumer non-accrual loans decreased $157 million to $2.0 billion at March 31, 2021 from $2.1 billion at December 31, 2020, while corporate non-accrual loans decreased $421 million to $3.1 billion at March 31, 2021 from $3.5 billion at December 31, 2020. In addition, the ratio of non-accrual loans to total corporate loans was 0.79%, and 0.72% of non-accrual loans to total consumer loans, at March 31, 2021.

Regulatory Capital Impact
Citi has elected to phase in the CECL impact for regulatory capital purposes. The transition provisions were recently modified to defer the phase-in. After two years with no impact on capital, the CECL transition impact will phase in over a three-year transition period with 25% of the impact (net of deferred taxes) recognized on the first day of each subsequent year, commencing January 1, 2022, and will be fully implemented on January 1, 2025. In addition, 25% of the build (pretax) made in 2020 and 2021 will be deferred and amortized over the same timeframe.
For a further description of the ACL and related accounts, see Notes 1 and 14 to the Consolidated Financial Statements.
For a discussion of the adoption of the CECL accounting pronouncement, see Note 1 to the Consolidated Financial Statements.


Goodwill
Citi tests goodwill for impairment annually as of July 1 (the annual test) and through interim assessments between annual tests if an event occurs or circumstances change that could more-likely-than-not reduce the fair value of a reporting unit below its carrying amount, such as a significant adverse change in the business climate, a decision to sell or dispose of all or a significant portion of a reporting unit or a significant decline in Citi’s stock price.
Citi performed the annual test as of July 1, 2020. The fair values of the Company’s reporting units as a percentage of their carrying values ranged from approximately 115% to 136%, resulting in no impairment. While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations, the current environment continues to evolve due to the COVID-19 pandemic. Deterioration in business performance or macroeconomic and market conditions, including potential adverse effects to economic forecasts due to the severity and duration of the pandemic, as well as the responses of governments, customers and clients, could negatively influence the assumptions used in the valuations, in particular, the discount and growth rates used in the net income projections. If the future were to differ from management’s best estimate of key economic assumptions and associated cash flows were to decrease, Citi could potentially experience material goodwill impairment charges in the future. See Note 15 to the Consolidated Financial Statements for a further discussion on goodwill.
Litigation Accruals
See the discussion in Note 23 to the Consolidated Financial Statements for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.
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INCOME TAXES

Deferred Tax Assets
For additional information on Citi’s deferred tax assets (DTAs), see “Risk Factors—Strategic Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and Notes 1 and 9 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
At March 31, 2021, Citigroup had recorded net DTAs of approximately $24.2 billion, a decrease of $0.6 billion from December 31, 2020, primarily driven by the $3.9 billion ACL release, partially offset by losses in Other comprehensive income.
The table below summarizes Citi’s net DTAs balance:
Jurisdiction/ComponentDTAs balance
In billions of dollars March 31,
2021		December 31, 2020
Total U.S. $21.4 $22.2 
Total foreign 2.8 2.6 
Total $24.2 $24.8 

Of Citi’s total net DTAs of $24.2 billion as of March 31, 2021, $9.8 billion (primarily relating to net operating losses, foreign tax credit (FTC) and general business credit carry-forwards, which were largely unchanged in the current quarter) was deducted in calculating Citi’s regulatory capital. Net DTAs arising from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” above). For the quarter ended March 31, 2021, Citi did not have any such DTAs. Accordingly, the remaining $14.4 billion of net DTAs as of March 31, 2021 was not deducted in calculating regulatory capital pursuant to Basel III standards and was appropriately risk weighted under those rules.




DTA Realizability
Citi believes that the realization of the recognized net DTAs of $24.2 billion at March 31, 2021 is more-likely-than-not based upon management’s expectations as to future taxable income in the jurisdictions in which the DTAs arise, as well as consideration of available tax planning strategies (as defined in ASC Topic 740, Income Taxes).
In the second quarter of 2021, as part of the normal planning process, Citi will update its forecasts of operating income and its foreign source income forecast. These updates could affect Citi’s valuation allowance against FTC carry-forwards.

Effective Tax Rate
Citi’s reported effective tax rate for the first quarter of 2021 was approximately 23%. This compares to an effective tax rate of approximately 19% in the first quarter of 2020. The higher rate in the quarter reflected the increase in pretax earnings.

















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DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of March 31, 2021. 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 had no reportable activities pursuant to Section 219 for the first quarter of 2021.










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FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-Q, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the rules and regulations of the SEC. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.
Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events. Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, target and 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 2020 Annual Report on Form 10-K and other SEC filings; (ii) the factors listed and described under “Risk Factors” in Citi’s 2020 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:

•    rapidly evolving challenges and uncertainties related to the COVID-19 pandemic in the U.S. and globally, including the duration and further spread of the coronavirus; the potential for new variants of the virus; timely development, production and distribution of effective vaccines; the public response; government actions; any delay or weakness in the economic recovery or any future economic downturn; and the potential impact on Citi’s businesses and overall results of operations and financial condition;
•    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 capital requirements, including the Stress Capital Buffer, Citi’s results of operations and financial condition, forecasts of macroeconomic conditions, regulatory evaluations of Citi’s ability to maintain an effective capital management framework and Citi’s effectiveness in managing and calculating its risk-weighted assets, and the Supplementary Leverage Ratio and GSIB surcharge, whether due to the impact of the pandemic, the results of the CCAR process and regulatory stress tests or otherwise;
•    the ongoing regulatory and legislative uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, such as potential fiscal, monetary, regulatory, corporate and other income tax and other changes due to the new U.S. presidential administration, regulatory leadership and Congress or in response to the
pandemic; potential changes to various aspects of the regulatory capital framework; the future legislative and regulatory framework resulting from the U.K.’s exit from the European Union, including with respect to financial services; and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, business planning and compliance risks and costs;
•    Citi’s ability to achieve its projected or expected results from its continued investments and efficiency initiatives, such as deepening client relationships, revenue growth, expense management and transformation of its infrastructure, risk management and controls, as part of Citi’s overall strategy to meet operational and financial objectives, including as a result of factors that Citi cannot control;
•    Citi’s ability to achieve its objectives from the refresh of its strategy, including those related to its Global Wealth business and the plans to pursue exits of consumer businesses in 13 markets in Asia and EMEA, which may not be as productive or effective as Citi expects and could result in losses, charges or other negative financial or strategic impacts;
•    the transition away from or discontinuance of LIBOR or any other interest rate benchmark and the adverse consequences it could have for market participants, including Citi;
•    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;
•    the potential impact to Citi if its interpretation or application of the complex income and non-income based tax laws to which it is subject, such as the Tax Cuts and Jobs Act (Tax Reform), withholding, stamp, service and other non-income taxes, differs from those of the relevant governmental taxing authorities, including as a result of litigation or examinations regarding non-income based tax matters;
•    the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, limitations of hedges on foreign investments, foreign currency volatility, sovereign volatility, election outcomes, 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; confiscation of assets, as well as U.S. regulators imposing mandatory loan loss or other reserve requirements on Citi; and higher compliance and regulatory risks and costs;
•    the potential impact from a deterioration in or failure to maintain Citi’s co-branding or private label credit card relationships, due to, among other things, the general economic environment, declining sales and revenues, partner store closures, government-imposed restrictions, reduced air and business travel or other operational difficulties of the retailer or merchant, termination of a
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particular relationship; or other factors, such as bankruptcies, liquidations, restructurings, consolidations or other similar events, whether due to the impact of the pandemic or otherwise;
•    Citi’s ability in its resolution plan submissions to address any shortcomings or deficiencies identified or 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;
•    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 potential impact to Citi from climate change, including both physical and transition risks as well as higher regulatory, compliance and reputational risks and costs;
•    the potential impact to Citi’s businesses, and results of operations and financial condition, as well as its macroeconomic outlook, due to macroeconomic, geopolitical and other challenges and uncertainties and volatilities, including, among others, governmental fiscal and monetary actions or expected actions, such as changes in interest rate policies and any program implemented to change the size of central bank balance sheets; geopolitical tensions and conflicts; protracted or widespread trade tensions; natural disasters; additional pandemics; and election outcomes;
•    the potential impact to Citi from a failure in or disruption of its operational processes or systems, including as a result of, among other things, human error, such as processing errors, fraud or malice, accidental system or technological failure, electrical or telecommunication outages or failure of or cyber incidents involving computer servers or infrastructure or other similar losses or damage to Citi’s property or assets, or failures by third parties, 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 which it does business, that could result in, among other things, theft, loss, misuse or disclosure of confidential client, customer or corporate information or assets and a disruption of computer, software or network systems; and the potential impact from such risks, including reputational damage, regulatory penalties, loss of revenues, additional costs (including repair, remediation and other costs), exposure to litigation and other financial losses;
•    the potential impact of changes to, or the application of incorrect, assumptions, judgments or estimates in Citi’s financial statements, including estimates of Citi’s ACL, which depends on its CECL models and assumptions and forecasted macroeconomic conditions and management adjustments; reserves related to litigation, regulatory and tax matters exposures; valuation of DTAs; and fair value
of certain assets and liabilities, such as goodwill or any other asset for impairment;
•    the financial impact from reclassification of any foreign currency translation adjustment (CTA) component of AOCI, including related hedges and taxes, into Citi’s earnings, due to the sale or substantial liquidation of any foreign entity, such as those related to its legacy businesses, whether due to Citi’s evaluation or refresh of its strategy or otherwise;
•    the impact of 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, or require refinement, modification or enhancement, or any related action is taken by Citi’s U.S. banking regulators;
•    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 borrowers or other counterparties in the U.S. or in various countries and jurisdictions globally, including from indemnification obligations in connection with various transactions, such as hedging or reinsurance arrangements related to those obligations, whether due to the pandemic or otherwise;
•    the potential impact on Citi’s liquidity and/or costs of funding as a result of external factors, including, among others, the competitive environment for deposits, general disruptions in the financial markets, governmental fiscal and monetary policies, regulatory changes or negative investor perceptions of Citi’s creditworthiness, unexpected increases in cash or collateral requirements and the inability to monetize available liquidity resources, whether due to the pandemic or otherwise;
•    the impact of a ratings downgrade of Citi or one or more of its more significant subsidiaries or issuing entities on Citi’s funding and liquidity as well as operations of certain of its businesses;
•    the potential impact to Citi of ongoing interpretation and implementation of regulatory and legislative requirements and changes in the U.S. and globally, as well as heightened regulatory scrutiny and expectations for large financial institutions and their employees and agents, with respect to, among other things, governance, infrastructure, data and risk management practices and controls, including the impact on Citi’s compliance, regulatory and other risks and costs, such as increased regulatory oversight and restrictions, enforcement proceedings, penalties and fines; and
•    the potential outcomes of the extensive legal and regulatory proceedings, examinations, investigations, consent orders and related compliance efforts and other inquiries, to which Citi is or may be subject at any given time, such as the previously disclosed October 2020 FRB and OCC consent orders, particularly given the increased focus by regulators on risk and controls, such as risk
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management, compliance, data quality management and governance and internal controls, and policies and procedures; as well as the transformative efforts to remediate deficiencies on a timely and sufficient basis and increased expenses for such remediation efforts, together with the heightened scrutiny and expectations generally from regulators, and the severity of the remedies sought by regulators, such as civil money penalties, supervisory or enforcement orders, business restrictions, limitations on dividends and changes to directors and/or officers, 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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FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS 
Consolidated Statement of Income (Unaudited)—
For the Three Months Ended March 31, 2021
and 2020
88
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three Months Ended March 31, 2021 and 2020
89
Consolidated Balance Sheet—March 31, 2021 (Unaudited) and December 31, 2020
90
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three Months Ended March 31, 2021 and 2020
92
Consolidated Statement of Cash Flows (Unaudited)—
For the Three Months Ended March 31, 2021 and 2020
94
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
 
Note 1—Basis of Presentation, Updated Accounting Policies
                and Accounting Changes
96
Note 2—Discontinued Operations and Significant Disposals
99
Note 3—Business Segments
100
Note 4—Interest Revenue and Expense
101
Note 5—Commissions and Fees; Administration and Other
                 Fiduciary Fees
102
Note 6—Principal Transactions
104
Note 7—Incentive Plans
105
Note 8—Retirement Benefits
105
Note 9—Earnings per Share
109
Note 10—Securities Borrowed, Loaned and
                   Subject to Repurchase Agreements
110
Note 11—Brokerage Receivables and Brokerage Payables
113
Note 12—Investments
114

Note 13—Loans
124
Note 14—Allowance for Credit Losses
138
Note 15—Goodwill and Intangible Assets
142
Note 16—Debt
144
Note 17—Changes in Accumulated Other Comprehensive
                   Income (Loss) (AOCI)
145
Note 18—Securitizations and Variable Interest Entities
148
Note 19—Derivatives
157
Note 20—Fair Value Measurement
168
Note 21—Fair Value Elections
183
Note 22—Guarantees, Leases and Commitments
187
Note 23—Contingencies
192
Note 24—Condensed Consolidating Financial Statements
195


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CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED)Citigroup Inc. and Subsidiaries
 Three Months Ended March 31,
In millions of dollars, except per share amounts20212020
Revenues
Interest revenue$12,534 $17,139 
Interest expense2,368 5,647 
Net interest revenue$10,166 $11,492 
Commissions and fees$3,670 $3,021 
Principal transactions3,913 5,261 
Administration and other fiduciary fees961 854 
Realized gains on sales of investments, net401 432 
Impairment losses on investments:
 Impairment losses on investments and other assets(69)(55)
 Provision for credit losses on AFS debt securities(1)
— — 
Net impairment losses recognized in earnings$(69)$(55)
Other revenue (loss)$285 $(274)
Total non-interest revenues$9,161 $9,239 
Total revenues, net of interest expense $19,327 $20,731 
Provisions for credit losses and for benefits and claims  
Provision for credit losses on loans$(1,479)$6,377 
Provision for credit losses on held-to-maturity (HTM) debt securities(11)6 
Provision for credit losses on other assets9 (4)
Policyholder benefits and claims52 24 
Provision for credit losses on unfunded lending commitments(626)557 
Total provisions for credit losses and for benefits and claims$(2,055)$6,960 
Operating expenses  
Compensation and benefits$6,001 $5,654 
Premises and equipment576 565 
Technology/communication1,852 1,723 
Advertising and marketing270 328 
Other operating2,374 2,373 
Total operating expenses$11,073 $10,643 
Income from continuing operations before income taxes$10,309 $3,128 
Provision for income taxes2,332 580 
Income from continuing operations$7,977 $2,548 
Discontinued operations  
Loss from discontinued operations$(2)$(18)
Benefit for income taxes— — 
Income (loss) from discontinued operations, net of taxes$(2)$(18)
Net income before attribution of noncontrolling interests$7,975 $2,530 
Noncontrolling interests33 (6)
Citigroup’s net income$7,942 $2,536 
Basic earnings per share(2)
Income from continuing operations$3.64 $1.07 
Income from discontinued operations, net of taxes— (0.01)
Net income$3.64 $1.06 
Weighted average common shares outstanding (in millions)
2,082.0 2,097.9 
Diluted earnings per share(2)
Income from continuing operations$3.62 $1.06 
Income (loss) from discontinued operations, net of taxes— (0.01)
Net income$3.62 $1.06 
Adjusted weighted average common shares outstanding
(in millions)
2,096.6 2,113.7 
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(1)    In accordance with ASC 326.
(2)    Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOMECitigroup Inc. and Subsidiaries
(UNAUDITED)
 Three Months Ended March 31,
In millions of dollars20212020
Citigroup’s net income$7,942 $2,536 
Add: Citigroup’s other comprehensive income(1)
Net change in unrealized gains and losses on debt securities, net of taxes(1)
$(1,785)$3,128 
Net change in debt valuation adjustment (DVA), net of taxes(2)
(42)3,140 
Net change in cash flow hedges, net of taxes(556)1,897 
Benefit plans liability adjustment, net of taxes 714 (286)
Net change in foreign currency translation adjustment, net of taxes and hedges(1,274)(4,109)
Net change in excluded component of fair value hedges, net of taxes(10)27 
Citigroup’s total other comprehensive income (loss)$(2,953)$3,797 
Citigroup’s total comprehensive income$4,989 $6,333 
Add: Other comprehensive loss attributable to
noncontrolling interests 		$(58)$(51)
Add: Net income (loss) attributable to noncontrolling interests33 (6)
Total comprehensive income$4,964 $6,276 
(1)See Note 17 to the Consolidated Financial Statements.
(2)See Note 20 to the Consolidated Financial Statements.

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

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CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
March 31,
2021December 31,
In millions of dollars(Unaudited)2020
Assets  
Cash and due from banks (including segregated cash and other deposits)$26,204 $26,349 
Deposits with banks, net of allowance298,478 283,266 
Securities borrowed and purchased under agreements to resell (including $198,908 and $185,204 as of March 31, 2021 and December 31, 2020, respectively, at fair value), net of allowance
315,072 294,712 
Brokerage receivables, net of allowance60,465 44,806 
Trading account assets (including $175,125 and $168,967 pledged to creditors at March 31, 2021 and December 31, 2020, respectively)
360,659 375,079 
Investments:
Available-for-sale debt securities (including $6,740 and $5,921 pledged to creditors as of March 31, 2021 and December 31, 2020, respectively), net of allowance
304,036 335,084 
Held-to-maturity debt securities (including $1,031 and $547 pledged to creditors as of March 31, 2021 and December 31, 2020, respectively), net of allowance
161,742 104,943 
Equity securities (including $784 and $1,066 at fair value as of March 31, 2021 and December 31, 2020, respectively)
7,181 7,332 
Total investments
$472,959 $447,359 
Loans:
Consumer (including $15 and $14 as of March 31, 2021 and December 31, 2020, respectively, at fair value)
274,034 288,839 
Corporate (including $7,510 and $6,840 as of March 31, 2021 and December 31, 2020, respectively, at fair value)
391,954 387,044 
Loans, net of unearned income$665,988 $675,883 
Allowance for credit losses on loans (ACLL)(21,638)(24,956)
Total loans, net$644,350 $650,927 
Goodwill21,905 22,162 
Intangible assets (including MSRs of $433 and $336 as of March 31, 2021 and December 31, 2020, respectively, at fair value)
4,741 4,747 
Other assets (including $10,175 and $14,613 as of March 31, 2021 and December 31, 2020, respectively, at fair value), net of allowance
109,433 110,683 
Total assets$2,314,266 $2,260,090 

The following table presents certain assets of consolidated variable interest entities (VIEs), which are included on 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. In addition, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
March 31,
2021December 31,
In millions of dollars(Unaudited)2020
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs  
Cash and due from banks$156 $281 
Trading account assets7,659 8,104 
Investments903 837 
Loans, net of unearned income 
Consumer
34,514 37,561 
Corporate
16,789 17,027 
Loans, net of unearned income$51,303 $54,588 
Allowance for credit losses on loans (ACLL)(3,416)(3,794)
Total loans, net$47,887 $50,794 
Other assets51 43 
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$56,656 $60,059 
Statement continues on the next page.
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CONSOLIDATED BALANCE SHEET                             Citigroup Inc. and Subsidiaries
(Continued)
March 31,
2021December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2020
Liabilities  
Non-interest-bearing deposits in U.S. offices$138,192 $126,942 
Interest-bearing deposits in U.S. offices (including $962 and $879 as of March 31, 2021 and December 31, 2020, respectively, at fair value)
497,335 503,213 
Non-interest-bearing deposits in offices outside the U.S.101,662 100,543 
Interest-bearing deposits in offices outside the U.S. (including $2,178 and $1,079 as of March 31, 2021 and December 31, 2020, respectively, at fair value)
563,786 549,973 
Total deposits$1,300,975 $1,280,671 
Securities loaned and sold under agreements to repurchase (including $68,713 and $60,206 as of March 31, 2021 and December 31, 2020, respectively, at fair value)
219,168 199,525 
Brokerage payables60,907 50,484 
Trading account liabilities179,117 168,027 
Short-term borrowings (including $7,406 and $4,683 as of March 31, 2021 and December 31, 2020, respectively, at fair value)
32,087 29,514 
Long-term debt (including $68,071 and $67,063 as of March 31, 2021 and December 31, 2020, respectively, at fair value)
256,335 271,686 
Other liabilities (including $2,675 and $6,835 as of March 31, 2021 and December 31, 2020, respectively, at fair value), including allowance
62,404 59,983 
Total liabilities$2,110,993 $2,059,890 
Stockholders’ equity  
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of March 31, 2021—811,200 and as of December 31, 2020—779,200, at aggregate liquidation value
$20,280 $19,480 
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of March 31, 2021—3,099,690,888 and as of December 31, 2020—3,099,763,661
31 31 
Additional paid-in capital107,694 107,846 
Retained earnings174,816 168,272 
Treasury stock, at cost: March 31, 2021—1,032,643,369 shares and
December 31, 2020—1,017,674,452 shares
(65,261)(64,129)
Accumulated other comprehensive income (loss) (AOCI)
(35,011)(32,058)
Total Citigroup stockholders’ equity$202,549 $199,442 
Noncontrolling interests724 758 
Total equity$203,273 $200,200 
Total liabilities and equity$2,314,266 $2,260,090 

The following table presents certain liabilities of consolidated VIEs, which are included on 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.
March 31,
2021December 31,
In millions of dollars(Unaudited)2020
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		  
Short-term borrowings$9,344 $9,278 
Long-term debt
15,699 20,405 
Other liabilities384 463 
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup		$25,427 $30,146 
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
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CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED)Citigroup Inc. and Subsidiaries
Three Months Ended March 31,
In millions of dollars20212020
Preferred stock at aggregate liquidation value
Balance, beginning of period$19,480 $17,980 
Issuance of new preferred stock2,300 1,500 
Redemption of preferred stock(1,500)(1,500)
Balance, end of period$20,280 $17,980 
Common stock and additional paid-in capital (APIC) 
Balance, beginning of period$107,877 $107,871 
Employee benefit plans(175)(292)
Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions)23 2 
Other— — 
Balance, end of period$107,725 $107,581 
Retained earnings
Balance, beginning of period$168,272 $165,369 
Adjustments to opening balance, net of taxes(1)
Financial instruments—credit losses (CECL adoption)— (3,076)
Variable post-charge-off third-party collection costs— 330 
Adjusted balance, beginning of period$168,272 $162,623 
Citigroup’s net income7,942 2,536 
Common dividends(2)
(1,074)(1,081)
Preferred dividends(292)(291)
Other (primarily reclassifications from APIC for preferred issuance costs on redemptions)(32)(5)
Balance, end of period$174,816 $163,782 
Treasury stock, at cost 
Balance, beginning of period$(64,129)$(61,660)
Employee benefit plans(3)
468 438 
Treasury stock acquired(4)
(1,600)(2,925)
Balance, end of period$(65,261)$(64,147)
Citigroup’s accumulated other comprehensive income (loss) 
Balance, beginning of period$(32,058)$(36,318)
Citigroup’s total other comprehensive income(2,953)3,797 
Balance, end of period$(35,011)$(32,521)
Total Citigroup common stockholders’ equity$182,269 $174,695 
Total Citigroup stockholders’ equity$202,549 $192,675 
Noncontrolling interests 
Balance, beginning of period$758 $704 
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary
— (6)
Transactions between Citigroup and the noncontrolling-interest shareholders
— — 
Net income attributable to noncontrolling-interest shareholders
33 (6)
Distributions paid to noncontrolling-interest shareholders— — 
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
(58)(51)
Other(9)10 
Net change in noncontrolling interests$(34)$(53)
Balance, end of period$724 $651 
Total equity$203,273 $193,326 

(1)    See Note 1 to the Consolidated Financial Statements for additional details.
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(2)    Common dividends declared were $0.51 per share in both of the first quarters of 2021 and 2020.
(3)    Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.
(4)    Primarily consists of open market purchases under Citi’s Board of Directors-approved common share repurchase program.

