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Citigroup
C
#80
Rank
$207.08 B
Marketcap
๐Ÿ‡บ๐Ÿ‡ธ United States
Country
$115.74
Share price
-1.44%
Change (1 day)
47.80%
Change (1 year)
๐Ÿฆ Banks๐Ÿ’ณ Financial services
Categories
  1. Citigroup
  2. Quarterly Reports (10-Q)
  3. Financial Year FY2022 Q3

Citigroup - 10-Q quarterly report FY2022 Q3


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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 September 30, 2022

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 September 30, 2022: 1,936,852,864

Available on the web at www.citigroup.com


CITIGROUP’S THIRD QUARTER 2022—FORM 10-Q
OVERVIEW
1
MANAGEMENT’S DISCUSSION AND
ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS
3
Executive Summary
3
Summary of Selected Financial Data
8
SEGMENT REVENUES AND INCOME (LOSS)
10
SEGMENT BALANCE SHEET
11
Institutional Clients Group
12
Personal Banking and Wealth Management
16
Legacy Franchises
18
Corporate/Other
20
CAPITAL RESOURCES
21
MANAGING GLOBAL RISK TABLE OF
CONTENTS
34
MANAGING GLOBAL RISK
35
SIGNIFICANT ACCOUNTING POLICIES AND
SIGNIFICANT ESTIMATES
79
DISCLOSURE CONTROLS AND
PROCEDURES
85
DISCLOSURE PURSUANT TO SECTION 219 OF
THE IRAN THREAT REDUCTION AND SYRIA
HUMAN RIGHTS ACT
85
FORWARD-LOOKING STATEMENTS
86
FINANCIAL STATEMENTS AND NOTES
TABLE OF CONTENTS
91
CONSOLIDATED FINANCIAL STATEMENTS
92
NOTES TO CONSOLIDATED FINANCIAL
STATEMENTS (UNAUDITED)
99
UNREGISTERED SALES OF EQUITY SECURITIES,
REPURCHASES OF EQUITY SECURITIES AND
DIVIDENDS
225
GLOSSARY OF TERMS AND ACRONYMS
227















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, 2021 and Citigroup’s Current Report on Form 8-K dated May 10, 2022 (as amended by a Current Report on Form 8-K/A dated May 10, 2022), with Historical Consolidated Financial Statements and Notes, and Management’s Discussion and Analysis of Financial Condition and Results of Operations and other Form 10-K sections (such Current Report on Form 8-K together with Citigroup’s 2021 Annual Report on Form 10-K, collectively referred to as the 2021 Form 10-K). Such Current Report on Form 8-K was conformed to reflect changes in Citigroup’s operating segments and reporting units from those contained in Citi’s 2021 Annual Report on Form 10-K, included as an exhibit thereto. This Quarterly Report on Form 10-Q should also be read in conjunction with Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2022 (First Quarter of 2022 Form 10-Q), and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2022 (Second Quarter of 2022 Form 10-Q).
Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s annual reports on Form 10-K, quarterly reports on Form 10-Q, current reports on Form 8-K and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available and accessible free of charge on Citi’s website by clicking on the “Investors” tab and selecting “SEC Filings,” then “Citigroup Inc.” The SEC’s website also contains these filings 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 footnote 1 to “Summary of Selected Financial Data” and “Operating Segment and Reporting Unit—Income (Loss) and Revenues” below and Notes 1 and 3.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries. All “Note” references correspond to the Notes to the Consolidated Financial Statements herein, unless otherwise indicated.
For a list of terms and acronyms used in this Quarterly Report on Form 10-Q and other Citigroup presentations, see “Glossary of Terms and Acronyms” at the end of this report.

Please see “Risk Factors” in Citi’s 2021 Form 10-K for a discussion of material risks and uncertainties that could impact Citigroup’s businesses, results of operations and financial condition.
1

As of the first quarter of 2022, Citigroup implemented changes in its operating segments and reporting units to reflect its recent strategic refresh (for additional information, see “Strategic Refresh—Market Exit and Planned Revision to Reporting Structure” in Citi’s 2021 Form 10-K). As a result, Citigroup is managed pursuant to three operating segments: Institutional Clients Group, Personal Banking and Wealth Management and Legacy Franchises, with the remaining operations in Corporate/Other.

Citigroup Operating Segments
Institutional
Clients Group
(ICG)		Personal Banking
and Wealth Management
(PBWM)		Legacy Franchises
  
•Services
–Treasury and trade solutions (TTS)
–Securities services
 
•Markets
–Equity markets
–Fixed income markets
 
•Banking
–Investment banking
–Corporate lending
    
•U.S. Personal Banking
–Cards
◦Branded cards
◦Retail services
–Retail banking

•Global Wealth Management
(Global Wealth)
–Private bank
–Wealth at Work
–Citigold




  
•Asia Consumer Banking
(Asia Consumer)
–Retail banking and cards for the remaining 11 exit markets (Bahrain, China, India, Indonesia, Korea, Malaysia(1), Poland, Russia, Taiwan, Thailand(1) and Vietnam)

•Mexico Consumer Banking (Mexico Consumer) and Mexico Small Business and Middle-Market Banking (Mexico SBMM)
–Retail banking and cards
 
•Legacy Holdings Assets
–Certain North America consumer mortgage loans
–Other legacy assets


Corporate/Other

    

•Corporate Treasury managed portfolios
•Operations and technology
•Global staff functions and other corporate expenses
•Discontinued operations

The following are the four regions in which Citigroup operates. The regional results are fully reflected in the three operating segments and Corporate/Other above.
Citigroup Regions(2)
North
America
Europe,
Middle East
and Africa
(EMEA)
Latin
America		Asia

(1)     Citi completed the sales of its Thailand and Malaysia consumer businesses on November 1, 2022. See “Executive Summary” below.
(2)     North America includes the U.S., Canada and Puerto Rico, Latin America includes Mexico and Asia includes Japan.
2

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

EXECUTIVE SUMMARY

Third Quarter of 2022—Results Demonstrated Continued Progress Toward Achieving Priorities
As described further throughout this Executive Summary, during the third quarter of 2022:

•Citi’s revenues increased 6% versus the prior-year period, primarily driven by a gain on sale of Citi’s Philippines consumer business versus a loss on sale of Citi’s Australia consumer business in the prior-year period. Excluding Asia Consumer divestiture-related impacts in both the current and prior-year periods (see “Third Quarter of 2022 Results Summary” below), revenues decreased 1%, as higher net interest income was more than offset by lower non-interest revenues.
•Citi’s expenses increased 8% versus the prior-year period, driven by continued investments in Citi’s transformation, including risk, controls, data and finance programs (with approximately 25% of these investments related to technology); business-led investments and volume-related expenses; other risk and control investments; and inflation, partially offset by productivity savings and the impact of foreign exchange translation.
•Citi’s cost of credit was $1.4 billion, reflecting a net build in the allowance for credit losses (ACL) for loans and unfunded commitments of $0.4 billion, primarily due to consumer loan growth and a deterioration in macroeconomic forecasts primarily impacting the corporate portfolio, compared to a net ACL release of $1.2 billion in the prior-year period.
•Citi returned $1.0 billion to common shareholders in the form of dividends.
•Citi’s Common Equity Tier 1 (CET1) Capital ratio increased to 12.3% as of September 30, 2022, compared to 11.7% as of September 30, 2021 (for additional information, see “Capital Resources” below). Citi’s required regulatory CET1 Capital ratio is 11.5% as of October 1, 2022 and will be 12% as of January 1, 2023, both under the Standardized Approach. Due to the increases in regulatory capital requirements, as well as macroeconomic uncertainty, Citi has continued to pause common share repurchases as it continues to build capital.
•Citi continued to make progress on its consumer banking business divestitures in the current quarter, including completing the sale of its Philippines consumer business, which resulted in a regulatory capital benefit of approximately $0.7 billion, and working toward closing the other five previously signed sale transactions and the wind-downs of Korea and Russia (for information on Citi’s wind-down in Russia, see “Update Regarding Citi’s Operations in Russia” below). As previously announced, Citi completed the sales of its Thailand and Malaysia consumer businesses on November 1, 2022, which together are expected to result in a regulatory capital benefit of approximately $1 billion.



Third Quarter of 2022 Results Summary

Citigroup
Citigroup reported net income of $3.5 billion, or $1.63 per share, compared to net income of $4.6 billion, or $2.15 per share in the prior-year period. The decrease in net income was primarily driven by higher cost of credit resulting from loan growth in Personal Banking and Wealth Management (PBWM) and higher operating expenses, partially offset by the higher revenues. Citigroup’s effective tax rate was 20.0% in the current quarter versus 20.4% in the prior-year period (for additional information, see “Income Taxes” below). Earnings per share (EPS) decreased 24%, reflecting the decrease in net income, partially offset by a 4% decline in average diluted shares outstanding.
Results for the current quarter included Legacy Franchises Asia Consumer divestiture-related impacts of approximately $520 million in earnings before taxes (approximately $256 million after-tax), primarily driven by the Philippines and other Asia consumer exits, which primarily consisted of (i) an approximate $616 million Philippines gain on sale recorded in Other revenue and (ii) an approximate $107 million of aggregate divestiture-related costs, which, collectively, had a $0.13 positive impact on EPS. Excluding these divestiture-related impacts, EPS was $1.50 in the current quarter. Third quarter of 2021 results included Asia Consumer divestiture-related impacts of $(680) million (approximately $(580) million after-tax) within Legacy Franchises, primarily driven by a loss on sale of the Australia consumer business. (As used throughout this Form 10-Q, Citi’s results of operations and financial condition excluding the impact of the Philippines gain on sale and other Asia Consumer divestiture-related impacts are non-GAAP financial measures.)
Citigroup revenues of $18.5 billion increased 6% versus the prior-year period. Excluding the gain on sale of the Philippines consumer business in the quarter of approximately $0.6 billion and the loss on sale of the Australia consumer business in the prior-year period of approximately $0.7 billion, revenues were down 1%, as the impact of higher interest rates across businesses and strong loan growth in PBWM were more than offset by declines in Investment banking and Markets in Institutional Clients Group (ICG) and Asia investment product revenues in Global Wealth Management (Global Wealth).
Citigroup’s end-of-period loans were $646 billion, down 3% versus the prior-year period, largely driven by the impact of foreign exchange translation and lower balances in Legacy Franchises. The decline in Legacy Franchises primarily reflected the reclassification of loans to Other assets to reflect held-for-sale (HFS) accounting, as a result of the signing of sale agreements for consumer franchises in Asia and EMEA, as well as the impact of the Korea wind-down.
Citigroup’s end-of-period deposits were $1.3 trillion, down 3% versus the prior-year period, largely driven by declines in Legacy Franchises and the impact of foreign
3

exchange translation, partially offset by the issuance of institutional certificates of deposit, reflected in Corporate/Other, as Citigroup continued to diversify its funding profile.

Expenses
Citigroup’s operating expenses of $12.7 billion increased 8% versus the prior-year period, largely driven by continued investments in Citi’s transformation, business-led investments and volume-related expenses, other risk and control investments and inflation, partially offset by productivity savings and the benefit of foreign exchange translation. As discussed above, reported expenses included approximately $107 million of divestiture-related costs. Excluding these divestiture-related costs, expenses increased 7% versus the prior-year period, largely driven by the following:

•Approximately 2% was driven by transformation investments, with about two-thirds related to the risk, controls, data and finance programs (approximately 25% of the program investments were related to technology).
•Approximately 1% was driven by business-led investments as Citi continues to hire commercial and investment bankers as well as client advisers in wealth, and continues to invest in the client experience as well as front-office platforms and onboarding.
•Approximately 1% was driven by higher volume-related expenses across both PBWM and ICG.
•Approximately 3% was driven by other risk and control investments and inflation, partially offset by productivity savings and the impact of foreign exchange translation.

As previously disclosed, Citi expects to continue to incur higher expenses during the remainder of 2022, compared to the prior-year period, reflecting ongoing transformation-related, business-led and other risk and control investments and inflation.

Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims was a cost of $1.4 billion, compared to a benefit of $0.2 billion in the prior-year period. The higher cost of credit was driven by the net build in the allowance for credit losses (ACL) for loans and unfunded commitments of $0.4 billion, compared to a net ACL release of $1.2 billion in the prior-year period, partially offset by lower net credit losses. The net ACL build was primarily due to cards loan growth in PBWM and a deterioration in macroeconomic forecasts primarily impacting the corporate portfolio. 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 $0.9 billion decreased 8% versus the prior-year period. Consumer net credit losses decreased 4% to $881 million, primarily driven by Legacy Franchises (down 44% to $158 million), partially offset by an increase in PBWM. The lower net credit losses in Legacy Franchises primarily reflected improved delinquencies and the reclassification of loans to reflect HFS accounting as a result of the signing of sale agreements for consumer franchises in Asia and EMEA. The increase in net credit losses in PBWM was driven by Retail services (up 32% to $315 million),
reflecting ongoing normalization from historically low levels, partially offset by lower net credit losses in Branded cards (down 3% to $348 million). Corporate net credit losses decreased to $6 million from $39 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.

Capital
Citigroup’s CET1 Capital ratio was 12.3% as of September 30, 2022, compared to 11.7% as of September 30, 2021, based on the Basel III Standardized Approach for determining risk-weighted assets (RWA). The increase was primarily driven by net income, the impacts related to the closing of the Australia and Philippines consumer business sales, and business actions, including a reduction in RWA, partially offset by interest rate impacts on Citigroup’s investment portfolio and the return of capital to common shareholders. The increase in Citi’s CET1 Capital ratio was also partially offset by the impact of adopting the Standardized Approach for Counterparty Credit Risk (SA-CCR) on January 1, 2022.
Citigroup’s Supplementary Leverage ratio as of September 30, 2022 was 5.7%, compared to 5.8% as of September 30, 2021. The decrease was driven by lower Tier 1 Capital, partially offset by a decrease in Total Leverage Exposure. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.

Institutional Clients Group
ICG net income of $2.2 billion decreased 30% versus the prior-year period, largely driven by lower revenues, higher expenses and modestly higher cost of credit. ICG operating expenses of $6.5 billion increased 10%, driven by continued investments in Citi’s transformation, business-led investments and volume-related expenses, partially offset by productivity savings and foreign exchange translation.
ICG revenues of $9.5 billion decreased 5% (including losses on loan hedges) versus the prior-year period, as strong revenue growth in Services was more than offset by lower revenues across Markets and Banking. Results included losses on loan hedges of $56 million, compared to $46 million in the prior-year period.
Services revenues of $4.2 billion increased 33% versus the prior-year period. Treasury and trade solutions (TTS) revenues of $3.2 billion increased 40%, driven by 61% growth in net interest income and 8% growth in non-interest revenue. The strong performance in TTS was driven by business actions, including balance sheet optimization, deepening of relationships with existing clients and an increase in new clients across segments, as well as the benefit of higher interest rates. Securities services revenues of $968 million increased 15%, as net interest income increased 73%, driven by higher interest rates across currencies, partially offset by a 6% decrease in non-interest revenue due to the impact of lower market valuations.
Markets revenues of $4.1 billion were down 7% versus the prior-year period, largely driven by lower client activity levels in Equity markets and spread products and business actions, including a reduction in RWA. Fixed income markets
4

revenues of $3.1 billion increased 1%, as strength in rates and currencies was largely offset by continued headwinds in spread products. Equity markets revenues of $1.0 billion were down 25%, largely reflecting reduced client activity in equity derivatives relative to an unusually strong quarter in the prior-year period.
Banking revenues of $1.2 billion decreased 50% versus the prior-year period, including the losses on loan hedges in the current quarter and the prior-year period. Excluding the losses on loan hedges, Banking revenues of $1.3 billion decreased 49%, driven by lower revenues in both Investment banking and Corporate lending. Investment banking revenues of $631 million decreased 64%, as heightened macroeconomic uncertainty and market volatility continued to impact client activity. Excluding losses on loan hedges, Corporate lending revenues decreased 11%, driven by lower volumes and higher hedging costs. For additional information on the results of operations of ICG for the third quarter of 2022, see “Institutional Clients Group” below.

Personal Banking and Wealth Management
PBWM net income of $792 million decreased 58% versus the prior-year period, largely driven by a net ACL release in the prior-year period, versus a net ACL build in the current quarter. PBWM operating expenses of $4.1 billion increased 13%, primarily driven by continued investments in Citi’s transformation, other risk and control initiatives, business-led investments and volume-related expenses, partially offset by productivity savings.
PBWM revenues of $6.2 billion increased 6% versus the prior-year period, as net interest income growth, driven by strong loan growth across Branded cards and Retail services and higher interest rates, was partially offset by a decline in non-interest revenue, driven by lower investment fee revenues in Global Wealth and higher partner payments in Retail services.
U.S. Personal Banking revenues of $4.3 billion increased 10% versus the prior-year period. Branded cards revenues of $2.3 billion increased 10%, driven by the higher net interest income. In Branded cards, new account acquisitions increased 10%, card spend volumes increased 14% and average loans increased 12%. Retail services revenues of $1.4 billion increased 12%, driven by the higher net interest income, partially offset by the higher partner payments. Retail banking revenues of $642 million increased 2%, primarily driven by the higher interest rates and modest deposit growth.
Global Wealth revenues of $1.9 billion decreased 2% versus the prior-year period, as investment fee headwinds, particularly in Asia, more than offset net interest income growth from higher interest rates. For additional information on the results of operations of PBWM for the third quarter of 2022, see “Personal Banking and Wealth Management” below.


Legacy Franchises
Legacy Franchises net income was $316 million, compared to a net loss of $200 million in the prior-year period, primarily reflecting the Philippines gain on sale in the quarter and the Australia loss on sale in the prior-year period. Legacy Franchises expenses of $1.8 billion increased 6%, driven by divestiture-related costs.
Legacy Franchises revenues of $2.6 billion increased 66% versus the prior-year period, primarily driven by the Philippines gain on sale versus the Australia loss on sale in the prior-year period, as well as the impacts of the Korea wind-down and the loss of revenues from the exits of the Australia and Philippines consumer businesses. For additional information on the results of operations of Legacy Franchises for the third quarter of 2022, see “Legacy Franchises” below.

Corporate/Other
Corporate/Other net income was $209 million, compared to a net loss of $143 million in the prior-year period, largely reflecting higher revenues and lower expenses. Corporate/Other operating expenses of $286 million decreased 35%.
Corporate/Other revenues of $299 million increased from $68 million in the prior-year period, largely driven by higher net revenue from the investment portfolio due to higher interest rates, partially offset by mark-to-market losses, primarily related to retained interchange litigation risk associated with shares of Visa B common stock that Citi previously sold. For additional information on the results of operations of Corporate/Other for the third quarter of 2022, see “Corporate/Other” below.

Update Regarding Citi’s Operations in Russia
As part of Citi’s previously announced intent to reduce its operations in and exposure to Russia, Citi disclosed its decision to wind down its Russia consumer and local commercial banking businesses, including the pursuit of portfolio sales. On October 28, 2022, Citi entered into an agreement to sell a consumer loan portfolio, including a referral agreement to transfer a portfolio of credit card loans. Additionally, Citi disclosed that it will be ending nearly all of the institutional banking services it offers in Russia by the end of the first quarter of 2023. Going forward, Citi’s only operations in Russia will be those necessary to fulfill its remaining legal and regulatory obligations. For additional information about Citi’s operations and exposure in Russia, see “Institutional Clients Group,” “Legacy Franchises” and “Managing Global Risk—Other Risks—Country Risk—Russia” below.

Macroeconomic and Other Risks and Uncertainties
Various geopolitical and macroeconomic challenges and uncertainties continue to adversely impact economic conditions in the U.S. and globally. The U.S. and other countries have continued to experience significantly elevated levels of inflation, resulting in central banks implementing a series of interest rate increases, with additional increases expected in the near term. In addition to the humanitarian crisis, the war in Ukraine has caused supply shocks in energy and food markets. Disruptions in global supply chains have continued and the COVID-19 pandemic continues to evolve.
5

An economic rebound in China faces constraints given the potential for future pandemic-related lockdowns, the amount of leverage in its economy and stress in the property sector. All of these factors have caused declines in financial markets, negatively impacted global economic growth rates, contributed to sharply lower consumer confidence and further increased the risk of recession in Europe, the U.S. and other countries. These and other factors could adversely affect Citi’s customers, clients, businesses, funding costs and results during the remainder of 2022.
For a further discussion of trends, uncertainties and risks that will or could impact Citi’s businesses, results of operations, capital and other financial condition during the remainder of 2022, see each respective business’s results of operations, “Managing Global Risk—Other Risks—Country Risk—Russia” and “Forward-Looking Statements” below and “Risk Factors” and “Managing Global Risk” in Citi’s 2021 Form 10-K.


CITI’S CONSENT ORDER COMPLIANCE

As previously disclosed, in 2021, Citi submitted its plans to address the consent orders to both the Federal Reserve Board and Office of the Comptroller of the Currency (OCC). Citi continues to work constructively with the regulators, and will continue to reflect their feedback by submitting updates to its project plans and on execution progress for the consent orders. For additional information about the consent orders, see “Citi’s Consent Order Compliance” and “Risk Factors—Compliance Risks” in Citi’s 2021 Form 10-K.

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7

RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA
Citigroup Inc. and Consolidated Subsidiaries

Third QuarterNine Months
In millions of dollars, except per share amounts2022
2021(1)
% Change2022
2021(1)
% Change
Net interest income$12,563 $10,691 18 %$35,398 $31,675 12 %
Non-interest revenue5,945 6,756 (12)21,934 23,192 (5)
Revenues, net of interest expense$18,508 $17,447 6 %$57,332 $54,867 4 %
Operating expenses12,749 11,777 8 38,307 34,661 11 
Provisions for credit losses and for benefits and claims1,365 (192)NM3,394 (3,313)NM
Income from continuing operations before income taxes$4,394 $5,862 (25)%$15,631 $23,519 (34)%
Income taxes879 1,193 (26)3,002 4,680 (36)
Income from continuing operations$3,515 $4,669 (25)%$12,629 $18,839 (33)%
Income (loss) from discontinued operations, net of taxes(6)(1)NM(229)7 NM
Net income before attribution to noncontrolling interests$3,509 $4,668 (25)%$12,400 $18,846 (34)%
Net income attributable to noncontrolling interests30 24 25 68 67 1 
Citigroup’s net income$3,479 $4,644 (25)%$12,332 $18,779 (34)%
Earnings per share 
Basic 
Income from continuing operations$1.64 $2.17 (24)%$5.99 $8.70 (31)%
Net income1.64 2.17 (24)5.87 8.70 (33)
Diluted
Income from continuing operations$1.63 $2.15 (24)%$5.95 $8.64 (31)%
Net income1.63 2.15 (24)5.84 8.65 (32)
Dividends declared per common share 0.51 0.51 — 1.53 1.53 — 
Common dividends $1,001 $1,040 (4)%$3,025 $3,176 (5)%
Preferred dividends(2)
277 266 4 794 811 (2)
Common share repurchases— 3,000 NM3,250 7,600 (57)

Table continues on the next page, including footnotes.

8

SUMMARY OF SELECTED FINANCIAL DATA
(Continued)
Citigroup Inc. and Consolidated Subsidiaries

In millions of dollars, except per share amounts,
ratios and direct staff		Third QuarterNine Months
2022
2021(1)
% Change2022
2021(1)
% Change
At September 30:
Total assets$2,381,064 $2,361,876 1 %
Total deposits 1,306,486 1,347,528 (3)
Long-term debt253,068 258,274 (2)
Citigroup common stockholders’ equity179,565 182,880 (2)
Total Citigroup stockholders’ equity198,560 200,875 (1)
Average assets2,399,446 2,346,025 2 $2,384,513 $2,334,876 2 %
Direct staff (in thousands)
238 220 8 %
Performance metrics
Return on average assets0.58 %0.79 %0.69 %1.08 %
Return on average common stockholders’ equity(3)
7.1 9.5 8.6 13.2 
Return on average total stockholders’ equity(3)
6.9 9.1 8.3 12.5 
Return on tangible common equity (RoTCE)(4)
8.2 11.0 9.9 15.4 
Efficiency ratio (total operating expenses/total revenues, net)68.9 67.5 66.8 63.2 
Basel III ratios
Common Equity Tier 1 Capital(5)
12.29 %11.65 %
Tier 1 Capital(5)
14.01 13.15 
Total Capital(5)
15.09 15.37 
Supplementary Leverage ratio(5)
5.71 5.80 
Citigroup common stockholders’ equity to assets7.54 %7.74 %
Total Citigroup stockholders’ equity to assets8.34 8.50 
Dividend payout ratio(6)
31 24 26 %18 %
Total payout ratio(7)
31 92 54 60 
Book value per common share$92.71 $92.16 1 %
Tangible book value (TBV) per share(4)
80.34 79.07 2 

(1)    During the fourth quarter of 2021, Citi reclassified deposit insurance expenses from Interest expense to Other operating expenses for all periods presented. The amounts reclassified for the third quarter and nine months of 2021 were $293 million and $912 million, respectively.
(2)    Certain series of preferred stock have semiannual payment dates. See Note 20 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
(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 binding Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach, whereas Citi’s binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for both periods presented. As of September 30, 2022, the Supplementary Leverage ratio and the Total Capital ratio under the Basel III Advanced Approaches framework became more binding than the Common Equity Tier 1 Capital ratio under the Basel III Standardized Approach. Each of Citi’s Basel III risk-based capital and leverage ratios exceeded the respective regulatory capital requirement by at least $19 billion as of September 30, 2022. Citi expects the Basel III Standardized Approach capital ratios to be more binding in future quarters due to the increased Stress Capital Buffer in the fourth quarter of 2022 and the additional GSIB surcharge in the first quarter of 2023.
(6)    Dividends declared per common share as a percentage of net income per diluted share.
(7)    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 and “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends” below for the component details.
NM Not meaningful



9

SEGMENT REVENUES AND INCOME (LOSS)

REVENUES

Third QuarterNine Months
In millions of dollars20222021% Change20222021% Change
Institutional Clients Group$9,468 $9,991 (5)%$32,047 $30,928 4 %
Personal Banking and Wealth Management6,187 5,852 6 18,121 17,542 3 
Legacy Franchises2,554 1,536 66 6,420 6,058 6 
Corporate/Other299 68 NM744 339 NM
Total Citigroup net revenues$18,508 $17,447 6 %$57,332 $54,867 4 %

NM Not meaningful
INCOME

Third QuarterNine Months
In millions of dollars20222021% Change20222021% Change
Income (loss) from continuing operations
Institutional Clients Group$2,186 $3,115 (30)%$8,822 $11,978 (26)%
Personal Banking and Wealth Management792 1,896 (58)3,205 6,121 (48)
Legacy Franchises316 (201)NM(84)611 NM
Corporate/Other221 (141)NM686 129 NM
Income from continuing operations $3,515 $4,669 (25)%$12,629 $18,839 (33)%
Discontinued operations$(6)$(1)NM$(229)$7 NM
Less: Net income attributable to noncontrolling interests30 24 25 %68 67 1 %
Citigroup’s net income$3,479 $4,644 (25)%$12,332 $18,779 (34)%

NM Not meaningful
10

SEGMENT BALANCE SHEET(1)—SEPTEMBER 30, 2022
In millions of dollarsInstitutional
Clients
Group		Personal Banking
and Wealth Management		Legacy Franchises
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$104,690 $5,495 $3,525 $185,897 $— $299,607 
Securities borrowed and purchased under agreements to resell, net of allowance348,267 530 417 — — 349,214 
Trading account assets342,289 4,212 676 11,083 — 358,260 
Investments, net of allowance125,479 73 1,483 380,981 — 508,016 
Loans, net of unearned income and allowance for credit losses on loans278,595 315,352 35,704 — — 629,651 
Other assets, net of allowance134,590 26,751 33,159 41,816 — 236,316 
Net inter-segment liquid assets(4)
372,431 126,539 25,306 (524,276)— — 
Total assets$1,706,341 $478,952 $100,270 $95,501 $— $2,381,064 
Liabilities and equity   
Total deposits$796,871 $427,336 $50,400 $31,879 $— $1,306,486 
Securities loaned and sold under
agreements to repurchase		201,793 41 1,595 — — 203,429 
Trading account liabilities192,755 3,259 305 160 — 196,479 
Short-term borrowings35,104 — — 12,264 — 47,368 
Long-term debt(3)
80,716 229 424 12,448 159,251 253,068 
Other liabilities118,050 12,287 30,592 14,188 — 175,117 
Net inter-segment funding (lending)(3)
281,052 35,800 16,954 24,005 (357,811)— 
Total liabilities$1,706,341 $478,952 $100,270 $94,944 $(198,560)$2,181,947 
Total stockholders’ equity(5)
— — — 557 198,560 199,117 
Total liabilities and equity$1,706,341 $478,952 $100,270 $95,501 $— $2,381,064 

(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reportable segment. The respective segment information depicts the assets and liabilities managed by each segment.
(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.
11

INSTITUTIONAL CLIENTS GROUP
Institutional Clients Group (ICG) includes Services, Markets and Banking (for additional information on these businesses, see “Citigroup Operating Segments” above). ICG provides corporate, institutional and public sector 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, 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 2021 Form 10-K.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 95 countries and jurisdictions. As previously disclosed, Citi intends to end nearly all of the institutional banking services it offers in Russia by the end of the first quarter of 2023. Going forward, Citi’s only operations in Russia will be those necessary to fulfill its remaining legal and regulatory obligations. At this time, Citi does not expect the costs incurred in relation to this action to be material. For additional information about Citi’s continued efforts to reduce its operations and exposure in Russia, see “Legacy Franchises” and “Managing Global Risk—Other Risks—Country Risk—Russia” below.
At September 30, 2022, ICG had $1.7 trillion in assets and $797 billion in deposits. Securities services managed $20.7 trillion in assets under custody and administration at September 30, 2022, of which Citi provided both custody and administrative services to certain clients related to $1.8 trillion of such assets. Managed assets under trust were $3.9 trillion at September 30, 2022. For additional information on these operations, see “Administration and Other Fiduciary Fees” in Note 5.

Third QuarterNine Months
In millions of dollars, except as otherwise noted20222021% Change20222021% Change
Commissions and fees$1,082 $1,055 3 %$3,337 $3,236 3 %
Administration and other fiduciary fees651 676 (4)2,055 2,031 1 
Investment banking fees(1)
816 1,685 (52)2,845 5,040 (44)
Principal transactions2,776 2,229 25 11,576 8,109 43 
Other(427)608 NM(640)1,281 NM
Total non-interest revenue$4,898 $6,253 (22)%$19,173 $19,697 (3)%
Net interest income (including dividends)4,570 3,738 22 12,874 11,231 15 
Total revenues, net of interest expense$9,468 $9,991 (5)%$32,047 $30,928 4 %
Total operating expenses$6,541 $5,963 10 %$19,698 $17,724 11 %
Net credit losses on loans$— $31 (100)%$48 $274 (82)%
Credit reserve build (release) for loans75 14 NM595 (1,901)NM
Provision (release) for credit losses on unfunded lending commitments(59)(13)NM124 (572)NM
Provisions (releases) for credit losses on HTM debt securities and other assets70 (8)NM88 (10)NM
Provisions (releases) for credit losses$86 $24 NM$855 $(2,209)NM
Income from continuing operations before taxes$2,841 $4,004 (29)%$11,494 $15,413 (25)%
Income taxes655 889 (26)2,672 3,435 (22)
Income from continuing operations$2,186 $3,115 (30)%$8,822 $11,978 (26)%
Noncontrolling interests24 24 — 59 73 (19)
Net income$2,162 $3,091 (30)%$8,763 $11,905 (26)%
Balance Sheet data (in billions of dollars)
EOP assets$1,706 $1,670 2 %
Average assets
1,729 1,660 4 $1,704 $1,659 3 %
Efficiency ratio69 %60 %61 %57 %
Average loans by reporting unit (in billions of dollars)
Services$82 $76 8 %$82 $73 12 %
Banking197 196 1 197 197 — 
Markets12 17 (29)13 16 (19)
Total$291 $289 1 %$292 $286 2 %
Average deposits by reporting unit and component
(in billions of dollars)
12

TTS$664 $668 (1)%$664 $658 1 %
Securities services131 135 (3)134 133 1 
Services$795 $803 (1)%$798 $791 1 %
Markets22 28 (21)26 28 (7)
Total$817 $831 (2)%$824 $819 1 %
(1)    Investment banking fees are substantially composed of underwriting and advisory revenues.
NM Not meaningful

ICG Revenue Details
Third QuarterNine Months
In millions of dollars20222021% Change20222021% Change
Services
Net interest income$2,619 $1,613 62 %$6,853 $4,870 41 %
Non-interest revenue1,558 1,528 2 4,795 4,411 9 
Total Services revenues$4,177 $3,141 33 %$11,648 $9,281 26 %
Net interest income$2,232 $1,389 61 %$5,917 $4,221 40 %
Non-interest revenue977 908 8 2,911 2,549 14 
TTS revenues$3,209 $2,297 40 %$8,828 $6,770 30 %
Net interest income$387 $224 73 %$936 $649 44 %
Non-interest revenue581 620 (6)1,884 1,862 1 
Securities services revenues$968 $844 15 %$2,820 $2,511 12 %
Markets
Net interest income$1,228 $1,265 (3)%$3,720 $3,953 (6)%
Non-interest revenue2,840 3,122 (9)11,494 10,622 8 
Total Markets revenues(1)
$4,068 $4,387 (7)%$15,214 $14,575 4 %
Fixed income markets$3,062 $3,040 1 %$11,445 $10,497 9 %
Equity markets1,006 1,347 (25)3,769 4,078 (8)
Total Markets revenues$4,068 $4,387 (7)%$15,214 $14,575 4 %
Rates and currencies$2,492 $2,112 18 %$9,000 $7,114 27 %
Spread products / other fixed income570 928 (39)2,445 3,383 (28)
Total Fixed income markets revenues$3,062 $3,040 1 %$11,445 $10,497 9 %
Banking
Net interest income$723 $860 (16)%$2,301 $2,408 (4)%
Non-interest revenue500 1,603 (69)2,884 4,664 (38)
Total Banking revenues$1,223 $2,463 (50)%$5,185 $7,072 (27)%
Investment banking
Advisory$392 $539 (27)%$1,096 $1,225 (11)%
Equity underwriting100 468 (79)462 1,787 (74)
Debt underwriting139 770 (82)906 2,066 (56)
Total Investment banking revenues$631 $1,777 (64)%$2,464 $5,078 (51)%
Corporate lending (excluding gains (losses) on loan hedges)(2)
$648 $732 (11)%$2,114 $2,155 (2)%
Total Banking revenues (excluding gains (losses) on loan hedges)(2)
$1,279 $2,509 (49)%$4,578 $7,233 (37)%
Gains (losses) on loan hedges(2)
(56)(46)(22)607 (161)NM
Total Banking revenues (including gains (losses) on loan hedges)(2)
$1,223 $2,463 (50)%$5,185 $7,072 (27)%
Total ICG revenues, net of interest expense
$9,468 $9,991 (5)%$32,047 $30,928 4 %

(1)    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 income may be risk managed with derivatives that are recorded in Principal transactions revenue within Non-interest revenue. For a description of the composition of these revenue line items, see Notes 4, 5 and 6.
(2)    Credit derivatives are used to economically hedge a portion of the corporate loan portfolio that includes both accrual loans and loans at fair value. Gains (losses) on loan hedges include the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium
13

costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.
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 and loans at fair value, which are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.

3Q22 vs. 3Q21
Net income of $2.2 billion decreased 30%, primarily driven by lower revenues, higher expenses and modestly higher cost of credit.
Revenues decreased 5% (including losses on loan hedges), primarily reflecting lower Banking and Markets revenues, partially offset by higher Services revenues. Banking revenues were down 50% (including the impact of losses on loan hedges), largely reflecting lower revenues in both Investment banking and Corporate lending. Markets revenues were down 7%, primarily driven by Equity markets, partially offset by higher Fixed income markets revenues. Markets revenues were also impacted by business actions, including a reduction in RWA. Services revenues were up 33%, driven by higher revenues in both TTS and Securities services.
Citi expects that revenues in its Investment banking businesses will continue to reflect the overall market environment, including reduced levels of capital markets and M&A activity, during the remainder of 2022.

Within Services:

•TTS revenues increased 40%, driven by 61% growth in net interest income and 8% growth in non-interest revenue, reflecting strong growth across all client segments. The increase in net interest income was driven by both the cash and trade businesses, reflecting benefits from higher interest rates, balance sheet optimization and higher average loans (9% increase). The increase in average loans was driven by the trade business, reflecting strength in trade flows, primarily in Asia and Latin America, partially offset by asset sales in North America. Average deposits decreased 1%, largely driven by foreign exchange translation. The increase in non-interest revenue was primarily due to strong fee growth across both the cash and trade businesses, reflecting solid client engagement and healthy growth of underlying drivers, with U.S. dollar clearing volumes up 2%, cross-border flows up 10% and commercial card spend up 49%.
•Securities services revenues increased 15%, as net interest income grew 73%, driven by higher interest rates across currencies. Non-interest revenues decreased 6%, driven by lower fees in the custody business due to lower assets under custody (decline of 5%), driven by declines in global financial markets. The decline in non-interest revenues was partially offset by continued elevated levels of corporate activity in Issuer services.


Within Markets:

•Fixed income markets revenues increased 1%, driven by growth in rates and currencies in EMEA and Asia, due to strong corporate client engagement, largely offset by a continued decline in spread products, driven by North America.
Rates and currencies increased 18%, reflecting increased market volatility, driven by rising interest rates and quantitative tightening, as central banks respond to elevated levels of inflation. Spread products and other fixed income revenues decreased 39%, due to continued lower client activity across spread products and a challenging credit market due to widening spreads.
•Equity markets revenues decreased 25%, driven by equity derivatives, primarily reflecting lower activity by both corporate and institutional clients due to a strong prior-year comparison, as well as a decline in equity cash, driven by lower volumes.

Within Banking:

•Investment banking revenues declined 64%, reflecting a decline in the overall market wallet, as heightened macroeconomic uncertainty and volatility continued to impact client activity. Advisory revenues decreased 27%, reflecting a decline in North America and EMEA, driven by the decline in the market wallet. Equity and debt underwriting revenues decreased 79% and 82%, respectively, reflecting a decline in North America, EMEA and Asia, also driven by the decline in the market wallet as well as a decline in wallet share. The decline in debt underwriting revenues also reflected markdowns on loan commitments and losses on loan sales.
•Corporate lending revenues were $592 million versus $686 million in the prior-year period, a decrease of 14% including the impact of losses on loan hedges. Excluding the impact of losses on loan hedges, revenues decreased 11%, primarily driven by lower volumes and higher hedging costs.

Expenses were up 10%, primarily driven by continued investment in Citi’s transformation, business-led investments and volume-related expenses, partially offset by productivity savings and foreign exchange translation.
Provisions were $86 million, compared to $24 million in the prior-year period. Net credit losses were zero compared to $31 million in the prior-year period.
The ACL build was $86 million, compared to a release of $7 million in the prior-year period. The ACL build was largely driven by a deterioration in macroeconomic forecasts, largely offset by a release of a COVID-19–related uncertainty reserve and a release related to collections on Russia non-accrual
14

loans. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on ICG’s corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information on trends in ICG’s deposits and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.
For additional information about trends, uncertainties and risks related to ICG’s future results, see “Executive Summary” above, “Managing Global Risk—Other Risks—Country Risk—Argentina” and “—Russia” and “Forward-Looking Statements” below and “Risk Factors” in Citi’s 2021 Form 10-K.

2022 YTD vs. 2021 YTD
Net income of $8.8 billion decreased 26% versus the prior-year period, primarily driven by ACL releases in the prior-year period and higher expenses, partially offset by higher revenues.
Revenues increased 4% (including gains (losses) on loan hedges), primarily reflecting higher revenues in Services and Markets, partially offset by lower Banking revenues. Services revenues were up 26%, driven by higher revenues in both TTS and Securities services. Markets revenues were up 4%, primarily driven by higher revenues in Fixed income markets, partially offset by lower revenues in Equity markets. Banking revenues declined 27% (including the impact of gains (losses) on loan hedges). Excluding the impact of gains (losses) on loan hedges, Banking revenues declined 37%, largely driven by lower revenues in Investment banking.

Within Services:

•TTS revenues increased 30%, reflecting higher net interest income of 40% and non-interest revenue of 14%, driven by the same factors described above.
•Securities services revenues increased 12%, reflecting higher net interest income, driven by the same factors described above. Non-interest revenue was largely unchanged, as the decrease in revenues in the custody business was offset by an increase in Issuer services.

Within Markets:

•Fixed income markets revenues increased 9%, driven by growth in rates and currencies across EMEA, Latin America and Asia, partially offset by a decline in spread products, driven by the same factors described above.
•Equity markets revenues decreased 8%, reflecting declines in equity cash and equity derivatives, driven by the same factors described above.

Within Banking:

•Investment banking revenues decreased 51%. Advisory revenues decreased 11%, primarily driven by a decline in the market wallet as well as a decline in wallet share. Equity underwriting revenues decreased 74%, and debt underwriting revenues decreased 56%, driven by the same factors described above.
•Corporate lending revenues increased 36%, including the impact of gains (losses) on loan hedges. Excluding the impact of gains (losses) on loan hedges, revenues decreased 2%, driven by the same factors described above, partially offset by the impacts of foreign currency translation.

Expenses increased 11%, driven by the same factors described above.
Provisions were $855 million, compared to a net benefit of $2.2 billion in the prior-year period, driven by an ACL build, partially offset by lower net credit losses. Net credit losses declined to $48 million from $274 million in the prior-year period, largely driven by improvements in portfolio credit quality. The ACL build was $807 million, compared to a release of $2.5 billion in the prior-year period. The ACL build was primarily driven by increased macroeconomic uncertainty as well as a build primarily related to Citi’s exposures in Russia and the broader impact of the war in Ukraine on the macroeconomic environment in the first quarter of 2022, partially offset by the release of a COVID-19–related uncertainty reserve and subsequent reductions in Russia-related exposures.
15

PERSONAL BANKING AND WEALTH MANAGEMENT

Personal Banking and Wealth Management (PBWM) consists of U.S. Personal Banking and Global Wealth Management (Global Wealth). U.S. Personal Banking includes Retail banking, which provides traditional banking services to retail and small business customers. U.S. Personal Banking’s cards portfolio includes its proprietary portfolios (Cash, Rewards and Value portfolios) and co-branded cards (including, among others, American Airlines and Costco) within Branded cards, as well as its co-brand and private label relationships (including, among others, The Home Depot, Best Buy, Sears and Macy’s) within Retail services. Global Wealth includes Private bank, Wealth at Work and Citigold and provides financial services to the entire continuum of wealth clients—from affluent to ultra-high-net-worth—through banking, lending, mortgages, investment, custody and trust product offerings in 20 countries, including the U.S., Mexico and four wealth management centers: Singapore, Hong Kong, the UAE and London.
At September 30, 2022, U.S. Personal Banking had 653 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also, as of September 30, 2022, U.S. Personal Banking had $140 billion in outstanding credit card balances, $36 billion in retail banking loans and $115 billion in deposits.
At September 30, 2022, Global Wealth had $82 billion in mortgage loans, $65 billion in personal and small business loans, $4 billion in outstanding credit card balances and $312 billion in deposits.

Third QuarterNine Months
In millions of dollars, except as otherwise noted20222021% Change20222021% Change
Net interest income$5,836 $5,174 13 %$16,790 $15,324 10 %
Non-interest revenue351 678 (48)1,331 2,218 (40)
Total revenues, net of interest expense$6,187 $5,852 6 %$18,121 $17,542 3 %
Total operating expenses$4,077 $3,624 13 %$11,951 $10,593 13 %
Net credit losses on loans$723 $641 13 %$2,113 $2,493 (15)%
Credit reserve build (release) for loans360 (836)NM(64)(3,418)98 
Provision (release) for credit losses on unfunded lending commitments19 (7)NM30 (13)NM
Provisions for benefits and claims (PBC), and other assets7 1 NM9 10 (10)
Provisions (releases) for credit losses and PBC$1,109 $(201)NM$2,088 $(928)NM
Income (loss) from continuing operations before taxes$1,001 $2,429 (59)%$4,082 $7,877 (48)%
Income taxes (benefits)209 533 (61)877 1,756 (50)
Income (loss) from continuing operations$792 $1,896 (58)%$3,205 $6,121 (48)%
Noncontrolling interests— — — — — — 
Net income (loss)$792 $1,896 (58)%$3,205 $6,121 (48)%
Balance Sheet data (in billions of dollars)
EOP assets
$479 $477 — %
Average assets
473 474 — $474 $463 2 %
Average loans325 309 5 318 305 4 
Average deposits428 424 1 437 410 7 
Efficiency ratio66 %62 %66 %60 %
Net credit losses as a percentage of average loans0.88 0.82 0.89 1.09 
Revenue by reporting unit and component
Branded cards$2,258 $2,045 10 %$6,516 $6,117 7 %
Retail services1,431 1,277 12 4,030 3,792 6 
Retail banking642 629 2 1,893 1,882 1 
U.S. Personal Banking$4,331 $3,951 10 %$12,439 $11,791 5 %
Private bank$649 $722 (10)%$2,173 $2,255 (4)%
Wealth at Work182 172 6 535 514 4 
Citigold1,025 1,007 2 2,974 2,982 — 
Global Wealth
$1,856 $1,901 (2)%$5,682 $5,751 (1)%
Total$6,187 $5,852 6 %$18,121 $17,542 3 %

NM Not meaningful

16

3Q22 vs. 3Q21
Net income was $792 million, compared to $1.9 billion in the prior-year period, largely driven by higher cost of credit and higher expenses, partially offset by higher revenues.
Revenues increased 6%, primarily due to higher net interest income, driven by strong loan growth in Branded cards and Retail services and higher interest rates. The increase was partially offset by lower non-interest revenue, reflecting lower investment fee revenue in Global Wealth and higher partner payments in Retail services.
U.S. Personal Banking revenues increased 10%, reflecting higher revenues in Cards and Retail banking.
Cards revenues increased 11%. Branded cards revenues increased 10%, primarily driven by higher net interest income on higher loan balances. Branded cards new account acquisitions increased 10% and card spend volumes increased 14%. Average loans increased 12%, reflecting the higher card spend volumes.
Retail services revenues increased 12%, primarily driven by higher net interest income on higher loan balances and lower payment rates, partially offset by the higher partner payments, reflecting higher income sharing as a result of higher revenues (for additional information on partner payments, see Note 5). Retail services card spend volumes increased 8% and average loans increased 9%, reflecting the higher card spend volumes.
Retail banking revenues increased 2%, largely driven by the higher interest rates and modest deposit growth. Average deposits increased 1%.
Global Wealth revenues decreased 2%, reflecting investment fee headwinds, particularly in Asia, driven by overall market volatility, partially offset by net interest income growth, driven by higher interest rates. Average deposits increased 1% and average loans were unchanged. Client assets decreased 10%, primarily driven by declines in equity market valuations. Global Wealth continued to add client advisors, which increased 5%. Private bank revenues decreased 10%, Wealth at Work revenues increased 6% and Citigold revenues increased 2%.
Expenses increased 13%, primarily driven by continued investments in Citi’s transformation, other risk and control initiatives, business-led investments and volume-driven expenses, partially offset by productivity savings.
Provisions were $1.1 billion, compared to a benefit of $201 million in the prior-year period, largely driven by a net ACL build and higher net credit losses. Net credit losses increased 13%, reflecting ongoing normalization from historically low levels, particularly in Retail services (net credit losses up 32% to $315 million).
The net ACL build was $379 million, compared to a net release of $843 million in the prior-year period, primarily driven by U.S. Cards loan growth, partially offset by a release of a COVID-19–related uncertainty reserve. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on U.S. Personal Banking’s Retail banking, Branded cards and Retail services portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to PBWM’s future results, see “Executive Summary” above and “Forward-Looking Statements” below, and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.

2022 YTD vs. 2021 YTD
Year-to-date, PBWM experienced similar trends to those described above. Net income was $3.2 billion, compared to $6.1 billion in the prior-year period, largely driven by higher cost of credit and higher expenses, partially offset by higher revenues.
Revenues increased 3%, largely due to higher revenues in U.S. Personal Banking. U.S. Personal Banking revenues increased 5%, reflecting higher revenues in Cards, largely driven by the same factors described above. Global Wealth revenues decreased 1%, driven by the same factors described above.
Expenses increased 13%, driven by the same factors described above.
Provisions were $2.1 billion, compared to a benefit of $928 million in the prior-year period, driven by a lower net ACL release, partially offset by lower net credit losses. Net credit losses decreased 15%, driven by strong credit performance across portfolios in the first half of 2022, partially offset by the higher net credit losses in the third quarter of 2022.
The net ACL release was $34 million, compared to a release of $3.4 billion in the prior-year period. The net ACL release primarily reflected improvement in portfolio credit quality and the continued improvement in the macroeconomic outlook in the first quarter of 2022, partially offset by net ACL builds in the second and third quarters of 2022 due to increased macroeconomic uncertainty and U.S. Cards loan growth.
17

LEGACY FRANCHISES

As of September 30, 2022, Legacy Franchises included (i) Asia Consumer Banking (Asia Consumer), representing the consumer banking operations of the remaining 11 Asia and EMEA exit countries (and Australia and the Philippines, until their sale closings on June 1, 2022 and August 1, 2022, respectively; the Thailand and Malaysia sales both closed on November 1, 2022, but business activity was included in the results for all historical periods in 2021 and 2022); (ii) Mexico Consumer Banking (Mexico Consumer) and Mexico Small Business and Middle-Market Banking (Mexico SBMM), collectively Mexico Consumer/SBMM, which Citi also plans to exit; and (iii) Legacy Holdings Assets (certain North America consumer mortgage loans and other legacy assets). See Note 2 for additional information on the Philippines sale and other sales and exits.
Asia Consumer provides traditional retail banking and branded card products to retail and small business customers. Mexico Consumer/SBMM provides traditional retail banking and branded card products to consumers and small business customers and provides traditional middle-market banking products and services to commercial customers through Citibanamex.
In August 2022, Citi disclosed its decision to wind down its consumer banking and local commercial banking operations in Russia, including its continued active pursuit of sales of certain Russian consumer banking portfolios. In connection with the wind-down plan, Citi expects to incur approximately $170 million in costs (excluding the impact from any portfolio sales), primarily over the next 18 months, largely driven by restructuring, vendor termination fees and other related charges. On October 28, 2022, Citi entered into an agreement to sell a portfolio of ruble-denominated personal installment loans, totaling approximately $345 million in outstanding loan balances as of the third quarter of 2022, to Uralsib, a Russian commercial bank. In connection with the portfolio sale, Citi also entered into a referral agreement to transfer to Uralsib a portfolio of ruble-denominated credit card loans, subject to customer consents. The outstanding card loans balance was approximately $320 million as of the third quarter of 2022. For additional information about Citi’s continued efforts to reduce its operations and exposure in Russia, see “Executive Summary” above and “Managing Global Risk—Other Risks—Country Risk—Russia” below. In addition, Citi has entered into agreements to sell its consumer banking businesses in Bahrain, India, Indonesia, Taiwan and Vietnam.
At September 30, 2022, on a combined basis, Legacy Franchises had 1,457 retail branches, $22 billion in retail banking loans and $50 billion in deposits. In addition, the businesses had $8 billion in outstanding card loan balances, and Mexico SBMM had $7 billion in outstanding corporate loan balances. These amounts exclude approximately $17 billion of loans ($12 billion of retail banking loans and $5 billion of credit card loan balances) and $20 billion of deposits, all of which were reclassified to Other assets and Other liabilities held-for-sale (HFS) as a result of Citi’s agreements to sell its consumer banking businesses in the above-listed countries. See Note 2 for additional information.
Third QuarterNine Months% Change
In millions of dollars, except as otherwise noted20222021% Change20222021
Net interest income$1,385 $1,532 (10)%$4,367 $4,716 (7)%
Non-interest revenue1,169 4 NM2,053 1,342 53 
Total revenues, net of interest expense$2,554 $1,536 66 %$6,420 $6,058 6 %
Total operating expenses$1,845 $1,748 6 %$5,952 $5,288 13 %
Net credit losses on loans$164 $289 (43)%$448 $1,262 (65)%
Credit reserve build (release) for loans6 (327)NM(168)(1,503)89 
Provision (release) for credit losses on unfunded lending commitments(31)7 NM90 (10)NM
Provisions for benefits and claims (PBC), HTM debt securities and other assets28 17 65 78 77 1 
Provisions (releases) for credit losses and PBC$167 $(14)NM$448 $(174)NM
Income (loss) from continuing operations before taxes$542 $(198)NM$20 $944 (98)%
Income taxes (benefits)226 3 NM104 333 (69)
Income (loss) from continuing operations$316 $(201)NM$(84)$611 NM
Noncontrolling interests— (1)100 %— (6)100 %
Net income (loss)$316 $(200)NM$(84)$617 NM
Balance Sheet data (in billions of dollars)
  
EOP assets$100 $124 (19)%
Average assets
103 126 (18)$114 $128 (11)%
EOP loans37 67 (45)
EOP deposits50 78 (35)
Efficiency ratio72 %114 %93 %87 %
Revenue by reporting unit and component
Asia Consumer$1,372 $330 NM$3,039 $2,457 24 %
18

Mexico Consumer/SBMM1,173 1,162 1 %3,496 3,483 — 
Legacy Holdings Assets9 44 (80)(115)118 NM
Total$2,554 $1,536 66 %$6,420 $6,058 6 %

NM Not meaningful

3Q22 vs. 3Q21
Net income was $316 million, compared to a net loss of $200 million in the prior-year period, primarily driven by higher revenues, partially offset by higher expenses and higher cost of credit.
Results for the third quarter of 2022 included Asia Consumer divestiture-related impacts of approximately $520 million (approximately $256 million after-tax), primarily driven by the gain on sale of the Philippines consumer business and other Asia consumer exits, which primarily consisted of (i) an approximate $616 million Philippines gain on sale recorded in revenues and (ii) an approximate $107 million of aggregate divestiture-related costs. Third quarter of 2021 results included Asia divestiture-related impacts of $(680) million (approximately $(580) million after-tax), primarily driven by a loss on sale of the Australia consumer business.
Revenues increased 66%, primarily due to the gain on sale of the Philippines consumer business versus the loss on sale of the Australia consumer business in the prior-year period.
Asia Consumer revenues of $1.4 billion increased from $330 million in the prior-year period, primarily driven by the Philippines gain on sale versus the Australia loss on sale in the prior-year period, as well as the impacts of the Korea wind-down and the loss of revenues from the exits of the Australia and Philippines consumer businesses.
Mexico Consumer/SBMM revenues increased 1%, as cards revenues increased 10% and SBMM revenues increased 15%, primarily due to higher interest rates and higher lending volumes. The increase in revenues was partially offset by a 4% decrease in retail banking revenues, primarily driven by lower fiduciary fees reflecting declines in equity market valuations.
Legacy Holdings Assets revenues decreased $35 million from the prior-year period, largely driven by the continued wind-down of legacy assets.
Expenses increased 6%, driven by higher divestiture-related expenses in Asia Consumer and Mexico Consumer/SBMM.
Provisions were $167 million, compared to a benefit of $14 million in the prior-year period, driven by a lower net ACL release, partially offset by lower net credit losses. Net credit losses decreased 43%, primarily reflecting improved delinquencies in both Asia Consumer and Mexico Consumer and the reclassification of loans and net credit losses to reflect HFS accounting as a result of the signing of sale agreements for consumer banking businesses in Asia and EMEA.
The net ACL release was $25 million, compared to a net release of $320 million in the prior-year period. 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 Legacy Franchises’ future results, see “Executive Summary” above, “Managing Global Risk—Other Risks—Country Risk—Russia” and “Forward-Looking Statements” below, and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.

2022 YTD vs. 2021 YTD
Net loss was $84 million, compared to net income of $617 million in the prior-year period, primarily driven by higher expenses and higher cost of credit, partially offset by higher revenues.
Results for year-to-date 2022 included Asia Consumer divestiture-related impacts of approximately $(110) million (approximately $(297) million after-tax), which primarily consisted of (i) the approximate $616 million Philippines gain on sale in the third quarter of 2022; (ii) an approximate $(88) million incremental Australia consumer banking loss on sale recorded in revenues for year-to-date 2022; (iii) an approximate $107 million of aggregate Asia Consumer divestiture-related costs in the third quarter of 2022; and (iv) an approximate $535 million goodwill write-down recorded in expenses in the first quarter of 2022. Results for year-to-date 2021 included divestiture-related impacts of $(680) million (approximately $(580) million after-tax), primarily driven by a loss on sale of the Australia consumer business.
Revenues increased 6%, reflecting the Philippines gain on sale versus the Australia loss on sale, as well as the impacts of the Korea wind-down and the loss of revenues from the exits of the Australia and Philippines consumer businesses.
Asia Consumer revenues increased 24%, driven by the same factors described above. Mexico Consumer/SBMM revenues were largely unchanged. Legacy Holdings Assets revenues of $(115) million decreased from $118 million in the prior-year period, largely driven by a second quarter of 2022 release of a CTA loss (net of hedges) recorded in AOCI related to the substantial liquidation of a legacy U.K. consumer operation (for additional information, see “Corporate/Other” below and Note 2), as well as the continued wind-down of legacy assets.
Expenses increased 13%, primarily driven by divestiture-related expenses in the current period, including the goodwill impairment in the first quarter of 2022, as well as impairment of long-lived assets related to the Russia consumer banking business in the second quarter of 2022, partially offset by lower expenses related to the Asia Consumer exit markets.
Provisions were $448 million, compared to a benefit of $174 million in the prior-year period, driven by a lower net ACL release, partially offset by lower net credit losses. The net ACL release was $78 million, compared to a release of $1.5 billion in the prior-year period.
19

CORPORATE/OTHER

Activities not assigned to the operating segments (ICG, PBWM and Legacy Franchises) are included in Corporate/Other. Corporate/Other included certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance-related costs), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as results of Corporate Treasury investment activities and discontinued operations. At September 30, 2022, Corporate/Other had $96 billion in assets, primarily related to the investment securities.

Third QuarterNine Months% Change
In millions of dollars20222021% Change20222021
Net interest income$772 $247 NM$1,367 $404 NM
Non-interest revenue(473)(179)NM(623)(65)NM
Total revenues, net of interest expense$299 $68 NM$744 $339 NM
Total operating expenses$286 $442 (35)%$706 $1,056 (33)%
Provisions (releases) for HTM debt securities and other assets$3 $(1)NM$3 $(2)NM
Income (loss) from continuing operations before taxes$10 $(373)NM$35 $(715)NM
Income taxes (benefits)(211)(232)9 %(651)(844)23 %
Income (loss) from continuing operations$221 $(141)NM$686 $129 NM
Income (loss) from discontinued operations, net of taxes(6)(1)NM(229)7 NM
Net income (loss) before attribution to noncontrolling interests$215 $(142)NM$457 $136 NM
Noncontrolling interests6 1 NM9 — — %
Net income (loss)$209 $(143)NM$448 $136 NM

NM Not meaningful

3Q22 vs. 3Q21
Net income was $209 million, compared to a net loss of $143 million in the prior-year period. The increase in net income was primarily driven by higher revenues and lower expenses as well as the impact of certain income tax benefit items related to non-U.S. operations in the current quarter.
Revenues increased $231 million, primarily driven by higher net revenue from the investment portfolio, due to higher interest rates, partially offset by mark-to-market losses, primarily related to retained interchange litigation risk associated with shares of Visa B common stock that Citi previously sold.
Expenses decreased 35%, primarily driven by lower consulting expenses.
For additional information about trends, uncertainties and risks related to Corporate/Other’s future results, see “Executive Summary” above, “Forward-Looking Statements” below and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.



2022 YTD vs. 2021 YTD
Year-to-date, Corporate/Other experienced similar trends
to those described above. Net income was $448 million, compared to net income of $136 million in the prior-year period, driven by the same factors described above, partially offset by the second quarter of 2022 release of a CTA loss (net of hedges) from AOCI, recorded in discontinued operations, related to the substantial liquidation of a U.K. consumer legacy operation (for additional information, see “Legacy Franchises” above and Note 2).
Revenues increased $405 million, driven by the same factors described above.
Expenses decreased 33%, driven by the same factors described above as well as certain settlements in the current period.
20

CAPITAL RESOURCES

For additional information about capital resources, including Citi’s capital management, regulatory capital buffers, the stress testing component of capital planning and current regulatory capital standards and developments, see “Capital Resources” and “Risk Factors” in Citi’s 2021 Form 10-K.
During the third quarter of 2022, Citi returned a total of $1.0 billion of capital to common shareholders in the form of dividends. For additional information, see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends” below.

Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 (CET1) Capital ratio under the Basel III Standardized Approach was 12.3% as of September 30, 2022, compared to 11.9% as of June 30, 2022 and 12.2% as of December 31, 2021, relative to a required regulatory CET1 Capital ratio of 10.5% as of such dates under the Standardized Approach.
Citi’s CET1 Capital ratio under the Basel III Advanced Approaches was 11.8% as of September 30, 2022, compared to 11.7% as of June 30, 2022 and 12.3% as of December 31, 2021, relative to a required regulatory CET1 Capital ratio of 10.0% as of such dates under the Advanced Approaches framework.
Citi’s CET1 Capital ratio increased under both the Standardized Approach and Advanced Approaches from June 30, 2022, driven primarily by net income, a decrease in risk-weighted assets and the impact related to the closing of the Philippines consumer banking sale, partially offset by the return of capital to common shareholders through dividends and interest rate impacts on Citigroup’s investment portfolio.
Citi’s CET1 Capital ratio increased under the Standardized Approach from year-end 2021 due to year-to-date net income of $12.3 billion, the impacts related to the closing of the Australia and Philippines consumer banking sales, and business actions, including a reduction in risk-weighted assets, partially offset by interest rate impacts on Citigroup’s investment portfolio and the return of capital to common shareholders. The increase in Citi’s CET1 Capital ratio was also partially offset by the impact of the adoption of the Standardized Approach for Counterparty Credit Risk (SA-CCR) on January 1, 2022.
Citi’s CET1 Capital ratio decreased under the Advanced Approaches from year-end 2021, due to the interest rate impacts on Citigroup’s investment portfolio, the return of capital to common shareholders and the impact of the adoption of the SA-CCR, partially offset by year-to-date net income of $12.3 billion and the impact related to the closing of the Australia and Philippines consumer banking sales.
For additional information on SA-CCR, see “Capital Resources” in Citi’s First Quarter of 2022 Form 10-Q.



Stress Capital Buffer
In August 2022, the Federal Reserve Board finalized and announced Citi’s Stress Capital Buffer (SCB) requirement of 4.0% for the four-quarter window starting from October 1, 2022 to September 30, 2023.
Accordingly, as of October 1, 2022, Citi is required to maintain an 11.5% required regulatory CET1 Capital ratio under the Standardized Approach, incorporating this SCB and its current GSIB surcharge of 3.0%. Citi’s required regulatory CET1 Capital ratio under the Advanced Approaches (using the fixed 2.5% Capital Conservation Buffer) remains unchanged at 10.0%. The SCB applies to Citigroup only; the regulatory capital framework applicable to Citibank, including the Capital Conservation Buffer, is unaffected by Citigroup’s SCB.
In addition, as previously disclosed, commencing January 1, 2023, Citi’s GSIB surcharge will increase from 3.0% to 3.5%, which will be applicable to both the Standardized and the Advanced Approaches, resulting in a required regulatory CET1 Capital ratio of 12.0% under the Standardized Approach and 10.5% under the Advanced Approaches, both as of such date.
For additional information regarding regulatory capital buffers, including the SCB and GSIB surcharge, see “Capital Resources—Regulatory Capital Buffers” in Citi’s 2021 Form 10-K. For additional information regarding CCAR and DFAST, see “Capital Resources—Stress Testing Component of Capital Planning” in Citi’s 2021 Form 10-K.
21

Citigroup’s Capital Resources
The following table presents Citi’s required risk-based capital ratios as of September 30, 2022, June 30, 2022 and December 31, 2021:

Advanced ApproachesStandardized Approach
September 30, 2022June 30, 2022December 31, 2021September 30, 2022June 30, 2022December 31, 2021
Common Equity Tier 1 Capital ratio(1)
10.0 %10.0 %10.0 %10.5 %10.5 %10.5 %
Tier 1 Capital ratio(1)
11.5 11.5 11.5 12.0 12.0 12.0 
Total Capital ratio(1)
13.5 13.5 13.5 14.0 14.0 14.0 

(1)Citi’s required risk-based capital ratios included the 3.0% Stress Capital Buffer (SCB) 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). These requirements were applicable through September 30, 2022. See “Stress Capital Buffer” above for more information.