The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
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CONSOLIDATED STATEMENT OF CASH FLOWS
Citigroup Inc. and Subsidiaries
(UNAUDITED)
 Three Months Ended March 31,
In millions of dollars20212020
Cash flows from operating activities of continuing operations  
Net income before attribution of noncontrolling interests$7,975 $2,530 
Net income attributable to noncontrolling interests33 (6)
Citigroup’s net income$7,942 $2,536 
Loss from discontinued operations, net of taxes(2)(18)
Income from continuing operations—excluding noncontrolling interests$7,944 $2,554 
Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations  
Depreciation and amortization962 927 
Provisions for credit losses on loans and unfunded lending commitments(2,105)6,934 
Realized gains from sales of investments(401)(432)
Impairment losses on investments and other assets69 55 
Change in trading account assets14,405 (88,875)
Change in trading account liabilities11,090 44,101 
Change in brokerage receivables net of brokerage payables(5,236)(2,931)
Change in loans HFS1,561 (1,393)
Change in other assets(383)(3,123)
Change in other liabilities3,047 1,605 
Other, net(7,755)15,045 
Total adjustments$15,254 $(28,087)
Net cash provided by (used in) operating activities of continuing operations$23,198 $(25,533)
Cash flows from investing activities of continuing operations  
   Change in securities borrowed and purchased under agreements to resell
$(20,360)$(11,214)
   Change in loans9,933 (26,743)
   Proceeds from sales and securitizations of loans323 596 
   Purchases of investments(111,187)(108,658)
   Proceeds from sales of investments46,049 44,399 
   Proceeds from maturities of investments35,088 29,203 
   Capital expenditures on premises and equipment and capitalized software(830)(460)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
   and repossessed assets
10 2 
   Other, net
40 18 
Net cash used in investing activities of continuing operations$(40,934)$(72,857)
Cash flows from financing activities of continuing operations  
   Dividends paid$(1,356)$(1,365)
   Issuance of preferred stock2,300 1,500 
   Redemption of preferred stock(1,500)(1,500)
   Treasury stock acquired
(1,481)(2,925)
   Stock tendered for payment of withholding taxes(312)(406)
   Change in securities loaned and sold under agreements to repurchase
19,643 55,985 
   Issuance of long-term debt15,516 28,927 
   Payments and redemptions of long-term debt(22,432)(13,081)
   Change in deposits20,304 114,321 
   Change in short-term borrowings2,573 9,902 
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CONSOLIDATED STATEMENT OF CASH FLOWS
(UNAUDITED) (Continued)
Three Months Ended March 31,
In millions of dollars20212020
Net cash provided by financing activities of continuing operations$33,255 $191,358 
Effect of exchange rate changes on cash and due from banks$(452)$(967)
Change in cash, due from banks and deposits with banks15,067 92,001 
Cash, due from banks and deposits with banks at beginning of period309,615 193,919 
Cash, due from banks and deposits with banks at end of period$324,682 $285,920 
Cash and due from banks (including segregated cash and other deposits)$26,204 $23,755 
Deposits with banks, net of allowance298,478 262,165 
Cash, due from banks and deposits with banks at end of period$324,682 $285,920 
Supplemental disclosure of cash flow information for continuing operations  
Cash paid during the period for income taxes$950 $1,441 
Cash paid during the period for interest1,729 5,424 
Non-cash investing activities(1)
 
Transfers to loans HFS (Other assets) from loans
$636 $224 

(1)    Operating and finance lease right-of-use assets and lease liabilities represent non-cash investing and financing activities, respectively, and are not included in the non-cash investing activities presented here. See Note 22 to the Consolidated Financial Statements for more information and balances as of March 31, 2021.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION, UPDATED ACCOUNTING POLICIES AND ACCOUNTING CHANGES

Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of March 31, 2021 and for the three-month periods ended March 31, 2021 and 2020 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, 2020 (2020 Annual Report on Form 10-K).
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 these Consolidated Financial Statements are unaudited.
Throughout these Notes, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Certain reclassifications and updates have been made to the prior periods’ financial statements and notes to conform to the current period’s presentation.

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

See Note 1 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on Form 10-K for a summary of all of Citigroup’s significant accounting policies.


ACCOUNTING CHANGES

Accounting for Financial Instruments—Credit Losses

Overview
In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU introduced a new credit loss methodology, the current expected credit losses (CECL) methodology, which requires earlier recognition of credit losses while also providing additional disclosure about credit risk. Citi adopted the ASU as of January 1, 2020, which, as discussed below, resulted in an increase in Citi’s Allowance for credit losses and a decrease to opening Retained earnings, net of deferred income taxes, at January 1, 2020.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. The ACL is adjusted each period for changes in expected lifetime credit losses. The CECL methodology represents a significant change from prior U.S. GAAP and replaced the prior multiple existing impairment methods, which generally required that a loss be incurred before it was recognized. Within the life cycle of a loan or other financial asset, the methodology generally results in the earlier recognition of the provision for credit losses and the related ACL than prior U.S. GAAP. For available-for-sale debt securities where fair value is less than cost that Citi intends to hold or more-likely-than-not will not be required to sell, credit-related impairment, if any, is recognized through an ACL and adjusted each period for changes in credit risk.

January 1, 2020 CECL Transition (Day 1) Impact
The CECL methodology’s impact on expected credit losses, among other things, reflects Citi’s view of the current state of the economy, forecasted macroeconomic conditions and Citi’s portfolios. At the January 1, 2020 date of adoption, based on forecasts of macroeconomic conditions and exposures at that time, the aggregate impact to Citi was an approximate $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the Allowance for credit losses for Citi’s consumer exposures, primarily driven by the impact on credit card receivables of longer estimated tenors under the CECL lifetime expected credit loss methodology (loss coverage of approximately 23 months) compared to shorter estimated tenors under the probable loss methodology under prior U.S. GAAP (loss coverage of approximately 14 months), net of recoveries; and (ii) a release of $0.8 billion of reserves primarily related to Citi’s corporate net loan loss exposures, largely due to more precise contractual maturities that result in shorter remaining tenors, incorporation of recoveries and use
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of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies.
Under the CECL methodology, the Allowance for credit losses consists of quantitative and qualitative components. Citi’s quantitative component of the Allowance for credit losses is model based and utilizes a single forward-looking macroeconomic forecast, complemented by the qualitative component described below, in estimating expected credit losses and discounts inputs for the corporate classifiably managed portfolios. Reasonable and supportable forecast periods vary by product. For example, Citi’s consumer models use a 13-quarter reasonable and supportable period and revert to historical loss experience thereafter, while its corporate loan models use a nine-quarter reasonable and supportable period followed by a three-quarter graduated transition to historical loss experience.
Citi’s qualitative component of the Allowance for credit losses considers (i) the uncertainty of forward-looking scenarios based on the likelihood and severity of a possible recession as another possible scenario; (ii) certain portfolio characteristics, such as portfolio concentration and collateral coverage; and (iii) model limitations as well as idiosyncratic events. Citi calculates a judgmental management adjustment, which is an alternative, more adverse scenario that only considers downside risk.

Accounting for Variable Post-Charge-Off Third-Party Collection Costs
In the fourth quarter of 2020, Citi revised the 2020 second quarter accounting conclusion for its variable post-charge-off third-party collection costs from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly results for 2020 were revised to reflect this change as if it were effective as of January 1, 2020, as follows:
•An increase to beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million in the allowance for credit losses on loans, as well as a $113 million decrease in other assets related to income taxes.
•A decrease of $18 million to provisions for credit losses on loans in the first quarter and increases of $339 million and $122 million to provisions for credit losses on loans in the second and third quarters, respectively.
•Increases in operating expenses of $49 million and $45 million with a corresponding decrease in net credit losses, in the first and second quarters, respectively.

In making these revisions, Citi considered the guidance in ASC Topic 250, Accounting Changes and Error Corrections; ASC Topic 270, Interim Reporting; ASC Topic 250-S99-1, Assessing Materiality; and ASC Topic 250-S99-23, Accounting Changes Not Retroactively Applied Due to Immateriality, Considering the Effects of Prior Year Misstatements when Quantifying Misstatements in Current Year Financial Statements. Citi believes that the effects of the
revisions were not material to any previously reported quarterly or annual period.

Reference Rate Reform
In March 2020, the FASB issued ASU No. 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. Specifically, the guidance permits an entity, when certain criteria are met, to consider amendments to contracts made to comply with reference rate reform to meet the definition of a modification under U.S. GAAP. It further allows hedge accounting to be maintained and permits a one-time transfer or sale of qualifying held-to-maturity securities. The expedients and exceptions provided by the amendments are permitted to be adopted any time through December 31, 2022 and do not apply to contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for certain optional expedients elected for certain hedging relationships existing as of December 31, 2022. The ASU was adopted by Citi as of June 30, 2020 with prospective application and did not impact financial results in 2020.
In January 2021, the FASB issued ASU No. 2021-01, Reference Rate Reform (Topic 848): Scope, which clarifies that the scope of the initial accounting relief issued by the FASB in March 2020 includes derivative instruments that do not reference a rate that is expected to be discontinued but that use an interest rate for margining, discounting or contract price alignment that is modified as a result of reference rate reform (commonly referred to as the “discounting transition”). The amendments do not apply to contract modifications made after December 31, 2022, new hedging relationships entered into after December 31, 2022 and existing hedging relationships evaluated for effectiveness in periods after December 31, 2022, except for hedging relationships existing as of December 31, 2022, that apply certain optional expedients in which the accounting effects are recorded through the end of the hedging relationship. The ASU was adopted by Citi on a full retrospective basis upon issuance and did not impact financial results in 2020.

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FUTURE ACCOUNTING CHANGES

Long-Duration Insurance Contracts
In August 2018, the FASB issued ASU No. 2018-12, Financial Services—Insurance: Targeted Improvements to the Accounting for Long-Duration Contracts, which changes the existing recognition, measurement, presentation and disclosures for long-duration contracts issued by an insurance entity. Specifically, the guidance (i) improves the timeliness of recognizing changes in the liability for future policy benefits and prescribes the rate used to discount future cash flows for long-duration insurance contracts, (ii) simplifies and improves the accounting for certain market-based options or guarantees associated with deposit (or account balance) contracts, (iii) simplifies the amortization of deferred acquisition costs and (iv) introduces additional quantitative and qualitative disclosures. Citi has certain insurance subsidiaries, primarily in Mexico, that issue long-duration insurance contracts that will be impacted by the requirements of ASU 2018-12.
The effective date of ASU 2018-12 was deferred for all insurance entities by ASU 2019-09, Finance Services—Insurance: Effective Date (issued in October 2019) and by ASU 2020-11, Financial Services—Insurance: Effective Date and Early Application (issued November 2020). Citi plans to adopt the targeted improvements in ASU 2018-12 on January 1, 2023 and is currently evaluating the impact of the standard on its insurance subsidiaries. Citi does not expect a material impact to its results of operations as a result of adopting the standard.
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2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

The Company’s results from Discontinued operations consisted of residual activities related to previously divested operations. All Discontinued operations results are recorded within Corporate/Other.
The following table summarizes financial information for all Discontinued operations:
Three Months Ended March 31,
In millions of dollars20212020
Total revenues, net of interest expense
$— $— 
Loss from discontinued operations(1)
$(2)$(18)
Benefit for income taxes— — 
Income (loss) from discontinued operations, net of taxes$(2)$(18)

(1)Amounts in each period relate to the sale of the Egg Banking business in 2011.

Cash flows from Discontinued operations were not material for the periods presented.
As of March 31, 2021, Citi did not have any definitive sales transactions related to its recently announced intention to pursue exits of its consumer franchises in 13 markets across Asia and EMEA. In addition, Citi did not have any significant disposals to report as of March 31, 2021.
For a description of the Company’s significant disposal transactions in prior periods and financial impact, see Note 2 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.


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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 legacy loan portfolios, discontinued operations and other legacy assets.
Beginning in the first quarter of 2021, Citi changed its allocation for certain recurring expenses that are attributable to the business segments from Corporate/Other to GCB and ICG. These expenses include incremental investments related to risk and controls, technology capabilities and information security initiatives, as well as some incremental spend related to pandemic remediation. This change had no impact to earnings before interest and taxes at the Citi level, and given that these expenses were immaterial, the change is not reflected retrospectively. Citi’s consolidated results remained unchanged for all periods presented.
For additional information regarding Citigroup’s business segments, see Note 3 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
The following table presents certain information regarding the Company’s continuing operations by segment:











Three Months Ended March 31,
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 billions202120202021202020212020March 31,
2021		December 31, 2020
Global Consumer Banking$7,037 $8,174 $658 $(266)$2,174 $(741)$439 $434 
Institutional Clients Group12,220 12,484 1,736 1,044 5,972 3,626 1,776 1,730 
Corporate/Other70 73 (62)(198)(169)(337)99 96 
Total$19,327 $20,731 $2,332 $580 $7,977 $2,548 $2,314 $2,260 
(1)     Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $9.3 billion and $10.2 billion; in EMEA of $3.7 billion and $3.5 billion; in Latin America of $2.1 billion and $2.6 billion; and in Asia of $4.1 billion and $4.4 billion for the three months ended March 31, 2021 and 2020, 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 $(0.2) billion and $4.8 billion; in the ICG results of $(1.8) billion and $2.0 billion; and in the Corporate/Other results of $(0.1) billion and $0.2 billion for the three months ended March 31, 2021 and 2020, respectively.

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4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
Three Months Ended March 31,
In millions of dollars20212020
Interest revenue
Loan interest, including fees$8,909 $11,250 
Deposits with banks145 527 
Securities borrowed and purchased under agreements to resell294 1,208 
Investments, including dividends1,752 2,281 
Trading account assets(1)
1,337 1,590 
Other interest-bearing assets97 283 
Total interest revenue$12,534 $17,139 
Interest expense
Deposits(2)
$1,052 $2,614 
Securities loaned and sold under agreements to repurchase253 1,085 
Trading account liabilities(1)
114 239 
Short-term borrowings and other interest-bearing liabilities31 384 
Long-term debt918 1,325 
Total interest expense$2,368 $5,647 
Net interest revenue$10,166 $11,492 
Provision for credit losses on loans(1,479)6,377 
Net interest revenue after provision for credit losses on loans$11,645 $5,115 
(1)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.
(2)Includes deposit insurance fees and charges of $340 million and $225 million for the three months ended March 31, 2021 and 2020, respectively.


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5.  COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES

For additional information on Citi’s commissions and fees, and administration and other fiduciary fees, see Note 5 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

The following tables present Commissions and fees revenue:
Three Months Ended March 31,
2021
In millions of dollarsICGGCBCorporate/OtherTotal
Investment banking$1,624 $— $— $1,624 
Brokerage commissions615 327 — 942 
Credit- and bank-card income
  Interchange fees158 1,906 — 2,064 
  Card-related loan fees5 177 — 182 
  Card rewards and partner payments(1)
(75)(2,096)— (2,171)
Deposit-related fees(2)
244 85 — 329 
Transactional service fees241 24 — 265 
Corporate finance(3)
158 — — 158 
Insurance distribution revenue5 130 — 135 
Insurance premiums— 20 — 20 
Loan servicing12 7 4 23 
Other41 58 — 99 
Total commissions and fees(4)
$3,028 $638 $4 $3,670 

Three Months Ended March 31,
2020
In millions of dollarsICGGCBCorporate/OtherTotal
Investment banking$1,040 $— $— $1,040 
Brokerage commissions577 249 — 826 
Credit- and bank-card income
  Interchange fees261 1,917 — 2,178 
  Card-related loan fees11 166 — 177 
  Card rewards and partner payments(1)
(149)(2,093)— (2,242)
Deposit-related fees(2)
233 115 — 348 
Transactional service fees227 24 — 251 
Corporate finance(3)
146 — — 146 
Insurance distribution revenue4 125 — 129 
Insurance premiums— 43 — 43 
Loan servicing20 11 8 39 
Other30 56 — 86 
Total commissions and fees(4)
$2,400 $613 $8 $3,021 
(1)Citi’s consumer credit card programs have certain partner-sharing agreements that vary by partner. These agreements are subject to contractually based performance thresholds that, if met, would require Citi to make ongoing payments to the partner. The threshold is based on the profitability of a program and is generally calculated based on predefined program revenues less predefined program expenses. In most of Citi’s partner-sharing agreements, program expenses include net credit losses and, to the extent that the increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions.
(2)Includes overdraft fees of $24 million and $31 million for the three months ended March 31, 2021 and 2020, respectively. Overdraft fees are accounted for under ASC 310.
(3)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
102

(4)Commissions and fees includes $(1,749) million and $(1,802) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended March 31, 2021 and 2020, 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.

The following table presents Administration and other fiduciary fees revenue:
Three Months Ended March 31,
2021
In millions of dollarsICGGCBCorporate/OtherTotal
Custody fees$451 $6 $— $457 
Fiduciary fees192 167 — 359 
Guarantee fees142 2 1 145 
Total administration and other fiduciary fees(1)
$785 $175 $1 $961 
Three Months Ended March 31,
2020
In millions of dollarsICGGCBCorporate/OtherTotal
Custody fees$366 $8 $15 $389 
Fiduciary fees172 156 — 328 
Guarantee fees134 2 1 137 
Total administration and other fiduciary fees(1)
$672 $166 $16 $854 
(1)    Administration and other fiduciary fees includes $145 million and $136 million for the three months ended March 31, 2021 and 2020, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.

103

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 and characterized below based on the primary risk managed by each trading desk. 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 March 31,
In millions of dollars20212020
Interest rate risks(1)
$1,433 $1,838 
Foreign exchange risks(2)
962 1,066 
Equity risks(3)
845 819 
Commodity and other risks(4)
200 395 
Credit products and risks(5)
473 1,143 
Total$3,913 $5,261 
(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.
104

7. INCENTIVE PLANS
For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 2020 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 2020 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 March 31,
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20212020202120202021202020212020
Benefits earned during the period$— $— $39 $37 $— $— $2 $2 
Interest cost on benefit obligation82 106 62 64 3 5 25 24 
Expected return on assets(182)(208)(61)(65)(4)(5)(22)(20)
Amortization of unrecognized:     
Prior service cost (benefit)1 1 (1)(1)(2)— (2)(2)
Net actuarial loss62 56 18 17 — — 5 5 
Total net (benefit) expense$(37)$(45)$57 $52 $(3)$— $8 $9 




105

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:
Three Months Ended March 31, 2021
 Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
Change in projected benefit obligation     
Projected benefit obligation at beginning of year$13,815 $8,629 $559 $1,390 
Plans measured annually(25)(2,248)— (277)
Projected benefit obligation at beginning of year—Significant Plans
$13,790 $6,381 $559 $1,113 
Benefits earned during the period— 23 — 1 
Interest cost on benefit obligation$82 $52 3 22 
Actuarial gain(1)
(849)(428)(31)(123)
Benefits paid, net of participants’ contributions and government subsidy$(216)$(84)(9)(18)
Foreign exchange impact and other— (135)— (28)
Projected benefit obligation at period end—Significant Plans$12,807 $5,809 $522 $967 
Change in plan assets    
Plan assets at fair value at beginning of year$13,309 $7,831 $331 $1,146 
Plans measured annually— (1,500)— (8)
Plan assets at fair value at beginning of year—Significant Plans
$13,309 $6,331 $331 $1,138 
Actual return on plan assets(232)(230)(4)4 
Company contributions, net of reimbursements13 18 5 — 
Benefits paid, net of participants’ contributions and government subsidy(216)(84)(9)(18)
Foreign exchange impact and other— (108)— (30)
Plan assets at fair value at period end—Significant Plans
$12,874 $5,927 $323 $1,094 
Funded status of the Significant Plans
Qualified plans(2)
$730 $118 $(199)$127 
Nonqualified plans(3)
(663)— — — 
Funded status of the plans at period end—Significant Plans
$67 $118 $(199)$127 
Net amount recognized at period end    
Benefit asset$730 $705 $— $127 
Benefit liability(663)(587)(199)— 
Net amount recognized on the balance sheet—Significant Plans
$67 $118 $(199)$127 
Amounts recognized in AOCI at period end
   
Prior service benefit $— $1 $99 $55 
Net actuarial (loss) gain(6,627)(1,043)78 (221)
Net amount recognized in equity (pretax)—Significant Plans
$(6,627)$(1,042)$177 $(166)
Accumulated benefit obligation at period end—Significant Plans
$12,804 $5,211 $522 $967 
(1)During 2021, the actuarial gain is primarily due to the increase in global discount rates.
(2)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 2021 and no minimum required funding is expected for 2021.
(3)The nonqualified plans of the Company are unfunded.

106

The following table shows the change in AOCI related to the Company’s pension, postretirement and post-employment plans:
In millions of dollarsThree Months Ended March 31, 2021For Year Ended December 31, 2020
Beginning of period balance, net of tax(1)(2)
$(6,864)$(6,809)
Actuarial assumptions changes and plan experience1,430 (1,464)
Net asset (loss) gain due to difference between actual and expected returns(718)1,076 
Net amortization81 318 
Prior service credit— 108 
Curtailment/settlement loss(3)
— (8)
Foreign exchange impact and other114 (108)
Change in deferred taxes, net(193)23 
Change, net of tax$714 $(55)
End of period balance, net of tax(1)(2)
$(6,150)$(6,864)

(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.

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 periodThree Months Ended
Mar. 31, 2021Dec. 31, 2020
U.S. plans
Qualified pension2.45 %2.55 %
Nonqualified pension2.35 2.50 
Postretirement2.20 2.35 
Non-U.S. plans  
Pension
0.05-8.15
0.05-8.55
Weighted average3.60 3.74 
Postretirement8.55 9.00 

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 endedMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
U.S. plans
Qualified pension3.10 %2.45 %3.20 %
Nonqualified pension3.00 2.35 3.25 
Postretirement2.85 2.20 3.20 
Non-U.S. plans   
Pension
0.25-9.30
0.05-8.15
0.45-9.45
Weighted average3.59 3.60 4.38 
Postretirement9.70 8.55 9.75 






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 March 31, 2021
In millions of dollarsOne-percentage-point increaseOne-percentage-point decrease
Pension
   U.S. plans$9 $(15)
   Non-U.S. plans— 5 
Postretirement
   U.S. plans— (1)
   Non-U.S. plans(3)3 



















107

Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first three months of 2021.
The following table summarizes the Company’s actual contributions for the three months ended March 31, 2021 and 2020, as well as expected Company contributions for the remainder of 2021 and the actual contributions made in 2020:
 Pension plans Postretirement plans 
 
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20212020202120202021202020212020
Company contributions(2) for the three months ended
March 31
$14 $14 $37 $37 $5 $— $2 $2 
Company contributions (reimbursements) made during the
remainder of the year		— 42 — 121 — (15)— 7 
Company contributions expected to be made during
the remainder of the year		43 — 114 — 5 — 6 — 

(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 March 31,
In millions of dollars20212020
U.S. plans$105 $101 
Non-U.S. plans92 76 

Post Employment Plans
The following table summarizes the net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:
Three Months Ended March 31,
In millions of dollars20212020
Non-service-related expense$5 $5 
Total net expense $5 $5 











108

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 March 31,
In millions of dollars, except per share amounts20212020
Earnings per common share
Income from continuing operations before attribution of noncontrolling interests$7,977 $2,548 
Less: Noncontrolling interests from continuing operations33 (6)
Net income from continuing operations (for EPS purposes)$7,944 $2,554 
Loss from discontinued operations, net of taxes(2)(18)
Citigroup’s net income$7,942 $2,536 
Less: Preferred dividends(1)
292 291 
Net income available to common shareholders$7,650 $2,245 
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS66 21 
Net income allocated to common shareholders for basic EPS$7,584 $2,224 
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,082.0 2,097.9 
Basic earnings per share(2)
Income from continuing operations$3.64 $1.07 
Discontinued operations— (0.01)
Net income per share—basic$3.64 $1.06 
Diluted earnings per share
Net income allocated to common shareholders for basic EPS$7,584 $2,224 
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable7 7 
Net income allocated to common shareholders for diluted EPS$7,591 $2,231 
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,082.0 2,097.9 
Effect of dilutive securities
   Options(3)
0.1 0.1 
   Other employee plans14.5 15.7 
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4)
2,096.6 2,113.7 
Diluted earnings per share(2)
  
Income from continuing operations$3.62 $1.06 
Discontinued operations— (0.01)
Net income per share—diluted$3.62 $1.06 
(1)On April 1, 2021, Citi declared preferred dividends of approximately $253 million for the second quarter of 2021. During the first quarter of 2021, Citi redeemed all of its 41.4 million Series S preferred shares for $1.035 billion and 465,000 shares of its Series R preferred shares for $465 million; in February, Citi also issued 2.3 million of Series X preferred shares for $2.3 billion. On April 16, 2021, Citi announced that it will be redeeming all of its 1.25 million Series Q preferred shares for $1.25 billion and 1.035 million shares of its Series R preferred shares for $1.035 billion. As of May 5, 2021, Citi estimates it will distribute preferred dividends of approximately $266 million and $228 million in the third and fourth quarters of 2021, respectively, subject to such dividends being declared by the Citi Board of Directors.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
(3)    During the first quarter of 2021 and 2020, no significant options to purchase shares of common stock were outstanding.
(4)    Due to rounding, weighted-average common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to weighted-average common shares outstanding applicable to diluted EPS.