The following tables present Citi’s capital components and ratios:

Advanced ApproachesStandardized Approach
In millions of dollars, except ratios
September 30,
2022		June 30,
2022		December 31,
2021		September 30,
2022		June 30,
2022		December 31,
2021
Common Equity Tier 1 Capital(1)
$144,567 $144,893 $149,305 $144,567 $144,893 $149,305 
Tier 1 Capital
164,830 165,159 169,568 164,830 165,159 169,568 
Total Capital (Tier 1 Capital
+ Tier 2 Capital)(1)
185,046 187,350 194,006 193,871 196,408 203,838 
Total Risk-Weighted Assets
1,226,578 1,235,956 1,209,374 1,176,749 1,217,459 1,219,175 
Credit Risk(1)
$849,769 $861,298 $840,483 $1,096,384 $1,135,558 $1,135,906 
Market Risk
78,748 79,912 78,634 80,365 81,901 83,269 
Operational Risk
298,061 294,746 290,257 — — — 
Common Equity Tier 1
Capital ratio(2)
11.79 %11.72 %12.35 %12.29 %11.90 %12.25 %
Tier 1 Capital ratio(2)
13.44 13.36 14.02 14.01 13.57 13.91 
Total Capital ratio(2)
15.09 15.16 16.04 16.48 16.13 16.72 
In millions of dollars, except ratios
Required Capital RatiosSeptember 30, 2022June 30, 2022December 31, 2021
Quarterly Adjusted Average Total Assets(1)(3)
$2,364,564 $2,344,675 $2,351,434 
Total Leverage Exposure(1)(4)
2,888,535 2,935,289 2,957,764 
Tier 1 Leverage ratio(2)
4.0 %6.97 %7.04 %7.21 %
Supplementary Leverage ratio(2)
5.0 5.71 5.63 5.73 

(1)Citi’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the current expected credit losses (CECL) standard. For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2021 Form 10-K.
(2)Citi’s binding Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach, whereas Citi’s binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented. As of September 30, 2022, the Supplementary Leverage ratio and the Total Capital ratio under the Basel III Advanced Approaches framework became more binding than the Common Equity Tier 1 Capital ratio under the Basel III Standardized Approach. Each of Citi’s Basel III risk-based capital and leverage ratios exceeded the respective regulatory capital requirement by at least $19 billion as of September 30, 2022. Citi expects the Basel III Standardized Approach capital ratios to be more binding in future quarters due to the increased Stress Capital Buffer in the fourth quarter of 2022 and the additional GSIB surcharge in the first quarter of 2023.
(3)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(4)Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s capital ratios at September 30, 2022 were in excess of the regulatory capital requirements under the U.S. Basel III rules. In addition, Citi was “well capitalized” under current federal bank regulatory agencies definitions as of September 30, 2022.
22

Components of Citigroup Capital

In millions of dollars
September 30,
2022		December 31,
2021
Common Equity Tier 1 Capital
Citigroup common stockholders’ equity(1)
$179,696 $183,108 
Add: Qualifying noncontrolling interests
113 143 
Regulatory capital adjustments and deductions:
Add: CECL transition provision(2)
2,271 3,028 
Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax
(2,869)101 
Less: Cumulative unrealized net gain (loss) related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax
3,211 (896)
Less: Intangible assets:
Goodwill, net of related DTLs(3)
18,796 20,619 
Identifiable intangible assets other than MSRs, net of related DTLs
3,492 3,800 
Less: Defined benefit pension plan net assets; other
1,932 2,080 
Less: DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards(4)
11,690 11,270 
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
and MSRs(4)(5)
1,261 — 
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)
$144,567 $149,305 
Additional Tier 1 Capital
Qualifying noncumulative perpetual preferred stock(1)
$18,864 $18,864 
Qualifying trust preferred securities(6)
1,404 1,399 
Qualifying noncontrolling interests
27 34 
Regulatory capital deductions:
Less: Other
32 34 
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)
$20,263 $20,263 
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
(Standardized Approach and Advanced Approaches)
$164,830 $169,568 
Tier 2 Capital
Qualifying subordinated debt
$15,679 $20,064 
Qualifying trust preferred securities(7)
— 248 
Qualifying noncontrolling interests
33 42 
Eligible allowance for credit losses(2)(8)
13,752 14,209 
Regulatory capital deduction:
Less: Other
423 293 
Total Tier 2 Capital (Standardized Approach)
$29,041 $34,270 
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)
$193,871 $203,838 
Adjustment for excess of eligible credit reserves over expected credit losses(2)(8)
$(8,825)$(9,832)
Total Tier 2 Capital (Advanced Approaches)
$20,216 $24,438 
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)
$185,046 $194,006 

(1)Issuance costs of $131 million related to outstanding noncumulative perpetual preferred stock at September 30, 2022 and December 31, 2021 were excluded from common stockholders’ equity and were netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)Citi’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the current expected credit losses (CECL) standard. For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2021 Form 10-K.
(3)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.

Footnotes continue on the following page.
23

(4)Of Citi’s $27.1 billion of net DTAs at September 30, 2022, $11.7 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards, as well as $1.3 billion of DTAs arising from temporary differences that exceeded 10%/15% limitations, were excluded from Citi’s Common Equity Tier 1 Capital as of September 30, 2022. DTAs arising from net operating loss, foreign tax credit and general business credit 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.
(5)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At September 30, 2022, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. At December 31, 2021, none of these assets were in excess of the 10%/15% limitations.
(6)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(7)Represents the amount of non-grandfathered trust preferred securities that were previously eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules. Commencing January 1, 2022, non-grandfathered trust preferred securities have been fully phased out of Tier 2 Capital.
(8)Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework were $4.9 billion and $4.4 billion at September 30, 2022 and December 31, 2021, respectively.

24

Citigroup Capital Rollforward

In millions of dollars
Three Months Ended
September 30, 2022		Nine Months Ended
September 30, 2022
Common Equity Tier 1 Capital, beginning of period
$144,893 $149,305 
Net income
3,479 12,332 
Common and preferred dividends declared
(1,278)(3,819)
Net change in treasury stock
11 (2,737)
Net increase in common stock and additional paid-in capital
137 344 
Net change in foreign currency translation adjustment net of hedges, net of tax
(2,399)(4,043)
Net change in unrealized gains (losses) on debt securities AFS, net of tax
(580)(6,358)
Net decrease in defined benefit plans liability adjustment, net of tax
37 119 
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax
(194)(475)
Net decrease in excluded component of fair value hedges
30 87 
Net decrease in goodwill, net of related DTLs
708 1,823 
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs
107 308 
Net decrease in defined benefit pension plan net assets
50 68 
Net increase in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards
(11)(420)
Net increase in excess over 10%/15% limitations for other DTAs, certain common stock investments and MSRs
(463)(1,261)
Net change in CECL transition provision
— (757)
Other
40 51 
Net decrease in Common Equity Tier 1 Capital
$(326)$(4,738)
Common Equity Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$144,567 $144,567 
Additional Tier 1 Capital, beginning of period
$20,266 $20,263 
Net increase in qualifying trust preferred securities
1 5 
Other
(4)(5)
Net change in Additional Tier 1 Capital
$(3)$— 
Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$164,830 $164,830 
Tier 2 Capital, beginning of period (Standardized Approach)
$31,249 $34,270 
Net decrease in qualifying subordinated debt
(1,659)(4,385)
Net decrease in eligible allowance for credit losses
(474)(457)
Other
(75)(387)
Net decrease in Tier 2 Capital (Standardized Approach)
$(2,208)$(5,229)
Tier 2 Capital, end of period (Standardized Approach)
$29,041 $29,041 
Total Capital, end of period (Standardized Approach)
$193,871 $193,871 
Tier 2 Capital, beginning of period (Advanced Approaches)
$22,191 $24,438 
Net decrease in qualifying subordinated debt
(1,659)(4,385)
Net change in excess of eligible credit reserves over expected credit losses
(241)550 
Other
(75)(387)
Net decrease in Tier 2 Capital (Advanced Approaches)
$(1,975)$(4,222)
Tier 2 Capital, end of period (Advanced Approaches)
$20,216 $20,216 
Total Capital, end of period (Advanced Approaches)
$185,046 $185,046 






25

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

In millions of dollars
Three Months Ended
September 30, 2022		Nine Months Ended
September 30, 2022
Total Risk-Weighted Assets, beginning of period$1,217,459 $1,219,175 
Changes in Credit Risk-Weighted Assets
General credit risk exposures(1)
(18,472)(21,818)
Repo-style transactions(2)
(3,162)(15,077)
Securitization exposures(3)
2,794 1,958 
Equity exposures(4)
(1,402)(3,298)
Over-the-counter (OTC) derivatives(5)
(4,477)22,701 
Other exposures(6)
(6,702)(8,807)
Off-balance sheet exposures(7)
(7,753)(15,181)
Net decrease in Credit Risk-Weighted Assets
$(39,174)$(39,522)
Changes in Market Risk-Weighted Assets
Risk levels
$(3,129)$(6,988)
Model and methodology updates1,593 4,084 
Net decrease in Market Risk-Weighted Assets
$(1,536)$(2,904)
Total Risk-Weighted Assets, end of period
$1,176,749 $1,176,749 

(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 and nine months ended September 30, 2022 primarily due to a decrease in wholesale loans.
(2)Repo-style transactions include repurchase and reverse repurchase transactions, as well as securities borrowing and securities lending transactions. Repo-style transactions decreased during the three months ended September 30, 2022 primarily due to a decrease in margin loans, as well as reduced exposure in securities lending. Repo-style transactions decreased during the nine months ended September 30, 2022 primarily due to reduced exposure in repurchase agreements and securities lending, as well as a decrease in margin loans.
(3)Securitization exposures increased during the three months ended September 30, 2022 primarily due to new issuances.
(4)Equity exposures decreased during the nine months ended September 30, 2022 primarily due to decreases in market share prices of various investments.
(5)OTC derivatives decreased during the three months ended September 30, 2022 primarily due to decreases in commodities and rates. OTC derivatives increased during the nine months ended September 30, 2022 primarily due to the adoption of SA-CCR, partially offset by decreases in commodities, rates, FX and equities. For additional information on SA-CCR, see “Capital Resources” in Citi’s First Quarter of 2022 Form 10-Q.
(6)Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures decreased during the three and nine months ended September 30, 2022 primarily due to a decrease in cleared derivatives.
(7)Off-balance sheet exposures decreased during the three and nine months ended September 30, 2022 primarily due to a decrease in loan commitments.
26

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

In millions of dollars
Three Months Ended
September 30, 2022		Nine Months Ended
September 30, 2022
Total Risk-Weighted Assets, beginning of period$1,235,956 $1,209,374 
Changes in Credit Risk-Weighted Assets
Retail exposures(1)
3,832 8,023 
Wholesale exposures(2)
(13,067)(16,937)
Repo-style transactions(3)
(1,411)(11,084)
Securitization exposures
1,665 2,141 
Equity exposures
(1,324)(2,847)
Over-the-counter (OTC) derivatives(4)
(743)9,262 
Derivatives CVA(5)
5,493 21,734 
Other exposures(6)
(5,010)(301)
Supervisory 6% multiplier
(964)(705)
Net change in Credit Risk-Weighted Assets
$(11,529)$9,286 
Changes in Market Risk-Weighted Assets
Risk levels
$(2,757)$(3,969)
Model and methodology updates1,593 4,083 
Net change in Market Risk-Weighted Assets
$(1,164)$114 
Net increase in Operational Risk-Weighted Assets(7)
$3,315 $7,804 
Total Risk-Weighted Assets, end of period
$1,226,578 $1,226,578 

(1)Retail exposures increased during the three months ended September 30, 2022 primarily due to an increase in consumer loans. Retail exposures increased during the nine months ended September 30, 2022 primarily due to increases in consumer loans and model recalibrations.
(2)Wholesale exposures decreased during the three and nine months ended September 30, 2022 primarily due to decreases in wholesale loans and available-for-sale securities.
(3)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions decreased during the nine months ended September 30, 2022 primarily due to reduced exposure in repurchase agreements and securities lending, as well as a decrease in margin loans.
(4)OTC derivatives increased during the nine months ended September 30, 2022 primarily due to the adoption of SA-CCR. For additional information on SA-CCR, see “Capital Resources” in Citi’s First Quarter of 2022 Form 10-Q.
(5)Derivatives CVA increased during the three months ended September 30, 2022 primarily due to an increase in equities. Derivatives CVA increased during the nine months ended September 30, 2022 primarily due to the adoption of SA-CCR. For additional information on SA-CCR, see “Capital Resources” in Citi’s First Quarter of 2022 Form 10-Q.
(6)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures decreased during the three months ended September 30, 2022 primarily due to a decrease in accounts receivable.
(7)Operational risk-weighted assets increased during the three and nine months ended September 30, 2022 primarily due to new model severity update.




27

Supplementary Leverage Ratio
The following table presents Citi’s Supplementary Leverage ratio and related components:

In millions of dollars, except ratiosSeptember 30, 2022June 30, 2022December 31, 2021
Tier 1 Capital$164,830 $165,159 $169,568 
Total Leverage Exposure
On-balance sheet assets(1)(2)
$2,401,767 $2,382,324 $2,389,237 
Certain off-balance sheet exposures:(3)
Potential future exposure on derivative contracts153,842 178,183 222,241 
Effective notional of sold credit derivatives, net(4)
32,768 33,187 23,788 
Counterparty credit risk for repo-style transactions(5)
16,997 20,022 25,775 
Other off-balance sheet exposures320,364 359,222 334,526 
Total of certain off-balance sheet exposures$523,971 $590,614 $606,330 
Less: Tier 1 Capital deductions37,203 37,649 37,803 
Total Leverage Exposure$2,888,535 $2,935,289 $2,957,764 
Supplementary Leverage ratio5.71 %5.63 %5.73 %

(1)Represents the daily average of on-balance sheet assets for the quarter.
(2)Citi’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the current expected credit losses (CECL) standard. For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2021 Form 10-K.
(3)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(4)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.
(5)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.


As presented in the table above, Citigroup’s Supplementary Leverage ratio was 5.7% at September 30, 2022 and December 31, 2021, compared to 5.6% at June 30, 2022. The increase from the second quarter of 2022 was primarily driven by net income and a decrease in Total Leverage Exposure, partially offset by a reduction in Tier 1 Capital resulting from interest rate impacts on Citigroup’s investment portfolio and the return of capital to common shareholders through dividends.
28

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 present the capital components and ratios for Citibank, Citi’s primary subsidiary U.S. depository institution:

Advanced ApproachesStandardized Approach
In millions of dollars, except ratios
Required Capital Ratios(1)
September 30, 2022June 30, 2022December 31, 2021September 30, 2022June 30, 2022December 31, 2021
Common Equity Tier 1 Capital(2)
$147,938 $148,742 $148,548 $147,938 $148,742 $148,548 
Tier 1 Capital
150,062 150,870 150,679 150,062 150,870 150,679 
Total Capital (Tier 1 Capital
+ Tier 2 Capital)(2)(3)
165,171 166,094 166,921 172,916 174,213 175,427 
Total Risk-Weighted Assets
1,046,884 1,057,336 1,017,774 1,024,923 1,068,525 1,066,015 
Credit Risk(2)
$762,660 $780,785 $737,802 $983,949 $1,023,309 $1,016,293 
Market Risk
40,676 44,755 48,089 40,974 45,216 49,722 
Operational Risk
243,548 231,796 231,883 — — — 
Common Equity Tier 1
Capital ratio(4)(5)
7.0 %14.13 %14.07 %14.60 %14.43 %13.92 %13.93 %
Tier 1 Capital ratio(4)(5)
8.5 14.33 14.27 14.80 14.64 14.12 14.13 
Total Capital ratio(4)(5)
10.5 15.78 15.71 16.40 16.87 16.30 16.46 
In millions of dollars, except ratios
Required Capital RatiosSeptember 30, 2022June 30, 2022December 31, 2021
Quarterly Adjusted Average Total Assets(2)(6)
$1,694,381 $1,680,846 $1,716,596 
Total Leverage Exposure(2)(7)
2,147,923 2,178,239 2,236,839 
Tier 1 Leverage ratio(5)
5.0 %8.86 %8.98 %8.78 %
Supplementary Leverage ratio(5)
6.0 6.99 6.93 6.74 

(1)Citibank’s required risk-based capital ratios are inclusive of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)Citibank’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the current expected credit losses (CECL) standard. For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2021 Form 10-K.
(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 binding Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of September 30, 2022, and under the Basel III Standardized Approach as of June 30, 2022 and December 31, 2021, whereas Citibank’s binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented.
(5)Citibank must maintain required 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 required 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.


As indicated in the table above, Citibank’s capital ratios at September 30, 2022 were in excess of the regulatory capital requirements under the U.S. Basel III rules. In addition, Citibank was “well capitalized” as of September 30, 2022.
29

Impact of Changes on Citigroup and Citibank Capital Ratios
The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in
Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of September 30, 2022. 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
0.81.00.81.10.81.2
Standardized Approach
0.81.00.81.20.81.4
Citibank
Advanced Approaches
1.01.41.01.41.01.5
Standardized Approach
1.01.41.01.41.01.6
Tier 1 Leverage ratio
Supplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Citigroup
0.40.30.30.2
Citibank
0.60.50.50.3

30

Citigroup Broker-Dealer Subsidiaries
At September 30, 2022, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of $10 billion, which exceeded the minimum requirement by $6 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 regulatory capital of $27 billion at September 30, 2022, which exceeded the PRA’s minimum regulatory capital requirements.
In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at September 30, 2022.

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

September 30, 2022
In billions of dollars, except ratiosExternal TLACLTD
Total eligible amount$327 $158 
% of Advanced Approaches risk-
weighted assets		26.7 %12.8 %
Regulatory requirement(1)(2)
22.5 9.0 
Surplus amount$51 $47 
% of Total Leverage Exposure11.3 %5.5 %
Regulatory requirement9.5 4.5 
Surplus amount$53 $28 

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

As of September 30, 2022, Citi exceeded each of the TLAC and LTD regulatory requirements, resulting in a $28 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.
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 2021 Form 10-K.


31

Capital Resources (Full Adoption of CECL)(1)
The following tables present Citigroup’s and Citibank’s capital components and ratios under a hypothetical scenario where the full impact of CECL is reflected as of September 30, 2022:

CitigroupCitibank
Required Capital Ratios, Advanced ApproachesRequired Capital Ratios, Standardized ApproachAdvanced ApproachesStandardized Approach
Required Capital Ratios(2)
Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital ratio
10.0 %10.5 %11.56 %12.05 %7.0 %13.94 %14.24 %
Tier 1 Capital ratio
11.5 12.0 13.21 13.78 8.5 14.14 14.44 
Total Capital ratio13.5 14.0 14.88 16.25 10.5 15.59 16.68 
Required Capital RatiosCitigroupRequired Capital RatiosCitibank
Tier 1 Leverage ratio
4.0 % 6.84 %5.0 % 8.74 %
Supplementary Leverage ratio
5.0 5.606.0 6.89

(1)See footnote 2 on the “Components of Citigroup Capital” table above.
(2)Citibank’s required capital ratios were the same under the Standardized Approach and the Advanced Approaches framework.


32

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 mortgage servicing rights (MSRs)). RoTCE represents annualized net income available to common shareholders as a percentage of average TCE. Tangible book value per share represents average TCE divided by average common shares outstanding. Other companies may calculate these measures differently. TCE, RoTCE and tangible book value per share are non-GAAP financial measures.

In millions of dollars or shares, except per share amounts
September 30,
2022		December 31,
2021
Total Citigroup stockholders’ equity
$198,560 $201,972 
Less: Preferred stock
18,995 18,995 
Common stockholders’ equity
$179,565 $182,977 
Less:
Goodwill
19,326 21,299 
Identifiable intangible assets (other than MSRs)
3,838 4,091 
Goodwill and identifiable intangible assets (other than MSRs) related to
assets held-for-sale (HFS)
794 510 
Tangible common equity (TCE)
$155,607 $157,077 
Common shares outstanding (CSO)
1,936.9 1,984.4 
Book value per share (common stockholders’ equity/CSO)
$92.71 $92.21 
Tangible book value per share (TCE/CSO)
80.34 79.16 
Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars
2022202120222021
Net income available to common shareholders
$3,202 $4,378 $11,538 $17,968 
Average common stockholders’ equity
179,699 183,613 179,950 182,422 
Average TCE
155,511 157,371 155,391 156,047 
Return on average common stockholders’ equity
7.1 %9.5 %8.6 %13.2 %
RoTCE
8.2 11.0 9.9 15.4 
33

Managing Global Risk Table of Contents

MANAGING GLOBAL RISK
35
CREDIT RISK(1)
35
Corporate Credit
35
Consumer Credit
40
Additional Consumer and Corporate Credit Details
46
Loans Outstanding
46
Details of Credit Loss Experience
47
Allowance for Credit Losses on Loans (ACLL)48
Non-Accrual Loans and Assets and Renegotiated Loans
50
LIQUIDITY RISK
53
High-Quality Liquid Assets (HQLA)
53
Liquidity Coverage Ratio (LCR)
53
Loans54
Deposits54
Long-Term Debt55
Secured Funding Transactions and Short-Term Borrowings57
Credit Ratings58
MARKET RISK(1)
59
Market Risk of Non-Trading Portfolios
59
Market Risk of Trading Portfolios
72
OTHER RISKS
73
LIBOR Transition Risk
73
Country Risk
74
Russia
75
Ukraine
78
Argentina
78

(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.

34

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, strategy, value proposition, key guiding principles and risk appetite. For more information on managing global risk at Citi, see “Managing Global Risk” in Citi’s 2021 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 2021 Form 10-K.

CORPORATE CREDIT

The following table details Citi’s corporate credit portfolio within ICG and the Mexico SBMM component of Legacy Franchises (excluding certain loans managed on a delinquency basis, loans carried at fair value and loans held-for-sale), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:

 September 30, 2022June 30, 2022December 31, 2021
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)
$143 $114 $27 $284 $158 $117 $21 $296 $145 $119 $20 $284 
Unfunded lending commitments (off-balance sheet)(2)
133 248 10 391 141 264 9 414 147 269 13 429 
Total exposure$276 $362 $37 $675 $299 $381 $30 $710 $292 $388 $33 $713 

(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 based on Citi’s internal management geography:

September 30,
2022		June 30, 2022December 31,
2021
North America56 %56 %56 %
EMEA25 25 25 
Asia12 12 13 
Latin America7 7 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.
35

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

 Total exposure
 September 30,
2022		June 30,
2022		December 31,
2021
AAA/AA/A50 %50 %48 %
BBB33 33 34 
BB/B15 15 16 
CCC or below2 2 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.
Citigroup believes the corporate credit portfolio to be appropriately rated and classified as of September 30, 2022. 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, 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.
See Note 13 for additional information on Citi’s corporate credit portfolio.

Portfolio Mix—Industry
Citi’s corporate credit portfolio is diversified by industry. The following table details the allocation of Citi’s total corporate credit portfolio by industry:

 Total exposure
 September 30,
2022		June 30,
2022		December 31,
2021
Transportation and industrials20 %20 %20 %
Technology, media and telecom12 12 12 
Consumer retail 11 11 11 
Real estate10 10 10 
Power, chemicals, metals and mining9 9 9 
Banks and finance companies9 9 8 
Energy and commodities7 7 7 
Asset managers and funds7 7 8 
Health5 5 5 
Insurance4 4 4 
Public sector3 3 3 
Financial markets infrastructure2 2 2 
Securities firms— — — 
Other industries1 1 1 
Total100 %100 %100 %
36

The following table details Citi’s corporate credit portfolio by industry as of September 30, 2022:

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 accruingNet credit losses (recoveries)
Credit derivative hedges(3)
Transportation and industrials$135,469 $52,978 $82,491 $105,517 $20,566 $8,871 $515 $330 $(37)$(8,136)
Autos(4)
46,238 19,221 27,017 38,257 6,452 1,390 139 43 1 (2,884)
Transportation24,417 11,163 13,254 18,094 2,771 3,371 181 84 (41)(1,255)
Industrials64,814 22,594 42,220 49,166 11,343 4,110 195 203 3 (3,997)
Technology, media and telecom80,793 30,164 50,629 64,911 12,015 3,550 317 209 8 (5,970)
Consumer retail75,757 32,305 43,452 58,550 13,718 3,098 391 241 16 (4,884)
Real estate67,330 45,582 21,748 58,399 5,683 3,246 2 134 1 (625)
Power, chemicals, metals and mining60,285 18,611 41,674 48,794 9,997 1,294 200 150 15 (4,718)
Power23,024 4,703 18,321 19,712 2,863 394 55 52 — (2,173)
Chemicals23,614 8,033 15,581 19,453 3,552 496 113 59 15 (1,933)
Metals and mining13,647 5,875 7,772 9,629 3,582 404 32 39 — (612)
Banks and finance companies60,503 38,537 21,966 51,712 6,043 2,581 167 108 30 (845)
Energy and commodities(5)
47,467 14,628 32,839 39,050 6,700 1,561 156 284 11 (3,502)
Asset managers and funds44,814 20,988 23,826 42,592 2,155 67 — 156 — (866)
Health32,546 8,865 23,681 27,691 3,894 862 99 103 1 (2,629)
Insurance27,797 3,350 24,447 26,918 879 — — 3 — (2,699)
Public sector23,425 12,982 10,443 19,758 1,827 1,683 157 22 3 (1,370)
Financial markets infrastructure8,936 57 8,879 8,865 71 — — — — (20)
Securities firms1,590 797 793 756 657 175 2 8 — (3)
Other industries8,193 4,464 3,729 5,566 2,314 281 32 37 12 (247)
Total$674,905 $284,308 $390,597 $559,079 $86,519 $27,269 $2,038 $1,785 $60 $(36,514)

(1)    Excludes $0.4 billion and $0.1 billion of funded and unfunded exposure at September 30, 2022, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balance also excludes loans carried at fair value of $3.6 billion at September 30, 2022.
(2)    Includes non-accrual loan exposures and criticized unfunded exposures.
(3)    Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $36.5 billion of purchased credit protection, $33.2 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(4)    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 $16.9 billion ($7.6 billion in funded, with 100% rated investment grade) as of September 30, 2022.
(5)    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 September 30, 2022, Citi’s total exposure to these energy-related entities was approximately $5.1 billion, of which approximately $2.5 billion consisted of direct outstanding funded loans.







37

The following table details Citi’s corporate credit portfolio by industry as of December 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 accruingNet credit losses (recoveries)
Credit derivative hedges(3)
Transportation and industrials$143,445 $51,502 $91,943 $110,047 $19,051 $13,196 $1,151 $384 $127 $(8,791)
Autos(4)
48,210 18,662 29,548 39,824 5,365 2,906 115 49 2 (3,228)
Transportation26,897 12,085 14,812 19,233 2,344 4,447 873 105 104 (1,334)
Industrials68,338 20,755 47,583 50,990 11,342 5,843 163 230 21 (4,229)
Technology, media and telecom84,333 28,542 55,791 64,676 15,873 3,587 197 156 11 (6,875)
Consumer retail78,994 32,894 46,100 60,686 13,590 4,311 407 224 100 (5,115)
Real estate69,808 46,220 23,588 58,089 6,761 4,923 35 116 50 (798)
Power, chemicals, metals
and mining		65,641 20,224 45,417 53,575 10,708 1,241 117 292 22 (5,808)
Power26,199 5,610 20,589 22,860 2,832 420 87 100 17 (3,032)
Chemicals25,550 8,525 17,025 20,788 4,224 528 10 88 6 (2,141)
Metals and mining13,892 6,089 7,803 9,927 3,652 293 20 104 (1)(635)
Banks and finance companies58,252 36,804 21,448 49,465 4,892 3,890 5 150 (5)(680)
Energy and commodities(5)
48,973 13,485 35,488 38,972 7,517 2,220 264 224 78 (3,679)
Asset managers and funds55,517 26,879 28,638 54,119 1,019 377 2 211 — (869)
Health33,393 8,826 24,567 27,600 4,702 942 149 95 — (2,465)
Insurance28,495 3,162 25,333 27,447 987 61 — 2 1 (2,711)
Public sector23,842 12,464 11,378 21,035 1,527 1,275 5 37 (3)(1,282)
Financial markets infrastructure14,341 109 14,232 14,323 18 — — — — (22)
Securities firms1,472 613 859 605 816 51 — 4 — (5)
Other industries6,591 2,803 3,788 4,151 1,890 489 61 — 5 (169)
Total$713,097 $284,527 $428,570 $584,790 $89,351 $36,563 $2,393 $1,895 $386 $(39,269)

(1)    Excludes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2021, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balance also excludes loans carried at fair value of $6.1 billion at December 31, 2021.
(2)    Includes non-accrual loan exposures and criticized unfunded exposures.
(3)    Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $39.3 billion of purchased credit protection, $36.0 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(4)    Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.9 billion ($6.5 billion in funded, with more than 99% rated investment grade) as of December 31, 2021.
(5)    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, 2021, Citi’s total exposure to these energy-related entities was approximately $5.1 billion, of which approximately $2.6 billion consisted of direct outstanding funded loans.

38

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 September 30, 2022, June 30, 2022 and December 31, 2021, ICG had economic hedges on the corporate credit portfolio of $36.5 billion, $36.8 billion and $39.3 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 corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure

September 30,
2022		June 30,
2022		December 31,
2021
AAA/AA/A38 %37 %35 %
BBB45 44 49 
BB/B13 14 13 
CCC or below4 5 3 
Total100 %100 %100 %



39

CONSUMER CREDIT

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

In billions of dollars
3Q21(2)
4Q21(2)
1Q22(2)
2Q22(2)
3Q22(2)
Personal Banking and Wealth Management
U.S. Personal Banking
Cards
Branded cards$82.8 $87.9 $85.9 $91.6 $93.7 
Retail services42.7 46.0 44.1 45.8 46.7 
Retail banking
Mortgages(5)
30.5 30.2 30.5 32.3 32.3 
Personal, small business and other2.9 2.8 2.8 3.1 3.5 
Global Wealth(3)(4)
Cards3.7 4.0 3.8 4.0 4.0 
Mortgages(5)
73.9 74.6 75.4 77.8 82.0 
Personal, small business and other(6)
72.7 72.7 71.0 67.0 65.1 
Total$309.2 $318.2 $313.5 $321.6 $327.3 
Legacy Franchises
Asia Consumer(7)
$42.9 $41.1 $19.5 $17.3 $13.4 
Mexico Consumer (excludes Mexico SBMM)13.0 13.3 13.6 13.5 13.7 
Legacy Holdings Assets(8)
4.2 3.9 3.7 3.2 3.2 
Total$60.1 $58.3 $36.8 $34.0 $30.3 
Total consumer loans$369.3 $376.5 $350.3 $355.6 $357.6 

(1)End-of-period loans include interest and fees on credit cards.
(2)Legacy Franchises—3Q22 Asia Consumer loan balances exclude approximately $17 billion of loans ($12 billion of retail banking loans and $5 billion of credit card loan balances) reclassified to held-for-sale (HFS) (Other assets on the Consolidated Balance Sheet) as a result of Citi’s signed agreements to sell its consumer banking businesses in seven countries (see Legacy Franchises above and Note 2 for additional information). Indonesia, Malaysia, Thailand, Vietnam, Taiwan, India and Bahrain consumer banking businesses were reclassified to HFS starting 1Q22. In addition, the Australia consumer banking business was reclassified to HFS from 3Q21 until the closing of its sale on June 1, 2022; and the Philippines consumer banking business was reclassified to HFS from 4Q21 until the closing of its sale on August 1, 2022. Accordingly, loans from these sold businesses are excluded from the Asia Consumer loan balances as of the end of such periods.
(3)Consists of $99.3 billion, $94.6 billion, $94.1 billion, $92.7 billion and $92.0 billion of loans in North America as of September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021, respectively. For additional information on the credit quality of the Global Wealth portfolio, see Note 13.
(4)Consists of $51.8 billion, $54.2 billion, $56.1 billion, $58.6 billion and $58.3 billion of loans outside North America as of September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021, respectively.
(5)See Note 13 for details on loan-to-value ratios for the portfolios and FICO scores for the U.S. portfolio.
(6)At September 30, 2022, includes approximately $53 billion of classifiably managed loans. Over 90% of these loans are fully collateralized (consisting primarily of marketable investment securities, commercial real estate and limited partner capital commitments in private equity) and have experienced very low historical NCLs. As discussed below, approximately 95% of the classifiably managed portion of these loans are investment grade. See “Consumer Loan Delinquencies Amounts and Ratios” below for details on the delinquency-managed portfolio.
(7)Asia Consumer also includes loans and leases in certain EMEA countries for all periods presented.
(8)Primarily consists of certain North America consumer mortgages.

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


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Consumer Credit Trends

Personal Banking and Wealth Management (PBWM)

Personal Banking and Wealth Management
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As indicated above, PBWM consists of U.S. Personal Banking and Global Wealth Management (Global Wealth). U.S. Personal Banking provides cards products through Branded cards and Retail services, and mortgages and home equity, small business and personal consumer loans through Citi’s Retail banking network. The Retail bank is concentrated in six major metropolitan areas in the U.S. Global Wealth provides cards, mortgages and personal, small business and other consumer loans through the Private bank, Citigold and Wealth at Work.
As of September 30, 2022, approximately 40% of PBWM consumer loans consisted of Branded cards and Retail services card loans, which generally drives the overall credit performance of PBWM, as U.S. Cards net credit losses represent approximately 90% of total PBWM losses.
As shown in the chart above, the third quarter of 2022 net credit loss rate in PBWM was unchanged quarter-over-quarter and increased year-over-year, driven by an increase in net flow rates, primarily reflecting ongoing normalization from historically low levels in U.S. Cards.
PBWM’s 90+ days past due delinquency rate increased quarter-over-quarter and year-over-year, also driven by an increase in net flow rates, primarily reflecting the ongoing normalization in U.S. Cards.

Branded Cards
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U.S. Personal Banking’s Branded cards portfolio includes proprietary and co-branded cards.
As shown in the chart above, the third quarter of 2022 net credit loss rate in Branded cards was unchanged quarter-over-quarter and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by lasting effects of government stimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate increased quarter-over-quarter and year-over year, driven by a modest increase in net flow rates, primarily reflecting the ongoing normalization.

Retail Services
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U.S. Personal Banking’s Retail services partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Retail services’ target market focuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel. 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 third quarter of 2022 net credit loss rate in Retail services increased quarter-over-quarter and year-over-year, driven by an increase in net flow rates, primarily reflecting the ongoing normalization from historically low levels.
The 90+ days past due delinquency rate increased quarter-over-quarter and year-over-year, also driven by an increase in net flow rates, primarily reflecting the ongoing normalization.
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.

41

Retail Banking
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U.S. Personal Banking’s Retail banking portfolio consists primarily of consumer mortgages and other unsecured lending products, such as small business loans and personal loans. The portfolio is generally delinquency managed, where Citi evaluates credit risk based on FICO scores, delinquencies and the value of underlying collateral. The consumer mortgages in this portfolio have historically been extended to high credit quality customers, generally with loan-to-value ratios that are less than 80% on first and second mortgages. For additional information, see “Loan-to-Value (LTV) Ratios” in Note 13.
As shown in the chart above, the net credit loss rate in Retail banking for the third quarter of 2022 decreased quarter-over-quarter, due to industry-wide episodic overdraft losses in the first half of the year, but increased year-over-year, primarily driven by the lingering impact of the episodic losses.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily driven by U.S. mortgages, which reflected the lasting effects of government stimulus, unemployment benefits and consumer relief programs.