109

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 2020 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 dollarsMarch 31,
2021		December 31, 2020
Securities purchased under agreements to resell$220,276 $204,655 
Deposits paid for securities borrowed94,801 90,067 
Total, net(1)
$315,077 $294,722 
Allowance for credit losses on securities purchased and borrowed(2)
(5)(10)
Total, net of allowance$315,072 $294,712 

Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:
In millions of dollarsMarch 31,
2021		December 31, 2020
Securities sold under agreements to repurchase$198,029 $181,194 
Deposits received for securities loaned21,139 18,331 
Total, net(1)
$219,168 $199,525 

(1)    The above tables do not include securities-for-securities lending transactions of $2.7 billion and $6.8 billion at March 31, 2021 and December 31, 2020, 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.
(2)     See Note 14 to the Consolidated Financial Statements for further information.

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 amounts 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 has 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 March 31, 2021
In millions of dollarsGross 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$336,164 $115,888 $220,276 $184,850 $35,426 
Deposits paid for securities borrowed106,008 11,207 94,801 20,754 74,047 
Total$442,172 $127,095 $315,077 $205,604 $109,473 
110

In millions of dollarsGross 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$313,917 $115,888 $198,029 $102,256 $95,773 
Deposits received for securities loaned32,346 11,207 21,139 11,085 10,054 
Total$346,263 $127,095 $219,168 $113,341 $105,827 
 As of December 31, 2020
In millions of dollarsGross 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$362,025 $157,370 $204,655 $159,232 $45,423 
Deposits paid for securities borrowed96,425 6,358 90,067 13,474 76,593 
Total$458,450 $163,728 $294,722 $172,706 $122,016 
In millions of dollarsGross 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$338,564 $157,370 $181,194 $95,563 $85,631 
Deposits received for securities loaned24,689 6,358 18,331 7,982 10,349 
Total$363,253 $163,728 $199,525 $103,545 $95,980 
(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 amounts of liabilities associated with repurchase agreements and securities lending agreements by remaining contractual maturity:
As of March 31, 2021
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$154,646 $74,302 $39,859 $45,110 $313,917 
Deposits received for securities loaned22,498 1,265 2,730 5,853 32,346 
Total$177,144 $75,567 $42,589 $50,963 $346,263 

As of December 31, 2020
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$160,754 $98,226 $41,679 $37,905 $338,564 
Deposits received for securities loaned17,038 3 2,770 4,878 24,689 
Total$177,792 $98,229 $44,449 $42,783 $363,253 
111

The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by class of underlying collateral:
As of March 31, 2021
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$106,286 $— $106,286 
State and municipal securities636 — 636 
Foreign government securities118,501 1,909 120,410 
Corporate bonds21,778 148 21,926 
Equity securities22,651 30,136 52,787 
Mortgage-backed securities36,336 — 36,336 
Asset-backed securities2,501 — 2,501 
Other5,228 153 5,381 
Total$313,917 $32,346 $346,263 

As of December 31, 2020
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$112,437 $— $112,437 
State and municipal securities664 2 666 
Foreign government securities130,017 194 130,211 
Corporate bonds20,149 78 20,227 
Equity securities21,497 24,149 45,646 
Mortgage-backed securities45,566 — 45,566 
Asset-backed securities3,307 — 3,307 
Other4,927 266 5,193 
Total$338,564 $24,689 $363,253 

112

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 2020 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
In millions of dollarsMarch 31,
2021		December 31, 2020
Receivables from customers$25,661 $18,097 
Receivables from brokers, dealers and clearing organizations34,804 26,709 
Total brokerage receivables(1)
$60,465 $44,806 
Payables to customers$45,065 $39,319 
Payables to brokers, dealers and clearing organizations15,842 11,165 
Total brokerage payables(1)
$60,907 $50,484 

(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.
113

12.  INVESTMENTS

For additional information regarding Citi’s investment portfolios, including evaluating investments for impairment, see Note 13 to the Consolidated Financial Statements
in Citi’s 2020 Annual Report on Form 10-K.





The following table presents Citi’s investments by category:
In millions of dollarsMarch 31,
2021		December 31, 2020
Debt securities available-for-sale (AFS)$304,036 $335,084 
Debt securities held-to-maturity (HTM)(1)
161,742 104,943 
Marketable equity securities carried at fair value(2)
249 515 
Non-marketable equity securities carried at fair value(2)
535 551 
Non-marketable equity securities measured using the measurement alternative(3)
1,079 962 
Non-marketable equity securities carried at cost(4)
5,318 5,304 
Total investments$472,959 $447,359 

(1)Carried at adjusted amortized cost basis, net of any ACL.
(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. See ”Non-Marketable Equity Securities Not Carried at Fair Value” below.
(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 March 31,
In millions of dollars20212020
Taxable interest$1,652 $2,179 
Interest exempt from U.S. federal income tax66 76 
Dividend income34 26 
Total interest and dividend income on investments$1,752 $2,281 


The following table presents realized gains and losses on the sales of investments, which exclude impairment losses:
Three Months Ended March 31,
In millions of dollars20212020
Gross realized investment gains$460 $461 
Gross realized investment losses(59)(29)
Net realized gains on sales of investments$401 $432 



114

Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
 March 31, 2021December 31, 2020
In millions of dollarsAmortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value		Amortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value
Debt securities AFS        
Mortgage-backed securities(1)
        
U.S. government-sponsored agency guaranteed$42,058 $894 $249 $— $42,703 $42,836 $1,134 $52 $— $43,918 
Non-U.S. residential435 2 — — 437 568 3 — — 571 
Commercial44 1 — — 45 49 1 — — 50 
Total mortgage-backed securities$42,537 $897 $249 $— $43,185 $43,453 $1,138 $52 $— $44,539 
U.S. Treasury and federal agency securities     
U.S. Treasury$121,573 $1,532 $455 $— $122,650 $144,094 $2,108 $49 $— $146,153 
Agency obligations50 — — — 50 50 1 — — 51 
Total U.S. Treasury and federal agency securities$121,623 $1,532 $455 $— $122,700 $144,144 $2,109 $49 $— $146,204 
State and municipal$3,283 $87 $119 $— $3,251 $3,753 $123 $157 $— $3,719 
Foreign government119,126 979 491 — 119,614 123,467 1,623 122 — 124,968 
Corporate10,274 97 118 5 10,248 10,444 152 91 5 10,500 
Asset-backed securities(1)
272 2 — — 274 277 5 4 — 278 
Other debt securities4,758 6 — — 4,764 4,871 5 — — 4,876 
Total debt securities AFS$301,873 $3,600 $1,432 $5 $304,036 $330,409 $5,155 $475 $5 $335,084 
(1)The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. 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.

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The following table shows the fair value of AFS debt securities that have been in an unrealized loss position:
 Less than 12 months12 months or longerTotal
In millions of dollarsFair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses
March 31, 2021      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$17,053 $227 $262 $22 $17,315 $249 
Non-U.S. residential15 — 1 — 16 — 
Commercial1 — — — 1 — 
Total mortgage-backed securities$17,069 $227 $263 $22 $17,332 $249 
U.S. Treasury$40,386 $455 $— $— $40,386 $455 
State and municipal191 5 1,215 114 1,406 119 
Foreign government46,138 389 4,629 102 50,767 491 
Corporate3,017 116 39 2 3,056 118 
Asset-backed securities3 — — — 3 — 
Other debt securities1,079 — — — 1,079 — 
Total debt securities AFS$107,883 $1,192 $6,146 $240 $114,029 $1,432 
December 31, 2020      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$3,588 $30 $298 $22 $3,886 $52 
Non-U.S. residential1 — — — 1 — 
Commercial7 — 4 — 11 — 
Total mortgage-backed securities$3,596 $30 $302 $22 $3,898 $52 
U.S. Treasury and federal agency securities     
U.S. Treasury$25,031 $49 $— $— $25,031 $49 
Agency obligations50 — — — 50 — 
Total U.S. Treasury and federal agency securities$25,081 $49 $— $— $25,081 $49 
State and municipal$836 $34 $893 $123 $1,729 $157 
Foreign government29,344 61 3,502 61 32,846 122 
Corporate1,083 90 24 1 1,107 91 
Asset-backed securities194 3 39 1 233 4 
Other debt securities182 — — — 182 — 
Total debt securities AFS$60,316 $267 $4,760 $208 $65,076 $475 



116

The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
 March 31, 2021December 31, 2020
In millions of dollarsAmortized
cost		Fair
value		Amortized
cost		Fair
value
Mortgage-backed securities(1)
  
Due within 1 year$70 $70 $27 $27 
After 1 but within 5 years387 389 567 571 
After 5 but within 10 years819 876 688 757 
After 10 years(2)
41,261 41,850 42,171 43,184 
Total$42,537 $43,185 $43,453 $44,539 
U.S. Treasury and federal agency securities    
Due within 1 year$29,917 $30,048 $34,834 $34,951 
After 1 but within 5 years90,482 91,455 108,160 110,091 
After 5 but within 10 years1,222 1,195 1,150 1,162 
After 10 years(2)
2 2 — — 
Total$121,623 $122,700 $144,144 $146,204 
State and municipal    
Due within 1 year$408 $408 $427 $428 
After 1 but within 5 years117 118 189 198 
After 5 but within 10 years240 239 276 267 
After 10 years(2)
2,518 2,486 2,861 2,826 
Total$3,283 $3,251 $3,753 $3,719 
Foreign government    
Due within 1 year$48,334 $48,426 $48,133 $48,258 
After 1 but within 5 years63,516 63,789 67,365 68,586 
After 5 but within 10 years5,562 5,599 5,908 6,011 
After 10 years(2)
1,714 1,800 2,061 2,113 
Total$119,126 $119,614 $123,467 $124,968 
All other(3)
    
Due within 1 year$6,332 $6,338 $6,661 $6,665 
After 1 but within 5 years7,886 7,898 7,814 7,891 
After 5 but within 10 years992 979 1,018 1,034 
After 10 years(2)
94 71 99 64 
Total$15,304 $15,286 $15,592 $15,654 
Total debt securities AFS$301,873 $304,036 $330,409 $335,084 
(1)Includes mortgage-backed securities of U.S. government-sponsored agencies. The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions.
(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.


117

Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM were as follows:
In millions of dollars
Amortized
cost, net(1)
Gross
unrealized
gains		Gross
unrealized
losses		Fair
value
March 31, 2021    
Debt securities HTM    
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed$63,783 $1,643 $718 $64,708 
Non-U.S. residential1,107 3 1 1,109 
Commercial887 2 1 888 
Total mortgage-backed securities$65,777 $1,648 $720 $66,705 
U.S. Treasury securities$58,380 $— $925 $57,455 
State and municipal(3)
9,446 631 17 10,060 
Foreign government1,877 45 8 1,914 
Asset-backed securities(2)
26,262 10 31 26,241 
Total debt securities HTM, net$161,742 $2,334 $1,701 $162,375 
December 31, 2020    
Debt securities HTM   
Mortgage-backed securities(2)
    
U.S. government-sponsored agency guaranteed$49,004 $2,162 $15 $51,151 
Non-U.S. residential1,124 3 1 1,126 
Commercial825 1 1 825 
Total mortgage-backed securities$50,953 $2,166 $17 $53,102 
U.S. Treasury securities(4)
$21,293 $4 $55 $21,242 
State and municipal9,185 755 11 9,929 
Foreign government1,931 91 — 2,022 
Asset-backed securities(2)
21,581 6 92 21,495 
Total debt securities HTM, net$104,943 $3,022 $175 $107,790 
(1)Amortized cost is reported net of ACL of $78 million and $86 million at March 31, 2021 and December 31, 2020, respectively.
(2)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.
(3)In February 2021, Citibank transferred $237 million of state and municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized gain position of $14 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities.
(4)In August 2020, Citibank transferred $13.1 billion of investments in U.S. Treasury securities from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized gain position of $144 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities.


118

The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
 March 31, 2021December 31, 2020
In millions of dollars
Amortized cost(1)
Fair value
Amortized cost(1)
Fair value
Mortgage-backed securities    
Due within 1 year$244 $399 $81 $81 
After 1 but within 5 years596 626 463 477 
After 5 but within 10 years1,641 1,749 1,699 1,873 
After 10 years(2)
63,296 63,931 48,710 50,671 
Total$65,777 $66,705 $50,953 $53,102 
U.S. Treasury securities
Due within 1 year$— $— $— $— 
After 1 but within 5 years28,176 27,697 18,955 19,127 
After 5 but within 10 years30,204 29,758 2,338 2,115 
After 10 years(2)
— — — — 
Total$58,380 $57,455 $21,293 $21,242 
State and municipal    
Due within 1 year$8 $7 $6 $6 
After 1 but within 5 years172 176 139 142 
After 5 but within 10 years848 887 818 869 
After 10 years(2)
8,418 8,990 8,222 8,912 
Total$9,446 $10,060 $9,185 $9,929 
Foreign government    
Due within 1 year$352 $349 $361 $360 
After 1 but within 5 years1,525 1,565 1,570 1,662 
After 5 but within 10 years— — — — 
After 10 years(2)
— — — — 
Total$1,877 $1,914 $1,931 $2,022 
All other(3)
  
Due within 1 year$— $— $— $— 
After 1 but within 5 years— — — — 
After 5 but within 10 years13,973 13,956 11,795 15,020 
After 10 years(2)
12,289 12,285 9,786 6,475 
Total$26,262 $26,241 $21,581 $21,495 
Total debt securities HTM$161,742 $162,375 $104,943 $107,790 
(1)Amortized cost is reported net of ACL of $78 million and $86 million at March 31, 2021 and December 31, 2020, respectively.
(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 and asset-backed securities.

HTM Debt Securities Delinquency and Non-Accrual Details
Citi did not have any HTM securities that were delinquent or on non-accrual status at March 31, 2021 and December 31, 2020.

There were no purchased credit-deteriorated HTM debt securities held by the Company as of March 31, 2021 and December 31, 2020.



119

Evaluating Investments for Impairment

AFS Debt Securities

Overview—AFS Debt Securities
The Company conducts periodic reviews of all AFS debt securities with unrealized losses to evaluate whether the impairment resulted from expected credit losses or from other factors and to evaluate the Company’s intent to sell such securities.
An AFS debt security is impaired when the current fair value of an individual AFS debt security is less than its amortized cost basis.
The Company recognizes the entire difference between amortized cost basis and fair value in earnings for impaired AFS debt securities that Citi has an intent to sell or for which Citi believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those AFS 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 by recording an allowance for credit losses. Any remaining fair value decline for such securities is recorded in AOCI. The Company does not consider the length of time that the fair value of a security is below its amortized cost when determining if a credit loss exists.
For AFS debt securities, credit losses exist where Citi does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security. The allowance for credit losses is limited to the amount by which the AFS debt security’s amortized cost basis exceeds its fair value. The allowance is increased or decreased if credit conditions subsequently worsen or improve. Reversals of credit losses are recognized in earnings.
The Company’s review for impairment of AFS debt securities generally entails:

•identification and evaluation of impaired investments;
•consideration of evidential matter, including an evaluation of factors or triggers that could cause individual positions to qualify as credit impaired and those that would not support credit impairment; and
•documentation of the results of these analyses, as required under business policies.

The sections below describe the Company’s process for identifying expected credit impairments for debt security types that have the most significant unrealized losses as of March 31, 2021.

Mortgage-Backed Securities
Citi records no allowances for credit losses on U.S. government-agency-guaranteed mortgage-backed securities, because the Company expects to incur no credit losses in the event of default due to a history of incurring no credit losses and due to the nature of the counterparties.

State and Municipal Securities
The process for estimating credit losses in Citigroup’s AFS state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. Citi 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 Aa2/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 AFS state and municipal bonds with unrealized losses that Citi plans to sell, or would more-likely-than-not be required to sell, the full impairment is recognized in earnings. For AFS state and municipal bonds where Citi has no intent to sell and it is more-likely-than-not that the Company will not be required to sell, Citi records an allowance for expected credit losses for the amount it expects not to collect, capped at the difference between the bond’s amortized cost basis and fair value.

Equity Method Investments
Management assesses equity method investments that have fair values that are less than their respective carrying values for other-than-temporary impairment (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 more-likely-than-not be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized as OTTI in Other revenue 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 more-likely-than-not 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.
120

Recognition and Measurement of Impairment
The following table presents total impairment on Investments recognized in earnings:
Three Months Ended
March 31, 2021		Three Months Ended
March 31, 2020
In millions of dollarsAFSOther
assets		TotalAFSOther assetsTotal
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:   
Total impairment 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 more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise 69 — 69 52 — 52 
Total impairment losses recognized in earnings$69 $— $69 $52 $— $52 

Allowance for Credit Losses on AFS Debt Securities
Three Months Ended March 31, 2021
In millions of dollarsForeign governmentCorporateTotal AFS
Allowance for credit losses at beginning of period$— $5 $5 
Less: Write-offs— — — 
Recoveries of amounts written-off— — — 
Net credit losses (NCLs)$— $— $— 
NCLs$— $— $— 
Credit losses on securities without previous credit losses— — — 
Net reserve builds (releases) on securities with previous credit losses— — — 
Total provision for credit losses$— $— $— 
Initial allowance on newly purchased credit-deteriorated securities during the period— — — 
Allowance for credit losses at end of period$— $5 $5 

Citi did not have an allowance for credit losses on AFS debt securities at March 31, 2020.



121

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.
Below is the carrying value of non-marketable equity securities measured using the measurement alternative at March 31, 2021 and December 31, 2020:
In millions of dollarsMarch 31, 2021December 31, 2020
Measurement alternative:
Carrying value$1,079 $962 


Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:
Three Months Ended
March 31,
In millions of dollars20212020
Measurement alternative(1):
Impairment losses$— $3 
Downward changes for observable prices— — 
Upward changes for observable prices81 25 

(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 dollarsMarch 31, 2021
Measurement alternative:
Impairment losses$68 
Downward changes for observable prices53 
Upward changes for observable prices567 

A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three months ended March 31, 2021 and 2020, 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 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.




122

Fair valueUnfunded
commitments		Redemption frequency
(if currently eligible)
monthly, quarterly, annually		Redemption 
notice
period
In millions of dollarsMarch 31,
2021		December 31, 2020March 31,
2021		December 31, 2020
Private equity funds(1)(2)
$116 $123 $60 $62 ——
Real estate funds(2)(3)
4 9 2 20 ——
Mutual/collective investment funds19 20 — — ——
Total$139 $152 $62 $82 ——
(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.
123

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 1 to the Consolidated Financial Statements and Notes 1 and 14 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

Consumer Loans
Consumer loans represent loans and leases managed primarily by GCB and Corporate/Other.

Consumer Loans, Delinquencies and Non-Accrual Status at March 31, 2021
In millions of dollars
Total
current(1)(2)
30–89 
days past
 due(3)(4)
≥ 90 days
past
 due(3)(4)
Past due
government
guaranteed(5)
Total loansNon-accrual loans for which there is no ACLLNon-accrual loans for which there is an ACLLTotal
non-accrual		90 days 
past due
and accruing
In North America offices(6)
        
Residential first mortgages(7)
$44,638 $272 $344 $485 $45,739 $128 $460 $588 $325 
Home equity loans(8)(9)
6,391 61 186 — 6,638 69 268 337 — 
Credit cards118,870 997 1,181 — 121,048 — — — 1,181 
Personal, small business and other4,565 25 10 — 4,600 2 34 36 — 
Total$174,464 $1,355 $1,721 $485 $178,025 $199 $762 $961 $1,506 
In offices outside North America(6)
      
Residential first mortgages(7)
$39,426 $205 $202 $— $39,833 $— $479 $479 $— 
Credit cards20,397 344 396 — 21,137 — 281 281 269 
Personal, small business and other34,669 237 133 — 35,039 — 263 263 — 
Total$94,492 $786 $731 $— $96,009 $— $1,023 $1,023 $269 
Total Citigroup(10)
$268,956 $2,141 $2,452 $485 $274,034 $199 $1,785 $1,984 $1,775 
(1)Loans less than 30 days past due are presented as current.
(2)Includes $15 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification. Most modified loans in North America would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020 and began to age at that time.
(5)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.4 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $700 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
124

Interest Income Recognized for Non-Accrual Consumer Loans
Interest income
In millions of dollarsThree Months Ended March 31, 2021Three Months Ended March 31, 2020
In North America offices(1)
Residential first mortgages$3 $3 
Home equity loans2 2 
Credit cards— — 
Personal, small business and other— — 
Total$5 $5 
In offices outside North America(1)
Residential first mortgages$— $— 
Credit cards— — 
Personal, small business and other— — 
Total$— $— 
Total Citigroup$5 $5 

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

Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2020
In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)(4)
≥ 90 days
past due(3)(4)
Past due
government
guaranteed(5)
Total
loans		Non-accrual loans for which there is no ACLLNon-accrual loans for which there is an ACLLTotal
non-accrual		90 days 
past due
and accruing
In North America offices(6)
       
Residential first mortgages(7)
$46,471 $402 $381 $524 $47,778 $136 $509 $645 $332 
Home equity loans(8)(9)
6,829 78 221 — 7,128 72 307 379 — 
Credit cards127,827 1,228 1,330 — 130,385 — — — 1,330 
Personal, small business and other4,472 27 10 — 4,509 2 33 35 — 
Total$185,599 $1,735 $1,942 $524 $189,800 $210 $849 $1,059 $1,662 
In offices outside North America(6)
       
Residential first mortgages(7)
$39,557 $213 $199 $— $39,969 $— $486 $486 $— 
Credit cards21,718 429 545 — 22,692 — 384 384 376 
Personal, small business and other35,925 319 134 — 36,378 — 212 212 — 
Total$97,200 $961 $878 $— $99,039 $— $1,082 $1,082 $376 
Total Citigroup(10)
$282,799 $2,696 $2,820 $524 $288,839 $210 $1,931 $2,141 $2,038 
(1)Loans less than 30 days past due are presented as current.
(2)Includes $14 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification, and thus almost all would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer).
(5)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.2 billion and 90 days or more past due of $0.3 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $749 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.