Global Wealth
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As discussed above, the Global Wealth credit portfolio primarily consists of consumer mortgages, cards and other lending products extended to customer segments that range from the affluent to ultra-high-net-worth through the Private bank, Citigold and Wealth at Work. These customer segments represent a target market that is characterized by historically low default rates and delinquencies.
As of September 30, 2022, approximately $53 billion, or 35%, of the portfolio was classifiably managed and primarily consisted of margin lending, commercial real estate, subscription credit finance and other lending programs. These classifiably managed loans are primarily evaluated for credit
risk based on their internal risk rating, of which 95% is rated investment grade. While the delinquency rate in the chart above is calculated only for the delinquency-managed portfolio, the net credit loss rate is calculated using net credit losses for both the delinquency and classifiably managed portfolios.
As shown in the chart above, the net credit loss rate and 90+ days past due delinquency rate for the third quarter of 2022 were broadly stable quarter-over-quarter and year-over-year, reflecting the strong credit profiles of the portfolios.

Legacy Franchises
Legacy Franchises provides traditional retail banking and branded card products to retail and small business customers in Asia Consumer and Mexico Consumer.

Asia(1) Consumer
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(1)Asia Consumer includes Legacy Franchises activities in certain EMEA countries for all periods presented.

As of September 30, 2022, Asia Consumer operated in the remaining 11 countries in Asia and EMEA (Australia and the Philippines were included until sold on June 1, 2022 and August 1, 2022, respectively) 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 Consumer for the third quarter of 2022 increased quarter-over-quarter, primarily driven by lower average loans in Korea (decline of $2.6 billion) due to the continued wind-down of the business. The net credit loss rate decreased year-over-year, primarily driven by the impact of the charge-off of peak delinquent loans in early 2021, which resulted in lower delinquencies, leading to lower net credit losses in the current quarter. The year-over-year decrease was also driven by the reclassification of loans to held-for-sale during the third quarter of 2021 or thereafter (including approximately $12 billion of retail banking loans and $5 billion of credit card loan balances for the third quarter of 2022), as a result of Citi’s signing of sale agreements for the Philippines, Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam consumer banking businesses.
The 90+ days past due delinquency rate increased quarter-over-quarter, primarily driven by lower end-of-period loans in Korea (decline of $3.3 billion) due to the continued wind-down of the business, and decreased year-over-year, mainly driven by the impact of the Asia held-for-sale reclassification and the charge-off of peak delinquencies.
The performance of Asia Consumer’s portfolios continues to reflect the strong credit profiles in the region’s target customer segments. Regulatory changes in many markets in
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Asia over the past few years have also resulted in improved credit quality.

Mexico Consumer
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Mexico Consumer operates in Mexico through Citibanamex and provides credit cards, consumer mortgages and small business and personal loans. Mexico Consumer serves a more mass-market segment in Mexico and focuses on developing multiproduct relationships with customers.
As shown in the chart above, the third quarter of 2022 net credit loss rate in Mexico Consumer increased quarter-over-quarter, largely driven by higher episodic mortgage recoveries in the second quarter of 2022, and decreased year-over-year, primarily driven by the impact of the charge-off of peak delinquencies in early 2021, which resulted in lower delinquencies, leading to lower net credit losses in the current quarter.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily driven by the impact of the charge-off of peak delinquencies and higher payment rates.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see PBWM and Legacy Franchises results of operations above and Note 13.
U.S. Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s Branded cards and Retail services 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.

Branded Cards

FICO distribution(1)
September 30, 2022June 30, 2022September 30, 2021
> 76048 %49 %48 %
680–76038 38 39 
< 68014 13 13 
Total100 %100 %100 %

Retail Services

FICO distribution(1)
September 30, 2022June 30, 2022September 30, 2021
> 76027 %28 %27 %
680–76043 43 45 
< 68030 29 28 
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 largely unchanged from the prior quarter and the prior year. The FICO distribution continues to reflect strong underlying credit quality and a benefit from the continued impacts of government stimulus, unemployment benefits and customer relief programs, as well as lower credit utilization primarily by customers with lower FICO scores. See Note 13 for additional information on FICO scores.

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Additional Consumer Credit Details

Consumer Loan Delinquencies Amounts and Ratios

 
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
In millions of dollars,
except EOP loan amounts in billions		September 30,
2022		September 30,
2022		June 30,
2022		September 30,
2021		September 30,
2022		June 30,
2022		September 30,
2021
Personal Banking and Wealth Management(3)(4)(5)
Total$327.3 $1,557 $1,383 $1,205 $1,778 $1,435 $1,355 
Ratio0.57 %0.52 %0.49 %0.65 %0.54 %0.55 %
U.S. Personal Banking
Total$176.2 $1,286 $1,128 $974 $1,474 $1,201 $1,063 
Ratio0.73 %0.66 %0.62 %0.84 %0.70 %0.68 %
Cards(4)
Total140.4 1,105 949 783 1,269 1,009 846 
Ratio0.79 %0.69 %0.62 %0.90 %0.73 %0.67 %
Branded cards
93.7 474 420 362 554 428 375 
Ratio0.51 %0.46 %0.44 %0.59 %0.47 %0.45 %
Retail services
46.7 631 529 421 715 581 471 
Ratio1.35 %1.16 %0.99 %1.53 %1.27 %1.10 %
Retail banking(3)
35.8 181 179 191 205 192 217 
Ratio0.51 %0.52 %0.60 %0.58 %0.55 %0.68 %
Global Wealth
delinquency-managed loans(5)
$97.8 $271 $255 $231 $304 $234 $292 
Ratio0.28 %0.27 %0.26 %0.31 %0.25 %0.32 %
Global Wealth
classifiably managed loans(6)
$53.3 N/AN/AN/AN/AN/AN/A
Legacy Franchises
Total$30.3 $375 $393 $677 $299 $293 $633 
Ratio1.25 %1.16 %1.13 %1.00 %0.87 %1.06 %
Asia Consumer(7)(8)
13.4 47 51 257 63 70 344 
Ratio0.35 %0.29 %0.60 %0.47 %0.40 %0.80 %
Mexico Consumer13.7 173 174 198 169 159 190 
Ratio1.26 %1.29 %1.52 %1.23 %1.18 %1.46 %
Legacy Holdings Assets (consumer)(9)
3.2 155 168 222 67 64 99 
Ratio5.34 %5.60 %5.84 %2.31 %2.13 %2.61 %
Total Citigroup consumer$357.6 $1,932 $1,776 $1,882 $2,077 $1,728 $1,988 
Ratio0.64 %0.59 %0.61 %0.68 %0.58 %0.65 %

(1)End-of-period (EOP) loans include interest and fees on credit cards.
(2)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(3)The 90+ days past due and 30–89 days past due and related ratios for Retail banking exclude loans guaranteed by U.S. government-sponsored agencies since the potential risk of loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $96 million ($0.6 billion), $119 million ($0.7 billion) and $146 million ($1.5 billion) at September 30, 2022, June 30, 2022 and September 30, 2021, respectively. The amounts excluded for loans 30–89 days past due (the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $67 million, $72 million and $78 million at September 30, 2022, June 30, 2022 and September 30, 2021, respectively. The EOP loans in the table include the guaranteed loans.
(4)The 90+ days past due balances for Branded cards and Retail services are generally still accruing interest. Citi’s policy is generally to accrue interest on credit card loans until 180 days past due, unless a notification of bankruptcy filing has been received earlier.
(5)Excludes EOP classifiably managed Private bank loans. These loans are not included in the delinquency numerator, denominator and ratios.
(6)These loans are evaluated for non-accrual status and write-off primarily based on their internal risk classification and not solely on their delinquency status, and therefore delinquency metrics are excluded from this table. As of September 30, 2022, June 30, 2022 and September 30, 2021, 95%, 94% and 93% of Global Wealth classifiably managed loans were rated investment grade. For additional information on the credit quality of the Global Wealth portfolio, including classifiably managed portfolios, see “Consumer Credit Trends” above.
(7)Asia Consumer includes delinquencies and loans in certain EMEA countries for all periods presented.
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(8)Citi recently entered into agreements to sell certain Asia consumer banking businesses. Accordingly, the loans of these businesses have been reclassified as HFS in Other assets on the Consolidated Balance Sheet, and hence the loans and related delinquencies and ratios are not included in this table. The reclassifications commenced as follows: Australia (3Q21, and closed on June 1, 2022), the Philippines (4Q21, and closed on August 1, 2022) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22). See Note 2 for additional information.
(9)The 90+ days past due and 30–89 days past due and related ratios exclude U.S. mortgage loans that are primarily related to U.S. mortgages guaranteed by U.S. government-sponsored agencies since the potential risk of loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and (EOP loans) were $95 million ($0.3 billion), $84 million ($0.2 billion) and $138 million ($0.4 billion) at September 30, 2022, June 30, 2022 and September 30, 2021, respectively. The amounts excluded for loans 30–89 days past due (the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $31 million, $27 million and $42 million at September 30, 2022, June 30, 2022 and September 30, 2021, respectively. The EOP loans in the table include the guaranteed loans.
N/A Not applicable

Consumer Loan Net Credit Losses and Ratios

 
Average
loans(1)
Net credit losses(2)
In millions of dollars, except average loan amounts in billions3Q223Q222Q223Q21
Personal Banking and Wealth Management(2)
Total$324.6 $723 $699 $641 
Ratio0.88 %0.88 %0.82 %
U.S. Personal Banking
Total$174.0 $706 $679 $617 
Ratio1.61 %1.63 %1.55 %
Cards
Total137.9 663 619 595 
Ratio1.91 %1.87 %1.90 %
Branded cards91.8 348 329 357 
Ratio1.50 %1.50 %1.73 %
Retail services46.1 315 290 238 
Ratio2.71 %2.60 %2.23 %
Retail banking36.1 43 60 22 
Ratio0.47 %0.70 %0.26 %
Global Wealth$150.6 $17 $20 $24 
Ratio0.04 %0.05 %0.06 %
Legacy Franchises
Total$31.8 $158 $128 $281 
Ratio1.97 %1.45 %1.73 %
Asia Consumer(3)(4)
15.2 39 35 129 
Ratio1.02 %0.77 %1.10 %
Mexico Consumer13.5 130 105 175 
Ratio3.82 %3.12 %5.26 %
Legacy Holdings Assets (consumer)3.1 (11)(12)(23)
Ratio(1.41)%(1.34)%(1.94)%
Total Citigroup$356.4 $881 $827 $922 
Ratio0.98 %0.94 %0.98 %

(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 Consumer includes NCLs and average loans in certain EMEA countries (Russia, Poland and Bahrain) for all periods presented.
(4)Citi recently entered into agreements to sell certain Asia consumer banking businesses, which have been reclassified as HFS in Other assets and Other liabilities on the Consolidated Balance Sheet. As a result, approximately $34 million, $50 million and $5 million in related net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) in 3Q22, 2Q22 and 3Q21, respectively. Accordingly, these NCLs are not included in this table. The reclassifications commenced as follows: Australia (3Q21, and closed on June 1, 2022), the Philippines (4Q21, and closed on August 1, 2022) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22). See Note 2 for additional information.
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ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding
3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.
In millions of dollars20222022202220212021
Consumer loans
In North America offices(1)
Residential first mortgages(2)
$93,381 $88,662 $84,569 $83,361 $83,593 
Home equity loans(2)
4,794 5,074 5,328 5,745 6,194 
Credit cards140,404 137,412 129,989 133,868 125,526 
Personal, small business and other40,110 39,436 41,297 40,713 39,909 
Total$278,689 $270,584 $261,183 $263,687 $255,222 
In offices outside North America(1)
Residential mortgages(2)
$27,281 $28,129 $29,017 $37,889 $46,920 
Credit cards11,764 11,858 11,546 17,808 17,763 
Personal, small business and other39,849 45,034 48,582 57,150 49,387 
Total$78,894 $85,021 $89,145 $112,847 $114,070 
Consumer loans, net of unearned income(3)
$357,583 $355,605 $350,328 $376,534 $369,292 
Corporate loans
In North America offices(1)
Commercial and industrial$52,990 $55,823 $54,063 $48,364 $52,988 
Financial institutions43,667 46,088 47,930 49,804 44,172 
Mortgage and real estate(2)
17,762 17,359 17,536 15,965 16,422 
Installment and other21,222 20,466 18,812 20,143 16,944 
Lease financing383 379 379 415 425 
Total$136,024 $140,115 $138,720 $134,691 $130,951 
In offices outside North America(1)
Commercial and industrial$100,570 $108,274 $112,732 $102,735 $105,124 
Financial institutions23,604 24,654 27,657 22,158 25,013 
Mortgage and real estate(2)
4,005 4,455 4,705 4,374 4,749 
Installment and other19,653 19,862 21,275 22,812 25,277 
Lease financing48 53 47 40 47 
Governments and official institutions4,473 4,315 4,205 4,423 4,311 
Total$152,353 $161,613 $170,621 $156,542 $164,521 
Corporate loans, net of unearned income(4)
$288,377 $301,728 $309,341 $291,233 $295,472 
Total loans—net of unearned income$645,960 $657,333 $659,669 $667,767 $664,764 
Allowance for credit losses on loans (ACLL)(16,309)(15,952)(15,393)(16,455)(17,715)
Total loans—net of unearned income and ACLL$629,651 $641,381 $644,276 $651,312 $647,049 
ACLL as a percentage of total loans—
net of unearned income(5)
2.54 %2.44 %2.35 %2.49 %2.69 %
ACLL for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5)
3.74 %3.65 %3.53 %3.73 %4.09 %
ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5)
1.04 %1.00 %1.00 %0.85 %0.91 %
(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 $671 million, $631 million, $591 million, $629 million and $616 million at September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(4)Corporate loans include Mexico SBMM loans and are net of unearned income of $(750) million, $(759) million, $(766) million, $(770) million and $(798) million at September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(5)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
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Details of Credit Loss Experience

3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.
In millions of dollars20222022202220212021
Allowance for credit losses on loans (ACLL) at beginning of period$15,952 $15,393 $16,455 $17,715 $19,238 
Provision for credit losses on loans (PCLL)
Consumer$1,281 $1,440 $(372)$(202)$(180)
Corporate47 (56)632 (108)(8)
Total$1,328 $1,384 $260 $(310)$(188)
Gross credit losses on loans
Consumer
In U.S. offices$946 $934 $947 $802 $893 
In offices outside the U.S.248 221 245 360 449 
Corporate
In U.S. offices8 21 29 27 17 
In offices outside the U.S.35 36 19 90 30 
Total$1,237 $1,212 $1,240 $1,279 $1,389 
Gross recoveries on loans
Consumer
In U.S. offices$252 $265 $293 $273 $299 
In offices outside the U.S.61 63 58 108 121 
Corporate
In U.S. offices34 2 13 8 5 
In offices outside the U.S.3 32 4 24 3 
Total$350 $362 $368 $413 $428 
Net credit losses on loans (NCLs)
In U.S. offices$668 $688 $670 $548 $606 
In offices outside the U.S.219 162 202 318 355 
Total$887 $850 $872 $866 $961 
Other—net(1)(2)(3)(4)(5)(6)
$(84)$25 $(450)$(84)$(374)
Allowance for credit losses on loans (ACLL) at end of period$16,309 $15,952 $15,393 $16,455 $17,715 
ACLL as a percentage of EOP loans(7)
2.54 %2.44 %2.35 %2.49 %2.69 %
Allowance for credit losses on unfunded lending commitments (ACLUC)(8)
$2,089 $2,193 $2,343 $1,871 $2,063 
Total ACLL and ACLUC$18,398 $18,145 $17,736 $18,326 $19,778 
Net consumer credit losses on loans$881 $827 $841 $781 $922 
As a percentage of average consumer loans0.98 %0.94 %0.97 %0.83 %0.98 %
Net corporate credit losses on loans$6 $23 $31 $85 $39 
As a percentage of average corporate loans0.01 %0.03 %0.04 %0.11 %0.05 %
ACLL by type at end of period(9)
Consumer$13,361 $12,983 $12,368 $14,040 $15,105 
Corporate2,948 2,969 3,025 2,415 2,610 
Total $16,309 $15,952 $15,393 $16,455 $17,715 

(1)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.
(2)The third quarter of 2022 includes a decrease of approximately $84 million related to FX translation.
(3)The second quarter of 2022 includes an increase of approximately $25 million related to FX translation.
(4)The first quarter of 2022 includes an approximate $350 million reclass related to the announced sales of Citi’s consumer banking businesses in Thailand, India, Malaysia, Taiwan, Indonesia, Bahrain and Vietnam. The ACLL was reclassified to Other assets during 1Q22. 1Q22 consumer also includes a decrease of approximately $100 million related to FX translation.
(5)The fourth quarter of 2021 includes an approximate $90 million reclass related to the announced sale of Citi’s consumer banking operations in the Philippines. The ACLL was reclassified to Other assets during 4Q21. 4Q21 consumer also includes a decrease of approximately $6 million related to FX translation.
(6)The third quarter of 2021 includes an approximate $280 million reclass related to the announced sale of Citi’s consumer banking business in Australia. The ACLL was reclassified to Other assets during 3Q21. 3Q21 consumer also includes a decrease of approximately $80 million related to FX translation.
47

(7)September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021 exclude $3.9 billion, $4.5 billion, $5.7 billion, $6.1 billion and $7.2 billion, respectively, of loans that are carried at fair value.
(8)Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(9)See “Significant Accounting Policies and Significant Estimates” below. Attribution of the allowance is made for analytical purposes only and 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:

 September 30, 2022
In billions of dollarsACLLEOP loans, net of
unearned income
ACLL as a
percentage of EOP loans(1)
Consumer
North America cards(2)
$10.6 $140.4 7.5 %
North America mortgages(3)
0.2 97.9 0.2 
North America other(3)
0.8 40.1 2.0 
International cards0.9 11.8 7.6 
International other(3)
0.9 67.2 1.3 
Total(1)
$13.4 $357.4 3.7 %
Corporate
Commercial and industrial$2.0 $151.6 1.3 %
Financial institutions0.3 66.9 0.4 
Mortgage and real estate0.4 21.7 1.8 
Installment and other0.2 44.5 0.4 
Total(1)
$2.9 $284.7 1.0 %
Loans at fair value(1)
N/A$3.9 N/A
Total Citigroup$16.3 $646.0 2.5 %

 December 31, 2021
In billions of dollarsACLLEOP loans, net of
unearned income
ACLL as a
percentage of EOP loans(1)
Consumer
North America cards(2)
$10.8 $133.9 8.1 %
North America mortgages(3)
0.5 89.1 0.6 
North America other(3)
0.4 40.7 1.0 
International cards1.2 17.8 6.7 
International other(3)
1.2 95.0 1.3 
Total(1)
$14.1 $376.5 3.7 %
Corporate
Commercial and industrial$1.6 $147.0 1.1 %
Financial institutions0.3 71.8 0.4 
Mortgage and real estate0.3 20.3 1.5 
Installment and other0.2 46.1 0.4 
Total(1)
$2.4 $285.2 0.8 %
Loans at fair value(1)
N/A$6.1 N/A
Total Citigroup$16.5 $667.8 2.5 %

(1)Excludes loans carried at fair value, since they do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both Branded cards and Retail services. As of September 30, 2022, the $10.6 billion of ACLL represented approximately 48 months of coincident net credit loss coverage. As of September 30, 2022, Branded cards ACLL as a percentage of EOP loans was 6.2% and Retail services ACLL as a percentage of EOP loans was 10.1%. As of December 31, 2021, the $10.8 billion of loan loss reserves represented approximately 63 months of coincident net credit loss coverage. The decrease in the coincident coverage ratio at September 30, 2022 was primarily due to the relatively higher levels of NCLs during the third quarter of 2022. As of December 31, 2021, Branded cards ACLL as a percentage of EOP loans was 7.1% and Retail services ACLL as a percentage of EOP loans was 10.0%.
(3)Includes residential mortgages, retail loans and personal, small business and other loans, including those extended through the Private bank network.
N/A Not applicable
48

The following table details Citi’s corporate credit ACLL by industry exposure:

September 30, 2022
In millions of dollars, except percentages
Funded exposure(1)
ACLLACLL as a % of funded exposure
Transportation and industrials$52,978 $734 1.4 %
Technology, media and telecom30,164 354 1.2 
Consumer retail32,305 327 1.0 
Real estate45,582 493 1.1 
Power, chemicals, metals and mining18,611 366 2.0 
Banks and finance companies38,537 248 0.6 
Energy and commodities14,628 186 1.3 
Asset managers and funds20,988 28 0.1 
Health8,865 73 0.8 
Insurance3,350 10 0.3 
Public sector12,982 52 0.4 
Financial markets infrastructure57 — — 
Securities firms797 21 2.6 
Other industries4,464 48 1.1 
Total classifiably managed loans(2)
$284,308 $2,940 1.0 %
Loans managed on a delinquency basis(3)
$431 $7 1.6 %
Total$284,739 $2,947 1.0 %

(1)    Funded exposure excludes loans carried at fair value of $3.6 billion that are not subject to ACLL under the CECL standard.
(2)    As of September 30, 2022, the ACLL shown above reflects coverage of 0.4% of funded investment-grade exposure and 3.2% of funded non-investment-grade exposure.
(3)    Primarily associated with delinquency-managed loans including commercial credit cards and other loans, and unearned income at September 30, 2022.

The following table details Citi’s corporate credit ACLL by industry exposure:

December 31, 2021
In millions of dollars, except percentages
Funded exposure(1)
ACLLACLL as a % of funded exposure
Transportation and industrials$51,502 $597 1.2 %
Technology, media and telecom28,542 170 0.6 
Consumer retail32,894 288 0.9 
Real estate46,220 509 1.1 
Power, chemicals, metals and mining20,224 151 0.7 
Banks and finance companies36,804 197 0.5 
Energy and commodities13,485 268 2.0 
Asset managers and funds26,879 34 0.1 
Health8,826 73 0.8 
Insurance3,162 8 0.3 
Public sector12,464 74 0.6 
Financial markets infrastructure109 — — 
Securities firms613 10 1.6 
Other industries2,803 28 1.0 
Total classifiably managed loans(2)
$284,527 $2,407 0.8 %
Loans managed on a delinquency basis(3)
$636 $8 1.3 %
Total$285,163 $2,415 0.8 %

(1)    Funded exposure excludes loans carried at fair value of $6.1 billion that are not subject to ACLL under the CECL standard.
(2)    As of December 31, 2021, the ACLL shown above reflects coverage of 0.7% of funded investment-grade exposure and 2.3% of funded non-investment-grade exposure.
(3)    Primarily associated with delinquency-managed loans including commercial credit cards and other loans, and unearned income at December 31, 2021.
49

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 2021 Form 10-K.

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

Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,
In millions of dollars20222022202220212021
Corporate non-accrual loans by region(1)(2)(3)
North America$276 $304 $462 $510 $923 
EMEA598 712 688 367 407 
Latin America555 563 631 568 679 
Asia 56 76 85 108 110 
Total $1,485 $1,655 $1,866 $1,553 $2,119 
Corporate non-accrual loans(1)(2)(3)
Banking$1,085 $1,015 $1,323 $1,239 $1,739 
Services185 353 297 70 74 
Markets— 11 13 12 13 
Mexico SBMM215 276 233 232 293 
Total$1,485 $1,655 $1,866 $1,553 $2,119 
Consumer non-accrual loans(1)
U.S. Personal Banking and Global Wealth$585 $536 $586 $680 $637 
Asia Consumer(4)
30 34 38 209 259 
Mexico Consumer486 493 512 524 549 
Legacy Holdings Assets—Consumer
300 317 381 413 425 
Total$1,401 $1,380 $1,517 $1,826 $1,870 
Total non-accrual loans $2,886 $3,035 $3,383 $3,379 $3,989 

(1)Corporate loans are placed on non-accrual status based upon a review by Citigroup’s risk officers. Corporate non-accrual loans may still be current on interest payments. With limited exceptions, the following practices are applied for consumer loans: consumer loans, excluding credit cards and mortgages, are placed on non-accrual status at 90 days past due and are charged off at 120 days past due; residential mortgage loans are placed on non-accrual status at 90 days past due and written down to net realizable value at 180 days past due. Consistent with industry conventions, Citigroup generally accrues interest on credit card loans until such loans are charged off, which typically occurs at 180 days contractual delinquency. As such, the non-accrual loan disclosures do not include credit card loans. The balances above represent non-accrual loans within Corporate loans and Consumer loans on the Consolidated Balance Sheet.
(2)Approximately 68%, 52%, 66%, 56% and 58% of Citi’s corporate non-accrual loans were performing at September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021, respectively.
(3)The September 30, 2022 total corporate non-accrual loans represented 0.51% of total corporate loans.
(4)    Asia Consumer includes balances in certain EMEA countries for all periods presented.






50

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

Three Months EndedThree Months Ended
September 30, 2022September 30, 2021
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of quarter$1,655 $1,380 $3,035 $2,250 $2,132 $4,382 
Additions372 417 789 318 501 819 
Sales and transfers to HFS(15)(4)(19)(26)(55)(81)
Returned to performing(41)(68)(109)(13)(195)(208)
Paydowns/settlements(442)(130)(572)(344)(254)(598)
Charge-offs(43)(168)(211)(45)(229)(274)
Other(1)(26)(27)(21)(30)(51)
Ending balance$1,485 $1,401 $2,886 $2,119 $1,870 $3,989 
Nine Months EndedNine Months Ended
September 30, 2022September 30, 2021
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of year$1,553 $1,826 $3,379 $3,046 $2,622 $5,668 
Additions1,913 1,060 2,973 1,222 1,798 3,020 
Sales and transfers to HFS(21)(228)(249)(521)(248)(769)
Returned to performing(294)(324)(618)(125)(605)(730)
Paydowns/settlements(1,511)(425)(1,936)(1,122)(630)(1,752)
Charge-offs(148)(463)(611)(362)(1,026)(1,388)
Other(7)(45)(52)(19)(41)(60)
Ending balance$1,485 $1,401 $2,886 $2,119 $1,870 $3,989 

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:

Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,
In millions of dollars20222022202220212021
OREO
North America$9 $7 $14 $15 $10 
EMEA— — — — — 
Latin America5 5 7 8 10 
Asia2 1 5 4 1 
Total OREO$16 $13 $26 $27 $21 
Non-accrual assets
Corporate non-accrual loans$1,485 $1,655 $1,866 $1,553 $2,119 
Consumer non-accrual loans1,401 1,380 1,517 1,826 1,870 
Non-accrual loans (NAL)$2,886 $3,035 $3,383 $3,379 $3,989 
OREO$16 $13 $26 $27 $21 
Non-accrual assets (NAA)$2,902 $3,048 $3,409 $3,406 $4,010 
NAL as a percentage of total loans0.45 %0.46 %0.51 %0.51 %0.60 %
NAA as a percentage of total assets0.12 0.13 0.14 0.15 0.17 
ACLL as a percentage of NAL(1)
565 %526 %455 %487 %444 %

(1)The ACLL includes the allowance for Citi’s credit card portfolios and purchased credit-deteriorated loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios).
51

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

In millions of dollarsSept. 30, 2022Dec. 31, 2021
Corporate renegotiated loans(1)
In U.S. offices
Commercial and industrial(2)
$69 $103 
Mortgage and real estate2 2 
Financial institutions— — 
Other13 20 
Total$84 $125 
In offices outside the U.S.
Commercial and industrial(2)
$45 $133 
Mortgage and real estate12 18 
Financial institutions— — 
Other9 8 
Total$66 $159 
Total corporate renegotiated loans$150 $284 
Consumer renegotiated loans(3)
In U.S. offices
Mortgage and real estate$1,345 $1,485 
Cards1,143 1,269 
Installment and other20 26 
Total$2,508 $2,780 
In offices outside the U.S.
Mortgage and real estate$147 $227 
Cards69 313 
Installment and other94 428 
Total$310 $968 
Total consumer renegotiated loans$2,818 $3,748 

(1)Includes $150 million and $284 million of non-accrual loans included in the non-accrual loans table above at September 30, 2022 and December 31, 2021, respectively.
(2)In addition to modifications reflected as TDRs at September 30, 2022 and December 31, 2021, Citi may have modifications that were not considered TDRs because the modifications did not involve a concession or because they qualified for exemptions from TDR accounting provided by the CARES Act or the interagency guidance.
(3)Includes $555 million and $664 million of non-accrual loans included in the non-accrual loans table above at September 30, 2022 and December 31, 2021, respectively. The remaining loans were accruing interest.

52

LIQUIDITY RISK

For additional information on funding and liquidity at Citi, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors—Liquidity Risks” in Citi’s 2021 Form 10-K.




High-Quality Liquid Assets (HQLA)

CitibankCiti non-bank and other entitiesTotal
In billions of dollarsSept. 30, 2022Jun. 30, 2022Sept. 30, 2021Sept. 30, 2022Jun. 30, 2022Sept. 30, 2021Sept. 30, 2022Jun. 30, 2022Sept. 30, 2021
Available cash$202.2 $188.1 $255.1 $2.1 $1.7 $3.5 $204.3 $189.8 $258.6 
U.S. sovereign
144.6 149.4 108.9 69.4 55.4 64.3 214.0 204.8 173.2 
U.S. agency/agency MBS
52.5 54.4 45.3 4.7 4.6 6.0 57.2 59.0 51.3 
Foreign government debt(1)
63.3 60.4 50.2 15.7 13.9 11.2 79.0 74.3 61.4 
Other investment grade
2.0 2.0 1.7 0.6 1.3 0.3 2.6 3.3 2.0 
Total HQLA (AVG)$464.6 $454.3 $461.2 $92.5 $76.9 $85.3 $557.1 $531.2 $546.5 

Note: The amounts shown 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, Singapore, Korea and Hong Kong.

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 as well as any amounts in excess of these minimums that are available to be transferred to other entities within Citigroup. Citigroup’s average HQLA for the third quarter of 2022 increased quarter-over-quarter, primarily driven by an increase in unsecured wholesale funding.
As of September 30, 2022, Citigroup had approximately $967 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 dollarsSept. 30, 2022Jun. 30, 2022Sept. 30, 2021
HQLA$557.1 $531.2 $546.5 
Net outflows477.0 460.2 474.8 
LCR117 %115 %115 %
HQLA in excess of net outflows$80.1 $71.0 $71.7 

Note: The amounts are presented on an average basis.

As of September 30, 2022, Citigroup’s average LCR increased from the quarter ended June 30, 2022. The increase was primarily driven by an increase in average HQLA, partially offset by an increase in net outflows.
53

Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)
As previously disclosed, the U.S. banking agencies adopted a final rule to assess the availability of a bank’s stable funding against a required level.
The final rule became effective on July 1, 2021, while public disclosure requirements to report the ratio will occur on a semiannual basis beginning June 30, 2023. Citi was in compliance with the final rule as of September 30, 2022.

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

In billions of dollars3Q222Q223Q21
Personal Banking and Wealth Management
U.S. Retail banking$36 $34 $34 
U.S. Cards138 133 124 
Global Wealth
151 150 151 
Total$325 $317 $309 
Institutional Clients Group
Services$82 $85 $76 
Banking197 199 196 
Markets
12 13 17 
Total$291 $297 $289 
Total Legacy Franchises(1)
$39 $43 $71 
Total Citigroup loans (AVG)$655 $657 $669 
Total Citigroup loans (EOP)$646 $657 $665 

(1)See footnote 2 to the table in “Credit Risk—Consumer Credit—Consumer Credit Portfolio” above.

End-of-period loans decreased 3% year-over-year, largely driven by the impact of foreign exchange translation and lower balances in Legacy Franchises. End-of-period loans declined 2% sequentially.
On an average basis, loans declined 2% year-over-year and were largely unchanged sequentially. The year-over-year decline was primarily due to the impact of foreign exchange translation and lower balances in Legacy Franchises, which more than offset growth in both PBWM and ICG. The decline in Legacy Franchises primarily reflected the reclassification of loans to Other assets to reflect held-for-sale accounting as a result of the signing of sale agreements for consumer franchises in Asia and EMEA, as well as the impact of the Korea wind-down. PBWM average loans increased 5% year-over-year, primarily driven by Branded cards and Retail services. ICG average loans increased 1% year-over-year, largely driven by trade finance in TTS.

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

In billions of dollars3Q222Q223Q21
Personal Banking and Wealth Management
U.S. Personal Banking$115 $116 $114 
Global Wealth313 319 310 
Total$428 $435 $424 
Institutional Clients Group
TTS $664 $665 $668 
Securities services
131 137 135 
Markets22 28 28 
Total$817 $830 $831 
Legacy Franchises(1)
$50 $51 $80 
Corporate/Other$21 $7 $8 
Total Citigroup deposits (AVG)$1,316 $1,323 $1,343 
Total Citigroup deposits (EOP)$1,306 $1,322 $1,348 

(1)See footnote 2 to the table in “Credit Risk—Consumer Credit—Consumer Credit Portfolio” above.

End-of-period deposits decreased 3% year-over-year, largely driven by the impact of foreign exchange translation and lower balances in Legacy Franchises. End-of-period deposits decreased 1% sequentially.
On an average basis, deposits declined 2% year-over-year and were largely unchanged sequentially. The year-over-year decline primarily reflected the impact of foreign exchange translation and a decline in Legacy Franchises, partially offset by growth in Corporate/Other. The decline in Legacy Franchises was due to the impact of held-for-sale accounting as a result of the signing of sale agreements for consumer franchises in Asia and EMEA. ICG average deposits declined 2% year-over-year, driven by decreases in TTS, Securities services and Markets, largely reflecting the impact of foreign exchange translation. PBWM average deposits increased 1% year-over-year, driven by modest growth in both U.S. Personal Banking and Global Wealth. Corporate/Other average deposits increased $13 billion year-over-year due to the issuance of institutional certificates of deposit, as Citi continues to diversify its funding profile.