During the three months ended March 31, 2021 and 2020, the Company sold and/or reclassified to HFS $96 million and $24 million, respectively, of consumer loans.
125

Consumer Credit Scores (FICO)
The following tables provide details on the Fair Isaac Corporation (FICO) scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables by year of origination. 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)
March 31, 2021
In millions of dollarsLess than
680		680
to 760		Greater
than 760		FICO not availableTotal loans
Residential first mortgages
2021$21 $730 $1,650 
2020195 3,418 8,962 
2019131 1,639 4,700 
2018233 547 1,089 
2017286 740 1,612 
Prior1,905 4,880 11,365 
Total residential first mortgages$2,771 $11,954 $29,378 $1,636 $45,739 
Credit cards(3)
$22,931 $49,139 $46,084 $2,364 $120,518 
Home equity loans (pre-reset)$272 $929 $1,568 
Home equity loans (post-reset)965 1,439 1,455 
Total home equity loans$1,237 $2,368 $3,023 $10 $6,638 
Installment and other
2021$1 $6 $13 
202026 65 112 
201970 90 114 
201867 66 70 
201720 21 23 
   Prior201 374 501 
Personal, small business and other$385 $622 $833 $2,760 $4,600 
Total$27,324 $64,083 $79,318 $6,770 $177,495 

126

FICO score distribution in U.S. portfolio(1)(2)
December 31, 2020
In millions of dollarsLess than
680		680
to 760		Greater
than 760		FICO not availableTotal
loans
Residential first mortgages
2020$187 $3,741 $9,052 
20191501,8575,384
20182466551,227
20172988461,829
20163231,3683,799
Prior1,7084,1339,105
Total residential first mortgages$2,912 $12,600 $30,396 $1,870 $47,778 
Credit cards(3)
$26,227 $52,778 $49,767 $1,041 $129,813 
Home equity loans (pre-reset)$292 $1,014 $1,657 
Home equity loans (post-reset)1,055 1,569 1,524 
Total home equity loans$1,347 $2,583 $3,181 $17 $7,128 
Installment and other
2020$23 $58 $95 
201979 106 134 
201882 80 84 
201726 27 30 
201610 9 8 
Prior214 393 529 
Personal, small business and other$434 $673 $880 $2,522 $4,509 
Total$30,920 $68,634 $84,224 $5,450 $189,228 
(1)The FICO bands in the tables are consistent with general industry peer presentations.
(2)FICO scores are updated on either a monthly or quarterly basis. For updates that are made only quarterly, certain current-period loans by year of origination are greater than those disclosed in the prior periods. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become available.
(3)Excludes $530 million and $572 million of balances related to Canada for March 31, 2021 and December 31, 2020, respectively.
127

Loan to Value (LTV) Ratios
The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios by year of origination. 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. portfolioMarch 31, 2021
In millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%		LTV not availableTotal
Residential first mortgages
2021$1,958 $443 $— 
202011,401 1,184 — 
20196,093 377 3 
20181,474 392 8 
20172,449 192 3 
Prior18,084 98 17 
Total residential first mortgages$41,459 $2,686 $31 $1,563 $45,739 
Home equity loans (pre-reset)$2,684 $50 $15 
Home equity loans (post-reset)3,586 211 45 
Total home equity loans$6,270 $261 $60 $47 $6,638 
Total$47,729 $2,947 $91 $1,610 $52,377 
LTV distribution in U.S. portfolioDecember 31, 2020
In millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%		LTV not availableTotal
Residential first mortgages
   2020$11,447 $1,543 $— 
   20197,029 376 2 
   20181,617 507 11 
   20172,711 269 4 
   20165,423 84 2 
   Prior14,966 66 16 
Total residential first mortgages$43,193 $2,845 $35 $1,705 $47,778 
Home equity loans (pre-reset)$2,876 $50 $16 
Home equity loans (post-reset)3,782 290 58 
Total home equity loans$6,658 $340 $74 $56 $7,128 
Total$49,851 $3,185 $109 $1,761 $54,906 


128

Impaired Consumer Loans
The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
Three Months Ended 
 
March 31,
 Balance at March 31, 202120212020
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)
Mortgage and real estate     
Residential first mortgages$1,708 $1,850 $144 $1,695 $21 $14 
Home equity loans457 645 45 498 3 3 
Credit cards1,992 2,593 844 1,946 35 26 
Personal, small business and other576 577 181 502 12 15 
Total$4,733 $5,665 $1,214 $4,641 $71 $58 
(1)
 Balance at December 31, 2020
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$1,787 $1,962 $157 $1,661 
Home equity loans478 651 60 527 
Credit cards1,982 2,135 918 1,926 
Personal, small business and other552 552 210 463 
Total$4,799 $5,300 $1,345 $4,577 
(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)For March 31, 2021, $209 million of residential first mortgages and $136 million of home equity loans do not have a specific allowance. For December 31, 2020, $211 million of residential first mortgages and $147 million of home equity loans do not have a specific allowance.
(3)Included in the Allowance for credit losses on loans.
(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 accrual and cash basis.



129

Consumer Troubled Debt Restructurings(1)
 
For the Three Months Ended March 31, 2021(1)
In millions of dollars, except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(2)(3)
Deferred
principal(4)
Contingent
principal
forgiveness(5)
Principal
forgiveness(6)
Average
interest rate
reduction
North America      
Residential first mortgages331 $57 $— $— $— — %
Home equity loans50 4 — — — — 
Credit cards59,046 300 — — — 17 
Personal, small business and other461 7 — — — 4 
Total(7)
59,888 $368 $— $— $— 
International
Residential first mortgages467 $24 $— $— $— 1 %
Credit cards24,599 102 — — 7 15 
Personal, small business and other7,537 57 — — 2 11 
Total(7)
32,603 $183 $— $— $9 

 
For the Three Months Ended March 31, 2020(1)
In millions of dollars, except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(2)(8)
Deferred
principal(4)
Contingent
principal
forgiveness(5)
Principal
forgiveness(6)
Average
interest rate
reduction
North America      
Residential first mortgages277 $44 $— $— $— — %
Home equity loans82 8 — — — 2 
Credit cards67,282 305 — — — 17 
Personal, small business and other433 4 — — — 6 
Total(7)
68,074 $361 $— $— $—  
International      
Residential first mortgages536 $14 $— $— $— 5 %
Credit cards19,315 73 — — 3 16 
Personal, small business and other7,654 52 — — 2 11 
Total(7)
27,505 $139 $— $— $5  

(1)The above tables do not include loan modifications that meet the TDR relief criteria in the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) or the interagency guidance.
(2)Post-modification balances include past-due amounts that are capitalized at the modification date.
(3)Post-modification balances in North America include $3 million of residential first mortgages and $0.1 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31, 2021. These amounts include $1 million of residential first mortgages and $0.1 million of home equity loans that were newly classified as TDRs in the three months ended March 31, 2021, based on previously received OCC guidance.
(4)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.
(5)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(6)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(7)    The above tables reflect activity for restructured loans that were considered TDRs during the reporting period.
(8)    Post-modification balances in North America include $4 million of residential first mortgages and $1 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31, 2020. 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 March 31, 2020, based on previously received OCC guidance.



130

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.
Three Months Ended March 31,
In millions of dollars20212020
North America
Residential first mortgages$18 $14 
Home equity loans4 2 
Credit cards63 90 
Personal, small business and other1 1 
Total$86 $107 
International
Residential first mortgages$12 $6 
Credit cards52 33 
Personal, small business and other23 17 
Total$87 $56 

Purchased Credit-Deteriorated Assets
Three Months Ended March 31, 2021Three Months Ended December 31, 2020Three Months Ended March 31, 2020
In millions of dollarsCredit
cards
Mortgages(1)
Installment
and other		Credit
cards
Mortgages(1)
Installment
and other		Credit
cards
Mortgages(1)
Installment
and other
Purchase price $— $3 $— $— $12 $— $4 $9 $— 
Allowance for credit losses at acquisition date— — — — — — 4 — — 
Discount or premium attributable to non-credit factors— — — — — — — — — 
Par value (amortized cost basis)$— $3 $— $— $12 $— $8 $9 $— 

(1)    Includes loans sold to agencies that were bought back at par due to repurchase agreements.


131

Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents information by corporate loan type:
In millions of dollarsMarch 31,
2021		December 31,
2020
In North America offices(1)
  
Commercial and industrial$55,497 $57,731 
Financial institutions57,009 55,809 
Mortgage and real estate(2)
60,976 60,675 
Installment and other29,186 26,744 
Lease financing539 673 
Total$203,207 $201,632 
In offices outside North America(1)
  
Commercial and industrial$102,666 $104,072 
Financial institutions34,729 32,334 
Mortgage and real estate(2)
11,166 11,371 
Installment and other35,347 33,759 
Lease financing56 65 
Governments and official institutions4,783 3,811 
Total$188,747 $185,412 
Corporate loans, net of unearned income(3)
$391,954 $387,044 
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Corporate loans are net of unearned income of ($844) million and ($844) million at March 31, 2021 and December 31, 2020, 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 $0.5 billion and $0.2 billion of corporate loans during the three months ended March 31, 2021 and 2020, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three months ended March 31, 2021 or 2020.


132

Corporate Loan Delinquencies and Non-Accrual Details at March 31, 2021
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$582 $118 $700 $2,465 $148,635 $151,800 
Financial institutions969 174 1,143 36 90,339 91,518 
Mortgage and real estate189 84 273 496 71,373 72,142 
Lease financing28 — 28 27 540 595 
Other70 12 82 82 68,225 68,389 
Loans at fair value7,510 
Total$1,838 $388 $2,226 $3,106 $379,112 $391,954 

Corporate Loan Delinquencies and Non-Accrual Details at December 31, 2020
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$400 $109 $509 $2,795 $153,036 $156,340 
Financial institutions668 65 733 92 86,864 87,689 
Mortgage and real estate450 247 697 505 70,836 72,038 
Lease financing62 12 74 24 640 738 
Other112 19 131 111 63,157 63,399 
Loans at fair value6,840 
Total$1,692 $452 $2,144 $3,527 $374,533 $387,044 
(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.
133

Corporate Loans Credit Quality Indicators
 
Recorded investment in loans(1)
Term loans by year of origination
Revolving line
of credit arrangements(2)
March 31, 2021
In millions of dollars20212020201920182017Prior
Investment grade(3)
 
Commercial and industrial(4)
$29,070 $11,833 $6,534 $5,311 $3,416 $10,120 $26,712 $92,996 
Financial institutions(4)
10,473 5,551 2,242 1,582 1,025 2,254 58,910 82,037 
Mortgage and real estate2,473 5,494 5,820 4,827 2,205 2,847 1,728 25,394 
Other(5)
8,994 6,575 2,392 4,588 606 6,744 32,683 62,582 
Total investment grade$51,010 $29,453 $16,988 $16,308 $7,252 $21,965 $120,033 $263,009 
Non-investment grade(3)
 
Accrual 
Commercial and industrial(4)
$12,897 $6,422 $4,266 $3,991 $2,850 $4,167 $21,746 $56,339 
Financial institutions(4)
3,196 2,395 629 555 98 274 2,298 9,445 
Mortgage and real estate944 1,319 2,117 1,755 1,415 1,376 578 9,504 
Other(5)
1,384 528 682 541 299 591 2,268 6,293 
Non-accrual
Commercial and industrial(4)
81 197 227 86 106 286 1,482 2,465 
Financial institutions— — — — — — 36 36 
Mortgage and real estate— 12 8 55 18 30 373 496 
Other(5)
7 4 24 38 10 26 — 109 
Total non-investment grade$18,509 $10,877 $7,953 $7,021 $4,796 $6,750 $28,781 $84,687 
Non-rated private bank loans managed on a delinquency basis(3)(6)
$2,313 $9,755 $6,839 $3,359 $3,488 $10,994 $— $36,748 
Loans at fair value(7)
7,510 
Corporate loans, net of unearned income$71,832 $50,085 $31,780 $26,688 $15,536 $39,709 $148,814 $391,954 
134

 
Recorded investment in loans(1)
Term loans by year of origination
Revolving line
of credit arrangements(2)
December 31, 2020
In millions of dollars20202019201820172016Prior
Investment grade(3)
 
Commercial and industrial(4)
$38,398 $7,607 $5,929 $3,909 $2,094 $8,670 $25,819 $92,426 
Financial institutions(4)
10,560 2,964 2,106 782 681 2,030 56,239 75,362 
Mortgage and real estate6,793 6,714 5,174 2,568 1,212 1,719 1,557 25,737 
Other(5)
10,874 3,566 4,597 952 780 5,290 31,696 57,755 
Total investment grade$66,625 $20,851 $17,806 $8,211 $4,767 $17,709 $115,311 $251,280 
Non-investment grade(3)
 
Accrual 
Commercial and industrial(4)
$19,683 $4,794 $4,645 $2,883 $1,182 $4,533 $23,400 $61,120 
Financial institutions(4)
7,413 700 654 274 141 197 2,855 12,234 
Mortgage and real estate1,882 1,919 2,058 1,457 697 837 551 9,401 
Other(5)
1,407 918 725 370 186 657 1,986 6,249 
Non-accrual
Commercial and industrial(4)
260 203 192 143 57 223 1,717 2,795 
Financial institutions1 — — — — — 91 92 
Mortgage and real estate13 4 3 18 8 32 427 505 
Other(5)
15 3 12 29 2 65 9 135 
Total non-investment grade$30,674 $8,541 $8,289 $5,174 $2,273 $6,544 $31,036 $92,531 
Non-rated private bank loans managed on a delinquency basis(3)(6)
$9,823 $7,121 $3,533 $3,674 $4,300 $7,942 $— $36,393 
Loans at fair value(7)
6,840 
Corporate loans, net of unearned income$107,122 $36,513 $29,628 $17,059 $11,340 $32,195 $146,347 $387,044 

(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)There were no significant revolving line of credit arrangements that converted to term loans during the quarter.
(3)Held-for-investment loans are accounted for on an amortized cost basis.
(4)Includes certain short-term loans with less than one year in tenor.
(5)Other includes installment and other, lease financing and loans to government and official institutions.
(6)Non-rated private bank loans mainly include mortgage and real estate loans to private banking clients.
(7)Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.

 
135

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:
 March 31, 2021Three Months Ended
March 31, 2021		Three Months Ended
March 31, 2020
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance		Related specific
allowance
Average
carrying
 value(2)
Interest income recognizedInterest income recognized
Non-accrual corporate loans    
Commercial and industrial$2,465 $3,069 $435 $2,812 $10 $2 
Financial institutions36 120 6 134 — — 
Mortgage and real estate496 798 38 486 — — 
Lease financing27 27 — 31 — — 
Other82 205 10 96 6 13 
Total non-accrual corporate loans$3,106 $4,219 $489 $3,559 $16 $15 
December 31, 2020
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance		Related specific
allowance
Average
carrying
 value(2)
Non-accrual corporate loans    
Commercial and industrial$2,795 $3,664 $442 $2,649 
Financial institutions92 181 17 132 
Mortgage and real estate505 803 38 413 
Lease financing24 24 — 34 
Other111 235 18 174 
Total non-accrual corporate loans$3,527 $4,907 $515 $3,402 
 March 31, 2021December 31, 2020
In millions of dollars
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Non-accrual corporate loans with specific allowances    
Commercial and industrial$1,984 $435 $1,523 $442 
Financial institutions34 6 90 17 
Mortgage and real estate236 38 246 38 
Lease financing23 — — — 
Other30 10 68 18 
Total non-accrual corporate loans with specific allowances$2,307 $489 $1,927 $515 
Non-accrual corporate loans without specific allowances    
Commercial and industrial$481  $1,272 
Financial institutions2  2  
Mortgage and real estate260  259  
Lease financing4  24  
Other52  43  
Total non-accrual corporate loans without specific allowances$799 N/A$1,600 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 allowances.
N/A Not applicable
136

Corporate Troubled Debt Restructurings(1)

For the Three Months Ended March 31, 2021
In millions of dollarsCarrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(2)
TDRs
involving changes
in the amount
and/or timing of
interest payments(3)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$21 $— $— $21 
Mortgage and real estate1 — — 1 
Other1 1 — — 
Total$23 $1 $— $22 

For the Three Months Ended March 31, 2020
In millions of dollarsCarrying value of TDRs modified
during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(3)
TDRs
involving changes
in the amount
and/or timing of
interest payments(3)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$94 $— $— $94 
Mortgage and real estate4 — — 4 
Total$98 $— $— $98 
(1)The above tables do not include loan modifications that meet the TDR relief criteria in the CARES Act or the interagency guidance.
(2)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 uncollectible 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.
(3)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.


The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.

In millions of dollarsTDR balances at March 31, 2021TDR loans that re-defaulted in 2021 within one year of modificationTDR balances at March 31, 2020TDR loans that re-defaulted in 2020 within one year of modification
Commercial and industrial$283 $— $685 $— 
Mortgage and real estate83 — 77 — 
Other35 — 15 — 
Total(1)
$401 $— $777 $— 

(1)The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.



137

14. ALLOWANCE FOR CREDIT LOSSES
 
Three Months Ended March 31,
In millions of dollars20212020
Allowance for credit losses on loans (ACLL) at beginning of period$24,956 $12,783 
Adjustments to opening balance:(1)
Financial instruments—credit losses (CECL)(1)
— 4,201 
Variable post-charge-off third-party collection costs(1)
— (443)
Adjusted ACLL at beginning of period$24,956 $16,541 
Gross credit losses on loans$(2,208)$(2,479)
Gross recoveries on loans460 420 
Net credit losses on loans (NCLs) $(1,748)$(2,059)
Replenishment of NCLs$1,748 $2,059 
Net reserve builds (releases) for loans(3,068)4,094 
Net specific reserve builds (releases) for loans(159)224 
Total provision for credit losses on loans (PCLL)$(1,479)$6,377 
Initial allowance for credit losses on newly purchased credit deteriorated assets during the period— 4 
Other, net (see table below)(91)(483)
ACLL at end of period$21,638 $20,380 
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2)
$2,655 $1,456 
Adjustment to opening balance for CECL adoption(1)
— (194)
Provision (release) for credit losses on unfunded lending commitments(626)557 
Other, net
(17)(6)
ACLUC at end of period(2)
$2,012 $1,813 
Total allowance for credit losses on loans, leases and unfunded lending commitments$23,650 $22,193 
Other, net detailsThree Months Ended March 31,
In millions of dollars20212020
Sales or transfers of various consumer loan portfolios to HFS$— $(3)
FX translation(108)(483)
Other17 3 
Other, net$(91)$(483)

(1)See Note 1 to the Consolidated Financial Statements for further discussion of the impact of Citi’s adoption of CECL and the change in accounting principle for collection costs.
(2)Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.
138

Allowance for Credit Losses on Loans and End-of-Period Loans
Three Months Ended
March 31, 2021March 31, 2020
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
ACLL at beginning of period$5,402 $19,554 $24,956 $2,886 $9,897 $12,783 
   Adjustments to opening balance(1)
   Financial instruments—credit losses (CECL)— — — (721)4,922 4,201 
   Variable post-charge-off third-party collection costs— — — — (443)(443)
Adjusted ACLL at beginning of period$5,402 $19,554 $24,956 $2,165 $14,376 $16,541 
Charge-offs(203)(2,005)(2,208)(139)(2,340)(2,479)
Recoveries17 443 460 12 408 420 
Replenishment of net charge-offs186 1,562 1,748 127 1,932 2,059 
Net reserve builds (releases)(1,273)(1,795)(3,068)1,268 2,826 4,094 
Net specific reserve builds (releases)(38)(121)(159)48 176 224 
Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period— — — — 4 4 
Other(7)(84)(91)(30)(453)(483)
Ending balance$4,084 $17,554 $21,638 $3,451 $16,929 $20,380 

(1)See “Accounting Changes” in Note 1 to the Consolidated Financial Statements for additional details.
March 31, 2021December 31, 2020
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for credit losses on loans   
Collectively evaluated$3,595 $16,339 $19,934 $4,887 $18,207 $23,094 
Individually evaluated 489 1,214 1,703 515 1,345 1,860 
Purchased credit deteriorated— 1 1 — 2 2 
Total allowance for credit losses on loans$4,084 $17,554 $21,638 $5,402 $19,554 $24,956 
Loans, net of unearned income
Collectively evaluated$381,338 $269,151 $650,489 $376,677 $283,885 $660,562 
Individually evaluated 3,106 4,733 7,839 3,527 4,799 8,326 
Purchased credit deteriorated— 135 135 — 141 141 
Held at fair value7,510 15 7,525 6,840 14 6,854 
Total loans, net of unearned income$391,954 $274,034 $665,988 $387,044 $288,839 $675,883 


139

Allowance for Credit Losses on HTM Debt Securities
Three Months Ended March 31, 2021
In millions of dollarsMortgage-backedState and municipalForeign governmentAsset-backedTotal HTM
Allowance for credit losses on HTM debt securities at beginning
of period		$3 $74 $6 $3 $86 
Gross credit losses— — — — — 
Gross recoveries3 — — — 3 
Net credit losses (NCLs)$3 $— $— $— $3 
NCLs$(3)$— $— $— $(3)
Net reserve builds (releases)1 (5)(1)(3)(8)
Net specific reserve builds (releases)— — — — — 
Total provision for credit losses on HTM debt securities$(2)$(5)$(1)$(3)$(11)
Other, net$— $— $— $— $— 
Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period— — — — — 
Allowance for credit losses on HTM debt securities at end of period$4 $69 $5 $— $78 
Three Months Ended March 31, 2020
In millions of dollarsMortgage-backedState and municipalForeign governmentAsset-
backed		Total HTM
Allowance for credit losses on HTM debt securities at beginning
of period		$— $— $— $— $— 
Adjustment to opening balance for CECL adoption— 61 4 5 70 
Net credit losses (NCLs)$— $— $— $— $— 
NCLs$— $— $— $— $— 
Net reserve builds (releases)— 5 — 1 6 
Net specific reserve builds (releases)— — — — — 
Total provision for credit losses on HTM debt securities$— $5 $— $1 $6 
Other, net$— $— $— $— $— 
Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period— — — — — 
Allowance for credit losses on HTM debt securities at end of period$— $66 $4 $6 $76 





















140

Allowance for Credit Losses on Other Assets
Three Months Ended March 31, 2021
In millions of dollarsCash and due from banksDeposits with banksSecurities borrowed and purchased under agreements
to resell		Brokerage receivables
All other assets(1)
Total
Allowance for credit losses at beginning of period$— $20 $10 $— $25 $55 
Net credit losses (NCLs)$— $— $— $— $— $— 
NCLs$— $— $— $— $— $— 
Net reserve builds (releases)— 9 (5)— 5 9 
Total provision for credit losses$— $9 $(5)$— $5 $9 
Other, net$— $(1)$— $— $— $(1)
Allowance for credit losses on other assets at end of period$— $28 $5 $— $30 $63 
Three Months Ended March 31, 2020
In millions of dollarsCash and due from banksDeposits with banksSecurities borrowed and purchased under agreements
to resell		Brokerage receivables
All other assets(1)
Total
Allowance for credit losses at beginning of period$— $— $— $— $— $— 
Adjustment to opening balance for CECL adoption6 14 2 1 3 26 
Net credit losses (NCLs)$— $— $— $— $— $— 
NCLs$— $— $— $— $— $— 
Net reserve builds (releases)(6)(6)3 (1)6 (4)
Total provision for credit losses$(6)$(6)$3 $(1)$6 $(4)
Other, net$— $— $— $— $32 $32 
Allowance for credit losses on other assets at end of period$— $8 $5 $— $41 $54 

(1)Primarily accounts receivable.