54

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 7.8 years as of September 30, 2022, compared to 8.6 years as of the prior year and 8.0 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 presents Citi’s end-of-period total long-term debt outstanding for each of the dates indicated:

In billions of dollarsSept. 30, 2022Jun. 30, 2022Sept. 30, 2021
Non-bank(1)
Benchmark debt:
Senior debt
$112.7 $120.3 $123.9 
Subordinated debt
22.4 24.0 26.0 
Trust preferred
1.6 1.6 1.7 
Customer-related debt86.9 84.9 74.7 
Local country and other(2)
7.0 7.8 7.2 
Total non-bank$230.6 $238.6 $233.5 
Bank
FHLB borrowings$7.3 $2.3 $5.8 
Securitizations(3)
8.4 9.5 11.0 
Citibank benchmark senior debt2.5 2.6 3.6 
Local country and other(2)
4.3 4.4 4.3 
Total bank$22.5 $18.8 $24.7 
Total long-term debt$253.1 $257.4 $258.2 

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 September 30, 2022, non-bank included $71.4 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries that are consolidated into Citigroup. Certain Citigroup consolidated hedging activities are also included in this line.
(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 Branded cards receivables.

Citi’s total long-term debt outstanding declined 2% year-over-year, as declines in unsecured benchmark debt at both the bank and non-banking entities, as well as securitizations at the bank, were partially offset by the issuance of customer-related debt at the non-bank entities. Sequentially, long-term debt outstanding declined 2%, largely driven by a decline in senior debt at the non-bank entities, partially offset by an increase in FHLB borrowings 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 third quarter of 2022, Citi redeemed or repurchased an aggregate of approximately $9.8 billion of its outstanding long-term debt.




55

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:

 3Q222Q223Q21
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Non-bank
Benchmark debt:
Senior debt$7.4 $4.7 $3.5 $6.0 $2.8 $0.3 
Subordinated debt0.9 — — — — — 
Trust preferred — — — — — — 
Customer-related debt7.5 14.5 5.0 21.8 6.9 9.8 
Local country and other1.4 0.8 0.3 0.4 0.6 1.3 
Total non-bank$17.2 $20.0 $8.8 $28.2 $10.3 $11.4 
Bank
FHLB borrowings$— $5.0 $1.0 $2.3 $3.8 $— 
Securitizations1.1 — — — — — 
Citibank benchmark senior debt— — 0.9 — — — 
Local country and other0.3 0.1 0.6 0.1 0.5 1.0 
Total bank$1.4 $5.1 $2.5 $2.4 $4.3 $1.0 
Total$18.6 $25.1 $11.3 $30.6 $14.6 $12.4 

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2022, as well as its aggregate expected remaining long-term debt maturities by year as of September 30, 2022:

 2022 YTDMaturities
In billions of dollars202220232024202520262027ThereafterTotal
Non-bank
Benchmark debt:
Senior debt$15.3 $— $4.6 $10.3 $11.7 $22.9 $6.7 $56.5 $112.7 
Subordinated debt0.9 — 1.2 0.9 4.8 2.3 3.6 9.6 22.4 
Trust preferred 0.1 — — — — — — 1.6 1.6 
Customer-related debt20.0 2.8 16.2 13.1 11.8 5.3 7.4 30.3 86.9 
Local country and other2.1 0.3 2.9 — — 0.7 — 3.1 7.0 
Total non-bank$38.4 $3.1 $24.9 $24.3 $28.3 $31.2 $17.7 $101.1 $230.6 
Bank
FHLB borrowings$5.3 $— $4.3 $3.0 $— $— $— $— $7.3 
Securitizations1.1 0.8 3.4 1.3 0.4 — 0.8 1.7 8.4 
Citibank benchmark senior debt0.9 — — 2.5 — — — — 2.5 
Local country and other1.3 0.9 0.6 1.2 0.2 0.1 — 1.3 4.3 
Total bank$8.6 $1.7 $8.3 $8.0 $0.6 $0.1 $0.8 $3.0 $22.5 
Total long-term debt$47.0 $4.8 $33.2 $32.3 $28.9 $31.3 $18.5 $104.1 $253.1 

















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Secured Funding Transactions and Short-Term Borrowings
Citi supplements its primary sources of funding with short-term financings that generally include (i) secured funding transactions consisting of securities loaned or sold under agreements to repurchase, 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 $203 billion as of September 30, 2022 decreased 3% from the prior-year period and increased 2% sequentially, driven by normal business activity. The average balance for secured funding was approximately $207 billion for the quarter ended September 30, 2022.
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 September 30, 2022.
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 $47 billion increased 60% year-over-year and 18% sequentially, reflecting an increase in FHLB advances and commercial paper issuance, as Citi continues to diversify its funding profile (see Note 16 for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).
















57

Credit Ratings
While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were A/A-1 at S&P Global Ratings and A+/F1 at Fitch as of September 30, 2022.


Ratings as of September 30, 2022
Citigroup Inc.Citibank, N.A.
 Senior
debt		Commercial
paper		OutlookLong-
term		Short-
term		Outlook
Fitch Ratings (Fitch)AF1StableA+F1Stable
Moody’s Investors Service (Moody’s)A3P-2StableAa3P-1Stable
S&P Global Ratings (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.
For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors—Liquidity Risks” and “Credit Ratings” in Citi’s 2021 Form 10-K.

Citigroup Inc. and Citibank—Potential Derivative Triggers
As of September 30, 2022, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.6 billion, compared to $0.5 billion as of June 30, 2022. Other funding sources, such as secured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of September 30, 2022, 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 $0.8 billion, compared to $0.7 billion as of June 30, 2022. 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 September 30, 2022, Citi estimates that a one-notch downgrade of Citigroup Inc. and Citibank across all three major rating agencies could result in increased aggregate cash obligations and collateral requirements of approximately $1.4 billion, compared to $1.2 billion as of June 30, 2022 (see also Note 19). As detailed under “High-Quality Liquid Assets (HQLA)” 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.


Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential downgrade of Citibank’s senior debt/long-term rating across any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of September 30, 2022, Citibank had liquidity commitments of approximately $11.0 billion to consolidated asset-backed commercial paper conduits, compared to $9.0 billion as of June 30, 2022 (see Note 18 for additional information).
In addition to the above-referenced liquidity resources of certain Citibank entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.
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MARKET RISK

Market risk arises from both Citi’s trading and non-trading
portfolios. For additional information on market risk and
market risk management at Citi, see “Market Risk—Overview” and “Risk Factors” in Citi’s 2021 Form 10-K.

Market Risk of Non-Trading Portfolios
Market risk from non-trading portfolios stems predominantly from the potential impact of changes in interest rates and foreign exchange rates on Citi’s net interest income and on Citi’s Accumulated other comprehensive income (loss) (AOCI) from its investment securities portfolios. Market risk from non-trading portfolios also includes the potential impact of changes in foreign exchange rates on Citi’s capital invested in foreign currencies.

Banking Book Interest Rate Risk
For interest rate risk purposes, Citi’s non-trading portfolios are referred to as the Banking Book. Management of interest rate risk in the Banking Book is governed by Citi’s Non-Trading Market Risk Policy. Management’s Asset & Liability Committee (ALCO) establishes Citi’s risk appetite and related limits for interest rate risk in the Banking Book, which are subject to approval by Citigroup’s Board of Directors. Corporate Treasury is responsible for the day-to-day management of Citi’s Banking Book interest rate risk as well as periodically reviewing it with the ALCO. Citi’s Banking Book interest rate risk management is also subject to independent oversight from Treasury Risk Management, a second line of defense team reporting to the Treasury Chief Risk Officer.
Changes in interest rates impact Citi’s net income, AOCI and CET1. These changes primarily affect Citi’s Banking Book through net interest income, due to a variety of risk factors, including:

•Differences in timing and amounts of the maturity or repricing of assets, liabilities and off-balance sheet instruments;
•Changes in level and/or shape of interest rate curves;
•Client behavior in response to changes in interest rate (e.g., mortgage prepayments, deposit betas); and
•Changes in maturity of instruments resulting from changes in interest rate environment.

As part of their ongoing activities, Citi’s businesses generate interest rate-sensitive positions from their client-facing products, such as loans and deposits. The component of this interest rate risk that can be hedged is transferred via Citi’s funds transfer pricing process to Corporate Treasury. Corporate Treasury uses various tools to manage the total interest rate risk position within the established risk appetite and target Citi’s desired risk profile, including its investment securities portfolio, company-issued debt and interest rate derivatives.
In addition, Citi uses multiple metrics to measure its Banking Book interest rate risk. Interest Rate Exposure (IRE)
is a key metric that analyzes the impact of a range of scenarios on Citi’s Banking Book net interest income and certain other interest rate-sensitive income versus a base case. IRE does not represent a forecast of Citi’s net interest income.
The scenarios, methodologies and assumptions used in this analysis are periodically evaluated and enhanced in response to changes in the market environment, changes in Citi’s balance sheet composition, enhancements in Citi’s modelling and other factors.
During the third quarter of 2022, Citi transitioned its IRE analysis, employing enhanced methodologies and changes to certain assumptions. The changes included, among other things, assumptions around the projected balance sheet and revisions to the treatment of certain business contributions (notably accrual positions in ICG’s Markets businesses). These changes resulted in a higher impact to Citi’s net interest income over a 12-month period (see the table below for details).
Under the enhanced methodology, Citi utilizes the most recent quarter-end balance sheet, assuming no changes to its composition and size over the forecasted horizon (holding the balance sheet static). The forecasts incorporate expectations and assumptions of deposit pricing, loan spreads and mortgage prepayment behavior implied by the interest rate curves in each scenario. The base case scenario reflects the market implied forward interest rates, and sensitivity scenarios assume instantaneous shocks to the base case. The forecasts do not assume Citi takes any risk-mitigating actions in response to changes in the interest rate environment. Certain interest rates are subject to flooring assumptions in downward rate scenarios. Deposit pricing sensitivities, (i.e., deposit betas), are informed by historical and expected behavior. Actual deposit pricing could differ from the assumptions used in these forecasts.
Citi’s IRE analysis primarily reflects the impacts from the following Banking Book assets and liabilities: loans, client deposits, Citi’s deposits with other banks, investment securities, long-term debt, any related interest rate hedges and the funds transfer pricing of positions in total trading and credit portfolio VAR. It excludes impacts from any positions which are included in total trading and credit portfolio VAR.
Citi also measures the potential impacts of changes in interest rates on the value of its AOCI, which can in turn impact Citi’s common equity and tangible common equity. This will impact Citi’s Common Equity Tier 1 and other regulatory capital ratios. Citi seeks to manage its exposure to changes in the market level of interest rates, while limiting the potential impact on its AOCI and regulatory capital position.
AOCI at risk is managed as part of the Company-wide interest rate risk position. AOCI at risk considers potential changes in AOCI (and the corresponding impact on the Common Equity Tier 1 Capital ratio) relative to Citi’s capital generation capacity.





59

The following table presents the 12-month estimated impact to Citi’s net interest income, AOCI and the Common Equity Tier 1 Capital ratio, each assuming an unanticipated parallel instantaneous 100 basis point (bps) increase in interest rates:
In millions of dollars, except as otherwise notedSept. 30, 2022Jun. 30, 2022Sept. 30, 2021
Parallel interest rate shock +100 bps
Interest rate exposure(1)(2)
U.S. dollar$677 $122 $827 
All other currencies1,483 1,946 1,623 
Total$2,160 $2,068 $2,450 
As a percentage of average interest-earning assets0.10 %0.10 %0.11 %
Estimated initial negative impact to AOCI (after-tax)(1)
$(969)$(2,522)$(4,914)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(9)(10)(30)

(1)Excludes trading book and fair value option banking book portfolios and replaces them with the associated transfer pricing.
(2)The estimated impact to Citi’s net interest income under the prior IRE methodology was $931 million, $1,025 million and $737 million for September 30, 2022, June 30, 2022 and September 30, 2021, respectively.
(3)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
Citi’s balance sheet is asset sensitive (assets reprice faster than liabilities), resulting in higher net interest income in increasing interest rate scenarios. The estimated impact to Citi’s net interest income in a 100 bps upward rate shock scenario as of the third quarter of 2022 increased modestly quarter-over-quarter and decreased year-over-year, primarily reflecting the net impact of lower expected gains due to U.S. dollar interest rate moves that have already been realized and changes in Citi’s balance sheet. At progressively higher interest rate levels, the marginal net interest income benefit is lower, as Citi assumes it will pass on a larger share of rate changes to depositors (i.e., higher betas), further reducing Citi’s IRE sensitivity. Currency-specific interest rate changes and balance sheet factors may drive quarter-to-quarter volatility in Citi’s estimated IRE.
In a 100 bps upward rate shock scenario, Citi expects that the $969 million initial negative impact to AOCI could potentially be offset in shareholders’ equity through the
expected recovery of the impact on AOCI through accretion of Citi’s investment portfolio and expected net interest income benefit over a period of approximately three months.

Scenario Analysis
The following table presents the estimated impact to Citi’s net interest income, AOCI and Common Equity Tier 1 Capital ratio (on a fully implemented basis) under five different scenarios of changes in interest rate for the U.S. dollar and all other currencies in which Citi has invested capital as of September 30, 2022. 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 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)
Interest rate exposure(1)
U.S. dollar$677 $443 $211 $(304)$(824)
All other currencies1,483 1,280 228 (205)(1,304)
Total$2,160 $1,723 $439 $(509)$(2,128)
Estimated initial impact to AOCI (after-tax)(2)
$(969)$(862)$(175)$99 $927 
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(9)(8)(2)1 9 

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)The estimated impact to Citi’s net interest income under the previous IRE measure is $931 million, $961 million, $63 million, $(59) million and $(1,016) million for Scenarios 1 through 5, respectively.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.


60

As shown in the table above, the estimated impact to Citi’s net interest income remains larger under Scenario 2 than Scenario 3, as Citi’s Banking Book has relatively higher interest rate exposure to the short end of the yield curve. For U.S. dollars, exposure to downward rate shocks is larger in magnitude than to upward rate shocks. This is because of the lower benefit to net interest income from Citi’s deposit base at higher rate levels, as well as the prepayment effects on mortgage loans and mortgage-backed securities. For other currencies, exposure to downward rate shocks is smaller in magnitude as a result of Citi’s flooring assumption given low rate levels for certain non-U.S. dollar currencies.
The magnitude of the impact to AOCI is greater under Scenario 2 as compared to Scenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter- and intermediate-term maturities.


Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of September 30, 2022, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.6 billion, or 0.97%, 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, Singapore dollar 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 quarterly changes in foreign exchange rates, and the quarterly impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio, are shown in the table below. See Note 17 for additional information on the changes in AOCI.

For the quarter ended
In millions of dollars, except as otherwise notedSept. 30, 2022Jun. 30, 2022Sept. 30, 2021
Change in FX spot rate(1)
(4.5)%(4.9)%(2.7)%
Change in TCE due to FX translation, net of hedges$(2,121)$(1,335)$(1,042)
As a percentage of TCE(1.4)%(0.9)%(0.7)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis)
due to changes in FX translation, net of hedges (bps)		(2)5 (1)

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

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Interest Revenue/Expense and Net Interest Margin (NIM)
c-20220930_g9.jpg
3rd Qtr.2nd Qtr.3rd Qtr.Change
In millions of dollars, except as otherwise noted2022 2022 20213Q22 vs. 3Q21
Interest revenue(1)
$19,965  $15,674  $12,696 57 %
Interest expense(2)
7,356  3,666  1,959 275 
Net interest income, taxable equivalent basis(1)
$12,609  $12,008  $10,737 17 %
Interest revenue—average rate(3)
3.65 %2.92 %2.35 %130 bps
Interest expense—average rate1.68 0.85 0.45 123 bps
Net interest margin(3)(4)
2.31 2.24 1.99 32 bps
Interest-rate benchmarks  
Two-year U.S. Treasury note—average rate3.38 %2.72 %0.23 %315 bps
10-year U.S. Treasury note—average rate3.10  2.93  1.32 178 bps
10-year vs. two-year spread(28)bps21 bps109 bps  
(1)Interest revenue and Net interest income include the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged loan programs (based on the U.S. federal statutory tax rate of 21%) of $46 million, $44 million and $46 million for the three months ended September 30, 2022, June 30, 2022 and September 30, 2021, 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 NIM is calculated by dividing net interest income by average interest-earning assets.

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Non-ICG Markets Net Interest Income

3rd Qtr.2nd Qtr.3rd Qtr.Change
In millions of dollars
2022202220213Q22 vs. 3Q21
Net interest income (NII)—taxable equivalent basis(1) per above
$12,609 $12,008 $10,737 17 %
ICG Markets NII—taxable equivalent basis(1)
1,230 1,386 1,266 (3)
Non-ICG Markets NII—taxable equivalent basis(1)
$11,379 $10,622 $9,471 20 %


(1)Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.

Citi’s net interest income in the third quarter of 2022 increased 18% to $12.6 billion versus the prior-year period. As presented in the table above, Citi’s net interest income on a taxable equivalent basis increased 17% year-over-year, or $1.9 billion, driven by higher net interest income in non-ICG Markets, while net interest income in ICG Markets (Fixed income markets and Equity markets) declined 3%. The increase in non-ICG Markets net interest income primarily reflected higher interest rates, growth in interest-earning balances from cards, improved deposit spreads in Services and higher income from Citi’s investment portfolio. The decline in ICG Markets net interest income largely reflected a change in the mix of trading positions in support of client activity.
Citi’s net interest margin was 2.31% on a taxable equivalent basis in the third quarter of 2022, an increase of 7 basis points from the prior quarter, primarily driven by the impact of higher interest rates and improved deposit spreads in Services.



63

Additional Interest Rate Details

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

Taxable Equivalent Basis

Quarterly—AssetsAverage volumeInterest revenue% Average rate
3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.
In millions of dollars, except rates202220222021202220222021202220222021
Deposits with banks(4)
$256,444 $227,377 $294,160 $1,218 $658 $147 1.88 %1.16 %0.20 %
Securities borrowed and purchased under agreements to resell(5)
In U.S. offices$200,951 $190,065 $176,926 $1,285 $458 $70 2.54 %0.97 %0.16 %
In offices outside the U.S.(4)
160,768 159,455 146,257 891 347 194 2.20 0.87 0.53 
Total$361,719 $349,520 $323,183 $2,176 $805 $264 2.39 %0.92 %0.32 %
Trading account assets(6)(7)
In U.S. offices$143,102 $139,087 $133,649 $1,196 $632 $665 3.32 %1.82 %1.97 %
In offices outside the U.S.(4)
129,894 136,850 154,993 795 1,030 620 2.43 3.02 1.59 
Total$272,996 $275,937 $288,642 $1,991 $1,662 $1,285 2.89 %2.42 %1.77 %
Investments
In U.S. offices
Taxable$355,293 $357,249 $332,337 $1,521 $1,132 $935 1.70 %1.27 %1.12 %
Exempt from U.S. income tax11,809 11,898 11,973 110 108 99 3.70 3.64 3.28 
In offices outside the U.S.(4)
146,312 150,435 153,802 1,379 1,147 873 3.74 3.06 2.25 
Total$513,414 $519,582 $498,112 $3,010 $2,387 $1,907 2.33 %1.84 %1.52 %
Consumer loans(8)
In U.S. offices$273,324 $264,240 $254,052 $6,064 $5,348 $4,964 8.80 %8.12 %7.75 %
In offices outside the U.S.(4)
83,023 88,291 119,164 1,316 1,253 1,603 6.29 5.69 5.34 
Total$356,347 $352,531 $373,216 $7,380 $6,601 $6,567 8.22 %7.51 %6.98 %
Corporate loans(8)
In U.S. offices$141,539 $142,180 $134,363 $1,449 $1,285 $1,071 4.06 %3.63 %3.16 %
In offices outside the U.S.(4)
156,832 162,776 160,908 1,981 1,632 1,259 5.01 4.02 3.10 
Total$298,371 $304,956 $295,271 $3,430 $2,917 $2,330 4.56 %3.84 %3.13 %
Total loans(8)
In U.S. offices$414,863 $406,420 $388,415 $7,513 $6,633 $6,035 7.18 %6.55 %6.16 %
In offices outside the U.S.(4)
239,855 251,067 280,072 3,297 2,885 2,862 5.45 4.61 4.05 
Total$654,718 $657,487 $668,487 $10,810 $9,518 $8,897 6.55 %5.81 %5.28 %
Other interest-earning assets(9)
$110,619 $121,629 $71,193 $760 $644 $196 2.73 %2.12 %1.09 %
Total interest-earning assets$2,169,910 $2,151,532 $2,143,777 $19,965 $15,674 $12,696 3.65 %2.92 %2.35 %
Non-interest-earning assets(6)
$229,536 $228,521 $202,248 
Total assets$2,399,446 $2,380,053 $2,346,025 
64

Nine Months—Assets
Average volumeInterest revenue% Average rate
Nine MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine Months
In millions of dollars, except rates202220212022202120222021
Deposits with banks(4)
$248,119 $299,315 $2,172 $418 1.17 %0.19 %
Securities borrowed and purchased under agreements to resell(5)
In U.S. offices$189,671 $170,761 $1,852 $272 1.31 %0.21 %
In offices outside the U.S.(4)
161,954 145,700 1,523 491 1.26 0.45 
Total$351,625 $316,461 $3,375 $763 1.28 %0.32 %
Trading account assets(6)(7)
In U.S. offices$139,682 $143,639 $2,420 $1,996 2.32 %1.86 %
In offices outside the U.S.(4)
133,449 155,894 2,381 2,099 2.39 1.80 
Total$273,131 $299,533 $4,801 $4,095 2.35 %1.83 %
Investments
In U.S. offices
Taxable$355,483 $316,038 $3,674 $2,608 1.38 %1.10 %
Exempt from U.S. income tax11,773 12,496 313 331 3.55 3.54 
In offices outside the U.S.(4)
150,016 151,566 3,477 2,592 3.10 2.29 
Total$517,272 $480,100 $7,464 $5,531 1.93 %1.54 %
Consumer loans(8)
In U.S. offices$264,941 $252,032 $16,457 $14,740 8.30 %7.82 %
In offices outside the U.S.(4)
88,762 124,112 3,786 5,050 5.70 5.44 
Total$353,703 $376,144 $20,243 $19,790 7.65 %7.03 %
Corporate loans(8)
In U.S. offices$140,198 $131,661 $3,846 $3,137 3.67 %3.19 %
In offices outside the U.S.(4)
159,693 160,441 4,978 3,659 4.17 3.05 
Total$299,891 $292,102 $8,824 $6,796 3.93 %3.11 %
Total loans(8)
In U.S. offices$405,139 $383,693 $20,303 $17,877 6.70 %6.23 %
In offices outside the U.S.(4)
248,455 284,553 8,764 8,709 4.72 4.09 
Total$653,594 $668,246 $29,067 $26,586 5.95 %5.32 %
Other interest-earning assets(9)
$117,354 $72,325 $1,953 $404 2.23 %0.75 %
Total interest-earning assets$2,161,095 $2,135,980 $48,832 $37,797 3.02 %2.37 %
Non-interest-earning assets(6)
$223,418 $198,896 
Total assets$2,384,513 $2,334,876 

(1)Interest revenue and Net interest income include the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged loan programs (based on the U.S. federal statutory tax rate of 21%) of $132 million and $150 million for the nine months ended September 30, 2022 and September 30, 2021, 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)Net of unearned income. Includes cash-basis loans.
(9)Includes assets from businesses held-for-sale (see Note 2) and Brokerage receivables.

65

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

Taxable Equivalent Basis

Quarterly—LiabilitiesAverage volumeInterest expense% Average rate
3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.
In millions of dollars, except rates202220222021202220222021202220222021
Deposits   
In U.S. offices(4)
$569,903 $554,182 $558,990 $1,743 $545 $275 1.21 %0.39 %0.20 %
In offices outside the U.S.(5)
505,456 513,820 538,800 1,527 875 455 1.20 0.68 0.34 
Total$1,075,359 $1,068,002 $1,097,790 $3,270 $1,420 $730 1.21 %0.53 %0.26 %
Securities loaned and sold under agreements to repurchase(6)
In U.S. offices$111,513 $112,011 $132,810 $864 $391 $195 3.07 %1.40 %0.58 %
In offices outside the U.S.(5)
95,677 96,388 96,137 387 264 92 1.60 1.10 0.38 
Total$207,190 $208,399 $228,947 $1,251 $655 $287 2.40 %1.26 %0.50 %
Trading account liabilities(7)(8)
In U.S. offices$56,447 $52,714 $43,740 $255 $24 $28 1.79 %0.18 %0.25 %
In offices outside the U.S.(5)
72,078 72,096 64,963 217 113 78 1.19 0.63 0.48 
Total$128,525 $124,810 $108,703 $472 $137 $106 1.46 %0.44 %0.39 %
Short-term borrowings and other interest-bearing liabilities(9)
In U.S. offices$103,375 $94,028 $65,584 $654 $217 $(19)2.51 %0.93 %(0.11)%
In offices outside the U.S.(5)
50,947 60,211 27,132 91 51 27 0.71 0.34 0.39 
Total$154,322 $154,239 $92,716 $745 $268 $8 1.92 %0.70 %0.03 %
Long-term debt(10)
In U.S. offices$165,834 $164,832 $181,723 $1,572 $1,143 $802 3.76 %2.78 %1.75 %
In offices outside the U.S.(5)
3,495 3,892 4,061 46 43 26 5.22 4.43 2.54 
Total$169,329 $168,724 $185,784 $1,618 $1,186 $828 3.79 %2.82 %1.77 %
Total interest-bearing liabilities$1,734,725 $1,724,174 $1,713,940 $7,356 $3,666 $1,959 1.68 %0.85 %0.45 %
Demand deposits in U.S. offices$140,271 $143,426 $122,731 
Other non-interest-bearing liabilities(7)
325,283 313,926 307,078 
Total liabilities$2,200,279 $2,181,526 $2,143,749 
Citigroup stockholders’ equity$198,694 $197,976 $201,608 
Noncontrolling interests473 551 668 
Total equity$199,167 $198,527 $202,276 
Total liabilities and stockholders’ equity$2,399,446 $2,380,053 $2,346,025 
Net interest income as a percentage of average interest-earning assets(11)
 
In U.S. offices$1,278,682 $1,247,713 $1,246,588 $7,458 $7,070 $6,686 2.31 %2.27 %2.13 %
In offices outside the U.S.(6)
891,228 903,819 897,189 5,151 4,938 4,051 2.29 2.19 1.79 
Total$2,169,910 $2,151,532 $2,143,777 $12,609 $12,008 $10,737 2.31 %2.24 %1.99 %
66

Nine Months—Liabilities
Average volumeInterest expense% Average rate
Nine MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine Months
In millions of dollars, except rates202220212022202120222021
Deposits
In U.S. offices(4)
$561,368 $520,311 $2,525 $827 0.60 %0.21 %
In offices outside the U.S.(5)
513,121 561,938 3,036 1,291 0.79 0.31 
Total$1,074,489 $1,082,249 $5,561 $2,118 0.69 %0.26 %
Securities loaned and sold under agreements to repurchase(6)
In U.S. offices$113,772 $140,153 $1,416 $536 1.66 %0.51 %
In offices outside the U.S.(5)
94,791 93,463 772 264 1.09 0.38 
Total$208,563 $233,616 $2,188 $800 1.40 %0.46 %
Trading account liabilities(7)(8)
In U.S. offices$52,584 $47,990 $315 $80 0.80 %0.22 %
In offices outside the U.S.(5)
69,965 68,078 441 290 0.84 0.57 
Total$122,549 $116,068 $756 $370 0.82 %0.43 %
Short-term borrowings and other interest bearing liabilities(9)
In U.S. offices$92,022 $69,314 $884 $(36)1.28 %(0.07)%
In offices outside the U.S.(5)
57,119 23,933 184 106 0.43 0.59 
Total$149,141 $93,247 $1,068 $70 0.96 %0.10 %
Long-term debt(10)
In U.S. offices$165,880 $191,408 $3,604 $2,559 2.90 %1.79 %
In offices outside the U.S.(5)
3,780 4,396 125 55 4.42 1.67 
Total$169,660 $195,804 $3,729 $2,614 2.94 %1.78 %
Total interest-bearing liabilities$1,724,402 $1,720,984 $13,302 $5,972 1.03 %0.46 %
Demand deposits in U.S. offices$137,682 $86,009 
Other non-interest-bearing liabilities(7)
322,927 325,777 
Total liabilities$2,185,011 $2,132,770 
Citigroup stockholders’ equity$198,945 $201,426 
Noncontrolling interests557 680 
Total equity$199,502 $202,106 
Total liabilities and stockholders’ equity$2,384,513 $2,334,876 
Net interest income as a percentage of average interest-earning assets(11)
In U.S. offices$1,257,817 $1,237,799 $21,386 $19,539 2.27 %2.11 %
In offices outside the U.S.(6)
903,278 898,182 14,144 12,286 2.09 1.83 
Total$2,161,095 $2,135,981 $35,530 $31,825 2.20 %1.99 %

(1)Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.
(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.
(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.
(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.

67

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

 3Q22 vs. 2Q223Q22 vs. 3Q21
 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)
$93 $467 $560 $(21)$1,092 $1,071 
Securities borrowed and purchased under agreements to resell
In U.S. offices$28 $799 $827 $11 $1,204 $1,215 
In offices outside the U.S.(3)
3 541 544 21 676 697 
Total$31 $1,340 $1,371 $32 $1,880 $1,912 
Trading account assets(4)
In U.S. offices$18 $546 $564 $50 $481 $531 
In offices outside the U.S.(3)
(50)(185)(235)(113)288 175 
Total$(32)$361 $329 $(63)$769 $706 
Investments(1)
In U.S. offices$(7)$398 $391 $72 $525 $597 
In offices outside the U.S.(3)
(32)264 232 (44)550 506 
Total$(39)$662 $623 $28 $1,075 $1,103 
Consumer loans (net of unearned income)(5)
In U.S. offices$189 $527 $716 $395 $705 $1,100 
In offices outside the U.S.(3)
(78)141 63 (541)254 (287)
Total$111 $668 $779 $(146)$959 $813 
Corporate loans (net of unearned income)(5)
In U.S. offices$(5)$169 $164 $60 $318 $378 
In offices outside the U.S.(3)
(62)411 349 (33)755 722 
Total$(67)$580 $513 $27 $1,073 $1,100 
Loans (net of unearned income)(5)
In U.S. offices$184 $696 $880 $455 $1,023 $1,478 
In offices outside the U.S.(3)
(140)552 412 (574)1,009 435 
Total$44 $1,248 $1,292 $(119)$2,032 $1,913 
Other interest-earning assets(6)
$(62)$178 $116 $152 $412 $564 
Total interest revenue$35 $4,256 $4,291 $9 $7,260 $7,269 

(1)Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.
(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.





68

Analysis of Changes in Interest Expense and Net Interest Income(1)(2)(3)
 3Q22 vs. 2Q223Q22 vs. 3Q21
 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$15 $1,183 $1,198 $6 $1,462 $1,468 
In offices outside the U.S.(3)
(14)666 652 (30)1,102 1,072 
Total$1 $1,849 $1,850 $(24)$2,564 $2,540 
Securities loaned and sold under agreements to repurchase
In U.S. offices$(2)$475 $473 $(37)$706 $669 
In offices outside the U.S.(3)
(2)125 123 — 295 295 
Total$(4)$600 $596 $(37)$1,001 $964 
Trading account liabilities(4)
In U.S. offices$2 $229 $231 $11 $216 $227 
In offices outside the U.S.(3)
— 104 104 9 130 139 
Total$2 $333 $335 $20 $346 $366 
Short-term borrowings and other interest-bearing liabilities(5)
In U.S. offices$24 $413 $437 $(5)$678 $673 
In offices outside the U.S.(3)
(9)49 40 34 30 64 
Total$15 $462 $477 $29 $708 $737 
Long-term debt
In U.S. offices$7 $422 $429 $(76)$846 $770 
In offices outside the U.S.(3)
(5)8 3 (4)24 20 
Total$2 $430 $432 $(80)$870 $790 
Total interest expense$16 $3,674 $3,690 $(92)$5,489 $5,397 
Net interest income$18 $583 $601 $102 $1,770 $1,872 

(1)Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.
(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.











69

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

 Nine Months 2022 vs. Nine Months 2021
 Increase (decrease)
due to change in:
In millions of dollarsAverage
volume		Average
rate		Net
change
Deposits with banks(3)
$(83)$1,837 $1,754 
Securities borrowed and purchased under agreements to resell
In U.S. offices$33 $1,547 $1,580 
In offices outside the U.S.(3)
61 971 1,032 
Total$94 $2,518 $2,612 
Trading account assets(4)
In U.S. offices$(57)$481 $424 
In offices outside the U.S.(3)
(332)614 282 
Total$(389)$1,095 $706 
Investments(1)
In U.S. offices$373 $675 $1,048 
In offices outside the U.S.(3)
(27)912 885 
Total$346 $1,587 $1,933 
Consumer loans (net of unearned income)(5)
In U.S. offices$776 $941 $1,717 
In offices outside the U.S.(3)
(1,498)234 (1,264)
Total$(722)$1,175 $453 
Corporate loans (net of unearned income)(5)
In U.S. offices$213 $496 $709 
In offices outside the U.S.(3)
(17)1,336 1,319 
Total$196 $1,832 $2,028 
Total loans(5)
In U.S. offices$989 $1,437 $2,426 
In offices outside the U.S.(3)
(1,515)1,570 55 
Total$(526)$3,007 $2,481 
Other interest-earning assets(6)
$371 $1,178 $1,549 
Total interest revenue$(187)$11,222 $11,035 

(1)Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.
(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.
70

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

 Nine Months 2022 vs. Nine Months 2021
 Increase (decrease)
due to change in:
In millions of dollarsAverage
volume		Average
rate		Net
change
Deposits
In U.S. offices$70 $1,628 $1,698 
In offices outside the U.S.(3)
(121)1,866 1,745 
Total$(51)$3,494 $3,443 
Securities loaned and sold under agreements to repurchase
In U.S. offices$(119)$999 $880 
In offices outside the U.S.(3)
4 504 508 
Total$(115)$1,503 $1,388 
Trading account liabilities(4)
In U.S. offices$9 $226 $235 
In offices outside the U.S.(3)
8 143 151 
Total$17 $369 $386 
Short-term borrowings and other interest bearing liabilities(5)
In U.S. offices$(8)$928 $920 
In offices outside the U.S.(3)
113 (35)78 
Total$105 $893 $998 
Long-term debt
In U.S. offices$(379)$1,424 $1,045 
In offices outside the U.S.(3)
(9)79 70 
Total$(388)$1,503 $1,115 
Total interest expense$(432)$7,762 $7,330 
Net interest income$245 $3,460 $3,705 

(1)Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.
(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)
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. As of September 30, 2022, Citi estimates that the conservative features of the VAR calibration contribute an approximate 40% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets. As of June 30, 2022, the add-on was 53%.
As presented in the table below, Citi’s average trading VAR for the third quarter of 2022 increased quarter-over-quarter, mainly due to higher market volatilities of interest rates in the ICG Markets businesses.

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

Third QuarterSecond QuarterThird Quarter
In millions of dollarsSeptember 30, 20222022 AverageJune 30, 20222022 AverageSeptember 30, 20212021 Average
Interest rate$109 $113 $122 $94 $65 $61 
Credit spread60 80 69 70 62 73 
Covariance adjustment(1)
(39)(59)(45)(45)(43)(42)
Fully diversified interest rate and credit spread(2)
$130 $134 $146 $119 $84 $92 
Foreign exchange14 28 35 36 42 42 
Equity32 26 25 24 36 36 
Commodity36 37 38 45 36 36 
Covariance adjustment(1)
(92)(94)(96)(106)(103)(105)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$120 $131 $148 $118 $95 $101 
Specific risk-only component(3)
$(2)$— $4 $(2)$(2)$3 
Total trading VAR—general market risk factors only (excluding credit portfolios)$122 $131 $144 $120 $97 $98 
Incremental impact of the credit portfolio(4)
$23 $28 $7 $17 $33 $38 
Total trading and credit portfolio VAR$143 $159 $155 $135 $128 $139 

(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, 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:

 Third QuarterSecond QuarterThird Quarter
202220222021
In millions of dollarsLowHighLowHighLowHigh
Interest rate$91 $137 $79 $123 $51 $76 
Credit spread60 99 65 78 62 96 
Fully diversified interest rate and credit spread$118 $151 $105 $147 $77 $115 
Foreign exchange13 43 32 40 38 46 
Equity21 33 17 40 24 50 
Commodity33 41 33 65 27 55 
Total trading$113 $149 $102 $148 $86 $120 
Total trading and credit portfolio134 173 119 155 114 166 
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.
72

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 dollarsSeptember 30, 2022
Total—all market risk factors, including
general and specific risk
Average—during quarter$130 
High—during quarter154 
Low—during quarter110 

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 September 30, 2022, there were two back-testing exceptions observed for Citi’s Regulatory VAR in the last 12 months.

OTHER RISKS
For additional information regarding other risks, including Citi’s management of other risks, see “Managing Global Risk—Other Risks” in Citi’s 2021 Form 10-K.

LIBOR Transition Risk
The Adjustable Interest Rate (LIBOR) Act (the LIBOR Act), enacted earlier this year, provides for the use of a statutory replacement for the overnight, one-month, three-month, six month and 12-month tenors of USD LIBOR in all contracts governed by U.S. law that lack adequate fallback provisions. On July 28, 2022, the Federal Reserve Board published in the Federal Register its proposed rulemaking that would implement the LIBOR Act. The proposal contains the Federal Reserve Board’s recommendation of benchmark replacements for various product types. As required by the LIBOR Act, each proposed replacement rate is based on the Secured Overnight Financing Rate (SOFR).
Citi continues to review the effect of the LIBOR Act and the Federal Reserve Board’s proposal and monitor its ongoing rulemaking process, which is expected to facilitate the transition to replacement rates for Citi’s USD LIBOR-linked securities, loans and contracts without fallbacks or fallbacks based on USD LIBOR that are governed by U.S. law and yet to be remediated.
For additional information about Citi’s actions to address a transition away from and discontinuance of LIBOR, see “Managing Global Risk—Other Risks—LIBOR Transition Risk” in Citi’s 2021 Form 10-K. For information about Citi’s LIBOR transition risks, see “Risk Factors—Other Risks” in the 2021 Form 10-K.



73

Country Risk

Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by country (excluding the U.S.) as of September 30, 2022. (Including the U.S., the total exposure as of September 30, 2022 to the top 25 countries would represent approximately 97% 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 38% of corporate loans presented in the table below are to U.K. domiciled entities (40% for unfunded commitments), with the balance of the loans predominately to European domiciled counterparties. Approximately 88% of the total U.K. funded loans and 89% of the total U.K. unfunded commitments were investment grade as of September 30, 2022.
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 dollarsICG
loans
PBWM loans(1)
Legacy Franchises loans
Loans transferred to HFS(7)
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
3Q22		Total
as of
2Q22		Total
as of
3Q21		Total
as a %
of Citi
as of
3Q22
United Kingdom$33.9 $5.3 $— $— $2.6 $38.1 $16.0 $(5.3)$3.2 $(0.8)$93.0 $95.3 $111.6 5.3 %
Mexico7.7 0.1 20.7 0.3 7.9 1.5 (1.6)17.4 2.3 56.3 57.3 60.0 3.2 
Ireland14.9 — — — 3.9 30.5 0.5 (0.2)— 0.7 50.3 50.4 45.3 2.8 
Hong Kong10.8 20.1 — — 0.5 7.0 2.1 (1.7)10.3 1.1 50.2 49.1 52.8 2.8 
Singapore8.8 18.5 — — 0.3 5.8 1.1 (0.7)8.8 1.9 44.5 47.6 46.0 2.5 
Brazil11.6 — — — 0.1 3.3 6.5 (0.9)5.7 3.5 29.8 28.5 24.4 1.7 
India7.1 — — 3.4 0.7 4.7 1.1 (1.0)8.6 1.0 25.6 27.7 30.3 1.4 
South Korea3.6 — 8.4 — 0.2 1.5 1.4 (0.8)8.2 0.3 22.8 25.5 34.2 1.3 
Germany0.4 — — — 0.2 5.9 7.0 (3.7)7.6 3.0 20.4 21.9 14.4 1.2 
China5.8 — 3.0 — 0.8 1.7 1.5 (1.0)6.5 0.8 19.1 18.8 20.2 1.1 
Japan1.6 — — — — 3.7 5.5 (2.7)4.2 5.6 17.9 12.1 19.3 1.0 
Jersey2.5 3.5 — — — 10.1 0.2 (0.2)— — 16.1 16.8 14.9 0.9 
United Arab Emirates7.3 1.5 — — 0.7 4.0 0.3 (0.4)2.4 — 15.8 15.9 16.6 0.9 
Canada1.6 1.5 — — 0.1 6.3 1.9 (1.7)3.6 2.5 15.8 16.1 16.9 0.9 
Australia(8)
6.9 0.4 — — — 4.9 1.8 (0.9)0.8 0.6 14.5 15.2 17.7 0.8 
Taiwan4.6 — — 7.5 0.1 1.1 0.9 (0.1)0.1 0.2 14.4 14.9 17.0 0.8 
Poland2.8 — 1.3 — 2.2 1.4 (0.1)4.8 0.1 12.5 13.3 11.2 0.7 
Malaysia1.3 — — 2.8 0.1 0.8 0.2 (0.1)3.0 (0.1)8.0 8.1 8.2 0.5 
Thailand1.2 — — 2.4 — 1.8 0.1 — 1.9 — 7.4 7.6 8.0 0.4 
Indonesia1.9 — — 0.5 — 1.2 1.0 (0.1)1.0 0.1 5.6 5.5 5.8 0.3 
Philippines(9)
0.7 — — — 0.1 0.2 2.7 — 1.6 — 5.3 5.3 4.0 0.3 
Russia(10)
0.9 — 0.7 — — 0.2 1.4 (0.1)1.4 0.1 4.6 5.5 5.5 0.3 
Luxembourg— 0.9 — — — — 0.4 (0.4)3.5 — 4.4 4.2 5.3 0.2 
South Africa1.4 — — — — 0.5 0.2 (0.2)2.3 0.1 4.3 3.4 3.8 0.2 
Italy0.3 — — — — 1.5 1.1 (1.9)— 2.9 3.9 2.7 2.0 0.2 
Total as a % of Citi’s total exposure31.8 %
Total as a % of Citi’s non-U.S. total exposure91.4 %

(1)    PBWM loans reflect funded loans, including those related to the Private bank, net of unearned income. As of September 30, 2022, Private bank loans in the table above totaled $21.3 billion, concentrated in Singapore ($5.4 billion), the U.K. ($5.1 billion) and Hong Kong ($4.9 billion).
(2)    Other funded includes other direct exposures such as accounts receivable and investments accounted for under the equity method.
(3)    Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.
(4)    Net mark-to-market (MTM) counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Also 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 amortized 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
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located in that country.
(7)    September 30, 2022 and June 30, 2022 include Legacy Franchises loans reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in each applicable country. For additional information, see “Legacy Franchises” above and Note 2.
(8)    September 30, 2021 includes Legacy Franchises loans reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in Australia, which closed on June 1, 2022. For additional information, see “Legacy Franchises” above and Note 2.
(9)    June 30, 2022 includes Legacy Franchises loans reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in the Philippines, which closed on August 1, 2022. For additional information, see “Legacy Franchises” above and Note 2.
(10)    September 30, 2022 includes approximately $250 million of Russian government securities pledged as collateral to clearing houses. Given the geopolitical uncertainty in Russia, it is no longer possible to conclude, with a well-founded basis, the collectability of such pledged collateral in the Russian legal system in the event of a clearing house default.

Russia

Introduction
In Russia, Citi has operated through both its ICG and Legacy Franchises segments. Citi continues to monitor the war in Ukraine, related sanctions and economic conditions and continues to mitigate its Russia exposures and risks as appropriate.
As previously disclosed, Citi intends to wind down nearly all of its consumer, local commercial and institutional banking businesses in the country. As a result, Citi has ceased soliciting any new business or new clients in Russia. Citi will continue to manage its existing legal and regulatory commitments and obligations, as well as support its
employees, during this period. For additional information, see “Citi’s Wind-Down of Its Russia Businesses” below.
For additional information about Citi’s risks related to its Russia exposures, see “Forward-Looking Statements” below and “Risk Factors—Market-Related Risk,” “—Operational Risks” and “—Other Risks” in Citi’s 2021 Form 10-K.

Impact of Russia’s Invasion of Ukraine on Citi’s Businesses

Russia-related Balance Sheet Exposures
Citi’s domestic operations in Russia are conducted through a subsidiary of Citibank, AO Citibank, which uses the Russian ruble as its functional currency.


The following table summarizes Citi’s exposures related to its Russia operations:

In billions of U.S. dollars
September 30, 2022June 30, 2022December 31, 2021
Change 3Q22 vs. 2Q22
Loans
$1.6 $2.5 $2.9 $(0.9)
Investment securities(1)
1.4 1.5 1.5 (0.1)
Net MTM on derivatives/repos(2)
1.4 1.3 0.4 0.1 
Total hedges (on loans and CVA)
(0.1)(0.2)(0.1)0.1 
Unfunded(3)
0.2 0.3 0.7 (0.1)
Trading accounts assets0.1 0.1 — — 
Country risk exposure (included in Top 25 Country Exposures)
$4.6 $5.5 $5.4 $(0.9)
Cash on deposit and placements(4)
3.0 2.5 1.0 0.5 
Reverse repurchase agreements(2)
— — 1.8 — 
Total third-party exposure(5)
$7.6 $8.0 $8.2 $(0.4)
Additional exposures to Russian counterparties that are not held by
the Russian subsidiary
0.3 0.4 1.6 (0.1)
Total Russia exposure(6)
$7.9 $8.4 $9.8 $(0.5)

(1)    Investment securities include debt securities available-for-sale (AFS), recorded at fair market value, primarily local government debt securities. There were no impairment losses recognized during the second and third quarters of 2022.
(2)    Net mark-to-market (MTM) on OTC derivatives and securities lending/borrowing transactions (repos). Effective from 2Q22, reverse repurchase agreements have been shown gross of collateral and reclassified to net MTM on derivatives/repos in the table above, as netting of collateral for Russia-related reverse repurchase agreements was removed. This removal was due to the inability to conclude, with a well-founded basis, the enforceability of contractual rights in the Russian legal system in the event of a counterparty default, given the geopolitical uncertainty caused by the war in Ukraine. As this exposure was already included in Total third-party exposure, the Total Russia exposure was not impacted by this reclassification.
(3)    Unfunded exposure consists of unfunded corporate lending commitments, letters of credit and other contingencies.
(4)    Cash on deposit and placements are primarily with the Central Bank of Russia and have increased primarily due to borrower paydowns as risk mitigation activities have reduced AO Citibank’s loan portfolio.
(5)    The majority of AO Citibank’s third-party exposures was funded with domestic deposit liabilities from both corporate and personal banking clients.
(6)    Citigroup’s currency translation adjustment (CTA) loss included in its Accumulated other comprehensive income (AOCI) related to its indirect subsidiary, AO Citibank, is excluded from the above table, because the CTA loss is not held in AO Citibank and would be recognized in Citigroup’s earnings upon either the substantial liquidation or a loss of control of AO Citibank. Citi has separately described these risks in “Deconsolidation Risk” below.

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During the third quarter of 2022, Citi continued to reduce its operations in Russia and Russia-related exposures, resulting in a net decrease in Total Russia exposure of $0.5 billion, shown in the table above, as well as a change in composition of exposure as mitigation efforts have reduced Citi’s third-party credit risk. Depreciation of the ruble against the U.S. dollar resulted in a decrease in exposure of $0.7 billion, partially offset by a $0.2 billion increase in exposure in local currency terms, driven by earnings plus ongoing portfolio reductions, net proceeds of which are deposited with the Central Bank of Russia.
Citi’s continued risk mitigation efforts include ICG borrower paydowns and limiting extensions of new credit. ICG’s credit exposure also reflected a shift to a higher proportion of stronger credit names, including a higher proportion of subsidiaries of multinational companies that are headquartered outside of Russia, primarily in the U.S. and Europe. The decline in overall exposure was also driven by a reduction in exposures to Russian counterparties not held by AO Citibank.
Citi’s net investment in Russia was approximately $1.3 billion as of September 30, 2022 (compared to $1.2 billion as of June 30, 2022). The increase was primarily driven by earnings generated by AO Citibank during the quarter, partially offset by depreciation of the ruble against the U.S. dollar. A portion of Citi’s net investment was hedged for foreign currency depreciation as of September 30, 2022, using forward foreign exchange contracts executed with international peer banks. Going forward, Citi may record devaluations on its net ruble-denominated assets in earnings, without the benefit from a change in the fair value of derivative positions used to economically hedge the exposures. In the event of a loss of control of AO Citibank, Citi would be required to write off its net investment of approximately $1.3 billion (compared to $1.2 billion as of June 30, 2022), recognize a pretax CTA loss of approximately $1.0 billion through earnings (compared to $0.9 billion as of June 30, 2022), and recognize a loss of $0.3 billion (compared to $0.4 billion as of June 30, 2022) on intercompany liabilities owed by AO Citibank to other Citi entities outside Russia (see “Deconsolidation Risk” below).

3Q22 Earnings and Other Impacts on Citi’s Businesses
Citi’s ICG, PBWM and Legacy Franchises segments and Corporate/Other were impacted by various macroeconomic factors and volatilities, including Russia’s invasion of Ukraine and its direct and indirect impact on the European and global economy. For a broader discussion of these factors and volatilities on Citi’s businesses, see “Executive Summary” and each business’s results of operations above.
As of September 30, 2022, Citigroup’s ACL included a $1.2 billion remaining credit reserve for Citi’s direct and indirect Russian exposure (down from $1.6 billion at June 30, 2022), consisting of approximately $0.5 billion (compared to $0.8 billion at June 30, 2022) related to Citi’s direct exposures to Russian counterparties and approximately $0.7 billion (compared to $0.8 billion at June 30, 2022) related to the impact of the war in Ukraine on the broader global macroeconomic environment.

Citi’s Wind-Down of Its Russia Operations
In August 2022, Citi disclosed its decision to wind down its Russia consumer and local commercial banking businesses, including actively pursuing portfolio sales. In connection with the wind-down plan, Citi expects to incur approximately $170 million in costs (excluding the impact from any portfolio sales), primarily over the next 18 months, largely driven by restructuring, vendor termination fees and other related charges.
On October 28, 2022, Citi entered into an agreement to sell a portfolio of ruble-denominated personal installment loans, totaling approximately $345 million in outstanding loan balances as of the third quarter of 2022, to Uralsib, a Russian commercial bank. Citi expects to incur a loss of approximately $35 million as a result of the sale, which is expected to close in the fourth quarter of 2022. In connection with the portfolio sale, Citi also entered into a referral agreement to transfer to Uralsib a portfolio of ruble-denominated credit card loans, subject to customer consents. The outstanding card loans balance was approximately $320 million as of the third quarter of 2022. Citi will refer credit card customers, who at the customers’ sole discretion will be eligible to refinance their outstanding card loan balances with Uralsib.
Moreover, Citi will be ending nearly all of the institutional banking services it offers in Russia by the end of the first quarter of 2023. Going forward, Citi’s only operations in Russia will be those necessary to fulfill its remaining legal and regulatory obligations. At this time, Citi expects to incur estimated costs of approximately $100 million in connection with this action. The wind-down of the institutional banking business could accelerate the substantial liquidation of AO Citibank, and therefore impact the timing of the release of the related CTA loss into earnings.

Deconsolidation Risk
Citi’s operations in Russia subject it to various risks, including, among others, foreign currency volatility, including appreciations or devaluations; business restrictions; sanctions or asset freezes; or other deconsolidation events (for additional information, see “Risk Factors—Other Risks” in Citi’s 2021 Form 10-K). Examples of triggers that may result in deconsolidation of AO Citibank include voluntary or forced sale of ownership or loss of control due to actions of relevant governmental authorities, including expropriation (i.e., the entity becomes subject to the complete control of a government, court, administrator, trustee or regulator); revocation of banking license; and loss of ability to elect a board of directors or appoint members of senior management. As of September 30, 2022, Citi continued to consolidate AO Citibank because none of the deconsolidation factors were triggered.
As discussed above, in the event of a loss of control of AO Citibank, Citi would be required to write off its net investment of approximately $1.3 billion (compared to $1.2 billion as of June 30, 2022), recognize a CTA loss of approximately $1.0 billion through earnings (compared to $0.9 billion as of June 30, 2022), and recognize a loss of $0.3 billion (compared to $0.4 billion as of June 30, 2022) on intercompany liabilities owed by AO Citibank to other Citi entities outside Russia. In the sole event of a substantial
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liquidation, as opposed to a loss of control, Citi would be required to recognize the CTA loss of approximately $1.0 billion through earnings and would evaluate its remaining net investment as circumstances evolve.

Citi as Paying Agent for Russian-related Clients
Citi serves or served as paying agent on bonds issued by various entities in Russia, including Russian corporate clients. Citi’s role as paying agent is administrative. In its role as paying agent, Citi acts as an agent of its client, the bond issuer, receiving interest and principal payments from the bond issuer and then making payments to international central securities depositories (e.g., Depository Trust Company, Euroclear, Clearstream). The international central securities depositories (ICSDs) make payments to those participants or account holders (e.g., broker/dealers) that have clients who are investors in the applicable bonds (i.e., bondholders). As a paying agent, Citi generally does not have information about the identity of the bondholders. Citi may be exposed to risks due to its responsibilities for receiving and processing payments on behalf of its clients as a result of sanctions or other governmental requirements and prohibitions. To mitigate operational and sanctions risks, Citi has established policies, procedures and controls for client relationships and payment processing to help ensure compliance with U.S., U.K., EU and other jurisdictions’ sanctions laws.
These processes may require Citi to delay or withhold the processing of payments as a result of sanctions on the bond issuer. Citi is also prevented from making payments to accounts on behalf of bondholders should the ICSDs disclose to Citi the presence of sanctioned bondholders. In both instances, Citi is generally required to segregate, restrict or block the funds until applicable sanctions are lifted or the payment is otherwise authorized under applicable law.

Reputational Risks
Citi has continued its efforts to enhance and protect its reputation with its colleagues, clients, customers, investors, regulators and the public. Citi’s response to the war in Ukraine, including any action or inaction, may have a negative impact on Citi’s reputation with some or all of these parties.
For example, Citi is exposed to reputational risk as a result of its current presence in Russia and association with Russian individuals or entities, whether subject to sanctions or not, including Citi’s inability to support its global clients in Russia, which could adversely affect its broader client relationships and businesses; current involvement in transactions or supporting activities involving Russian assets or interests; failure to correctly interpret and apply laws and regulations, including those related to sanctions; perceived misalignment of Citi’s actions to its stated strategy in Russia; and the reputational impact from Citi’s activity and engagement with Ukraine or with non-Russian clients exiting their Russia businesses. Citi has considered the potential for reputation risk and taken actions to mitigate such risks. Citi established a Russia Special Review Process with management’s Reputation Risk Committee with oversight for significant Russia-related reputation risks and completed a number of reputation risk reviews of matters with a Russian nexus.
While Citi announced its intention to wind down its businesses in Russia, Citi will continue to manage those operations during the wind-down process and will be required to maintain certain limited operations to fulfill its remaining legal and regulatory obligations. Also, sanctions and sanctions compliance are highly complex and may change over time and result in increased operational risk. Failure to fully comply with relevant sanctions or the application of sanctions where they should not be applied may negatively impact Citi’s reputation. In addition, Citi currently performs services for, conducts business with or deals in non-sanctioned Russian-owned businesses and Russian assets. This has attracted, and will likely continue to attract, negative attention, despite the previously disclosed plan to wind down nearly all its activities in the country, cessation of new business and client originations, and reduction of other exposures.
Citi’s continued presence or divestiture of businesses in Russia could also increase its susceptibility to cyberattacks that could negatively impact its relationships with clients and customers, harm its reputation, increase its compliance costs and adversely affect its business operations and results of operations. For additional information on operational and cyber risks, see “Risk Factors—Operational Risk” in Citi’s 2021 Form 10-K.

Board’s Role in Overseeing Related Risks
The Citi Board of Directors (Board) and the Board’s Risk Management Committee (RMC) and its other Committees have received and continue to receive regular reports from senior management regarding the war in Ukraine and its impact on Citi’s operations in Russia, Ukraine and elsewhere, as well as the war’s broader geopolitical, macroeconomic and reputational impacts. In addition to receiving regular briefings from management, the full Board has routinely been invited to attend portions of the RMC meetings for discussions related to the war in Ukraine, including with respect to Citi’s risk exposures and stress testing. The reports to the Board and its Committees from senior management who represent the impacted businesses and the EMEA region, Independent Risk Management, Finance, Independent Compliance Risk Management, including those individuals responsible for sanctions compliance, and Human Resources, have included detailed information regarding financial impacts, impacts on capital, cybersecurity, strategic considerations, sanctions compliance, employee assistance and reputational risks, enabling the Board and its Committees to properly exercise their oversight responsibilities. In addition, senior management has also provided updates to Citi’s Executive Management Team and the Board, outside of formal meetings, regarding Citi’s Russia-related risks, including with respect to cybersecurity matters.
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Ukraine
Citi has continued to operate in Ukraine throughout the war through its ICG businesses, serving the local subsidiaries of multinationals, along with local financial institutions and the public sector. Citi employs approximately 230 people in Ukraine and their safety is Citi’s top priority.
All of Citi’s domestic operations in Ukraine are conducted through a subsidiary of Citibank, which uses the Ukrainian hryvnia as its functional currency. Citi’s exposures in Ukraine are not significant enough to be included in the “Top 25 Country Exposures” table above. As of September 30, 2022, these exposures amounted to $1.0 billion, unchanged from June 30, 2022, and were exclusively composed of third-party assets held on the Citi Ukraine subsidiary.

Argentina
Citi operates in Argentina through its ICG businesses. As of September 30, 2022, Citi’s net investment in its Argentine operations was approximately $1.7 billion. Citi uses the U.S. dollar as the functional currency for its operations in countries that are deemed highly inflationary under U.S. GAAP. Citi uses Argentina’s official market exchange rate to remeasure its net Argentine peso-denominated assets into the U.S. dollar. As of September 30, 2022, the official Argentine peso exchange rate against the U.S. dollar was 147.34.
As previously disclosed, the Central Bank 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. As a result, Citi’s net investment in its Argentine operations is likely to continue to increase as Citi generates net income in its Argentine franchise and its earnings cannot be remitted.
Due to the currency controls implemented by the Central Bank of Argentina, certain indirect foreign exchange mechanisms have developed that some Argentine entities may use to obtain U.S. dollars, generally at rates that are significantly higher than Argentina’s official exchange rate. Citibank Argentina is precluded from accessing these alternative mechanisms, and these exchange mechanisms cannot be used to remeasure Citi’s net monetary assets into the U.S. dollar under U.S. GAAP. However, if Argentina’s official exchange rate converges with the approximate rate implied by the indirect foreign exchange mechanisms, Citi could incur a loss on its capital in Argentina. Citi cannot predict future fluctuations in Argentina’s official market exchange rate or to what extent Citi may be able to access U.S. dollars at the official exchange rate in the future.
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 September 30, 2022, the international NDF market had very limited liquidity, resulting in Citi being unable to economically hedge its Argentine peso exposure. Accordingly, 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 records mark-to-market adjustments for relevant market risks associated with its Argentine assets. Citi believes it has established appropriate ACL on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for credit and sovereign risks under U.S. GAAP as of September 30, 2022. 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 2021 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 Citi’s 2021 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 Citi’s 2021 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. The fair value of these instruments is reported on Citi’s Consolidated
Balance Sheet with the changes in fair value 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 prior to recovery, 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, any portion of the loss that is attributable 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 AOCI. 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 in this Form 10-Q and Note 1 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.

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Citi’s Allowance for Credit Losses (ACL)
The table below shows Citi’s ACL as of the third quarter of 2022. For information on the drivers of Citi’s ACL build in the quarter, see “3Q22 Changes in the ACL” below. For
information on refinement in the ACL estimation approach to
introduce multiple macroeconomic scenarios to the
quantitative component of the ACL, see Note 1. For additional information on Citi’s accounting policy on accounting for credit losses under ASC Topic 326, Financial Instruments—Credit losses; Current Expected Credit Losses (CECL), see Note 1 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.










ACL
In millions of dollarsBalance Dec. 31, 20211Q22
build
(release)		1Q22
FX/
Other		Balance Mar. 31, 20222Q22
build
(release)		2Q22
FX/
Other		Balance Jun. 30, 20223Q22 build (release)3Q22 FX/OtherBalance Sept. 30, 2022
ACLL/EOP loans Sept. 30, 2022(1)
ICG$2,241 $596 $5 $2,842 $(76)$25 $2,791 $75 $(61)$2,805 
Legacy Franchises corporate
(Mexico SBMM)
174 5 4 183 (3)(2)178 (34)(1)143 
Total corporate ACLL$2,415 $601 $9 $3,025 $(79)$23 $2,969 $41 $(62)$2,948 1.04 %
U.S. Cards(1)
$10,840 $(1,009)$— $9,831 $447 $— $10,278 $303 $(2)$10,579 7.53 %
Retail banking and Global Wealth1,181 (53)(5)1,123 191 (1)1,313 $57 $(1)$1,369 
Total PBWM
$12,021 $(1,062)$(5)$10,954 $638 $(1)$11,591 $360 $(3)$11,948 
Legacy Franchises consumer
2,019 (151)(454)1,414 (25)3 1,392 40 (19)1,413 
Total consumer ACLL$14,040 $(1,213)$(459)$12,368 $613 $2 $12,983 $400 $(22)$13,361 3.74 %
Total ACLL$16,455 $(612)$(450)$15,393 $534 $25 $15,952 $441 $(84)$16,309 2.54 %
Allowance for credit losses on unfunded lending commitments (ACLUC)$1,871 $474 $(2)$2,343 $(159)$9 $2,193 $(71)$(33)$2,089 
Total ACLL and ACLUC$18,326 $(138)$(452)$17,736 $375 $34 $18,145 $370 $(117)$18,398 
Other(2)
148 (6)(6)136 27 16 179 83 (6)256 
Total ACL$18,474 $(144)$(458)$17,872 $402 $50 $18,324 $453 $(123)$18,654 

(1)    As of September 30, 2022, in U.S. Personal Banking, Branded cards ACLL/EOP loans was 6.2% and Retail services ACLL/EOP loans was 10.1%.
(2)    Includes ACL on HTM securities and Other assets.

Citi’s reserves for expected credit losses on funded loans and for unfunded lending commitments, standby letters of credit and financial guarantees are reflected on the Consolidated Balance Sheet in the Allowance for credit losses on loans (ACLL) and Other liabilities (for Allowance for credit losses on unfunded lending commitments (ACLUC)), respectively. In addition, Citi reserves for expected credit losses on other financial assets carried at amortized cost,
including held-to-maturity securities, reverse repurchase agreements, securities borrowed, deposits with banks and other financial receivables. These reserves, together with the ACLL and ACLUC, are referred to as the ACL. Changes in the ACL are reflected as Provision for credit losses in the Consolidated Statement of Income for each reporting period. Citi’s ability to estimate expected credit losses over the reasonable and supportable (R&S) period is based on the
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ability to forecast economic activity over an R&S timeframe. The R&S forecast period for consumer and corporate loans is eight quarters.
The ACL is composed of quantitative and qualitative management adjustment components. The quantitative component uses three forward-looking macroeconomic forecast scenarios—base, upside and downside. The qualitative management adjustment component reflects portfolio characteristics and current economic conditions not captured in the quantitative component. Both the quantitative and qualitative components are further discussed below.

Quantitative Component
Citi estimates expected credit losses for its quantitative component using (i) its comprehensive internal data on loss and default history, (ii) internal credit risk ratings, (iii) external credit bureau and rating agencies information, and (iv) reasonable and supportable forecasts of macroeconomic conditions.
For its consumer and corporate portfolios, Citi’s expected credit losses are determined primarily by utilizing models that consider 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, and cover a wide range of geographic, industry, product and business segments.
In addition, Citi’s models determine expected credit losses based on leading credit indicators, including loan delinquencies, changes in portfolio size, default frequency, risk ratings and loss recovery rates, as well as other current economic factors and credit trends, including housing prices, unemployment and gross domestic product (GDP).

Qualitative Component
The qualitative management adjustment component includes, among other things, management adjustments to reflect certain portfolio characteristics not captured in the quantitative component, such as concentrations, collateral valuation, idiosyncratic events and other factors as required by banking supervisory guidance for the ACL. The qualitative management adjustment component also reflects uncertainty around the war in Ukraine and potential global recession, considering macroeconomic and market factors, including inflation, interest rates and commodity prices. The impact of these factors to industries and sectors that are more vulnerable was considered. Qualitative reserves also include the potential for normalization in portfolio performance and consumer behavior, after record low losses as a result of government stimulus and market liquidity.

Scenario Probability Weighting
Citi’s ACL is estimated using three probability-weighted macroeconomic scenarios—base, upside and downside. The weights are calculated using a statistical model, which, among other factors, takes into consideration key macroeconomic drivers of the ACL, severity of the scenario and other macroeconomic uncertainties and risks. Citi evaluates scenario weights on a quarterly basis. Changes in these factors in future quarters will impact the weights assigned in those quarters.
Citi’s downside scenario incorporates more adverse macroeconomic assumptions than the base scenario assumptions.

Macroeconomic Variables
Citi considers a multitude of macroeconomic variables for the base, upside and downside macroeconomic scenario forecasts it uses to estimate the ACL, including domestic and international variables for its global portfolios and exposures. Citi’s forecasts of the U.S. unemployment rate and U.S. Real GDP growth rate represent the key macroeconomic variables that most significantly affect its estimate of the ACL.
The tables below show Citi’s forecasted quarterly average U.S. unemployment rate and year-over-year U.S. Real GDP growth rate used in determining the base macroeconomic forecast for Citi’s ACL for each quarterly reporting period from 3Q21 to 3Q22:

Quarterly average
U.S. unemployment4Q222Q234Q23
8-quarter average(1)
Citi forecast at 3Q213.9 %3.8 %3.8 %4.0 %
Citi forecast at 4Q213.8 3.7 3.7 3.8 
Citi forecast at 1Q223.5 3.5 3.5 3.6 
Citi forecast at 2Q223.6 3.7 3.9 3.7 
Citi forecast at 3Q223.7 4.0 4.3 4.0 

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

Year-over-year growth rate(1)
Full year
U.S. Real GDP202220232024
Citi forecast at 3Q213.9 %2.1 %1.8 %
Citi forecast at 4Q214.0 2.2 1.8 
Citi forecast at 1Q223.3 2.4 2.1 
Citi forecast at 2Q222.6 1.8 2.0 
Citi forecast at 3Q221.6 0.6 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 3Q22, U.S. Real GDP growth is lower than the 2Q22 forecast, however it is expected to remain strong during the remainder of 2022 but decline in 2023, and the unemployment rate is expected to increase modestly over the forecast horizon, broadly returning to pre-pandemic levels.