For ACL on AFS debt securities, see Note 12 to the Consolidated Financial Statements.
141

15.  GOODWILL AND INTANGIBLE ASSETS
Goodwill
The changes in Goodwill were as follows:
In millions of dollarsGlobal Consumer BankingInstitutional Clients GroupTotal
Balance at December 31, 2020$12,142 $10,020 $22,162 
Foreign currency translation(68)(189)(257)
Balance at March 31, 2021$12,074 $9,831 $21,905 

Citi tests goodwill for impairment annually as of July 1 (the annual test) and through interim assessments between annual tests if an event occurs or circumstances change that could more-likely-than-not reduce the fair value of a reporting unit below its carrying amount. The results of the 2020 annual impairment test resulted in fair values as a percentage of carrying values between 115% and 136%. During the three months ended March 31, 2021, Citi qualitatively assessed the current environment, including the continuing impact of the COVID-19 pandemic, management’s announced strategy to pursue exits of its consumer franchises in 13 markets within Asia GCB, observed changes in market multiples, actual business performance, together with the latest available management forecasts. Based on the above, Citi determined it was not more-likely-than-not that the fair value of any reporting unit was below its book value and there was no indication of impairment as of March 31, 2021.
While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations, the current environment continues to evolve. Deterioration in business performance or macroeconomic and market conditions, including potential adverse effects to economic forecasts due to the severity and duration of the pandemic, as well as the responses of governments, customers and clients, could negatively influence the assumptions used in the valuations, in particular, the discount rates, exit multiples and growth rates used in net income projections. If the future were to differ from management’s best estimate of key economic assumptions, and associated cash flows were to decrease, Citi could potentially experience material goodwill impairment charges in the future.
For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 16 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K. Refer to Note 3 for a description of Citi’s Business Segments.






142

Intangible Assets
The components of intangible assets were as follows:
 March 31, 2021December 31, 2020
In millions of dollarsGross
carrying
amount		Accumulated
amortization		Net
carrying
amount		Gross
carrying
amount		Accumulated
amortization		Net
carrying
amount
Purchased credit card relationships$5,614 $4,239 $1,375 $5,648 $4,229 $1,419 
Credit card contract-related intangibles(1)
3,906 1,288 2,618 3,929 1,276 2,653 
Core deposit intangibles44 44 — 45 44 1 
Other customer relationships426 299 127 455 314 141 
Present value of future profits31 29 2 32 30 2 
Indefinite-lived intangible assets185 — 185 190 — 190 
Other61 60 1 72 67 5 
Intangible assets (excluding MSRs)$10,267 $5,959 $4,308 $10,371 $5,960 $4,411 
Mortgage servicing rights (MSRs)(2)
433 — 433 336 — 336 
Total intangible assets$10,700 $5,959 $4,741 $10,707 $5,960 $4,747 
(1)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented 97% and 96% of the aggregate net carrying amount as of March 31, 2021 and December 31, 2020, respectively.
(2)For additional information on Citi’s MSRs, see Note 18 to the Consolidated Financial Statements.

The changes in intangible assets were as follows:
In millions of dollarsNet carrying amount at December 31, 2020Acquisitions/renewals/
divestitures 		AmortizationImpairmentsFX translation and otherNet carrying amount at March 31, 2021
Purchased credit card relationships(1)
$1,419 $— $(43)$— $(1)$1,375 
Credit card contract-related intangibles(2)
2,653 — (35)— — 2,618 
Core deposit intangibles1 — (1)— — — 
Other customer relationships141 — (6)— (8)127 
Present value of future profits2 — — — — 2 
Indefinite-lived intangible assets190 — — — (5)185 
Other5 5 (10)— 1 1 
Intangible assets (excluding MSRs)$4,411 $5 $(95)$— $(13)$4,308 
Mortgage servicing rights (MSRs)(3)
336 433 
Total intangible assets$4,747 $4,741 
(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract-related 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 and AT&T credit card program agreements, which represented 97% and 96% of the aggregate net carrying amount at March 31, 2021 and December 31, 2020, respectively.
(3)For additional information on Citi’s MSRs, including the rollforward for the three months ended March 31, 2021, see Note 18 to the Consolidated Financial Statements.

143

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 2020 Annual Report on Form 10-K.

Short-Term Borrowings
In millions of dollarsMarch 31,
2021		December 31,
2020
Commercial paper
Bank(1)
$10,026 $10,022 
Broker-dealer and other(2)
6,995 7,988 
Total commercial paper$17,021 $18,010 
Other borrowings(3)
15,066 11,504 
Total$32,087 $29,514 

(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 March 31, 2021 and December 31, 2020, collateralized short-term advances from the Federal Home Loan Banks were $4.0 billion and $4.0 billion, respectively.

Long-Term Debt
In millions of dollarsMarch 31,
2021		December 31, 2020
Citigroup Inc.(1)
$164,099 $170,563 
Bank(2)
36,488 44,742 
Broker-dealer and other(3)
55,748 56,381 
Total$256,335 $271,686 

(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At March 31, 2021 and December 31, 2020, collateralized long-term advances from the Federal Home Loan Banks were $10.9 billion and $10.9 billion, respectively.
(3)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company. Certain Citigroup consolidated hedging activities are also included in this line.

Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.7 billion at both March 31, 2021 and December 31, 2020.


The following table summarizes Citi’s outstanding trust preferred securities at March 31, 2021:
      Junior subordinated debentures owned by trust
TrustIssuance
date		Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent		AmountMaturityRedeemable
by issuer
beginning
 In millions of dollars, except securities and share amounts
Citigroup Capital IIIDec. 1996194,053 $194 7.625 %6,003 $200 Dec. 1, 2036Not redeemable
Citigroup Capital XIIISept. 201089,840,000 2,246 
3 mo. LIBOR + 637 bps
1,000 2,246 Oct. 30, 2040Oct. 30, 2015
Citigroup Capital XVIIIJun. 200799,901 138 
3 mo. sterling LIBOR + 88.75 bps
50 138 Jun. 28, 2067Jun. 28, 2017
Total obligated  $2,578  $2,584   

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. This differs from Citi’s balance sheet carrying value due primarily to unamortized discount and issuance costs.
(2)In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.
144

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 March 31, 2021

In millions of dollarsNet
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 hedgesAccumulated
other
comprehensive income (loss)
Balance, December 31, 2020$3,320 $(1,419)$1,593 $(6,864)$(28,641)$(47)$(32,058)
Other comprehensive income before
reclassifications		(1,519)(84)(344)653 (1,274)(10)(2,578)
Increase (decrease) due to amounts
reclassified from AOCI
(266)42 (212)61 — — (375)
Change, net of taxes
$(1,785)$(42)$(556)$714 $(1,274)$(10)$(2,953)
Balance at March 31, 2021$1,535 $(1,461)$1,037 $(6,150)$(29,915)$(57)$(35,011)

Three Months Ended March 31, 2020
In millions of dollarsNet
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 hedgesAccumulated
other
comprehensive income (loss)
Balance, December 31, 2019$(265)$(944)$123 $(6,809)$(28,391)$(32)$(36,318)
Other comprehensive income before
reclassifications		3,417 3,116 1,898 (344)(4,109)27 4,005 
Increase (decrease) due to amounts
reclassified from AOCI
(289)24 (1)58 — — (208)
Change, net of taxes
$3,128 $3,140 $1,897 $(286)$(4,109)$27 $3,797 
Balance at March 31, 2020$2,863 $2,196 $2,020 $(7,095)$(32,500)$(5)$(32,521)
(1)Reflects the after-tax valuation of Citi’s fair value options liabilities. See “Market Valuation Adjustments” in Note 20 to the Consolidated Financial Statements.
(2)Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
(3)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.
(4)Primarily reflects the movements in (by order of impact) the Mexican peso, Euro, South Korean won, Japanese yen, Polish zloty and Brazilian real against the U.S. dollar and changes in related tax effects and hedges for the three months ended March 31, 2021. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Australian dollar, South Korean won and Chilean peso against the U.S. dollar and changes in related tax effects and hedges for the three months ended March 31, 2020. 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.



145

The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three Months Ended March 31, 2021
In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2020$(36,992)$4,934 $(32,058)
Change in net unrealized gains (losses) on debt securities(2,427)642 (1,785)
Debt valuation adjustment (DVA)(38)(4)(42)
Cash flow hedges(729)173 (556)
Benefit plans907 (193)714 
Foreign currency translation adjustment(1,339)65 (1,274)
Excluded component of fair value hedges(13)3 (10)
Change$(3,639)$686 $(2,953)
Balance at March 31, 2021$(40,631)$5,620 $(35,011)

Three Months Ended March 31, 2020
In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2019$(42,772)$6,454 $(36,318)
Change in net unrealized gains (losses) on debt securities4,121 (993)3,128 
Debt valuation adjustment (DVA)4,188 (1,048)3,140 
Cash flow hedges2,484 (587)1,897 
Benefit plans(418)132 (286)
Foreign currency translation adjustment(4,055)(54)(4,109)
Excluded component of fair value hedges33 (6)27 
Change$6,353 $(2,556)$3,797 
Balance, March 31, 2020$(36,419)$3,898 $(32,521)






146

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 March 31,
In millions of dollars20212020
Realized (gains) losses on sales of investments$(401)$(432)
Gross impairment losses69 52 
Subtotal, pretax$(332)$(380)
Tax effect66 91 
Net realized (gains) losses on investments after-tax(1)
$(266)$(289)
Realized DVA (gains) losses on fair value option liabilities, pretax$56 $32 
Tax effect(14)(8)
Net realized debt valuation adjustment, after-tax$42 $24 
Interest rate contracts$(278)$(3)
Foreign exchange contracts1 1 
Subtotal, pretax$(277)$(2)
Tax effect65 1 
Amortization of cash flow hedges, after-tax(2)
$(212)$(1)
Amortization of unrecognized:
Prior service cost (benefit)$(6)$(3)
Net actuarial loss87 79 
Curtailment/settlement impact(3)
— — 
Subtotal, pretax$81 $76 
Tax effect(20)(18)
Amortization of benefit plans, after-tax(3)
$61 $58 
Excluded component of fair value hedges, pretax$— $— 
Tax effect— — 
   Excluded component of fair value hedges, after-tax$— $— 
Foreign currency translation adjustment, pretax$— $— 
Tax effect— — 
   Foreign currency translation adjustment, after-tax $— $— 
Total amounts reclassified out of AOCI, pretax
$(472)$(274)
Total tax effect97 66 
Total amounts reclassified out of AOCI, after-tax
$(375)$(208)
(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.

147

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 2020 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 March 31, 2021
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
$29,729 $29,729 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored
115,980 — 115,980 1,645 — — 52 1,697 
Non-agency-sponsored
56,969 862 56,107 2,724 — 5 1 2,730 
Citi-administered asset-backed commercial paper conduits16,493 16,493 — — — — — — 
Collateralized loan obligations (CLOs)12,126 — 12,126 4,015 — — — 4,015 
Asset-based financing(5)
222,306 7,776 214,530 27,004 1,467 10,626 — 39,097 
Municipal securities tender option bond trusts (TOBs)3,324 910 2,414 7 — 1,557 — 1,564 
Municipal investments
21,548 — 21,548 2,663 3,917 3,063 — 9,643 
Client intermediation
1,177 736 441 88 — — 56 144 
Investment funds471 150 321 2 — 14 2 18 
Other
469 — 469 169 — 50 — 219 
Total
$480,592 $56,656 $423,936 $38,317 $5,384 $15,315 $111 $59,127 
As of December 31, 2020
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
$32,420 $32,420 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored
123,999 — 123,999 1,948 — — 61 2,009 
Non-agency-sponsored
46,132 939 45,193 2,550 — 2 1 2,553 
Citi-administered asset-backed commercial paper conduits16,730 16,730 — — — — — — 
Collateralized loan obligations (CLOs)18,332 — 18,332 4,273 — — — 4,273 
Asset-based financing(5)
222,274 8,069 214,205 25,153 1,587 9,114 — 35,854 
Municipal securities tender option bond trusts (TOBs)3,349 835 2,514 — — 1,611 — 1,611 
Municipal investments
20,335 — 20,335 2,569 4,056 3,041 — 9,666 
Client intermediation
1,352 910 442 88 — — 56 144 
Investment funds488 153 335 — — 15 — 15 
Other
— — — — — — — — 
Total
$485,411 $60,056 $425,355 $36,581 $5,643 $13,783 $118 $56,125 

(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)    Included on Citigroup’s March 31, 2021 and December 31, 2020 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.
(5)     Included within this line are loans to third-party sponsored private equity funds, which represent $78 billion and $78 billion in unconsolidated VIE assets and $407 million and $425 million in maximum exposure to loss as of March 31, 2021 and December 31, 2020, respectively.
148

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 third-party sponsored private equity funds to which the Company provides secured credit facilities. The Company has no decision-making power and does not consolidate these funds, some of which may meet the definition of a VIE. The Company’s maximum exposure to loss is generally limited to a loan or lending-related commitment. As of March 31, 2021 and December 31, 2020, the Company’s maximum exposure to loss related to these deals was $59.3 billion and $57.0 billion, respectively (for more information on these positions, see Note 13 to the Consolidated Financial Statements and Note 26 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on Form 10-K);
•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 $5.1 billion and $5.22 billion at March 31, 2021 and December 31, 2020, respectively;
•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.
149

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:
March 31, 2021December 31, 2020
In millions of dollars
Liquidity
facilities		Loan/equity
commitments		Liquidity
facilities		Loan/equity
commitments
Non-agency-sponsored mortgage securitizations$— $5 $— $2 
Asset-based financing
— 10,626 — 9,114 
Municipal securities tender option bond trusts (TOBs)
1,557 — 1,611 — 
Municipal investments
— 3,063 — 3,041 
Investment funds
— 14 — 15 
Other
— 50 — — 
Total funding commitments
$1,557 $13,758 $1,611 $12,172 
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
March 31, 2021December 31, 2020
Cash
$— $— 
Trading account assets
1.8 2.0 
Investments
10.2 10.6 
Total loans, net of allowance
31.3 29.3 
Other
0.4 0.3 
Total assets
$43.7 $42.2 
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
March 31, 2021December 31, 2020
Ownership interests in principal amount of trust credit card receivables
   Sold to investors via trust-issued securities
$12.1 $15.7 
   Retained by Citigroup as trust-issued securities
7.6 7.9 
   Retained by Citigroup via non-certificated interests
12.1 11.1 
Total
$31.8 $34.7 

The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:
Three Months Ended March 31,
In billions of dollars
20212020
Proceeds from new securitizations
$— $— 
Pay down of maturing notes
(3.6)— 

Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 3.5 years as of March 31, 2021 and 2.9 years as of December 31, 2020.
In billions of dollars
Mar. 31, 2021Dec. 31, 2020
Term notes issued to third parties
$10.6 $13.9 
Term notes retained by Citigroup affiliates2.6 2.7 
Total Master Trust liabilities
$13.2 $16.6 

Omni Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was 0.9 years as of March 31, 2021 and 1.1 years as of December 31, 2020.
In billions of dollars
Mar. 31, 2021Dec. 31, 2020
Term notes issued to third parties
$1.5 $1.8 
Term notes retained by Citigroup affiliates5.0 5.2 
Total Omni Trust liabilities
$6.5 $7.0 
150

Mortgage Securitizations
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
Three Months Ended March 31,
20212020
In billions of dollars
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized
$3.0 $11.0 $2.0 $1.6 
Proceeds from new securitizations
3.2 10.6 2.1 2.5 
Purchases of previously transferred financial assets
0.1 — — — 

Note: Excludes re-securitization transactions.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $1.1 million for the three months ended March 31, 2021. For the three months ended March 31, 2021, gains recognized on the securitization of non-agency sponsored mortgages were $166.2 million.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $3 million for the three months ended March 31, 2020. Gains recognized on the securitization of non-agency sponsored mortgages were $39 million for the three months ended March 31, 2020.


March 31, 2021December 31, 2020
Non-agency-sponsored mortgages(1)
Non-agency-sponsored mortgages(1)
In millions of dollars
U.S. agency-
sponsored mortgages
Senior
interests(2)
Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Carrying value of retained interests(3)
$421 $2,402 $236 $315 $1,210 $145 

(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)    Senior interests in non-agency-sponsored mortgages include $104 million related to personal loan securitizations at March 31, 2021.
(3)    Retained interests consist of Level 2 and 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.

151

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 March 31, 2021
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate8.8 %0.2 %3.2 %
Weighted average constant prepayment rate5.8 %— %12.5 %
Weighted average anticipated net credit losses(2)
NM0.4 %1.7 %
Weighted average life
7.7 years0.8 yearsNM
Three Months Ended March 31, 2020
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate8.5 %1.3 %— %
Weighted average constant prepayment rate25.7 %— %— %
Weighted average anticipated net credit losses(2)
NM1.6 %— %
Weighted average life
5.2 years4.2 yearsNM

(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.

152

The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests. Key assumptions used in measuring the fair value of retained interests in securitizations of mortgage receivables at period end were as follows:
March 31, 2021
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate7.6 %2.8 %10.6 %
Weighted average constant prepayment rate11.0 %4.0 %4.7 %
Weighted average anticipated net credit losses(2)
NM1.0 %1.5 %
Weighted average life
5.9 years0.3 years9.6 years
December 31, 2020
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate5.9 %7.2 %4.3 %
Weighted average constant prepayment rate22.7 %5.3 %4.7 %
Weighted average anticipated net credit losses(2)
   NM1.2 %1.4 %
Weighted average life
4.5 years5.3 years4.7 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.


153

The sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions is 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.
March 31, 2021
Non-agency-sponsored mortgages
In millions of dollars
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate
   Adverse change of 10%
$(12)$— $— 
   Adverse change of 20%
(23)— (1)
Constant prepayment rate
   Adverse change of 10%
(20)— — 
   Adverse change of 20%
(38)— — 
Anticipated net credit losses
   Adverse change of 10%
NM— — 
   Adverse change of 20%
NM— — 
December 31, 2020
Non-agency-sponsored mortgages
In millions of dollars
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate
   Adverse change of 10%
$(8)$— $(1)
   Adverse change of 20%
(15)(1)(1)
Constant prepayment rate
   Adverse change of 10%
(21)— — 
   Adverse change of 20%
(40)— — 
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.

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 assets90 days past dueThree Months Ended March 31,
In billions of dollars, except liquidation losses in millionsMar. 31, 2021Dec. 31, 2020Mar. 31, 2021Dec. 31, 202020212020
Securitized assets
Residential mortgages(1)
$17.4 $16.9 $0.4 $0.5 $1.5 $11.0 
Commercial and other
24.6 23.9 — — — — 
Total
$42.0 $40.8 $0.4 $0.5 $1.5 $11.0 

(1)    Securitized assets include $0.2 billion of personal loan securitizations as of March 31, 2021.

154

Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $433 million and $367 million at March 31, 2021 and 2020, respectively. The MSRs correspond to principal loan balances of $52 billion and $59 billion as of March 31, 2021 and 2020, respectively. The following table summarizes the changes in capitalized MSRs:
Three Months Ended March 31,
In millions of dollars20212020
Balance, beginning of period$336 $495 
Originations43 32 
Changes in fair value of MSRs due to changes in inputs and assumptions73 (143)
Other changes(1)
(19)(17)
Sales of MSRs— — 
Balance, as of March 31 $433 $367 

(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 March 31,
In millions of dollars20212020
Servicing fees
$31 $39 
Late fees
1 2
Ancillary fees
— —
Total MSR fees
$32 $41 

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 three months ended March 31, 2021 and 2020. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of March 31, 2021 and December 31, 2020, Citi held no retained interests in private label re-securitization transactions structured by Citi.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the three months ended March 31, 2021, Citi transferred agency securities with a fair value of approximately $13.1 billion to re-securitization entities compared to approximately $7.4 billion for the three months ended March 31, 2020.
As of March 31, 2021, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.2 billion (including $335.0 million related to re-securitization transactions executed in 2021) compared to $1.6 billion as of December 31, 2020 (including $916.0 million related to re-securitization transactions executed in 2020), which is recorded in Trading account assets. The original fair values of agency re-securitization transactions in which Citi holds a retained interest as of March 31, 2021 and December 31, 2020 were approximately $76.2 billion and $83.6 billion, respectively.
As of March 31, 2021 and December 31, 2020, the Company did not consolidate any private label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits
At March 31, 2021 and December 31, 2020, the commercial paper conduits administered by Citi had approximately $16.5 billion and $16.7 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $19.2 billion and $17.1 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At March 31, 2021 and December 31, 2020, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 60 and 54 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 letters of credit from the Company, which equal 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 $1.5 billion as of March 31, 2021 and December 31, 2020, 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 March 31, 2021 and December 31, 2020, the Company owned $6.5 billion and $6.6 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.

155

Collateralized Loan Obligations (CLOs)
There were no new securitizations during the three months ended March 31, 2021 and 2020. The following table summarizes selected retained interests related to Citigroup CLOs:
In millions of dollars
Mar. 31, 2021Dec. 31, 2020
Carrying value of retained interests
$1,598 $1,611 

All of Citi’s retained interests were held-to-maturity securities as of March 31, 2021 and December 31, 2020.

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.
March 31, 2021
In millions of dollars
Total
unconsolidated
VIE assets
Maximum
exposure to
unconsolidated VIEs
Type
Commercial and other real estate$32,535 $7,091 
Corporate loans
15,535 10,742 
Other (including investment funds, airlines and shipping)166,460 21,264 
Total
$214,530 $39,097 
December 31, 2020
In millions of dollars
Total
unconsolidated
VIE assets
Maximum
exposure to
unconsolidated VIEs
Type
Commercial and other real estate$34,570 $7,758 
Corporate loans
12,022 7,654 
Other (including investment funds, airlines and shipping)167,613 20,442 
Total
$214,205 $35,854 


Municipal Securities Tender Option Bond (TOB) Trusts
At March 31, 2021 and December 31, 2020, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At March 31, 2021 and December 31, 2020, liquidity agreements provided with respect to customer TOB trusts totaled $1.6 billion and $1.6 billion, respectively, of which $0.8 billion and $0.8 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 $3 billion and $3.6 billion as of March 31, 2021 and December 31, 2020, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.
156

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 2020 Annual Report on Form 10-K.
Information pertaining to Citigroup’s derivatives 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. 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.



