3Q22 Changes in the ACL
As further discussed below, in the third quarter of 2022, Citi had a build of $0.4 billion for the ACL for its consumer portfolios and a build of $0.1 billion for its corporate portfolios, for a net ACL build of $0.5 billion. The build was primarily driven by loan growth in consumer portfolios and a deterioration in macroeconomic forecasts primarily impacting the corporate portfolio, partially offset by the continued
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release of COVID-19–related uncertainty reserves and reductions in Russia exposures. Based on its latest macroeconomic forecast, Citi believes its analysis of the ACL reflects the forward view of the economic environment as of September 30, 2022. See Note 14 for additional information.

Consumer
Citi’s consumer ACLL is largely driven by U.S. Cards in U.S. Personal Banking. As discussed above, Citi had a build of $0.4 billion in the ACLL for its consumer portfolios in the third quarter of 2022, primarily driven by U.S. Cards loan growth, which increased the ACLL balance to $13.4 billion, or 3.74% of total consumer loans.
For U.S. Cards, the level of reserves as a percentage of EOP loans increased to 7.53% at September 30, 2022, compared to 7.48% at June 30, 2022. For the remaining consumer exposures, the level of reserves relative to EOP loans was 1.3% at September 30, 2022, compared to 1.2% at June 30, 2022.

Corporate
Citi had a corporate ACLL build of $41 million in the third quarter of 2022. The build was primarily driven by a deterioration in macroeconomic forecasts, partially offset by the release of a COVID-19–related uncertainty reserve and reductions in Russia exposures. Including FX/Other, the ACLL reserve balance decreased by $21 million to $2.9 billion, or 1.04% of total corporate funded loans.

ACLUC
Citi had an ACLUC release of $0.1 billion in the third quarter of 2022, which reduced the ACLUC reserve balance, included in Other liabilities, to $2.1 billion. The release was primarily driven by reductions in Russia exposures, partially offset by a build for a deterioration in macroeconomic forecasts primarily impacting the corporate portfolio.

ACL on Other Financial Assets
Citi had an ACL build on other financial assets carried at amortized cost of $0.1 billion in the third quarter of 2022, which increased the ACL reserve balance included in Other assets to $0.3 billion. The build was primarily driven by a deterioration in macroeconomic forecasts primarily impacting the corporate portfolio. See Note 14 for additional information.

ACLL and Non-accrual Ratios
At September 30, 2022, the ratio of the ACLL to total funded loans was 2.54% (3.74% for consumer loans and 1.04% for corporate loans), compared to 2.44% at June 30, 2022 (3.65% for consumer loans and 1.00% for corporate loans).
Citi’s total non-accrual loans were $2.9 billion at September 30, 2022, down $149 million from June 30, 2022. Consumer non-accrual loans of $1.4 billion at September 30, 2022 were unchanged from June 30, 2022. Corporate non-accrual loans decreased $170 million to $1.5 billion at September 30, 2022, compared to $1.7 billion at June 30, 2022. In addition, the ratio of non-accrual loans to total loans was 0.51% and 0.39% for corporate and consumer loans, respectively, at September 30, 2022.
Regulatory Capital Impact
Citi has elected to phase in the CECL impact for regulatory capital purposes. After two years with no impact on capital, the CECL adoption impact commenced phase in with 25% of the impact (net of deferred taxes) recognized on January 1, 2022, with an additional 25% to be recognized on the first day of each subsequent year through January 1, 2025. In addition, 25% of the build (pretax) made in 2020 and 2021 was deferred and is being amortized over the same timeframe.
See Notes 1 and 14 for a further description of the ACL and related accounts.

Goodwill
Citi tests goodwill for impairment annually and conducts interim assessments between annual tests if an event occurs or circumstances change that would more-likely-than-not reduce the fair value of a reporting unit below its carrying amount. These events or circumstances include, among other things, 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 sustained decrease in Citi’s stock price.
Citi had historically performed its annual goodwill impairment test as of July 1 each year. During the quarter ended September 30, 2022, the Company voluntarily changed its annual impairment assessment date from July 1 to October 1. Based on interim impairment tests performed within the period between the previous annual test on July 1, 2021 and the annual test to be performed on October 1, 2022, no more than 12 months will have elapsed between goodwill impairment tests of any of Citi’s reporting units. The change in measurement date represents a change in method of applying an accounting principle. This change is preferable because it better aligns the Company’s goodwill impairment testing procedures with its annual planning process and with its fiscal year-end. Citi continues to monitor each reporting unit for triggering events for purposes of goodwill impairment testing. The change in accounting principle did not result in any, nor does Citi expect the change in accounting principle to result in any, delay, acceleration, or avoidance of an impairment charge.
During the first quarter of 2022, Citi performed an interim goodwill impairment test due to the previously disclosed changes in operating segments and reporting units during the quarter. The test resulted in an impairment of $535 million related to the Asia Consumer reporting unit within Legacy Franchises, due to the changes to Citi’s operating segments and reporting units during the quarter, as well as the timing of mutual execution of sale agreements for Asia consumer banking businesses.
During the second quarter of 2022, Citi’s Banking reporting unit within the ICG operating segment was negatively impacted by the industry-wide decline in investment banking activity and macroeconomic challenges and uncertainties. These conditions resulted in a corresponding decline in the operating results of the Banking reporting unit as of June 30, 2022, and qualitatively indicated that the Banking reporting unit’s fair value could be insufficient to support its carrying value, inclusive of goodwill.
Accordingly, Citi performed an interim goodwill impairment test for the Banking reporting unit as of June 30,
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2022. This included completing an independent valuation of the Banking reporting unit as of June 30, 2022, which concluded that the fair value of the Banking reporting unit exceeded its book value, inclusive of goodwill. The results of the impairment test showed that the fair value of the Banking reporting unit as a percentage of its carrying value was 102%, with the carrying value including approximately $1.5 billion of goodwill. Therefore, no impairment charge was recorded during the quarter. No other events or circumstances were identified to indicate that the fair values of Citi’s other reporting units were more-likely-than-not reduced below their respective carrying amounts.
During the third quarter of 2022, Citi’s Banking reporting unit within the ICG operating segment continued to be negatively impacted by the industry-wide decline in investment banking activity amid ongoing macroeconomic challenges and uncertainties as of September 30, 2022, qualitatively indicating that the Banking reporting unit’s fair value could be insufficient to support its carrying value, inclusive of goodwill.
Accordingly, Citi performed an interim goodwill impairment test for the Banking reporting unit as of September 30, 2022. This included completing an independent valuation of the Banking reporting unit as of September 30, 2022, which concluded that the fair value of the Banking reporting unit exceeded its book value, inclusive of goodwill. The results of the impairment test showed that the fair value of the Banking reporting unit as a percentage of its carrying value was 106%, with the carrying value including approximately $1.5 billion of goodwill. Therefore, no impairment charge was recorded during the quarter. No other events or circumstances were identified to indicate that the fair values of Citi’s other reporting units were more-likely-than-not reduced below their respective carrying amounts.
Also, during the third quarter of 2022, Citi performed an interim goodwill impairment test on the Mexico Consumer/SBMM reporting unit as of July 1, 2022 to satisfy the requirement that no more than 12 months elapse between the tests for all reporting units. The test resulted in no impairment as the fair value of the Mexico Consumer/SBMM reporting unit was greater than its carrying value.
Based on the interim impairment tests, the fair value of Citi’s reporting units as a percentage of their allocated carrying values ranged from approximately 106% to 267%, resulting in no further impairment recognized as of September 30, 2022.
While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations of the reporting units, the economic and business environments continue to evolve as Citi’s management implements its strategic refresh. If management’s future estimates of key economic and market assumptions were to differ from its current assumptions, Citi could potentially experience material goodwill impairment charges in the future. See Note 15 for a further discussion of goodwill, including key assumptions and related uncertainties that drive the fair value of the Banking reporting unit.


Litigation Accruals
See the discussion in Note 24 for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.

INCOME TAXES

Deferred Tax Assets
For additional information on Citi’s deferred tax assets (DTAs), see “Capital Resources,” “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 2021 Form 10-K.
The table below summarizes Citi’s net DTAs balance:

Jurisdiction/ComponentDTAs balance
In billions of dollars September 30,
2022		December 31, 2021
Total U.S. $24.3 $22.1 
Total foreign 2.8 2.7 
Total $27.1 $24.8 

At September 30, 2022, Citigroup had recorded net DTAs of approximately $27.1 billion, an increase of $0.5 billion from June 30, 2022, and an increase of $2.3 billion from December 31, 2021. The increase from year-end 2021 was primarily a result of losses in Other comprehensive income.
Of Citi’s $27.1 billion of net DTAs at September 30, 2022, $11.7 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards, as well as $1.3 billion of DTAs from temporary differences that exceed 10%/15% limitations, were excluded from Citi’s Common Equity Tier 1 Capital as of September 30, 2022. DTAs arising from net operating loss, foreign tax credit and general business credit 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.

DTA Realizability
Citi believes that realization of the net DTAs of $27.1 billion at September 30, 2022 is more-likely-than-not, based on management’s expectations of future taxable income generation in the jurisdictions in which the DTAs arise, as well as consideration of available tax planning strategies (as defined in ASC Topic 740, Income Taxes).

Effective Tax Rate
Citi’s reported effective tax rate for the third quarter of 2022 was 20.0%, compared to the third quarter of 2021 effective tax rate of 20.4%.

Tax Legislation
The Inflation Reduction Act, signed into law on August 16, 2022, had no impact on Citi’s third quarter results. The Act includes a new corporate alternative minimum tax (AMT) and a 1% excise tax on stock buybacks, both effective January 1,
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2023. The corporate AMT is a 15% minimum tax on financial statement income after adjusting for foreign taxes paid. Corporate AMT paid in one year is creditable against regular corporate tax liability in future years. Citi does not expect to pay material amounts of corporate AMT given its profitability and tax profile.
The 1% excise tax is a non-deductible tax on the fair market value of stock repurchased in the taxable year, reduced by the fair market value of any stock issued in the same year.
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DISCLOSURE CONTROLS AND PROCEDURES

Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of September 30, 2022. 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 (Section 219), 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 certain individuals or entities that are the subject of sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law. Citi, in its First Quarter of 2022 Form 10-Q, identified and reported certain activities pursuant to Section 219 for the first quarter of 2022. Citi did not identify any reportable activities pursuant to Section 219 for the second and third quarters of 2022.



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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 Private Securities Litigation Reform Act of 1995. 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 of operations and financial conditions including capital and liquidity may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within the “Executive Summary” and each individual business’s discussion and analysis of its results of operations above, in Citi’s First Quarter of 2022 Form 10-Q, in Citi’s Second Quarter of 2022 Form 10-Q, in Citi’s 2021 Form 10-K and in Citi’s other SEC filings; (ii) the factors listed and described under “Risk Factors” in Citi’s 2021 Form 10-K; and (iii) the risks and uncertainties summarized below:

•the potential impact to Citi from continued macroeconomic, geopolitical and other challenges, uncertainties and volatilities, including, among others, a continued elevated level of inflation and related financial impacts on consumers and clients and their sentiments; governmental fiscal and monetary actions or expected actions, including further increases in interest rates, reductions in central bank balance sheets, or other changes in interest rate or other monetary policies; the increasing potential of recession or significantly lower economic growth in Europe, the U.S. and other countries; economic and geopolitical challenges in China, including a slowing of the Chinese economy and related impacts or any policy actions, and rising tensions between China and Taiwan; significant disruptions and volatility in financial markets, including continued volatility in U.K. financial markets and adverse impacts to market liquidity and investor demand for certain assets; foreign currency volatility and devaluations and continued strength in the U.S. dollar; distress and volatility in emerging markets, including sovereign debt pricing; geopolitical tensions and conflicts, including the Russia–Ukraine war; protracted or widespread trade tensions; financial market, other economic and political disruption driven by populist movements and governments; natural disasters; additional pandemics; and election outcomes, including the U.S. midterm elections and effects of a potentially divided
government, such as with respect to raising the federal debt limit;
•impacts related to or resulting from the war in Ukraine, including further escalation of tensions between Russia and the U.S. and its allies; the potential adverse effects on Citi’s ability to wind down its activities in Russia, whether due to governmental or regulatory approvals, requirements or other actions, or otherwise; potential negative impacts on Citi’s businesses and customers in and related to Russia and Ukraine, including credit costs or other losses, charges or other negative financial or strategic impacts, including from any expropriation or other deconsolidation event; impacts from existing and future financial and economic sanctions and export controls against Russian organizations and/or individuals imposed by the U.S., the EU, the U.K. and other jurisdictions; rising food and energy insecurity, particularly in emerging markets; commodity and energy market disruptions; inflationary impacts; additional supply chain disruptions; the impact of cyber incidents; and the resulting negative impacts and uncertainties on regional and global financial markets and economic conditions;
•challenges and uncertainties related to any potential resurgence of the COVID-19 pandemic in the U.S. and globally, including any variants becoming more prevalent and impactful, and the impact on global financial markets and economic conditions, Citi’s consumer and corporate borrowers, and 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 annual recalibration of the Stress Capital Buffer (most recently in June 2022), which is based upon the results of the CCAR process as well as supervisory stress tests; recalibration of the GSIB surcharge; Citi’s results of operations and financial condition; the capital impact related to Citi’s divestitures, which involve significant execution complexity, including the timing of transaction signings and closings, as well as achievement of the expected results from the divestitures; Citi’s DTA utilization; forecasts of macroeconomic conditions; Citi’s implementation and maintenance of an effective capital planning framework, and effectiveness in planning, managing and calculating its level of risk-weighted assets under both the Advanced Approaches and the Standardized Approach and Supplementary Leverage ratio; elevated levels of liquidity in the financial system related to the pandemic; the reduction of central bank balance sheets and the impact on liquidity in the financial system; changes in regulatory capital rules, requirements or interpretations, including adoption of the U.S. SA-CCR rule for purposes of future supervisory stress testing or otherwise; and changes to the U.S. regulatory capital framework, including among other things, revisions to the U.S. Basel III rules;
•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,
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regulatory, tax, sanctions and other changes due to the differing priorities of the current U.S. presidential administration, changes in regulatory leadership or focus and actions of Congress including as a result of the U.S. midterm elections; potential changes to various aspects of the regulatory capital framework; future legislative and regulatory requirements in the U.S. and globally relating to climate change, including any new disclosure requirements, such as those proposed by the SEC and those by the EU; 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;
•the additional disclosure and other requirements proposed by the SEC regarding special purpose acquisition companies (SPACs) that more closely align SPAC transaction requirements with those for an initial public offering with the objective of enhancing investor protection and expanding the responsibilities of underwriters; and the potential impact of these final requirements on the results of operations of ICG’s Banking reporting unit;
•Citi’s ability, as part of its transformation initiatives and strategic refresh, to achieve its projected or expected results from its continued investments and other initiatives, including to improve its data and technology infrastructure, risk management and controls and further strengthen safety and soundness, deepen client relationships and enhance client offerings and capabilities in order to simplify Citi and streamline its allocation of resources, including as a result of factors that Citi cannot control, such as macroeconomic uncertainties and challenges, a continued elevated level of inflation and the highly competitive environment for talent, which could make the initiatives more costly and more challenging to implement, and limit their effectiveness;
•Citi’s ability to achieve its objectives from its strategic refresh, including, among others, those related to its Global Wealth business and its exits of remaining consumer banking businesses in Asia and EMEA and consumer, small business and middle-market banking operations in Mexico, and Citi’s wind-down of its activities in Russia, which involve significant execution complexity, may not be as productive, effective or timely as Citi expects, may impact the local businesses during the exit process, and could result in additional foreign currency translation adjustment (CTA) or other losses, charges or other negative financial or strategic impacts, which could be material;
•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), the Foreign Tax Credit guidelines that became effective in March 2022, and 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, and the resulting payment of additional taxes, penalties or interest;
•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 economic environment; changes in consumer sentiment, spending patterns and credit card usage behaviors; a decline in sales and revenues, partner store closures, government-imposed restrictions, reduced air and business travel or other operational difficulties of the retailer or merchant; early termination of a 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 or 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, particularly given the highly competitive environment for talent;
•Citi’s ability to effectively compete in the U.S. and globally with both financial and non-financial services firms, including as a result of certain competitors being subject to less stringent legal and regulatory requirements; emerging technologies; changes in the payments space; growth of digital assets; and the increased operational, compliance and other risks resulting from the need to develop new or change or adapt existing products and services to attract and retain customers or clients or to compete more effectively with competitors;
•the potential impact to Citi from a prior or future failure or disruption of its operational processes or systems, including as a result of, among other things, human error, such as manual transaction processing errors (e.g., a manual error by any Citi trader that causes system or market disruptions or losses for Citi or its clients), which can be exacerbated by staffing challenges and processing backlogs; fraud, theft or malice; insufficient (or limited) straight-through processing between legacy systems leading to risk of errors and operating losses; accidental system or technological failure; electrical or telecommunication outages; failure of or cyber incidents involving computer servers or infrastructure; or other similar losses or damage to Citi’s property or assets; failures by third parties, as well as disruptions in the operations of Citi’s businesses, clients, customers or other third parties; and the increased reputational, legal and compliance risks resulting from any such failure or disruption of its operational process or systems, including fines or legal or regulatory actions or proceedings;
•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,
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loss, misuse or disclosure of confidential client or customer 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 the assessment of goodwill or other assets for impairment; estimates of Citi’s ACL, which depends on its CECL models and assumptions and forecasted macroeconomic conditions and qualitative management adjustment component; reserves related to litigation, regulatory and tax matters exposures; valuation of DTAs; and fair value of certain assets and liabilities;
•the financial impact from reclassification of any CTA component of AOCI, including related hedges and taxes, into Citi’s earnings, due to the sale, substantial liquidation or any other deconsolidation event of any foreign entity, such as those related to any of Citi’s Legacy Franchises segment or exit businesses, whether due to Citi’s strategic refresh or otherwise;
•the potential impact of settlement charges under any of Citi’s pension plans, whether due to plan settlements (including lump sum payments) for a year exceeding the service plus interest costs or due to more than 10% of the plan’s projected benefit obligation being settled;
•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 comprehensive stress testing initiatives or ability to manage and aggregate data, are deficient or ineffective, or Citi’s Basel III regulatory capital models 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, or Citi being unable to liquidate or realize the fair value of its collateral, which risks can be heightened for vulnerable industries or sectors impacted by the continued macroeconomic, geopolitical, market and other challenges and uncertainties and volatilities;
•the potential impact on Citi’s liquidity and/or costs of funding as a result of various factors, including, among others, 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, the competitive environment for deposits, changes in Citi’s credit spreads, higher interest rates and changes in currency exchange rates;
•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 governance, infrastructure, data and risk management practices and controls, customer and client protection, market practices, anti-money laundering and sanctions, 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;
•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 risks and controls, such as risk management, compliance, data quality management and governance and internal controls, and policies and procedures; Citi’s ability to remediate deficiencies on a timely and sufficient basis, including the resulting significant investments required for such remediation efforts; the heightened scrutiny and expectations generally from regulators, and the severity of the remedies sought by regulators, such as significant monetary penalties, supervisory or enforcement orders, business restrictions, limitations on dividends and changes to directors and/or officers and collateral consequences to Citi arising from such outcomes;
•the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, limitations, cost or unavailability of hedges on foreign investments; foreign currency volatility and devaluations; sovereign volatility; election outcomes; regulatory changes and political events; foreign exchange controls, including inability to access indirect foreign exchange mechanisms; macroeconomic volatility and disruptions, including with respect to commodity prices as well as repricing of assets and resulting impacts; the impacts of inflation and food and energy insecurity; 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, whether related to geopolitical conflicts or otherwise; U.S. regulators or the ICERC imposing mandatory loan loss or other reserve requirements on Citi; and increased compliance and regulatory risks and costs;
88

•the potential impact to Citi from climate change and the transition to a low-carbon economy, including both physical risks, such as increased frequency and/or severity of adverse weather events as consequences of chronic climate changes, and transition risks, such as those arising from changes in regulations or market preferences toward a low-carbon economy, as well as higher regulatory, compliance and reputational risks and costs and data-related challenges, including as a result of any new SEC rules related to climate change disclosures, such as those proposed by the SEC, and an increased focus by banking regulators and others on the issue of climate change at financial institutions directly and with respect to their clients; and
•the transition away from and discontinuance of LIBOR and any other interest rate benchmark and the adverse consequences it could have for market participants, including Citi.

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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90

FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS

CONSOLIDATED FINANCIAL STATEMENTS 
Consolidated Statement of Income (Unaudited)—
For the Three and Nine Months Ended September 30, 2022 and 2021
92
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three and Nine Months Ended September 30, 2022 and 2021
93
Consolidated Balance Sheet—September 30, 2022 (Unaudited) and December 31, 2021
94
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three and Nine Months Ended September 30, 2022 and 2021
96
Consolidated Statement of Cash Flows (Unaudited)—
For the Nine Months Ended September 30, 2022 and 2021
97

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
Note 1—Basis of Presentation, Updated Accounting Policies
               and Accounting Changes
99
Note 2—Discontinued Operations, Significant Disposals
               and Other Business Exits
101
Note 3—Operating Segments
104
Note 4—Interest Revenue and Expense
106
Note 5—Commissions and Fees; Administration and Other
               Fiduciary Fees
107
Note 6—Principal Transactions
109
Note 7—Incentive Plans
110
Note 8—Retirement Benefits
110
Note 9—Earnings per Share
114
Note 10—Securities Borrowed, Loaned and
                 Subject to Repurchase Agreements
115
Note 11—Brokerage Receivables and Brokerage Payables
118
Note 12—Investments
119

Note 13—Loans
129
Note 14—Allowance for Credit Losses
148
Note 15—Goodwill and Intangible Assets
154
Note 16—Debt
157
Note 17—Changes in Accumulated Other Comprehensive
                 Income (Loss) (AOCI)
158
Note 18—Securitizations and Variable Interest Entities
162
Note 19—Derivatives
172
Note 20—Fair Value Measurement
183
Note 21—Fair Value Elections
203
Note 22—Guarantees and Commitments
207
Note 23—Leases
212
Note 24—Contingencies
213
Note 25—Condensed Consolidating Financial Statements
215


91

CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED)Citigroup Inc. and Subsidiaries
 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars, except per share amounts2022202120222021
Revenues  
Interest revenue$19,919 $12,650 $48,700 $37,647 
Interest expense7,356 1,959 13,302 5,972 
Net interest income$12,563 $10,691 $35,398 $31,675 
Commissions and fees$2,139 $3,399 $7,159 $10,443 
Principal transactions2,625 2,233 11,740 8,450 
Administration and other fiduciary fees915 1,007 2,904 2,990 
Realized gains (losses) on sales of investments, net52 117 74 655 
Impairment losses on investments:
Impairment losses on investments and other assets(91)(30)(277)(112)
Provision for credit losses on AFS debt securities(1)
5 (1)7 (1)
Net impairment losses recognized in earnings(86)(31)(270)(113)
Other revenue$300 $31 $327 $767 
Total non-interest revenues$5,945 $6,756 $21,934 $23,192 
Total revenues, net of interest expense $18,508 $17,447 $57,332 $54,867 
Provisions for credit losses and for benefits and claims    
Provision for credit losses on loans$1,328 $(188)$2,972 $(2,793)
Provision for credit losses on held-to-maturity (HTM) debt securities10 (10)28 (17)
Provision for credit losses on other assets73 (3)76 3 
Policyholder benefits and claims25 22 74 89 
Provision for credit losses on unfunded lending commitments(71)(13)244 (595)
Total provisions for credit losses and for benefits and claims(2)
$1,365 $(192)$3,394 $(3,313)
Operating expenses    
Compensation and benefits$6,745 $6,058 $20,037 $18,041 
Premises and equipment557 560 1,719 1,694 
Technology/communication2,145 1,997 6,229 5,744 
Advertising and marketing407 402 1,132 1,012 
Other operating2,895 2,760 9,190 8,170 
Total operating expenses$12,749 $11,777 $38,307 $34,661 
Income from continuing operations before income taxes$4,394 $5,862 $15,631 $23,519 
Provision for income taxes879 1,193 3,002 4,680 
Income from continuing operations$3,515 $4,669 $12,629 $18,839 
Discontinued operations    
Income (loss) from discontinued operations$(6)$(1)$(270)$7 
Benefit for income taxes— — (41)— 
Income (loss) from discontinued operations, net of taxes$(6)$(1)$(229)$7 
Net income before attribution to noncontrolling interests$3,509 $4,668 $12,400 $18,846 
Noncontrolling interests30 24 68 67 
Citigroup’s net income$3,479 $4,644 $12,332 $18,779 
Basic earnings per share(3)
  
Income from continuing operations$1.64 $2.17 $5.99 $8.70 
Income from discontinued operations, net of taxes— — (0.12)— 
Net income$1.64 $2.17 $5.87 $8.70 
Weighted average common shares outstanding (in millions)
1,936.8 2,009.3 1,950.0 2,049.3 
Diluted earnings per share(3)
  
Income from continuing operations$1.63 $2.15 $5.95 $8.64 
Income (loss) from discontinued operations, net of taxes— — (0.12)— 
Net income$1.63 $2.15 $5.84 $8.65 
Adjusted weighted average diluted common shares outstanding
(in millions)
1,955.1 2,026.2 1,967.1 2,065.3 
92

(1)    In accordance with ASC 326, which requires the provision for credit losses on AFS securities to be included in revenue.
(2)    This total excludes the provision for credit losses on AFS securities, which is disclosed separately above.
(3)    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 September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Citigroup’s net income$3,479 $4,644 $12,332 $18,779 
Add: Citigroup’s other comprehensive income(1)
Net change in unrealized gains and losses on debt securities,
net of taxes(1)
$(580)$(279)$(6,358)$(2,538)
Net change in debt valuation adjustment (DVA), net of taxes(2)
872 (82)3,632 (186)
Net change in cash flow hedges, net of taxes(763)(201)(2,970)(930)
Benefit plans liability adjustment, net of taxes 37 135 119 936 
Net change in foreign currency translation adjustment, net of taxes and hedges(2,399)(1,312)(4,043)(2,063)
Net change in excluded component of fair value hedges, net of taxes30 8 87 (12)
Citigroup’s total other comprehensive income (loss)$(2,803)$(1,731)$(9,533)$(4,793)
Citigroup’s total comprehensive income$676 $2,913 $2,799 $13,986 
Add: Other comprehensive income (loss) attributable to
noncontrolling interests 		$(44)$(31)$(126)$(71)
Add: Net income (loss) attributable to noncontrolling interests30 24 68 67 
Total comprehensive income$662 $2,906 $2,741 $13,982 

(1)See Note 17.
(2)See Note 20.

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

93

CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
September 30,
2022December 31,
In millions of dollars(Unaudited)2021
Assets  
Cash and due from banks (including segregated cash and other deposits)$26,502 $27,515 
Deposits with banks, net of allowance273,105 234,518 
Securities borrowed and purchased under agreements to resell (including $229,019 and $216,466 as of September 30, 2022 and December 31, 2021, respectively, at fair value), net of allowance
349,214 327,288 
Brokerage receivables, net of allowance79,696 54,340 
Trading account assets (including $132,928 and $133,828 pledged to creditors as of September 30, 2022 and December 31, 2021, respectively)
358,260 331,945 
Investments:
Available-for-sale debt securities (including $7,504 and $9,226 pledged to creditors as of September 30, 2022 and December 31, 2021, respectively), net of allowance
232,143 288,522 
Held-to-maturity debt securities (fair value of which is $239,807 and $216,038 as of September 30, 2022 and December 31, 2021, respectively) (includes $— and $1,460 pledged to creditors as of September 30, 2022 and December 31, 2021, respectively), net of allowance
267,864 216,963 
Equity securities (including $850 and $1,032 at fair value as of September 30, 2022 and December 31, 2021, respectively)
8,009 7,337 
Total investments
$508,016 $512,822 
Loans:
Consumer (including $241 and $12 as of September 30, 2022 and December 31, 2021, respectively, at fair value)
357,583 376,534 
Corporate (including $3,638 and $6,070 as of September 30, 2022 and December 31, 2021, respectively, at fair value)
288,377 291,233 
Loans, net of unearned income$645,960 $667,767 
Allowance for credit losses on loans (ACLL)(16,309)(16,455)
Total loans, net$629,651 $651,312 
Goodwill19,326 21,299 
Intangible assets (including MSRs of $647 and $404 as of September 30, 2022 and December 31, 2021, respectively, at fair value)
4,485 4,495 
Other assets (including $9,947 and $12,342 as of September 30, 2022 and December 31, 2021, respectively, at fair value), net of allowance
132,809 125,879 
Total assets$2,381,064 $2,291,413 







Statement continues on the next page.
94

CONSOLIDATED BALANCE SHEET                             Citigroup Inc. and Subsidiaries
(Continued)
September 30,
2022December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2021
Liabilities  
Non-interest-bearing deposits in U.S. offices$135,514 $158,552 
Interest-bearing deposits in U.S. offices (including $911 and $879 as of September 30, 2022 and December 31, 2021, respectively, at fair value)
570,920 543,283 
Non-interest-bearing deposits in offices outside the U.S.98,904 97,270 
Interest-bearing deposits in offices outside the U.S. (including $1,529 and $787 as of September 30, 2022 and December 31, 2021, respectively, at fair value)
501,148 518,125 
Total deposits$1,306,486 $1,317,230 
Securities loaned and sold under agreements to repurchase (including $73,107 and $56,694 as of September 30, 2022 and December 31, 2021, respectively, at fair value)
203,429 191,285 
Brokerage payables (including $3,213 and $3,575 as of September 30, 2022 and December 31, 2021,
respectively, at fair value)
87,841 61,430 
Trading account liabilities196,479 161,529 
Short-term borrowings (including $6,569 and $7,358 as of September 30, 2022 and December 31, 2021, respectively, at fair value)
47,368 27,973 
Long-term debt (including $91,825 and $82,609 as of September 30, 2022 and December 31, 2021, respectively, at fair value)
253,068 254,374 
Other liabilities87,276 74,920 
Total liabilities$2,181,947 $2,088,741 
Stockholders’ equity  
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of September 30, 2022—759,800 and as of December 31, 2021—759,800, at aggregate liquidation value
$18,995 $18,995 
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of September 30, 2022—3,099,669,424 and as of December 31, 2021—3,099,651,835
31 31 
Additional paid-in capital108,347 108,003 
Retained earnings193,462 184,948 
Treasury stock, at cost: September 30, 2022—1,162,816,560 shares and
December 31, 2021—1,115,296,641 shares
(73,977)(71,240)
Accumulated other comprehensive income (loss) (AOCI)
(48,298)(38,765)
Total Citigroup stockholders’ equity$198,560 $201,972 
Noncontrolling interests557 700 
Total equity$199,117 $202,672 
Total liabilities and equity$2,381,064 $2,291,413 


The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
95

CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED)Citigroup Inc. and Subsidiaries
Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Preferred stock at aggregate liquidation value  
Balance, beginning of period$18,995 $17,995 $18,995 $19,480 
Issuance of new preferred stock— — — 2,300 
Redemption of preferred stock— — — (3,785)
Balance, end of period$18,995 $17,995 $18,995 $17,995 
Common stock and additional paid-in capital (APIC)  
Balance, beginning of period$108,241 $107,851 $108,034 $107,877 
Employee benefit plans137 60 343 (3)
Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions)— — — 40 
Other— 42 1 39 
Balance, end of period$108,378 $107,953 $108,378 $107,953 
Retained earnings
Balance, beginning of period$191,261 $179,686 $184,948 $168,272 
Citigroup’s net income3,479 4,644 12,332 18,779 
Common dividends(1)
(1,001)(1,040)(3,025)(3,176)
Preferred dividends(277)(266)(794)(811)
Other (primarily reclassifications from APIC for preferred issuance costs on redemptions)— — 1 (40)
Balance, end of period$193,462 $183,024 $193,462 $183,024 
Treasury stock, at cost  
Balance, beginning of period$(73,988)$(68,253)$(71,240)$(64,129)
Employee benefit plans(2)
11 7 513 483 
Treasury stock acquired(3)
— (3,000)(3,250)(7,600)
Balance, end of period$(73,977)$(71,246)$(73,977)$(71,246)
Citigroup’s accumulated other comprehensive income (loss)  
Balance, beginning of period$(45,495)$(35,120)$(38,765)$(32,058)
Citigroup’s total other comprehensive income(2,803)(1,731)(9,533)(4,793)
Balance, end of period$(48,298)$(36,851)$(48,298)$(36,851)
Total Citigroup common stockholders’ equity$179,565 $182,880 $179,565 $182,880 
Total Citigroup stockholders’ equity$198,560 $200,875 $198,560 $200,875 
Noncontrolling interests  
Balance, beginning of period$612 $751 $700 $758 
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary— — — — 
Transactions between Citigroup and the noncontrolling-interest shareholders— 1 (34)2 
Net income attributable to noncontrolling-interest shareholders30 24 68 67 
Distributions paid to noncontrolling-interest shareholders(39)— (51)— 
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
(44)(31)(126)(71)
Other(2)(10)— (21)
Net change in noncontrolling interests$(55)$(16)$(143)$(23)
Balance, end of period$557 $735 $557 $735 
Total equity$199,117 $201,610 $199,117 $201,610 

(1)    Common dividends declared were $0.51 per share for each of the first, second and third quarters of 2022 and 2021.
(2)    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.
(3)    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.
96

CONSOLIDATED STATEMENT OF CASH FLOWS Citigroup Inc. and Subsidiaries
(UNAUDITED)
 Nine Months Ended September 30,
In millions of dollars20222021
Cash flows from operating activities of continuing operations  
Net income before attribution of noncontrolling interests$12,400 $18,846 
Net income attributable to noncontrolling interests68 67 
Citigroup’s net income$12,332 $18,779 
Income (loss) from discontinued operations, net of taxes(229)7 
Income from continuing operations—excluding noncontrolling interests$12,561 $18,772 
Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations  
Net loss (gain) on sale of significant disposals(1)
(616)680 
Depreciation and amortization3,154 2,979 
Deferred income taxes(576)1,393 
Provisions for credit losses on loans and unfunded lending commitments3,216 (3,388)
Realized gains from sales of investments(74)(655)
Impairment losses on investments and other assets277 112 
Goodwill impairment535 — 
Change in trading account assets(26,385)32,111 
Change in trading account liabilities34,950 11,259 
Change in brokerage receivables net of brokerage payables1,055 (4,664)
Change in loans HFS3,499 (3,068)
Change in other assets(2,754)(3,174)
Change in other liabilities1,303 8,989 
Other, net(34,315)(2,161)
Total adjustments$(16,731)$40,413 
Net cash provided by (used in) operating activities of continuing operations$(4,170)$59,185 
Cash flows from investing activities of continuing operations  
Change in securities borrowed and purchased under agreements to resell $(21,926)$(42,984)
Change in loans(5,788)6,613 
Proceeds from sales and securitizations of loans3,077 1,134 
Proceeds from divestitures(1)
3,242 — 
Available-for-sale debt securities(2):
Purchases of investments(177,306)(164,613)
Proceeds from sales of investments86,454 96,022 
Proceeds from maturities of investments118,951 90,415 
Held-to-maturity debt securities(2):
Purchases of investments(39,288)(112,883)
Proceeds from maturities of investments9,913 16,946 
Capital expenditures on premises and equipment and capitalized software(3,667)(2,811)
Proceeds from sales of premises and equipment, subsidiaries and affiliates
and repossessed assets		46 143 
Other, net(530)(51)
Net cash used in investing activities of continuing operations$(26,822)$(112,069)
Cash flows from financing activities of continuing operations  
Dividends paid$(3,777)$(3,959)
Issuance of preferred stock— 2,300 
Redemption of preferred stock— (3,785)
97

CONSOLIDATED STATEMENT OF CASH FLOWS
(UNAUDITED) (Continued)
Nine Months Ended September 30,
In millions of dollars20222021
Treasury stock acquired$(3,250)$(7,448)
Stock tendered for payment of withholding taxes(339)(328)
Change in securities loaned and sold under agreements to repurchase12,144 9,659 
Issuance of long-term debt85,459 53,961 
Payments and redemptions of long-term debt(47,011)(56,472)
Change in deposits8,947 73,769 
Change in short-term borrowings19,395 169 
Net cash provided by financing activities of continuing operations$71,568 $67,866 
Effect of exchange rate changes on cash and due from banks$(3,002)$(789)
Change in cash, due from banks and deposits with banks37,574 14,193 
Cash, due from banks and deposits with banks at beginning of period262,033 309,615 
Cash, due from banks and deposits with banks at end of period$299,607 $323,808 
Cash and due from banks (including segregated cash and other deposits)$26,502 $28,906 
Deposits with banks, net of allowance273,105 294,902 
Cash, due from banks and deposits with banks at end of period$299,607 $323,808 
Supplemental disclosure of cash flow information for continuing operations  
Cash paid during the period for income taxes$2,684 $3,063 
Cash paid during the period for interest12,557 5,983 
Non-cash investing activities(1)(3)
 
Transfer of investment securities from AFS to HTM$21,688 $— 
Decrease in net loans associated with divestitures reclassified to HFS16,956 8,291 
Decrease in goodwill associated with divestitures reclassified to HFS876 — 
Transfers to loans HFS (Other assets) from loans
4,037 5,329 
Non-cash financing activities(1)
Decrease in deposits associated with divestitures reclassified to HFS$19,691 $6,912 
Decrease in long-term debt associated with divestitures reclassified to HFS — 521 
    
(1)    See Note 2 for further information on significant disposals.
(2)    Citi has revised the Consolidated Statement of Cash Flows to present purchases of investments, sales of investments and proceeds from maturities of investments separately between available-for-sale debt securities and held-to-maturity debt securities. Citi had no sales of held-to-maturity debt securities during the periods presented.
(3)    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 23 for more information and balances as of September 30, 2022.