157

Derivative Notionals
 Hedging instruments under
ASC 815		Trading derivative instruments
In millions of dollarsMarch 31,
2021		December 31,
2020		March 31,
2021		December 31,
2020
Interest rate contracts    
Swaps$292,103 $334,351 $20,393,789 $17,724,147 
Futures and forwards— — 5,605,982 4,142,514 
Written options— — 1,596,927 1,573,483 
Purchased options— — 1,519,811 1,418,255 
Total interest rate contracts$292,103 $334,351 $29,116,509 $24,858,399 
Foreign exchange contracts 
Swaps$60,364 $65,709 $6,569,793 $6,567,304 
Futures, forwards and spot34,459 37,080 4,632,191 3,945,391 
Written options83 47 890,831 907,338 
Purchased options92 53 854,323 900,626 
Total foreign exchange contracts$94,998 $102,889 $12,947,138 $12,320,659 
Equity contracts  
Swaps$— $— $273,550 $274,098 
Futures and forwards— — 87,217 67,025 
Written options— — 474,770 441,003 
Purchased options— — 381,966 328,202 
Total equity contracts$— $— $1,217,503 $1,110,328 
Commodity and other contracts  
Swaps$— $— $86,953 $80,127 
Futures and forwards1,340 924 155,094 143,175 
Written options— — 75,989 71,376 
Purchased options— — 73,052 67,849 
Total commodity and other contracts$1,340 $924 $391,088 $362,527 
Credit derivatives(1)
 
Protection sold$— $— $609,231 $543,607 
Protection purchased— — 683,503 612,770 
Total credit derivatives$— $— $1,292,734 $1,156,377 
Total derivative notionals$388,441 $438,164 $44,964,972 $39,808,290 

(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.
158

The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of March 31, 2021 and December 31, 2020. 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 $250 billion and $280 billion as of March 31, 2021 and December 31, 2020, 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 has occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.
159

Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at March 31, 2021
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$1,326 $44 
Cleared5 138 
Interest rate contracts$1,331 $182 
Over-the-counter$1,310 $1,689 
Foreign exchange contracts$1,310 $1,689 
Total derivatives instruments designated as ASC 815 hedges$2,641 $1,871 
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter$177,557 $160,611 
Cleared12,030 14,425 
Exchange traded65 72 
Interest rate contracts$189,652 $175,108 
Over-the-counter$137,979 $135,353 
Cleared889 746 
Foreign exchange contracts$138,868 $136,099 
Over-the-counter$25,396 $36,140 
Cleared30 15 
Exchange traded18,883 20,016 
Equity contracts$44,309 $56,171 
Over-the-counter$15,279 $17,285 
Exchange traded1,139 1,394 
Commodity and other contracts$16,418 $18,679 
Over-the-counter$8,199 $7,723 
Cleared2,427 2,841 
Credit derivatives$10,626 $10,564 
Total derivatives instruments not designated as ASC 815 hedges$399,873 $396,621 
Total derivatives$402,514 $398,492 
Cash collateral paid/received(3)
$21,388 $22,945 
Less: Netting agreements(4)
(307,824)(307,824)
Less: Netting cash collateral received/paid(5)
(48,248)(53,215)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$67,830 $60,398 
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid$(871)$(1,587)
Less: Non-cash collateral received/paid(6,466)(13,911)
Total net receivables/payables(6)
$60,493 $44,900 

(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 $74,603 million and $71,193 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $53,215 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $48,248 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $278 billion, $12 billion and $18 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 counterparties 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 $11 billion of derivative asset and $10 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
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In millions of dollars at December 31, 2020
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$1,781 $161 
Cleared74 319 
Interest rate contracts$1,855 $480 
Over-the-counter$2,037 $2,042 
Foreign exchange contracts$2,037 $2,042 
Total derivatives instruments designated as ASC 815 hedges$3,892 $2,522 
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter$228,519 $209,330 
Cleared11,041 12,563 
Exchange traded46 38 
Interest rate contracts$239,606 $221,931 
Over-the-counter$153,791 $152,784 
Cleared842 1,239 
Exchange traded— 1 
Foreign exchange contracts$154,633 $154,024 
Over-the-counter$29,244 $41,036 
Cleared1 18 
Exchange traded21,274 22,515 
Equity contracts$50,519 $63,569 
Over-the-counter$13,659 $17,076 
Exchange traded879 1,017 
Commodity and other contracts$14,538 $18,093 
Over-the-counter$7,826 $7,951 
Cleared1,963 2,178 
Credit derivatives$9,789 $10,129 
Total derivatives instruments not designated as ASC 815 hedges$469,085 $467,746 
Total derivatives$472,977 $470,268 
Cash collateral paid/received(3)
$32,778 $8,196 
Less: Netting agreements(4)
(364,879)(364,879)
Less: Netting cash collateral received/paid(5)
(63,915)(45,628)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$76,961 $67,957 
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid$(1,567)$(473)
Less: Non-cash collateral received/paid(7,408)(13,087)
Total net receivables/payables(6)
$67,986 $54,397 
(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 $78,406 million and $72,111 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $45,628 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $63,915 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $336 billion, $9 billion and $20 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 counterparties 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 $6 billion of derivative asset and $8 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
161

For the three months ended March 31, 2021 and 2020, 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 March 31,
In millions of dollars20212020
Interest rate contracts$(60)$155 
Foreign exchange(21)24 
Total$(81)$179 

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.
Citigroup has 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 prepayable 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 inventories. 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 it is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in forward rates from the assessment of hedge effectiveness and records it in Other comprehensive income.





















162

The following table summarizes the gains (losses) on the Company’s fair value hedges:
 
Gains (losses) on fair value hedges(1)
Three Months Ended March 31,
20212020
In millions of dollarsOther revenueNet interest revenueOther revenueNet interest revenue
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges
Interest rate hedges$— $(3,935)$— $6,847 
Foreign exchange hedges(210)— (1,911)— 
Commodity hedges(289)— 290 — 
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges$(499)$(3,935)$(1,621)$6,847 
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges$— $3,826 $— $(6,815)
Foreign exchange hedges210 — 1,911 — 
Commodity hedges289 — (290)— 
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$499 $3,826 $1,621 $(6,815)
Net gain (loss) on the hedging derivatives excluded from
assessment of the effectiveness of fair value hedges		 
Interest rate hedges$— $(4)$— $(5)
Foreign exchange hedges(2)
4 — (58)— 
Commodity hedges(22)— (25)— 
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges$(18)$(4)$(83)$(5)

(1)Gain (loss) amounts for interest rate risk hedges 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 included in AOCI was $(13) million and $33 million for the three months ended March 31, 2021 and 2020, respectively.

















163

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. This cumulative hedge basis adjustment becomes part of the carrying value of 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 March 31, 2021 and December 31, 2020, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities, that would reverse through earnings in future periods.
In millions of dollars
Balance sheet line item in which hedged item is recordedCarrying amount of hedged asset/ liabilityCumulative fair value hedging adjustment increasing (decreasing) the carrying amount
ActiveDe-designated
As of March 31, 2021
Debt securities AFS(1)(3)
$79,663 $(127)$61 
Long-term debt157,408 1,665 4,400 
As of December 31, 2020
Debt securities AFS(2)(3)
$81,082 $28 $342 
Long-term debt169,026 5,554 4,989 

(1)These amounts include a cumulative basis adjustment of $(64) million for active hedges and $(140) million for de-designated hedges as of March 31, 2021, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $7 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $36 billion as of March 31, 2021) in a last-of-layer hedging relationship.
(2)These amounts include a cumulative basis adjustment of $(18) million for active hedges and $62 million for de-designated hedges as of December 31, 2020, 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 approximately $3 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $19 billion as of December 31, 2020) in a last-of-layer hedging relationship.
(3)Carrying amount represents the amortized cost.
164

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 March 31, 2021 is approximately $1.1 billion. The maximum length of time over which forecasted cash flows are hedged is 10 years.
The pretax change in AOCI from cash flow hedges is presented below. The after-tax impact of cash flow hedges on AOCI is shown in Note 17 to the Consolidated Financial Statements.
 Three Months Ended March 31,
In millions of dollars20212020
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts$(455)$2,497 
Foreign exchange contracts3 (11)
Total gain (loss) recognized in AOCI
$(452)$2,486 

Other
revenue		Net interest
revenue		Other
revenue
Net interest
revenue
Amount of gain (loss) reclassified from AOCI to earnings(1)
Interest rate contracts$— $278 $— $3 
Foreign exchange contracts(1)— (1)— 
Total gain (loss) reclassified from AOCI into earnings
$(1)$278 $(1)$3 
Net pretax change in cash flow hedges included within AOCI
$(729)$2,484 
(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.
165

Net Investment Hedges
The pretax gain (loss) recorded in Foreign currency translation adjustment within AOCI, related to net investment hedges, was $557 million and $2,085 million for the three months ended March 31, 2021 and 2020, respectively.

Credit Derivatives
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
Fair valuesNotionals
In millions of dollars at March 31, 2021
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty
Banks$2,886 $3,402 $126,799 $123,430 
Broker-dealers1,913 1,269 48,722 46,866 
Non-financial107 95 6,658 2,789 
Insurance and other financial
institutions		5,720 5,798 501,324 436,146 
Total by industry of counterparty$10,626 $10,564 $683,503 $609,231 
By instrument
Credit default swaps and options$9,647 $10,020 $667,075 $602,994 
Total return swaps and other979 544 16,428 6,237 
Total by instrument$10,626 $10,564 $683,503 $609,231 
By rating of reference entity
Investment grade$4,424 $4,083 $514,482 $455,166 
Non-investment grade6,202 6,481 169,021 154,065 
Total by rating of reference entity$10,626 $10,564 $683,503 $609,231 
By maturity
Within 1 year$1,186 $1,237 $148,225 $133,828 
From 1 to 5 years6,413 6,419 439,990 396,443 
After 5 years3,027 2,908 95,288 78,960 
Total by maturity$10,626 $10,564 $683,503 $609,231 

(1)The fair value amount receivable is composed of $4,166 million under protection purchased and $6,460 million under protection sold.
(2)The fair value amount payable is composed of $7,027 million under protection purchased and $3,537 million under protection sold.
166

 Fair valuesNotionals
In millions of dollars at December 31, 2020
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty
Banks$2,902 $3,187 $117,685 $120,739 
Broker-dealers1,770 1,215 46,928 44,692 
Non-financial109 90 5,740 2,217 
Insurance and other financial
institutions		5,008 5,637 442,417 375,959 
Total by industry of counterparty$9,789 $10,129 $612,770 $543,607 
By instrument
Credit default swaps and options$9,254 $9,254 $599,633 $538,426 
Total return swaps and other535 875 13,137 5,181 
Total by instrument$9,789 $10,129 $612,770 $543,607 
By rating of reference entity
Investment grade$4,136 $4,037 $478,643 $418,147 
Non-investment grade5,653 6,092 134,127 125,460 
Total by rating of reference entity$9,789 $10,129 $612,770 $543,607 
By maturity
Within 1 year$914 $1,355 $134,080 $125,464 
From 1 to 5 years6,022 5,991 421,682 374,376 
After 5 years2,853 2,783 57,008 43,767 
Total by maturity$9,789 $10,129 $612,770 $543,607 

(1)    The fair value amount receivable is composed of $3,514 million under protection purchased and $6,275 million under protection sold.
(2)    The fair value amount payable is composed of $7,037 million under protection purchased and $3,092 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 March 31, 2021 and December 31, 2020 was $22 billion and $25 billion, respectively. The Company posted $19 billion and $22 billion as collateral for this exposure in the normal course of business as of March 31, 2021 and December 31, 2020, 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 March 31, 2021, the Company could be required to post an additional $1 billion as either collateral or settlement of the derivative transactions. In addition, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $2 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 $1.9 billion and $2.0 billion as of March 31, 2021 and December 31, 2020, respectively.
At March 31, 2021, the fair value of these previously derecognized assets was $2.1 billion. The fair value of the total return swaps as of March 31, 2021 was $252 million recorded as gross derivative assets and $22 million recorded as gross derivative liabilities. At December 31, 2020, the fair value of these previously derecognized assets was $2.2 billion, and the fair value of the total return swaps was $135 million recorded as gross derivative assets and $7 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.

167

20.  FAIR VALUE MEASUREMENT
For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2020 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 March 31, 2021 and December 31, 2020:
 Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsMarch 31,
2021		December 31,
2020
Counterparty CVA$(642)$(800)
Asset FVA(449)(525)
Citigroup (own credit) CVA376 403 
Liability FVA91 67 
Total CVA—derivative instruments$(624)$(855)
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 March 31,
In millions of dollars20212020
Counterparty CVA$9 $(283)
Asset FVA69 (1,053)
Own credit CVA(37)533 
Liability FVA24 337 
Total CVA—derivative instruments$65 $(466)
DVA related to own FVO liabilities(1)
$(38)$4,188 
Total CVA and DVA$27 $3,722 

(1)    See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.



Fair Value Hierarchy
ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:

•Level 1: Quoted prices for identical instruments in active markets.
•Level 2: Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets.
•Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible. The frequency of transactions, the size of the bid/ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the relevance of observed prices in those markets.

168

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 March 31, 2021 and December 31, 2020. 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 March 31, 2021Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Securities borrowed and purchased under agreements to resell$— $308,726 $262 $308,988 $(110,080)$198,908 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed— 35,846 38 35,884 35,884 
Residential— 317 268 585 585 
Commercial— 813 59 872 872 
Total trading mortgage-backed securities$— $36,976 $365 $37,341 $— $37,341 
U.S. Treasury and federal agency securities$59,877 $2,325 $— $62,202 $62,202 
State and municipal— 1,171 94 1,265 1,265 
Foreign government76,118 16,226 81 92,425 92,425 
Corporate1,256 19,209 290 20,755 20,755 
Equity securities53,461 11,296 89 64,846 64,846 
Asset-backed securities— 951 1,208 2,159 2,159 
Other trading assets(2)
12 11,253 571 11,836 11,836 
Total trading non-derivative assets$190,724 $99,407 $2,698 $292,829 $— $292,829 
Trading derivatives
Interest rate contracts$95 $187,808 $3,080 $190,983 
Foreign exchange contracts— 139,621 557 140,178 
Equity contracts141 42,287 1,881 44,309 
Commodity contracts— 14,704 1,714 16,418 
Credit derivatives— 9,459 1,167 10,626 
Total trading derivatives$236 $393,879 $8,399 $402,514 
Cash collateral paid(3)
$21,388 
Netting agreements$(307,824)
Netting of cash collateral received(48,248)
Total trading derivatives$236 $393,879 $8,399 $423,902 $(356,072)$67,830 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$— $42,673 $30 $42,703 $42,703 
Residential— 437 — 437 437 
Commercial— 45 — 45 45 
Total investment mortgage-backed securities$— $43,155 $30 $43,185 $— $43,185 
  U.S. Treasury and federal agency securities$122,532 $168 $— $122,700 $122,700 
State and municipal— 2,457 794 3,251 3,251 
Foreign government73,560 45,531 523 119,614 119,614 
Corporate6,212 3,980 56 10,248 10,248 
Marketable equity securities184 65 — 249 249 
Asset-backed securities— 270 4 274 274 
Other debt securities— 4,764 — 4,764 4,764 
Non-marketable equity securities(4)
— 44 352 396 396 
Total investments$202,488 $100,434 $1,759 $304,681 $— $304,681 

Table continues on the next page.
169

In millions of dollars at March 31, 2021Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$—$5,581$1,944$7,525 $7,525 
Mortgage servicing rights——433433 433 
Non-trading derivatives and other financial assets measured on a recurring basis$2,311$7,864$—$10,175 $— $10,175 
Total assets$395,759$915,891$15,495$1,348,533 $(466,152)$882,381 
Total as a percentage of gross assets(5)
29.8%69.0%1.2%
Liabilities
Interest-bearing deposits$—$2,941$199$3,140 $3,140 
Securities loaned and sold under agreements to repurchase—161,693977162,670 (93,957)68,713 
Trading account liabilities
Securities sold, not yet purchased104,80213,730167118,699 118,699 
Other trading liabilities—14620 20 
Total trading liabilities$104,802$13,744$173$118,719 $— $118,719 
Trading derivatives
Interest rate contracts$77$173,362$1,851$175,290 
Foreign exchange contracts1137,144643137,788 
Equity contracts5651,3584,75756,171 
Commodity contracts—17,69798218,679 
Credit derivatives—9,4681,09610,564 
Total trading derivatives$134$389,029$9,329$398,492 
Cash collateral received(6)
$22,945 
Netting agreements$(307,824)
Netting of cash collateral paid(53,215)
Total trading derivatives$134$389,029$9,329$421,437 $(361,039)$60,398 
Short-term borrowings$—$7,357$49$7,406 $7,406 
Long-term debt—41,73426,33768,071 68,071 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$2,619$48$8$2,675 $2,675 
Total liabilities$107,555$616,546$37,072$784,118 $(454,996)$329,122 
Total as a percentage of gross liabilities(5)
14.1 %81.0 %4.9 %

(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 $74,603 million of gross cash collateral paid, of which $53,215 million was used to offset trading derivative liabilities.
(4)Amounts exclude $0.1 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 $71,193 million of gross cash collateral received, of which $48,248 million was used to offset trading derivative assets.

170

Fair Value Levels
In millions of dollars at December 31, 2020Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Securities borrowed and purchased under agreements to resell$— $335,073 $320 $335,393 $(150,189)$185,204 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed— 42,903 27 42,930 — 42,930 
Residential— 391 340 731 — 731 
Commercial— 893 136 1,029 — 1,029 
Total trading mortgage-backed securities$— $44,187 $503 $44,690 $— $44,690 
U.S. Treasury and federal agency securities$64,529 $2,269 $— $66,798 $— $66,798 
State and municipal— 1,224 94 1,318 — 1,318 
Foreign government68,195 15,143 51 83,389 — 83,389 
Corporate1,607 18,840 375 20,822 — 20,822 
Equity securities54,117 12,289 73 66,479 — 66,479 
Asset-backed securities— 776 1,606 2,382 — 2,382 
Other trading assets(2)
— 11,295 945 12,240 — 12,240 
Total trading non-derivative assets$188,448 $106,023 $3,647 $298,118 $— $298,118 
Trading derivatives
Interest rate contracts$42 $238,026 $3,393 $241,461 
Foreign exchange contracts2 155,994 674 156,670 
Equity contracts66 48,362 2,091 50,519 
Commodity contracts— 13,546 992 14,538 
Credit derivatives— 8,634 1,155 9,789 
Total trading derivatives$110 $464,562 $8,305 $472,977 
Cash collateral paid(3)
$32,778 
Netting agreements$(364,879)
Netting of cash collateral received(63,915)
Total trading derivatives$110 $464,562 $8,305 $505,755 $(428,794)$76,961 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$— $43,888 $30 $43,918 $— $43,918 
Residential— 571 — 571 — 571 
Commercial— 50 — 50 — 50 
Total investment mortgage-backed securities$— $44,509 $30 $44,539 $— $44,539 
U.S. Treasury and federal agency securities$146,032 $172 $— $146,204 $— $146,204 
State and municipal— 2,885 834 3,719 — 3,719 
Foreign government77,056 47,644 268 124,968 — 124,968 
Corporate6,326 4,114 60 10,500 — 10,500 
Marketable equity securities287 228 — 515 — 515 
Asset-backed securities— 277 1 278 — 278 
Other debt securities— 4,876 — 4,876 — 4,876 
Non-marketable equity securities(4)
— 50 349 399 — 399 
Total investments$229,701 $104,755 $1,542 $335,998 $— $335,998 
Table continues on the next page.
171

In millions of dollars at December 31, 2020Level 1Level 2Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—$4,869$1,985$6,854 $— $6,854 
Mortgage servicing rights——336336 — 336 
Non-trading derivatives and other financial assets measured on a recurring basis$6,230$8,383$—$14,613 $— $14,613 
Total assets$424,489$1,023,665$16,135$1,497,067 $(578,983)$918,084 
Total as a percentage of gross assets(5)
29.0%69.9%1.1%
Liabilities
Interest-bearing deposits$—$1,752$206$1,958 $— $1,958 
Securities loaned and sold under agreements to repurchase—156,644631157,275 (97,069)60,206 
Trading account liabilities
Securities sold, not yet purchased85,35314,477214100,044 — 100,044 
Other trading liabilities——2626 — 26 
Total trading liabilities$85,353$14,477$240$100,070 $— $100,070 
Trading account derivatives
Interest rate contracts$25$220,607$1,779$222,411 
Foreign exchange contracts3155,441622156,066 
Equity contracts5358,2125,30463,569 
Commodity contracts—17,39370018,093 
Credit derivatives—9,0221,10710,129 
Total trading derivatives$81$460,675$9,512$470,268 
Cash collateral received(6)
$8,196 
Netting agreements$(364,879)
Netting of cash collateral paid(45,628)
Total trading derivatives$81$460,675$9,512$478,464 $(410,507)$67,957 
Short-term borrowings$—$4,464$219$4,683 $— $4,683 
Long-term debt—41,85325,21067,063 — 67,063 
Non-trading derivatives and other financial liabilities measured on a recurring basis$6,762$72$1$6,835 $— $6,835 
Total liabilities$92,196$679,937$36,019$816,348 $(507,576)$308,772 
Total as a percentage of gross liabilities(5)
11.4 %84.1 %4.5 %

(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 $78,406 million of gross cash collateral paid, of which $45,628 million was used to offset trading derivative liabilities.
(4)Amounts exclude $0.2 billion of investments measured at 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 $72,111 million of gross cash collateral received, of which $63,915 million was used to offset trading derivative assets.


172


Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the three months ended March 31, 2021 and 2020. 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(1)
Transfers    
Unrealized
gains (losses)
still held(3)
In millions of dollarsDec. 31, 2020Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2021
Assets
Securities borrowed and purchased under agreements to resell$320 $(9)$— $— $— $233 $— $— $(282)$262 $3 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed27 (1)— 14 (1)1 — (2)— 38 (1)
Residential340 23 — 28 (3)144 — (264)— 268 7 
Commercial136 5 — 16 (33)13 — (78)— 59 (7)
Total trading mortgage-backed securities$503 $27 $— $58 $(37)$158 $— $(344)$— $365 $(1)
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal94 — — — — — — — — 94 1 
Foreign government51 1 — 11 — 57 — (39)— 81 (3)
Corporate375 90 — 6 (118)67 — (130)— 290 41 
Marketable equity securities73 45 — 4 (2)12 — (43)— 89 9 
Asset-backed securities1,606 39 — 18 (50)582 — (987)— 1,208 (79)
Other trading assets945 (44)— 30 (8)147 4 (499)(4)571 1 
Total trading non-derivative assets$3,647 $158 $— $127 $(215)$1,023 $4 $(2,042)$(4)$2,698 $(31)
Trading derivatives, net(4)
Interest rate contracts$1,614 $(172)$— $(45)$— $— $(84)$— $(84)$1,229 $(85)
Foreign exchange contracts52 (138)— 8 — 23 — (15)(16)(86)(31)
Equity contracts(3,213)303 — 36 6 24 — (23)(9)(2,876)268 
Commodity contracts292 314 — 158 (5)66 — (110)17 732 324 
Credit derivatives48 (64)— 67 3 — — — 17 71 (64)
Total trading derivatives, net(4)
$(1,207)$243 $— $224 $4 $113 $(84)$(148)$(75)$(930)$412 
Table continues on the next page.






173

  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains (losses)
still held(3)
In millions of dollarsDec. 31, 2020Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2021
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$30 $— $— $— $— $— $— $— $— $30 $— 
Residential— — — — — — — — — — — 
Commercial— — — — — — — — — — — 
Total investment mortgage-backed securities$30 $— $— $— $— $— $— $— $— $30 $— 
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal834 — (18)4 — 1 — (27)— 794 (16)
Foreign government268 — (2)— — 330 — (73)— 523 (11)
Corporate60 — (4)— — — — — — 56 — 
Marketable equity securities— — — — — — — — — — — 
Asset-backed securities1 — — 3 — — — — — 4 — 
Other debt securities— — — — — — — — — — — 
Non-marketable equity securities349 — 10 1 — — — (8)— 352 4 
Total investments$1,542 $— $(14)$8 $— $331 $— $(108)$— $1,759 $(23)
Loans$1,985 $— $(128)$211 $— $— $1 $— $(125)$1,944 $(125)
Mortgage servicing rights336 — 73 — — — 43 — (19)433 80 
Other financial assets measured on a recurring basis— — — — — — — — — — — 
Liabilities
Interest-bearing deposits$206 $— $16 $— $— $— $9 $— $— $199 $7 
Securities loaned and sold under agreements to repurchase631 (15)— — — 408 — — (77)977 (15)
Trading account liabilities
Securities sold, not yet purchased214 54 — 8 (4)10 — — (7)167 39 
Other trading liabilities26 20 — — — — — — — 6 21 
Short-term borrowings219 (1)— 2 (12)— 8 — (169)49 (1)
Long-term debt25,210 2,622 — 932 (2)— 5,720 — (2,901)26,337 1,962 
Other financial liabilities measured on a recurring basis1 — (3)— — — 14 — (10)8 (3)

(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit 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 and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2021.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.

174

  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2020
Assets           
Securities borrowed or purchased under agreements to resell$303 $(20)$— $— $— $66 $— $— $(49)$300 $3 
Trading non-derivative assets 
Trading mortgage-backed securities 
U.S. government-sponsored agency guaranteed10 (75)— 12 (3)141 — — — 85 4 
Residential123 (8)— 60 (4)178 — (45)— 304 (11)
Commercial61 — — 3 (3)27 — (44)— 44 (1)
Total trading mortgage-backed securities$194 $(83)$— $75 $(10)$346 $— $(89)$— $433 $(8)
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal64 2 — 10 (2)21 — (3)— 92 — 
Foreign government52 (85)— — — 86 — (14)— 39 70 
Corporate313 302 — 22 8 215 — (448)— 412 246 
Equity securities100 — — 28 (3)32 — (14)— 143 1 
Asset-backed securities1,177 (169)— 239 (4)468 — (150)— 1,561 (307)
Other trading assets555 193 — 28 (137)105 8 (103)(10)639 195 
Total trading non-derivative assets$2,455 $160 $— $402 $(148)$1,273 $8 $(821)$(10)$3,319 $197 
Trading derivatives, net(4)
Interest rate contracts$1 $351 $— $1,383 $(22)$1 $56 $13 $(28)$1,755 $314 
Foreign exchange contracts(5)(15)— (25)9 44 — (8)2 2 19 
Equity contracts(1,596)(210)— (287)224 3 — (1)31 (1,836)(223)
Commodity contracts(59)(459)— 38 (56)46 — (34)(18)(542)(441)
Credit derivatives(56)946 — 154 (286)— — — 58 816 946 
Total trading derivatives, net(4)
$(1,715)$613 $— $1,263 $(131)$94 $56 $(30)$45 $195 $615 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$32 $— $14 $— $1 $— $— $— $— $47 $34 
Residential— — — — — — — — — — — 
Commercial— — — — — — — — — — — 
Total investment mortgage-backed securities$32 $— $14 $— $1 $— $— $— $— $47 $34 
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal623 — (31)138 — — — (43)— 687 (9)
Foreign government96 — (2)27 — 147 — (43)— 225 (16)
Corporate45 — (8)49 — 152 — — — 238 — 
Equity securities— — — — — — — — — — — 
Asset-backed securities22 — 5 — — — — (11)— 16 — 
Other debt securities— — — — — — — — — — — 
Non-marketable equity securities441 — (74)— — — — (3)(10)354 (76)
Total investments$1,259 $— $(96)$214 $1 $299 $— $(100)$(10)$1,567 $(67)

Table continues on the next page.
175

  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2020
Loans$402 $— $(79)$217 $(1)$— $— $— $(2)$537 $(127)
Mortgage servicing rights495 — (143)— — — 32 — (17)367 (133)
Other financial assets measured on a recurring basis1 — — — — — — (1)— — — 
Liabilities
Interest-bearing deposits$215 $— $(6)$278 $— $— $— $— $(8)$491 $— 
Securities loaned or sold under agreements to repurchase757 27 — — — — — — — 730 (33)
Trading account liabilities— 
Securities sold, not yet purchased48 (167)— 8 (10)— 9 — (22)200 (240)
Other trading liabilities— — — — — — — — — — — 
Short-term borrowings13 10 — 11 — — 38 — — 52 10 
Long-term debt17,169 1,311 — 3,189 (2,693)— 4,261 — (1,346)19,269 936 
Other financial liabilities measured on a recurring basis— — — — — — 2 — (2)— — 

(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to credit 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 and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2020.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.

Level 3 Fair Value Rollforward
There were no significant Level 3 transfers for the period December 31, 2020 to March 31, 2021.

The following were the significant Level 3 transfers for the period December 31, 2019 to March 31, 2020:

•Transfers of Interest rate contracts of $1.4 billion from Level 2 to Level 3 due to interest rate option volatility becoming an unobservable and/or significant input relative to the overall valuation of inflation and other interest rate derivatives.
•Transfers of Long-term debt of $3.2 billion from Level 2 to Level 3, primarily driven by $2.0 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to the overall valuation of certain structured long-term debt products and $1.2 billion related to structured debt products where unobservable credit spreads widened, causing the value of the embedded credit derivative feature to become significant relative to the total value of the instrument. In other instances, market changes have resulted in unobservable volatility becoming an insignificant input to the overall valuation of the instrument (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $2.7 billion of certain structured long-term debt products being transferred from Level 3 to Level 2.

176

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 March 31, 2021
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets   
Securities borrowed and purchased under agreements to resell$262 Model-based
Credit spread
15 bps15 bps15 bps
Interest rate
0.34 %0.40 %0.37 %
Mortgage-backed securities$227 Price-basedPrice$24.00 $114.77 $91.51 
148 Yield analysisYield2.47 %19.21 %8.44 %
State and municipal, foreign government, corporate and other debt securities$1,488 
Price-based
Price
$—$865.86$89.54
778 
Model-based
Credit spread
35 bps375 bps230 bps
Marketable equity securities(5)
$49 Price-basedPrice$—$70,000$14,868
32 Model-based
Recovery
(in millions)
$5,733 $5,733 $5,733 
WAL
1.23 years1.23 years1.23 years
Asset-backed securities$789 Price-basedPrice$2.07$130.05$70.09
422 Yield analysisYield3.04 %15.54 %7.71 %
Non-marketable equities$214 Comparables analysisIlliquidity discount 10.00 %35.00 %21.94 %
100 Price-basedPE Ratio12.00x28.40x18.42x
37Model-basedAdjustment factor0.11x0.56x0.26x
Price$0.97$1,960.00$1,538.36
EBITDA multiples4.20x16.70x11.85x
Revenue multiple2.30x28.80x16.13x
Derivatives—gross(6)
Interest rate contracts (gross)$4,892 Model-basedInflation volatility0.26 %2.90 %0.78 %
IR normal volatility0.12 %0.89 %0.61 %
Foreign exchange contracts (gross)$1,200 Model-basedFX volatility0.59 %13.70 %11.78 %
Interest rate0.06 %46.79 %1.09 %
IR normal volatility0.12 %0.88 %0.41 %
Equity contracts (gross)(7)
$6,594 Model-basedEquity volatility5.98 %94.42 %42.72 %
Forward price61.90 %108.04 %93.54 %
Commodity and other contracts (gross)2,672 Model-basedCommodity correlation(51.81)%92.81 %62.96 %
Commodity volatility0.10 %65.86 %24.26 %
Forward price9.42 %383.13 %94.30 %
Credit derivatives (gross)$1,848 Model-basedCredit spread6 bps500 bps88 bps
413 Price-basedRecovery rate25.00 %60.00 %39.84 %
Upfront points— %99.12 %50.13 %
Loans and leases$1,893 Model-basedEquity volatility23.41 %80.12 %62.45 %
Mortgage servicing rights$354 Cash flowYield3.00 %16.60 %7.57 %
177

As of March 31, 2021
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
79 Model-basedWAL3.45 years6.91 years5.86 years
Liabilities
Interest-bearing deposits$199 Model-basedIR normal volatility0.12 %0.89 %0.68 %
Securities loaned and sold under agreements to repurchase$977 
Model-based
Interest rate
0.08 %1.86 %0.71 %
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities$129 Model-basedIR lognormal volatility60.74 %140.02 %109.00 %
45 Price-basedPrice$—$865.86$77.85
Interest rate0.20 %39.36 %7.26 %
Short-term borrowings and long-term debt$26,380 
Model-based
IR normal volatility0.12 %0.89 %0.62 %
Forward price
9.42 %383.13 %92.82 %
As of December 31, 2020
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets      
Securities borrowed and purchased under agreements to resell$320 Model-basedCredit spread15 bps15 bps15 bps
Interest rate0.30 %0.35 %0.32 %
Mortgage-backed securities$344 Price-basedPrice$30 $111 $80 
168 Yield analysisYield2.63 %21.80 %10.13 %
State and municipal, foreign government, corporate and other debt securities$1,566 Price-basedPrice$— $2,265 $90 
852 Model-basedCredit spread35 bps375 bps226 bps
Marketable equity securities(5)
$36 Model-basedPrice$— $31,000 $5,132 
36 Price-basedWAL1.48 years1.48 years1.48 years
Recovery
(in millions)
$5,733 $5,733 $5,733 
Asset-backed securities$863 Price-basedPrice$2 $157 $59 
744 Yield analysisYield3.77 %21.77 %9.01 %
Non-marketable equities$205 Comparables analysisIlliquidity discount10.00 %45.00 %25.29 %
PE ratio13.60x28.00x22.83x
142 Price-basedPrice$136 $2,041 $1,647 
EBITDA multiples3.30x36.70x15.10x
Adjustment factor0.20x0.61x0.25x
Appraised value
(in thousands)
$287 $39,745 $21,754 
Revenue multiple2.70x28.00x8.92x
Derivatives—gross(6)
Interest rate contracts (gross)$5,143 Model-basedInflation volatility0.27 %2.36 %0.78 %
IR normal volatility0.11 %0.73 %0.52 %
Foreign exchange contracts (gross)$1,296 Model-basedFX volatility1.70 %12.63 %5.41 %
Contingent event100.00 %100.00 %100.00 %
Interest rate0.84 %84.09 %17.55 %
IR normal volatility0.11 %0.52 %0.46 %
IR-FX correlation40.00 %60.00 %50.00 %
IR-IR correlation(21.71)%40.00 %38.09 %
Equity contracts (gross)(7)
$7,330 Model-basedEquity volatility5.00 %91.43 %42.74 %
Forward price65.88 %105.20 %91.82 %
178

As of December 31, 2020
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Commodity and other contracts (gross)$1,636 Model-basedCommodity correlation(44.92)%95.91 %70.60 %
Commodity volatility0.16 %80.17 %23.72 %
Forward price15.40 %262.00 %98.53 %
Credit derivatives (gross)$1,854 Model-basedCredit spread3.50 bps352.35 bps99.89 bps
408 Price-basedRecovery rate20.00 %60.00 %41.60 %
Credit correlation25.00 %80.00 %43.36 %
Upfront points— %107.20 %48.10 %
Loans and leases$1,804 Model-basedEquity volatility24.65 %83.09 %58.23 %
Mortgage servicing rights$258 Cash flowYield2.86 %16.00 %6.32 %
78 Model-basedWAL2.66 years5.40 years4.46 years
Liabilities
Interest-bearing deposits$206 Model-basedIR Normal volatility0.11 %0.73 %0.54 %
Securities loaned and sold under agreements to repurchase$631 Model-basedInterest rate0.08 %1.86 %0.71 %
Trading account liabilities
Securities sold, not yet purchased$178 Model-basedIR lognormal volatility52.06 %128.87 %89.82 %
62 Price-basedPrice$— $866 $80 
Interest rate10.03 %20.07 %13.70 %
Short-term borrowings and
long-term debt		$24,827 Model-basedIR Normal volatility0.11 %0.73 %0.51 %
Forward price15.40 %262.00 %92.48 %
(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 non-trading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)Includes hybrid products.


179


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 dollarsFair valueLevel 2Level 3
March 31, 2021   
Loans HFS(1)
$1,859 $895 $964 
Other real estate owned26 6 20 
Loans(2)
1,060 646 414 
Non-marketable equity securities measured using the measurement alternative254 254 — 
Total assets at fair value on a nonrecurring basis$3,199 $1,801 $1,398 
In millions of dollarsFair valueLevel 2Level 3
December 31, 2020   
Loans HFS(1)
$3,375 $478 $2,897 
Other real estate owned17 4 13 
Loans(2)
1,015 679 336 
Non-marketable equity securities measured using the measurement alternative315 312 3 
Total assets at fair value on a nonrecurring basis$4,722 $1,473 $3,249 
(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.


180

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 March 31, 2021
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$964 Price-basedPrice$74.33 $100.00 $98.00 
Other real estate owned$17 Recovery analysis
Appraised value(4)
$186,431 $4,328,299 $3,682,631 
3 Price-basedPrice53.30 53.30 53.30 
Loans(5)
$377 Price-basedPrice$2.50 $50.00 $25.06 
37 Recovery analysis
Appraised value(4)
95 43,646,426 15,277,236 
As of December 31, 2020
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$2,683 Price-basedPrice$79 $100 $98 
Other real estate owned$7 Price-based
Appraised value(4)
$3,110,711 $4,241,357 $3,586,975 
4 Recovery analysisPrice51 51 51 
Loans(5)
$147 Price-basedPrice$2 $49 $23 
73 Recovery analysisRecovery rate0.99 %78.00 %13.37 %
Appraised value(4)
$34 $43,646,426 $17,762,950 

(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 amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.


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 March 31,
In millions of dollars20212020
Loans HFS$(4)$(391)
Other real estate owned— — 
Loans(1)
1 (44)
Non-marketable equity securities measured using the measurement alternative81 22 
Total nonrecurring fair value gains (losses)$78 $(413)

(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
181

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.
 March 31, 2021Estimated fair value
 Carrying
value		Estimated
fair value
In billions of dollarsLevel 1Level 2Level 3
Assets 
Investments$167.1 $167.3 $59.4 $105.4 $2.5 
Securities borrowed and purchased under agreements to resell116.2 116.2 — 116.2 — 
Loans(1)(2)
636.2 653.1 — 0.9 652.2 
Other financial assets(2)(3)
415.8 415.8 305.5 19.2 91.1 
Liabilities
Deposits$1,297.8 $1,298.6 $— $1,125.7 $172.9 
Securities loaned and sold under agreements to repurchase150.5 150.5 — 150.5 — 
Long-term debt(4)
188.3 201.4 — 181.0 20.4 
Other financial liabilities(5)
117.6 117.6 — 18.3 99.3 
 December 31, 2020Estimated fair value
 Carrying
value		Estimated
fair value
In billions of dollarsLevel 1Level 2Level 3
Assets     
Investments$110.3 $113.2 $23.3 $87.0 $2.9 
Securities borrowed and purchased under agreements to resell109.5 109.5 — 109.5 — 
Loans(1)(2)
643.3 663.9 — 0.6 663.3 
Other financial assets(2)(3)
383.2 383.2 291.5 18.1 73.6 
Liabilities     
Deposits$1,278.7 $1,278.8 $— $1,093.3 $185.5 
Securities loaned and sold under agreements to repurchase139.3 139.3 — 139.3 — 
Long-term debt(4)
204.6 221.2 — 197.8 23.4 
Other financial liabilities(5)
102.4 102.4 — 19.2 83.2 
(1)The carrying value of loans is net of the Allowance for credit losses on loans of $21.6 billion for March 31, 2021 and $25.0 billion for December 31, 2020. In addition, the carrying values exclude $0.6 billion and $0.7 billion of lease finance receivables at March 31, 2021 and December 31, 2020, 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 March 31, 2021 and December 31, 2020 were liabilities of $7.3 billion and $7.3 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.

182

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 otherwise be revoked once an election is made. The
changes in fair value are recorded in current earnings. Movements in DVA are reported as a component of 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 (MSRs). 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 March 31,
In millions of dollars20212020
Assets  
Securities borrowed and purchased under agreements to resell$(28)$92 
Trading account assets101 (834)
Investments— — 
Loans 
Certain corporate loans129 (863)
Certain consumer loans— 1 
Total loans$129 $(862)
Other assets 
MSRs$73 $(143)
Certain mortgage loans HFS(1)
(3)62 
Total other assets$70 $(81)
Total assets$272 $(1,685)
Liabilities 
Interest-bearing deposits$37 $112 
Securities loaned and sold under agreements to repurchase13 (288)
Trading account liabilities2 (61)
Short-term borrowings(2)
(135)1,256 
Long-term debt(2)
2,008 7,365 
Total liabilities$1,925 $8,384 
(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.
183

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. 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.
Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse debt 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 non-derivative liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) were a loss of $38 million and a gain of $4,188 million for the three months ended March 31, 2021 and 2020, 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 Uncollateralized 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 uncollateralized short-term borrowings held primarily by broker-dealer entities in the United States, the 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:
 March 31, 2021December 31, 2020
In millions of dollarsTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$7,147 $7,525 $8,063 $6,854 
Aggregate unpaid principal balance in excess of (less than) fair value(112)(229)(915)(14)
Balance of non-accrual loans or loans more than 90 days past due— 4 — 4 
Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due— — — — 
184

In addition to the amounts reported above, $921 million and $1,068 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of March 31, 2021 and December 31, 2020, 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 three months ended March 31, 2021 and 2020 due to instrument-specific credit risk totaled to a loss of $(2) million and a loss of $(83) 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 $0.7 billion and $0.5 billion at March 31, 2021 and December 31, 2020, 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 March 31, 2021, there were approximately $6.0 billion and $5.0 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 dollarsMarch 31,
2021		December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet$1,434 $1,742 
Aggregate fair value in excess of (less than) unpaid principal balance(276)91 
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— — 
185

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 three months ended March 31, 2021 and 2020 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 dollarsMarch 31, 2021December 31, 2020
Interest rate linked$24.7 $16.0 
Foreign exchange linked0.8 1.2 
Equity linked29.5 27.3 
Commodity linked1.4 1.4 
Credit linked2.6 2.6 
Total$59.0 $48.5 
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 are 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 are 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 dollarsMarch 31, 2021December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet$68,071 $67,063 
Aggregate unpaid principal balance in excess of (less than) fair value(3,433)(5,130)

The following table provides information about short-term borrowings carried at fair value:
In millions of dollarsMarch 31, 2021December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet$7,406 $4,683 
Aggregate unpaid principal balance in excess of (less than) fair value— 68 
186

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 2020 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at March 31, 2021 and December 31, 2020:
Maximum potential amount of future payments 
In billions of dollars at March 31, 2021Expire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$23.3 $70.8 $94.1 $1,123 
Performance guarantees6.6 6.2 12.8 63 
Derivative instruments considered to be guarantees12.2 57.2 69.4 458 
Loans sold with recourse— 1.2 1.2 8 
Securities lending indemnifications(1)
132.1 — 132.1 — 
Credit card merchant processing(2)
96.4 — 96.4 3 
Credit card arrangements with partners— 0.8 0.8 7 
Custody indemnifications and other— 23.1 23.1 33 
Total$270.6 $159.3 $429.9 $1,695 
 Maximum potential amount of future payments 
In billions of dollars at December 31, 2020Expire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$25.3 $68.4 $93.7 $1,407 
Performance guarantees7.3 6.0 13.3 72 
Derivative instruments considered to be guarantees20.0 60.9 80.9 671 
Loans sold with recourse— 1.2 1.2 9 
Securities lending indemnifications(1)
112.2 — 112.2 — 
Credit card merchant processing(2)
101.9 — 101.9 3 
Credit card arrangements with partners0.2 0.8 1.0 7 
Custody indemnifications and other— 37.3 37.3 35 
Total$266.9 $174.6 $441.5 $2,204 
(1)The carrying values of securities lending indemnifications were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At March 31, 2021 and December 31, 2020, this maximum potential exposure was estimated to be $96 billion and $102 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.


187

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 sellers 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 agencies and, to a lesser extent, private investors. The repurchase reserve was approximately $32 million and $31 million at March 31, 2021 and December 31, 2020, respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet.

Credit Card Arrangements with Partners
Citi, in one 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 March 31, 2021 and December 31, 2020, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were immaterial.

Value-Transfer Networks (Including Exchanges and Clearing Houses) (VTNs)
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 certain narrow cases, to the full pro rata share. The maximum exposure is difficult to estimate as this
would require an assessment of claims that have not yet occurred; however, 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 March 31, 2021 or December 31, 2020 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 GE’s 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 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 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,
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including its insolvency or the failure of UFLIC to perform under its reinsurance contract or GE to perform under the capital maintenance agreement, 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 March 31, 2021 and December 31, 2020 related to this indemnification. However, if both events become reasonably possible (meaning more than remote but less than probable), Citi will be required to estimate and disclose a reasonably possible loss or range of loss to the extent that such an estimate could be made. In addition, if both events become probable, Citi will be required to accrue for such liability in accordance with applicable accounting principles.
Citi continues to closely monitor its potential exposure under this indemnification obligation, given GE’s 2018 LTC and other charges and the September 2019 AM Best credit ratings downgrade for the Genworth subsidiaries.
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 $16.8 billion and $16.6 billion as of March 31, 2021 and December 31, 2020, 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 March 31, 2021 and December 31, 2020, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to approximately $1.7 billion and $2.2 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 $60.5 billion and $51.6 billion at March 31, 2021 and December 31, 2020, respectively. Securities and other marketable assets held as collateral amounted to $92.2 billion and $80.1 billion at March 31, 2021 and December 31, 2020, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. In addition, letters of credit in favor of Citi held as collateral amounted to $4.9 billion and $6.6 billion at March 31, 2021 and December 31, 2020, 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.

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Performance Risk
Presented in the tables below are the maximum potential amounts of future payments that are classified based on 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 March 31, 2021Investment
grade		Non-investment
grade		Not
rated		Total
Financial standby letters of credit$78.2 $15.6 $0.3 $94.1 
Performance guarantees9.7 3.1 — 12.8 
Derivative instruments deemed to be guarantees— — 69.4 69.4 
Loans sold with recourse— — 1.2 1.2 
Securities lending indemnifications— — 132.1 132.1 
Credit card merchant processing— — 96.4 96.4 
Credit card arrangements with partners— — 0.8 0.8 
Custody indemnifications and other10.6 12.5 — 23.1 
Total$98.5 $31.2 $300.2 $429.9 
 Maximum potential amount of future payments
In billions of dollars at December 31, 2020Investment
grade		Non-investment
grade		Not
rated		Total
Financial standby letters of credit$78.5 $14.6 $0.6 $93.7 
Performance guarantees9.8 3.0 0.5 13.3 
Derivative instruments deemed to be guarantees— — 80.9 80.9 
Loans sold with recourse— — 1.2 1.2 
Securities lending indemnifications— — 112.2 112.2 
Credit card merchant processing— — 101.9 101.9 
Credit card arrangements with partners— — 1.0 1.0 
Custody indemnifications and other24.9 12.4 — 37.3 
Total$113.2 $30.0 $298.3 $441.5 

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 March 31, 2021. The operating lease ROU asset and lease liability were $2.9 billion and $3.1 billion, respectively, as of March 31, 2021, compared to an operating lease ROU asset of $2.8 billion and lease liability of $3.1 billion as of December 31, 2020. The Company recognizes fixed lease costs on a straight-line basis throughout the lease term in the Consolidated Statement of Income. In addition, variable lease costs are recognized in the period in which the obligation for those payments is incurred.


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Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:
In millions of dollarsU.S.Outside of 
U.S.		March 31,
2021		December 31,
2020
Commercial and similar letters of credit $783 $5,092 $5,875 $5,221 
One- to four-family residential mortgages3,393 2,387 5,780 5,002 
Revolving open-end loans secured by one- to four-family residential properties8,105 1,204 9,309 9,626 
Commercial real estate, construction and land development13,980 2,356 16,336 12,867 
Credit card lines609,591 100,961 710,552 710,399 
Commercial and other consumer loan commitments217,804 123,196 341,000 322,458 
Other commitments and contingencies5,302 1,299 6,601 5,715 
Total$858,958 $236,495 $1,095,453 $1,071,288 

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 March 31, 2021 and December 31, 2020, Citigroup had approximately $117.8 billion and $71.8 billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $72.9 billion and $62.5 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 Commodity 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 dollarsMarch 31,
2021		December 31,
2020
Cash and due from banks$3,884 $3,774 
Deposits with banks, net of allowance12,006 14,203 
Total$15,890 $17,977 

In response to the COVID-19 pandemic, the Federal Reserve Bank and certain other central banks eased regulations related to minimum required cash deposited with central banks.






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23.  CONTINGENCIES

The following information supplements and amends, as applicable, the disclosure in Note 27 to the Consolidated Financial Statements in Citi’s 2020 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 any litigation, regulatory, or 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 but not probable, 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 March 31, 2021, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately $1.4 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 any litigation, regulatory, and tax matters disclosed herein, see Note 27 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

ANZ Underwriting Matter
In March 2021, the investigation of Citigroup Global Markets Australia Pty Limited commenced by the Australia Securities and Investments Commission in 2016 concluded with no enforcement action.

Foreign Exchange Matters
Antitrust and Other Litigation: In 2020, a London-based investment manager issued a claim against Citibank and Citigroup Global Markets Limited (CGML), captioned THE ECU GROUP PLC v. CITIBANK N.A. AND OTHERS, in the High Court of Justice in London. The claimant alleges that it suffered losses from the handling and execution of certain foreign exchange stop loss orders and market orders. The claimant asserts common law and statutory claims and seeks compensatory damages. Additional information concerning this action is publicly available in court filings under the docket number FL-2020-000046.
On January 29, 2021, in J WISBEY & ASSOCIATES PTY LTD v. UBS AG & ORS, the court refused an application by plaintiffs to amend their pleadings. Additional information concerning this action is publicly available in court filings under the docket number VID567/2019.

Interbank Offered Rates–Related Litigation and Other Matters
Antitrust and Other Litigation: On March 17, 2021, in FUND LIQUIDATION HOLDINGS LLC, AS ASSIGNOR AND SUCCESSOR-IN-INTEREST TO FRONTPOINT ASIAN EVENT DRIVEN FUND L.P., ET AL. v. CITIBANK, N.A., ET AL., the United States Court of Appeals for the Second Circuit vacated the judgment of the district court regarding the court’s lack of jurisdiction and remanded the case for further proceedings. Additional information concerning this action is publicly available in court filings under the docket numbers 16 Civ. 5263 (S.D.N.Y.) (Hellerstein, J.) and 19-2719 (2d Cir.).
On April 8, 2021, in SCS BANQUE DELUBAC & CIE v. CITIGROUP INC., ET AL., the Cour de cassation of France affirmed the decision of the Court of Appeal of Nîmes, which had held that no court of France has territorial jurisdiction over Banque Delubac’s claims, and dismissed the plaintiff’s appeal. Additional information concerning this action is publicly available in court filings under docket numbers RG no. 2018F02750 in the Commercial Court of Marseille and 19-16.931 in the Cour de cassation.


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Revlon-related Wire Transfer Litigation
On February 26, 2021, Citibank filed a notice of appeal in the United States Court of Appeals of the district court’s judgment in favor of the defendants. Additional information concerning this action is publicly available in court filings under docket numbers 20-CV-6539 (S.D.N.Y.) (Furman, J.) and 21-487 (2d Cir.).

Shareholder Derivative and Securities Litigation
On February 4, 2021, three putative class action complaints were consolidated under the case name IN RE CITIGROUP SECURITIES LITIGATION, and a consolidated amended complaint was filed on April 20, 2021. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-9132 (S.D.N.Y.) (Nathan, J.).
On February 8, 2021, in IN RE CITIGROUP INC. SHAREHOLDER DERIVATIVE LITIGATION, the United States District Court for the Southern District of New York granted defendants’ motion for a stay pending resolution of defendants’ anticipated motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-09438 (S.D.N.Y.) (Nathan, J.).
On February 25, 2021, the Supreme Court of the State of New York stayed two derivative actions, which have been consolidated under the case name IN RE CITIGROUP INC. DERIVATIVE LITIGATION, pending resolution of defendants’ anticipated motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 656759/2020 (N.Y. Sup. Ct.) (Schecter, J.).

Sovereign Securities Matters
Antitrust and Other Litigation: On February 9, 2021, purchasers of Euro-denominated sovereign debt issued by European central governments added Citigroup Global Markets Inc., CGML and others as defendants to a putative class action, captioned IN RE EUROPEAN GOVERNMENT BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants engaged in a conspiracy to inflate prices of European government bonds in primary market auctions and to fix the prices of European government bonds in secondary markets. Plaintiffs assert a claim under the Sherman Act and seek treble damages and attorneys’ fees. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 02601 (S.D.N.Y.) (Marrero, J.).
On March 31, 2021, in IN RE TREASURY SECURITIES AUCTION ANTITRUST LITIGATION, the court granted defendants’ motion to dismiss all claims, without prejudice to plaintiffs filing an amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 15-MD-2673 (S.D.N.Y.) (Gardephe, J.).
On March 8, 2021, CITY OF NEW ORLEANS, ET AL. v. BANK OF AMERICA CORPORATION, ET AL. was transferred to the United States District Court for the Middle District of Louisiana. Additional information concerning this action is publicly available in court filings under the docket number 21 Civ. 147 (M.D. La.) (Dick, C.J.).

Tribune Company Bankruptcy
On April 19, 2021, the United States Supreme Court denied the Tribune noteholders’ petition for certiorari. Additional information concerning this action is publicly available in court filings under the docket numbers 12 MC 2296 (S.D.N.Y.) (Cote, J.), 13-3992 (2d Cir.), and 20-8 (U.S.).

Wind Farm Litigation
Beginning in March 2021, six wind farms in Texas have commenced actions in New York and Texas state courts for declaratory judgments and breach of contract, asserting that the February 2021 winter storm in Texas excused their performance to deliver energy to Citi Energy Inc. (CEI) under the force majeure provisions of their contracts with CEI. In addition to seeking a declaration that damages are not owed to CEI, the wind farms also seek temporary restraining orders and/or preliminary injunctions, preventing CEI from exercising remedies under the contracts. Additional information concerning these actions is publicly available in court filings under docket numbers 652078/2021 (Sup. Ct. N.Y. Cnty.) (Reed, J.), 2021-01387 (1st Dep’t), 652312/2021 (Sup. Ct. N.Y. Cnty.) (Reed, J.), 2021-23588 (District Court Harris County TX) (Schaffer, J.), and 2021-26150 (District Court Harris County TX) (Engelhart, J.).

Settlement Payments
Payments required in settlement agreements described above have been made or are covered by existing litigation or other accruals.



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24.  CONDENSED CONSOLIDATING FINANCIAL STATEMENTS

Citigroup previously amended its Registration Statement on Form S-3 on file with the SEC (File No. 33-192302), which added 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 months ended March 31, 2021 and 2020, Condensed Consolidating Balance Sheet as of March 31, 2021 and December 31, 2020 and Condensed Consolidating Statement of Cash Flows for the three months ended March 31, 2021 and 2020 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.

195

Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended March 31, 2021
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Revenues
Dividends from subsidiaries$100 $— $— $(100)$— 
Interest revenue— 971 11,563 — 12,534 
Interest revenue—intercompany958 145 (1,103)— — 
Interest expense1,212 223 933 — 2,368 
Interest expense—intercompany84 329 (413)— — 
Net interest revenue$(338)$564 $9,940 $— $10,166 
Commissions and fees$— $2,161 $1,509 $— $3,670 
Commissions and fees—intercompany(26)47 (21)— — 
Principal transactions1,769 5,658 (3,514)— 3,913 
Principal transactions—intercompany(1,878)(4,238)6,116 — — 
Other revenue55 103 1,420 — 1,578 
Other revenue—intercompany(64)(20)84 — — 
Total non-interest revenues$(144)$3,711 $5,594 $— $9,161 
Total revenues, net of interest expense$(382)$4,275 $15,534 $(100)$19,327 
Provisions for credit losses and for benefits and claims$— $4 $(2,059)$— $(2,055)
Operating expenses
Compensation and benefits$28 $1,334 $4,639 $— $6,001 
Compensation and benefits—intercompany24 — (24)— — 
Other operating11 642 4,419 — 5,072 
Other operating—intercompany3 680 (683)— — 
Total operating expenses$66 $2,656 $8,351 $— $11,073 
Equity in undistributed income of subsidiaries$8,173 $— $— $(8,173)$— 
Income (loss) from continuing operations before income taxes$7,725 $1,615 $9,242 $(8,273)$10,309 
Provision (benefit) for income taxes(217)452 2,097 — 2,332 
Income (loss) from continuing operations$7,942 $1,163 $7,145 $(8,273)$7,977 
Income (loss) from discontinued operations, net of taxes— — (2)— (2)
Net income before attribution of noncontrolling interests$7,942 $1,163 $7,143 $(8,273)$7,975 
Noncontrolling interests— — 33 — 33 
Net income (loss)$7,942 $1,163 $7,110 $(8,273)$7,942 
Comprehensive income
Add: Other comprehensive income (loss)$(2,953)$(50)$537 $(487)$(2,953)
Total Citigroup comprehensive income (loss)$4,989 $1,113 $7,647 $(8,760)$4,989 
Add: Other comprehensive income attributable to noncontrolling interests$— $— $(58)$— $(58)
Add: Net income attributable to noncontrolling interests— — 33 — 33 
Total comprehensive income (loss)$4,989 $1,113 $7,622 $(8,760)$4,964 
196

Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended March 31, 2020
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Revenues
Dividends from subsidiaries$105 $— $— $(105)$— 
Interest revenue— 1,903 15,236 — 17,139 
Interest revenue—intercompany1,144 341 (1,485)— — 
Interest expense1,143 1,141 3,363 — 5,647 
Interest expense—intercompany248 782 (1,030)— — 
Net interest revenue$(247)$321 $11,418 $— $11,492 
Commissions and fees$— $1,550 $1,471 $— $3,021 
Commissions and fees—intercompany(19)164 (145)— — 
Principal transactions(672)6,254 (321)— 5,261 
Principal transactions—intercompany502 (4,391)3,889 — — 
Other revenue80 49 828 — 957 
Other revenue—intercompany(70)13 57 — — 
Total non-interest revenues$(179)$3,639 $5,779 $— $9,239 
Total revenues, net of interest expense$(321)$3,960 $17,197 $(105)$20,731 
Provisions for credit losses and for benefits and claims$— $(1)$6,961 $— $6,960 
Operating expenses
Compensation and benefits$28 $1,296 $4,330 $— $5,654 
Compensation and benefits—intercompany74 — (74)— — 
Other operating23 598 4,368 — 4,989 
Other operating—intercompany4 482 (486)— — 
Total operating expenses$129 $2,376 $8,138 $— $10,643 
Equity in undistributed income of subsidiaries$2,382 $— $— $(2,382)$— 
Income (loss) from continuing operations before income
taxes		$1,932 $1,585 $2,098 $(2,487)$3,128 
Provision (benefit) for income taxes(604)337 847 — 580 
Income (loss) from continuing operations$2,536 $1,248 $1,251 $(2,487)$2,548 
Income (loss) from discontinued operations, net of taxes— — (18)— (18)
Net income (loss) before attribution of noncontrolling interests$2,536 $1,248 $1,233 $(2,487)$2,530 
Noncontrolling interests— — (6)— (6)
Net income (loss) $2,536 $1,248 $1,239 $(2,487)$2,536 
Comprehensive income
Add: Other comprehensive income (loss) $3,797 $1,757 $13,459 $(15,216)$3,797 
Total Citigroup comprehensive income (loss)$6,333 $3,005 $14,698 $(17,703)$6,333 
Add: Other comprehensive income attributable to noncontrolling interests$— $— $(51)$— $(51)
Add: Net income attributable to noncontrolling interests— — (6)— (6)
Total comprehensive income (loss)$6,333 $3,005 $14,641 $(17,703)$6,276 



197

Condensed Consolidating Balance Sheet
March 31, 2021
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Assets
Cash and due from banks$— $676 $25,528 $— $26,204 
Cash and due from banks—intercompany11 5,929 (5,940)— — 
Deposits with banks, net of allowance— 5,408 293,070 — 298,478 
Deposits with banks—intercompany3,000 8,833 (11,833)— — 
Securities borrowed and purchased under resale agreements— 258,976 56,096 — 315,072 
Securities borrowed and purchased under resale agreements—intercompany— 25,598 (25,598)— — 
Trading account assets265 222,114 138,280 — 360,659 
Trading account assets—intercompany1,202 11,732 (12,934)— — 
Investments, net of allowance1 235 472,723 — 472,959 
Loans, net of unearned income— 3,442 662,546 — 665,988 
Loans, net of unearned income—intercompany— — — — — 
Allowance for credit losses on loans (ACLL)— — (21,638)— (21,638)
Total loans, net$— $3,442 $640,908 $— $644,350 
Advances to subsidiaries$149,378 $— $(149,378)$— $— 
Investments in subsidiaries218,488 — — (218,488)— 
Other assets, net of allowance(1)
12,591 72,333 111,620 — 196,544 
Other assets—intercompany3,445 54,272 (57,717)— — 
Total assets$388,381 $669,548 $1,474,825 $(218,488)$2,314,266 
Liabilities and equity
Deposits $— $— $1,300,975 $— $1,300,975 
Deposits—intercompany— — — — — 
Securities loaned and sold under repurchase agreements— 201,562 17,606 — 219,168 
Securities loaned and sold under repurchase agreements—intercompany— 63,566 (63,566)— — 
Trading account liabilities32 129,449 49,636 — 179,117 
Trading account liabilities—intercompany1,000 11,181 (12,181)— — 
Short-term borrowings— 12,874 19,213 — 32,087 
Short-term borrowings—intercompany— 12,942 (12,942)— — 
Long-term debt164,099 50,267 41,969 — 256,335 
Long-term debt—intercompany— 72,433 (72,433)— — 
Advances from subsidiaries 17,937 — (17,937)— — 
Other liabilities, including allowance2,695 60,243 60,373 — 123,311 
Other liabilities—intercompany69 18,352 (18,421)— — 
Stockholders’ equity202,549 36,679 182,533 (218,488)203,273 
Total liabilities and equity$388,381 $669,548 $1,474,825 $(218,488)$2,314,266 

(1)Other assets for Citigroup parent company at March 31, 2021 included $31.6 billion of placements to Citibank and its branches, of which $19.4 billion had a remaining term of less than 30 days.



198

Condensed Consolidating Balance Sheet
December 31, 2020
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Assets
Cash and due from banks$— $628 $25,721 $— $26,349 
Cash and due from banks—intercompany16 6,081 (6,097)— — 
Deposits with banks, net of allowance— 5,224 278,042 — 283,266 
Deposits with banks—intercompany4,500 8,179 (12,679)— — 
Securities borrowed and purchased under resale agreements— 238,718 55,994 — 294,712 
Securities borrowed and purchased under resale agreements—intercompany— 24,309 (24,309)— — 
Trading account assets307 222,278 152,494 — 375,079 
Trading account assets—intercompany723 9,400 (10,123)— — 
Investments, net of allowance1 374 446,984 — 447,359 
Loans, net of unearned income— 2,524 673,359 — 675,883 
Loans, net of unearned income—intercompany— — — — — 
Allowance for credit losses on loans (ACLL)— — (24,956)— (24,956)
Total loans, net$— $2,524 $648,403 $— $650,927 
Advances to subsidiaries$152,383 $— $(152,383)$— $— 
Investments in subsidiaries213,267 — — (213,267)— 
Other assets, net of allowance(1)
12,156 60,273 109,969 — 182,398 
Other assets—intercompany2,781 51,489 (54,270)— — 
Total assets$386,134 $629,477 $1,457,746 $(213,267)$2,260,090 
Liabilities and equity
Deposits $— $— $1,280,671 $— $1,280,671 
Deposits—intercompany— — — — — 
Securities loaned and sold under repurchase agreements— 184,786 14,739 — 199,525 
Securities loaned and sold under repurchase agreements—intercompany— 76,590 (76,590)— — 
Trading account liabilities— 113,100 54,927 — 168,027 
Trading account liabilities—intercompany397 8,591 (8,988)— — 
Short-term borrowings— 12,323 17,191 — 29,514 
Short-term borrowings—intercompany— 12,757 (12,757)— — 
Long-term debt170,563 47,732 53,391 — 271,686 
Long-term debt—intercompany— 67,322 (67,322)— — 
Advances from subsidiaries 12,975 — (12,975)— — 
Other liabilities, including allowance2,692 55,217 52,558 — 110,467 
Other liabilities—intercompany65 15,378 (15,443)— — 
Stockholders’ equity199,442 35,681 178,344 (213,267)200,200 
Total liabilities and equity$386,134 $629,477 $1,457,746 $(213,267)$2,260,090 

(1)Other assets for Citigroup parent company at December 31, 2020 included $29.5 billion of placements to Citibank and its branches, of which $24.3 billion had a remaining term of less than 30 days.







199

Condensed Consolidating Statement of Cash Flows
Three Months Ended March 31, 2021
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$(4,966)$12,638 $15,526 $— $23,198 
Cash flows from investing activities of continuing operations
Purchases of investments$— $— $(111,187)$— $(111,187)
Proceeds from sales of investments— — 46,049 — 46,049 
Proceeds from maturities of investments— — 35,088 — 35,088 
Change in loans— — 9,933 — 9,933 
Proceeds from sales and securitizations of loans— — 323 — 323 
Change in securities borrowed and purchased under agreements to resell— (21,547)1,187 — (20,360)
Changes in investments and advances—intercompany1,887 (2,991)1,104 — — 
Other investing activities
— (23)(757)— (780)
Net cash provided by (used in) investing activities of continuing operations$1,887 $(24,561)$(18,260)$— $(40,934)
Cash flows from financing activities of continuing operations
Dividends paid$(1,356)$(115)$115 $— $(1,356)
Issuance of preferred stock
2,300 — — — 2,300 
Redemption of preferred stock
(1,500)— — — (1,500)
Treasury stock acquired(1,481)— — — (1,481)
Proceeds (repayments) from issuance of long-term debt, net(1,039)3,172 (9,049)— (6,916)
Proceeds (repayments) from issuance of long-term debt—intercompany, net— 5,702 (5,702)— — 
Change in deposits— — 20,304 — 20,304 
Change in securities loaned and sold under agreements to repurchase— 3,752 15,891 — 19,643 
Change in short-term borrowings— 551 2,022 — 2,573 
Net change in short-term borrowings and other advances—intercompany4,962 (405)(4,557)— — 
Other financing activities(312)— — — (312)
Net cash provided by financing activities of continuing operations$1,574 $12,657 $19,024 $— $33,255 
Effect of exchange rate changes on cash and due from banks$— $— $(452)$— $(452)
Change in cash and due from banks and deposits with banks$(1,505)$734 $15,838 $— $15,067 
Cash and due from banks and deposits with banks at beginning of period4,516 20,112 284,987 — 309,615 
Cash and due from banks and deposits with banks at end of period$3,011 $20,846 $300,825 $— $324,682 
Cash and due from banks$11 $6,605 $19,588 $— $26,204 
Deposits with banks, net of allowance3,000 14,241 281,237 — 298,478 
Cash and due from banks and deposits with banks at end of period$3,011 $20,846 $300,825 $— $324,682 
Supplemental disclosure of cash flow information for continuing operations
Cash paid during the period for income taxes$99 $31 $820 $— $950 
Cash paid during the period for interest
126 634 969 — 1,729 
Non-cash investing activities
Transfers to loans HFS from loans
$— $— $636 $— $636 

200

Condensed Consolidating Statement of Cash Flows
Three Months Ended March 31, 2020
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$4,334 $(38,869)$9,002 $— $(25,533)
Cash flows from investing activities of continuing operations
Purchases of investments$— $— $(108,658)$— $(108,658)
Proceeds from sales of investments— — 44,399 — 44,399 
Proceeds from maturities of investments— — 29,203 — 29,203 
Change in loans— — (26,743)— (26,743)
Proceeds from sales and securitizations of loans— — 596 — 596 
Change in securities borrowed and purchased under agreements to resell— (8,421)(2,793)— (11,214)
Changes in investments and advances—intercompany1,121 (9,442)8,321 — — 
Other investing activities— — (440)— (440)
Net cash provided by (used in) investing activities of continuing operations$1,121 $(17,863)$(56,115)$— $(72,857)
Cash flows from financing activities of continuing operations
Dividends paid$(1,365)$— $— $— $(1,365)
Issuance of preferred stock1,500 — — — 1,500 
Redemption of preferred stock(1,500)— — — (1,500)
Treasury stock acquired(2,925)— — — (2,925)
Proceeds (repayments) from issuance of long-term debt, net5,742 72 10,032 — 15,846 
Proceeds (repayments) from issuance of long-term debt—intercompany, net— 554 (554)— — 
Change in deposits— — 114,321 — 114,321 
Change in securities loaned and sold under agreements to repurchase— 49,341 6,644 — 55,985 
Change in short-term borrowings— 2,901 7,001 — 9,902 
Net change in short-term borrowings and other advances—intercompany(6,507)7,040 (533)— — 
Other financing activities(406)(119)119 — (406)
Net cash provided by (used in) financing activities of continuing operations$(5,461)$59,789 $137,030 $— $191,358 
Effect of exchange rate changes on cash and due from banks$— $— $(967)$— $(967)
Change in cash and due from banks and deposits with banks$(6)$3,057 $88,950 $— $92,001 
Cash and due from banks and deposits with banks at beginning of period3,021 16,441 174,457 — 193,919 
Cash and due from banks and deposits with banks at end of period$3,015 $19,498 $263,407 $— $285,920 
Cash and due from banks$15 $4,525 $19,215 $— $23,755 
Deposits with banks, net of allowance3,000 14,973 244,192 — 262,165 
Cash and due from banks and deposits with banks at end of period$3,015 $19,498 $263,407 $— $285,920 
Supplemental disclosure of cash flow information for continuing operations
Cash paid during the period for income taxes$16 $78 $1,347 $— $1,441 
Cash paid during the period for interest998 1,983 2,443 — 5,424 
Non-cash investing activities
Transfers to loans HFS from loans$— $— $224 $— $224 
201

UNREGISTERED SALES OF EQUITY SECURITIES, REPURCHASES OF EQUITY SECURITIES AND DIVIDENDS

Unregistered Sales of Equity Securities
None.

Equity Security Repurchases
Based on measures announced by the Federal Reserve Board in December 2020, share repurchases were permitted by Citi starting in the first quarter of 2021, subject to limitations based on net income for the four preceding calendar quarters, in addition to common dividends paid. Citi commenced share repurchases in February 2021 and repurchased an aggregate of $1.6 billion during the first quarter of 2021, as indicated in the table below. All shares repurchased were added to treasury stock. These limitations on capital distributions were extended by the Federal Reserve Board into the second quarter of 2021.

Based on the limitations on capital distributions, Citi is authorized to return capital to common shareholders of up to $4.1 billion during the second quarter of 2021, including common share repurchases and common dividends, subject to approval by Citi’s Board of Directors and the latest financial and macroeconomic conditions. For additional information on these capital distribution limitations, see “Capital Resources—Federal Reserve Board Limitations on Capital Distributions” above.


The following table summarizes Citi’s common share repurchases:
In millions, except per share amountsTotal shares purchasedAverage
price paid
per share
January 2021
Open market repurchases— $— 
Employee transactions(1)
— — 
February 2021
Open market repurchases3.5 67.22 
Employee transactions(1)
— — 
March 2021
Open market repurchases19.0 72.01 
Employee transactions(1)
— — 
Total for 1Q21 22.5 $71.26 

(1)    During the first quarter, pursuant to Citigroup’s Board of Directors’ authorization, Citi repurchased 4,720,987 shares (at an average price of $64.08) of common stock, added to treasury stock, related to activity on employee stock programs where shares were withheld to satisfy the employee tax requirements.

Dividends
Consistent with the regulatory capital framework, Citi declared common dividends of $0.51 per share for the second quarter of 2021 on April 1, 2021, and intends to maintain its planned capital actions, which include common dividends of $0.51 per share through the third quarter of 2021 (the remaining quarters of the 2020 CCAR cycle).
In addition to Board of Directors’ approval, Citi’s ability to pay common stock dividends substantially depends on 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 “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.



Through the end of the second quarter of 2021, dividends continue to be capped and tied to a formula based on recent income. These limitations on capital distributions may be extended by the Federal Reserve Board. For additional information on these capital distribution limitations, see “Capital Resources—Federal Reserve Board Limitations on Capital Distributions” above.
Any dividend on Citi’s outstanding common stock would also need to be 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 2020 Annual Report on Form 10-K.


202

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 5th day of May, 2021.



CITIGROUP INC.
(Registrant)





By    /s/ Mark A. L. Mason
Mark A. L. Mason
Chief Financial Officer
(Principal Financial Officer)



By    /s/ Johnbull E. Okpara
Johnbull E. Okpara
Controller and Chief Accounting Officer
(Principal Accounting Officer)


203

EXHIBIT INDEX
Exhibit
NumberDescription of Exhibit
 
 
 
 
   
 
104See the cover page of this Quarterly Report on Form 10-Q, formatted in Inline XBRL.
 
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.    



204

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