The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
98

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 September 30, 2022 and for the three- and nine-month periods ended September 30, 2022 and 2021 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 within Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2021, Citigroup’s Current Report on Form 8-K dated May 10, 2022 (as amended by a Current Report on Form 8-K/A dated May 10, 2022) with Historical Consolidated Financial Statements and Notes conformed to reflect changes in Citigroup’s reportable segments from those contained in Citi’s 2021 Annual Report on Form 10-K included as an exhibit thereto (such Current Report on Form 8-K together with Citigroup’s 2021 Annual Report on Form 10-K, collectively referred to as the 2021 Form 10-K), Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2022 (First Quarter of 2022 Form 10-Q), and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2022 (Second Quarter of 2022 Form 10-Q).
Certain financial information that is normally included in annual financial statements prepared in accordance with U.S. generally accepted accounting principles (GAAP), but is not required for interim reporting purposes, has been condensed or omitted.
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. While management uses its best judgment, actual results could differ from those estimates.
As noted above, the Notes to 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 2021 Form 10-K for a summary of all of Citigroup’s significant accounting policies.


ACCOUNTING CHANGES

Voluntary Change in Goodwill Impairment Assessment Date
During the third quarter of 2022, the Company voluntarily changed its annual goodwill impairment assessment date from July 1 to October 1. See Note 15 for additional information.

Multiple Macroeconomic Scenarios-Based ACL Approach
During the second quarter of 2022, Citi refined its ACL methodology to utilize multiple macroeconomic scenarios to estimate its allowance for credit losses. The ACL was previously estimated using a combination of a single base-case forecast scenario as part of its quantitative component and a qualitative management adjustment to reflect economic uncertainty from downside macroeconomic scenarios. As a result of this change, Citi now explicitly incorporates multiple macroeconomic scenarios—base, upside, and downside—and associated probabilities in the quantitative component when estimating its ACL.
This refinement represents a “change in accounting estimate” under ASC Topic 250, Accounting Changes and Error Corrections, with prospective application beginning in the period of change. This change in accounting estimate resulted in a decrease of approximately $0.3 billion in the allowance for credit losses in the second quarter of 2022, partially offsetting an increase of $0.8 billion in the allowance for credit losses due to the increased macroeconomic uncertainty and other factors in the second quarter of 2022.

Accounting for Deposit Insurance Expenses
During the fourth quarter of 2021, Citi changed its presentation of the deposit insurance costs paid to the Federal Deposit Insurance Corporation (FDIC) and similar foreign regulators. These costs were previously presented within Interest expense and, as a result of this change, are now presented within Other operating expenses. Citi concluded that this presentation was preferable in Citi’s circumstances, as it better reflected the nature of these deposit insurance costs in that these costs do not directly represent interest payments to creditors, but are similar in nature to other payments to regulatory agencies that are accounted for as operating expenses.
This change in income statement presentation represents a “change in accounting principle” under ASC Topic 250, Accounting Changes and Error Corrections, with retrospective application to the earliest period presented. This change in accounting principle resulted in a reclassification of $293 million and $912 million of deposit insurance expenses from Interest expense to Other operating expenses, for the quarter and nine months ended September 30, 2021. This change had no impact on Citi’s net income or the total deposit insurance expense incurred by Citi.




99

FUTURE ACCOUNTING CHANGES

Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions
In June 2022, FASB issued Accounting Standards Update (ASU) 2022-3, Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions. The ASU was issued to address diversity in practice whereby certain entities included the impact of contractual restrictions when valuing equity securities, and it clarifies that a contractual restriction on the sale of an equity security should not be considered part of the unit of account of the equity security and, therefore, should not be considered in measuring fair value. The ASU also includes requirements for entities to disclose the fair value of equity securities subject to contractual sale restrictions, the nature and remaining duration of the restrictions and the circumstances that could cause a lapse in the restrictions.
The ASU is to be adopted on a prospective basis and will be effective for Citigroup on January 1, 2024, although early adoption is permitted. Adoption of the accounting standard is not expected to have an impact on Citi’s operating results or financial position, as the Company excludes such restrictions when valuing equity securities.

Troubled Debt Restructurings and Vintage Disclosures
In March 2022, the FASB issued ASU No. 2022-02, Financial Instruments—Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures. Citi will adopt the ASU on its effective date, January 1, 2023 (early adoption is permitted). The ASU eliminates the requirement to measure the ACLL for TDRs using a discounted cash flow (DCF) approach. Citi expects to discontinue the use of a DCF approach for consumer loans upon adoption, which will result in an adjustment to the opening balances of the ACLL and retained earnings. The ASU will not affect the measurement of the ACLL for corporate loans. Citi is currently evaluating the potential impact on its Consolidated Financial Statements. The ASU also enhances disclosure of modifications of loans made to borrowers experiencing financial difficulty and requires that an entity disclose current-period gross write-offs by year of loan origination in credit quality disclosures. The amendments related to disclosures are required to be applied prospectively beginning as of the date of adoption.

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 such as traditional life insurance policies and life-contingent annuity 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, Financial Services—Insurance: Effective Date (issued in October 2019) and by ASU 2020-11, Financial Services—Insurance: Effective Date and Early Application (issued in 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 or financial condition as a result of adopting the standard.


100

2. DISCONTINUED OPERATIONS, SIGNIFICANT DISPOSALS AND OTHER BUSINESS EXITS

Discontinued Operations
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 September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Total revenues, net of interest expense$— $— $— $— 
Income (loss) from discontinued operations(1)
$(6)$(1)$(270)$7 
Benefit for income taxes— — (41)— 
Income (loss) from discontinued operations,
net of taxes		$(6)$(1)$(229)$7 

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

During the second quarter of 2022, the Company finalized the settlement of certain liabilities related to its legacy consumer operation in the U.K. (the legacy operation), including an indemnification liability related to its sale of the Egg Banking business in 2011, which led to the substantial liquidation of the legacy operation. As a result, a CTA loss (net of hedges) in AOCI of approximately $400 million pretax ($345 million after-tax) related to the legacy operation was released to earnings in the second quarter of 2022. Out of the total CTA release, a $260 million pretax loss ($221 million after-tax loss) was attributable to the Egg Banking business noted above, reported in Discontinued operations, and therefore the corresponding CTA release was also reported in Discontinued operations during the second quarter of 2022. The remaining CTA release of a $140 million pretax loss ($124 million after-tax loss) related to Legacy Holdings Assets was reported as part of Continuing operations within Legacy Franchises.
While the legacy operation was divested in multiple sales over the years, each transaction did not result in substantial liquidation given that Citi retained certain liabilities noted above, which were gradually settled over time until reaching the point of substantial liquidation during the second quarter of 2022, triggering the release of the CTA loss to earnings.

Cash flows from Discontinued operations were not material for the periods presented.



101

Significant Disposals
As of September 30, 2022, Citi has entered into sale agreements for nine consumer banking businesses that Citi intends to exit, including the sales of the Australia and Philippines businesses, which closed in the second and third quarters of 2022, respectively. The sale agreements have resulted in a transfer to HFS over time of approximately $26 billion in assets, including approximately $17 billion of loans (net of allowance of $292 million) and approximately $20 billion in liabilities, including approximately $20 billion in deposits. As a result, these assets and liabilities held by each business were reclassified to HFS within Other assets and Other liabilities, respectively, on the Consolidated Balance Sheet. The following five sale transactions were identified as significant disposals within the Legacy Franchises segment. All sale transactions that have yet to close in the table below are subject to regulatory approvals and other closing conditions.

September 30, 2022
In millions of dollarsAssetsLiabilities
Consumer banking business inSale agreement dateExpected closeCash and deposits with banks
Loans(1)
Goodwill(2)
Other assets, advances to/from subsidiariesOther assetsTotal assetsDepositsLong-term debtOther liabilitiesTotal liabilities
Australia(3)
8/9/21closed 6/1/2022$— $— $— $— $— $— $— $— $— $— 
Philippines(4)
12/23/21closed 8/1/2022— — — — — — — — — — 
Thailand(5)
1/14/22closed 11/1/2022$16 $2,374 $145 $199 $81 $2,815 $865 $— $135 $1,000 
Taiwan(5)
1/28/22second half 202396 7,455 192 4,727 190 12,660 9,851 — 214 10,065 
India(5)
3/30/22first half 202324 3,431 313 2,134 99 6,001 5,472 — 191 5,663 
Income (loss) before taxes(6)
Three Months Ended
September 30,		Nine Months Ended
September 30,
In millions of dollars2022
2021
20222021
Australia(3)
$— $95 $193 $236 
Philippines(4)
7 47 72 114 
Thailand28 17 106 108 
Taiwan15 71 111 221 
India37 59 161 157 

(1)    Loans, net of allowance as of September 30, 2022: Thailand $67 million, Taiwan $56 million and India $44 million.
(2)    For Thailand, includes intangible assets.
(3)    On June 1, 2022, Citi completed the sale of its Australia consumer banking business, which was part of Legacy Franchises. The Australia consumer banking business had approximately $9.4 billion in assets, including $9.3 billion of loans (net of allowance of $140 million) and excluding goodwill. The total amount of liabilities was $7.3 billion including $6.8 billion in deposits. The transaction generated a pretax loss on sale of approximately $780 million ($650 million after-tax), subject to closing adjustments, recorded in Other revenue. The loss on sale primarily reflected the impact of an approximate pretax $620 million currency translation adjustment (CTA) loss (net of hedges) ($470 million after-tax) already reflected in the Accumulated other comprehensive income (AOCI) component of equity. The sale closed on June 1, 2022, and the CTA-related balance was removed from the AOCI component of equity, resulting in a neutral CTA impact to Citi’s Common Equity Tier 1 Capital. The income before taxes shown in the above table for Australia reflects Citi’s ownership through June 1, 2022.
(4)    On August 1, 2022, Citi completed the sale of its Philippines consumer banking business, which was part of Legacy Franchises. The Philippines consumer banking business had approximately $1.8 billion in assets, including $1.2 billion of loans (net of allowance of $80 million) and excluding goodwill. The total amount of liabilities was $1.3 billion, including $1.2 billion in deposits. The sale resulted in a pretax gain on sale of approximately $616 million ($290 million after-tax), subject to closing adjustments, recorded in Other revenue. The income before taxes shown in the above table for the Philippines reflects Citi’s ownership through August 1, 2022.
(5)    These sales are expected to result in an after-tax gain upon closing.
(6)    Income before taxes for the period in which the individually significant component was classified as HFS for all prior periods presented. For Australia, excludes the pretax loss on sale. For the Philippines, excludes the pretax gain on sale.

Citi did not have any other significant disposals as of September 30, 2022. As of November 4, 2022, Citi had not entered into sale agreements for its two other consumer banking businesses to be sold in Asia and EMEA.

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 2021 Form 10-K.
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Other Business Exits

Wind-Down of Korea Consumer Banking Business
On October 25, 2021, Citi disclosed its decision to wind down and close its Korea consumer banking business, which is reported in the Legacy Franchises operating segment. In connection with the announcement, Citibank Korea Inc. (CKI) commenced a voluntary early termination program (Korea VERP). Due to the voluntary nature of this termination program, no liabilities for termination benefits are recorded until CKI makes formal offers to employees that are then irrevocably accepted by those employees. Related charges are recorded as Compensation and benefits.
During the first quarter of 2022, Citi recorded an additional pretax charge of $31 million, composed of gross charges connected to the Korea VERP.
The following table summarizes the reserve charges related to the Korea VERP and other initiatives reported in the Legacy Franchises operating segment and Corporate/Other:

In millions of dollarsEmployee termination costs
Total Citigroup (pretax)
Original charges$1,052 
Utilization(1)
Foreign exchange3 
Balance at December 31, 2021$1,054 
Additional charges$31 
Utilization(347)
Foreign exchange(24)
Balance at March 31, 2022$714 
Additional charges (releases)$(3)
Utilization(670)
Foreign exchange(41)
Balance at June 30, 2022$— 
Additional charges (releases)$— 
Utilization— 
Foreign exchange— 
Balance at September 30, 2022$— 

The total estimated cash charges for the wind-down are $1.1 billion, most of which were recognized in 2021.
See Note 8 for details on the pension impact of the Korea wind-down.


Wind-Down of Russia Consumer and Institutional Banking Businesses
On August 25, 2022, Citi disclosed its decision to wind down its consumer banking and local commercial banking operations in Russia. As part of the wind-down, Citi is also actively pursuing sales of certain Russian consumer banking portfolios.
In connection with the wind-down plan, Citi expects to incur approximately $170 million in costs, primarily over the next 18 months, largely driven by restructuring, vendor termination fees and other related charges. These costs do not include the impact of any potential portfolio sales, should such sales be executed. During the third quarter of 2022, Citi recorded a pretax charge of approximately $10 million, composed of severance costs reported in the Legacy Franchises operating segment.
On October 14, 2022, Citi disclosed that it will be ending nearly all of the institutional banking services it offers in Russia by the end of the first quarter of 2023. Going forward, Citi’s only operations in Russia will be those necessary to fulfill its remaining legal and regulatory obligations.
On October 28, 2022, Citi entered into an agreement to sell a portfolio of ruble-denominated personal installment loans, totaling approximately $345 million in outstanding loan balances as of the third quarter of 2022, to Uralsib, a Russian commercial bank. Citi expects to incur a loss of approximately $35 million as a result of the sale, which is expected to close in the fourth quarter of 2022. In connection with the portfolio sale, Citi also entered into a referral agreement to transfer to Uralsib a portfolio of ruble-denominated credit card loans, subject to customer consents. The outstanding card loans balance was approximately $320 million as of the third quarter of 2022. Citi will refer credit card customers, who at the customers’ sole discretion will be eligible to refinance their outstanding card loan balances with Uralsib.


103

3. OPERATING SEGMENTS

Effective January 1, 2022, Citi changed its management structure resulting in changes in its operating segments and reporting units to reflect how the CEO, who is the chief operating decision maker, intends to manage the Company, allocate resources and measure performance. Citi reorganized its reporting into three operating segments: Institutional Clients Group (ICG), Personal Banking and Wealth Management (PBWM) and Legacy Franchises, with Corporate/Other including activities not assigned to a specific operating segment, as well as discontinued operations. The prior-period balances reflect reclassifications to conform the presentation in those periods to the current operating segment structure. Citi’s consolidated results were not impacted by the changes discussed above and remain unchanged for all periods presented.
The operating segments are determined based on how management allocates resources and measures financial performance to make business decisions, and are reflective of the types of customers served and the products and services provided.
ICG consists of Services, Markets and Banking, providing corporate, institutional and public sector clients around the world with a full range of wholesale banking products and services.
PBWM consists of U.S. Personal Banking and Global Wealth Management (Global Wealth), providing traditional banking services and credit cards to retail and small business customers in the U.S., and financial services to the entire continuum of wealth clients—from affluent to ultra-high-net-worth—through banking, lending, mortgages, investment, custody and trust product offerings in 20 countries, including the U.S., Mexico and the four wealth management centers: Singapore, Hong Kong, the UAE and London.
Legacy Franchises consists of Asia Consumer and Mexico Consumer/SBMM businesses that Citi intends to exit, and its remaining Legacy Holdings Assets.
Corporate/Other includes activities not assigned to the operating segments, including certain unallocated costs of global functions, other corporate expenses and net treasury results, offsets to certain line-item reclassifications and eliminations, and unallocated taxes, as well as discontinued operations.
The following tables present certain information regarding the Company’s continuing operations by operating segment and Corporate/Other:

104

Three Months Ended September 30,
In millions of dollars, except identifiable assets, average loans and average deposits in billionsICGPBWMLegacy FranchisesCorporate/OtherTotal Citi
2022202120222021202220212022202120222021
Net interest income$4,570 $3,738 $5,836 $5,174 $1,385 $1,532 $772 $247 $12,563 $10,691 
Non-interest revenue4,898 6,253 351 678 1,169 4 (473)(179)5,945 6,756 
Total revenues, net of interest expense$9,468 $9,991 $6,187 $5,852 $2,554 $1,536 $299 $68 $18,508 $17,447 
Operating expense6,541 5,963 4,077 3,624 1,845 1,748 286 442 12,749 11,777 
Provisions for credit losses86 24 1,109 (201)167 (14)3 (1)1,365 (192)
Income (loss) from continuing operations before taxes$2,841 $4,004 $1,001 $2,429 $542 $(198)$10 $(373)$4,394 $5,862 
Provision (benefits) for income taxes655 889 209 533 226 3 (211)(232)879 1,193 
Income (loss) from continuing operations$2,186 $3,115 $792 $1,896 $316 $(201)$221 $(141)$3,515 $4,669 
Identifiable assets (September 30, 2022 and December 31, 2021)
$1,706 $1,613 $479 $464 $100 $125 $96 $89 $2,381 $2,291 
Average loans291 289 325 309 39 71 — — 655 669 
Average deposits817 831 428 424 50 80 21 8 1,316 1,343 
Nine Months Ended September 30,
In millions of dollars, except average loans and average deposits in billionsICGPBWMLegacy FranchisesCorporate/OtherTotal Citi
2022202120222021202220212022202120222021
Net interest income$12,874 $11,231 $16,790 $15,324 $4,367 $4,716 $1,367 $404 $35,398 $31,675 
Non-interest revenue19,173 19,697 1,331 2,218 2,053 1,342 (623)(65)21,934 23,192 
Total revenues, net of interest expense$32,047 $30,928 $18,121 $17,542 $6,420 $6,058 $744 $339 $57,332 $54,867 
Operating expense19,698 17,724 11,951 10,593 5,952 5,288 706 1,056 38,307 34,661 
Provisions for credit losses855 (2,209)2,088 (928)448 (174)3 (2)3,394 (3,313)
Income (loss) from continuing operations before taxes$11,494 $15,413 $4,082 $7,877 $20 $944 $35 $(715)$15,631 $23,519 
Provision (benefits) for income taxes2,672 3,435 877 1,756 104 333 (651)(844)3,002 4,680 
Income (loss) from continuing operations$8,822 $11,978 $3,205 $6,121 $(84)$611 $686 $129 $12,629 $18,839 
Average loans$292 $286 $318 $305 $44 $77 $— $— $654 $668 
Average deposits824 819 437 410 52 85 11 9 1,324 1,323 













105

4.  INTEREST REVENUE AND EXPENSE

Interest revenue and Interest expense consisted of the following:

Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Interest revenue 
Consumer loans$7,380 $6,567 $20,243 $19,790 
Corporate loans3,403 2,307 8,750 6,726 
Loan interest, including fees$10,783 $8,874 $28,993 $26,516 
Deposits with banks1,218 147 2,172 418 
Securities borrowed and purchased under agreements to resell2,176 264 3,375 763 
Investments, including dividends2,993 1,885 7,413 5,455 
Trading account assets(1)
1,989 1,284 4,794 4,091 
Other interest-earning assets(2)
760 196 1,953 404 
Total interest revenue$19,919 $12,650 $48,700 $37,647 
Interest expense
Deposits$3,270 $730 $5,561 $2,118 
Securities loaned and sold under agreements to repurchase1,251 287 2,188 800 
Trading account liabilities(1)
472 106 756 370 
Short-term borrowings and other interest-bearing liabilities(3)
745 8 1,068 70 
Long-term debt1,618 828 3,729 2,614 
Total interest expense$7,356 $1,959 $13,302 $5,972 
Net interest income$12,563 $10,691 $35,398 $31,675 
Provision (benefit) for credit losses on loans1,328 (188)2,972 (2,793)
Net interest income after provision for credit losses on loans$11,235 $10,879 $32,426 $34,468 

(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 assets from businesses held-for-sale (see Note 2) and Brokerage receivables.
(3)Includes liabilities from businesses held-for-sale (see Note 2) and Brokerage payables.


106

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 2021 Form 10-K.

The following tables present Commissions and fees revenue:

Three Months Ended September 30, 2022Nine Months Ended September 30, 2022
In millions of dollarsICGPBWMLegacy FranchisesTotalICGPBWMLegacy FranchisesTotal
Investment banking$725 $— $— $725 $2,477 $— $— $2,477 
Brokerage commissions356 167 48 571 1,209 621 169 1,999 
Credit and bank card income
Interchange fees330 2,420 199 2,949 891 6,954 647 8,492 
Card-related loan fees12 64 66 142 32 201 226 459 
Card rewards and partner payments(1)
(175)(2,852)(134)(3,161)(458)(8,223)(466)(9,147)
Deposit-related fees(2)
262 25 13 300 807 128 49 984 
Transactional service fees270 5 20 295 791 14 72 877 
Corporate finance(3)
87 — — 87 339 3 — 342 
Insurance distribution revenue— 57 33 90 — 165 102 267 
Insurance premiums— 1 22 23 — 3 69 72 
Loan servicing13 14 4 31 32 36 11 79 
Other6 44 37 87 9 141 107 258 
Total commissions and fees(4)
$1,886 $(55)$308 $2,139 $6,129 $43 $986 $7,159 

Three Months Ended September 30, 2021Nine Months Ended September 30, 2021
In millions of dollarsICGPBWMLegacy FranchisesTotalICGPBWMLegacy FranchisesTotal
Investment banking$1,493 $— $— $1,493 $4,503 $— $— $4,503 
Brokerage commissions412 248 113 773 1,380 814 342 2,536 
Credit and bank card income
Interchange fees225 2,107 210 2,542 580 5,861 635 7,076 
Card-related loan fees7 72 92 171 18 223 289 530 
Card rewards and partner payments(1)
(119)(2,415)(126)(2,660)(298)(6,673)(375)(7,346)
Deposit-related fees(2)
267 49 23 339 766 145 82 993 
Transactional service fees249 6 26 281 723 18 82 823 
Corporate finance(3)
213 — — 214 548 4 — 552 
Insurance distribution revenue— 77 40 117 — 237 128 365 
Insurance premiums— 1 24 25 — 9 66 75 
Loan servicing9 11 4 24 31 27 13 71 
Other(2)46 36 80 15 145 105 265 
Total commissions and fees(4)
$2,755 $202 $442 $3,399 $8,266 $810 $1,367 $10,443 

(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 a decrease in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in higher 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 $0 and $28 million for the three months ended September 30, 2022 and 2021, respectively, and $59 million and $75 million for the nine months ended September 30, 2022 and 2021, respectively. Overdraft fees are accounted for under ASC 310. Citi eliminated overdraft fees, returned-item fees and overdraft protection beginning in June 2022.
(3)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
(4)Commissions and fees include $(2,872) million and $(2,208) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended September 30, 2022 and 2021, respectively, and $(8,115) million and $(6,031) million for the nine months ended September 30, 2022 and 2021, 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.
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The following tables present Administration and other fiduciary fees revenue:

Three Months Ended September 30, 2022Nine Months Ended September 30, 2022
In millions of dollarsICGPBWMLegacy FranchisesTotalICGPBWMLegacy FranchisesTotal
Custody fees$422 $21 $2 $445 $1,375 $67 $7 $1,449 
Fiduciary fees78 179 77 334 210 580 236 1,026 
Guarantee fees124 10 2 136 391 34 4 429 
Total administration and other fiduciary fees(1)
$624 $210 $81 $915 $1,976 $681 $247 $2,904 

Three Months Ended September 30, 2021Nine Months Ended September 30, 2021
In millions of dollarsICGPBWMLegacy FranchisesTotalICGPBWMLegacy FranchisesTotal
Custody fees$451 $23 $5 $479 $1,359 $68 $12 $1,439 
Fiduciary fees64 206 112 382 186 598 329 1,113 
Guarantee fees132 12 2 146 398 34 6 438 
Total administration and other fiduciary fees(1)
$647 $241 $119 $1,007 $1,943 $700 $347 $2,990 

(1)    Administration and other fiduciary fees include $136 million and $146 million for the three months ended September 30, 2022 and 2021, respectively, and $429 million and $438 million for the nine months ended September 30, 2022 and 2021, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These generally include guarantee fees.

108

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 income related to trading activities, which is an integral part of trading activities’ profitability. See Note 4 for information about net interest income 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.
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 September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Interest rate risks(1)
$460 $461 $3,381 $2,424 
Foreign exchange risks(2)
1,554 924 4,740 2,851 
Equity risks(3)
411 666 1,687 1,869 
Commodity and other risks(4)
403 252 1,466 844 
Credit products and risks(5)
(203)(70)466 462 
Total$2,625 $2,233 $11,740 $8,450 

(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.
109

7. INCENTIVE PLANS

For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 2021 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 2021 Form 10-K.

Net (Benefit) Expense
The following tables summarize 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. Benefits earned during the period are reported in Compensation and benefits expenses and all other components of the net period benefit cost are reported in Other operating expenses in the Consolidated Statement of Income:

















Three Months Ended September 30,
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20222021202220212022202120222021
Benefits earned during the period$— $— $26 $36 $— $— $1 $2 
Interest cost on benefit obligation120 87 91 67 4 3 21 25 
Expected return on assets(153)(173)(64)(65)(3)(3)(16)(22)
Amortization of unrecognized:     
Prior service benefit— — (2)(1)(2)(3)(2)(2)
Net actuarial loss (gain)36 57 16 16 (2)— 2 4 
Settlement loss(1)
— — — 1 — — — — 
Total net (benefit) expense$3 $(29)$67 $54 $(3)$(3)$6 $7 

(1)    (Gains) losses due to settlement relate to divestiture activities.
Nine Months Ended September 30,
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20222021202220212022202120222021
Benefits earned during the period$— $— $90 $113 $— $— $2 $6 
Interest cost on benefit obligation311 264 243 199 11 9 67 74 
Expected return on plan assets(461)(529)(196)(189)(9)(10)(54)(65)
Amortization of unrecognized:    
Prior service cost (benefit)1 1 (5)(4)(7)(7)(6)(7)
Net actuarial loss (gain)136 173 43 48 (5)(1)4 12 
Curtailment (gain)(1)
— — (23)— — — — — 
Settlement (gain) loss(1)
— — (10)5 — — — — 
Total net (benefit) expense$(13)$(91)$142 $172 $(10)$(9)$13 $20 

(1)    (Gains) losses due to curtailment and settlement relate to divestiture activities. Total net expense for non-U.S. plans includes a $36 million net benefit related to the wind-down of Citi’s consumer banking business in Korea.

110

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:

Nine Months Ended September 30, 2022
 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$12,766 $8,001 $501 $1,169 
Plans measured annually(23)(2,071)— (298)
Projected benefit obligation at beginning of year—Significant Plans
$12,743 $5,930 $501 $871 
First quarter activity
(1,234)(285)(50)(71)
Second quarter activity(1,051)(907)(45)(49)
Projected benefit obligation at June 30, 2022—Significant Plans$10,458 $4,738 $406 $751 
Benefits earned during the period— 12 — — 
Interest cost on benefit obligation120 70 4 19 
Actuarial (gain)(1)
(642)(278)(24)(33)
Benefits paid, net of participants’ contributions and government subsidy(230)(79)(12)(14)
Settlement (gain)(2)
— (2)— — 
Foreign exchange impact and other— (83)— — 
Projected benefit obligation at period end—Significant Plans$9,706 $4,378 $374 $723 
Change in plan assets    
Plan assets at fair value at beginning of year$12,977 $7,614 $319 $1,043 
Plans measured annually— (1,419)— (7)
Plan assets at fair value at beginning of year—Significant Plans
$12,977 $6,195 $319 $1,036 
First quarter activity(1,030)(226)(19)(135)
Second quarter activity(1,108)(762)(34)(73)
Plan assets at fair value at June 30, 2022—Significant Plans$10,839 $5,207 $266 $828 
Actual return on plan assets(497)(310)(10)(42)
Company contributions, net of reimbursements13 12 6 — 
Benefits paid, net of participants’ contributions and government subsidy(230)(79)(12)(14)
Settlement (gain)(2)
— (2)— — 
Foreign exchange impact and other— (86)— — 
Plan assets at fair value at period end—Significant Plans
$10,125 $4,742 $250 $772 
Qualified plans(3)
$941 $364 $(124)$49 
Nonqualified plans(4)
(522)— — — 
Funded status of the plans at period end—Significant Plans
$419 $364 $(124)$49 
Net amount recognized at period end    
Benefit asset$941 $793 $— $49 
Benefit liability(522)(429)(124)— 
Net amount recognized on the balance sheet—Significant Plans
$419 $364 $(124)$49 
Amounts recognized in AOCI at period end(5)
   
Prior service (expense) benefit $— $(1)$85 $35 
Net actuarial (loss) gain(6,438)(1,060)127 (236)
Net amount recognized in equity (pretax)—Significant Plans
$(6,438)$(1,061)$212 $(201)
Accumulated benefit obligation at period end—Significant Plans
$9,705 $4,205 $374 $723 

(1)During 2022, the actuarial gain is primarily due to the increase in global discount rates.
(2)Gains due to settlement relate to divestiture activities.
(3)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, 2022 and no minimum required funding is expected for 2022.
(4)The nonqualified plans of the Company are unfunded.
111

(5)The framework for the Company’s pension oversight process includes monitoring of potential settlement charges for all plans. Settlement accounting is triggered when either the sum of all settlements (including lump sum payments) for the year is greater than service plus interest costs or if more than 10% of the plan’s projected benefit obligation will be settled. Because some of Citi’s significant plans are frozen and have no material service cost, settlement accounting may apply in the future.
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
September 30, 2022		Nine Months Ended
September 30, 2022
Beginning of period balance, net of tax(1)(2)
$(5,770)$(5,852)
Actuarial assumptions changes and plan experience977 4,001 
Net asset (loss) due to difference between actual and expected returns(1,084)(4,221)
Net amortization43 159 
Curtailment/settlement (gain)(3)
— (32)
Foreign exchange impact and other60 193 
Change in deferred taxes, net41 19 
Change, net of tax$37 $119 
End of period balance, net of tax(1)(2)
$(5,733)$(5,733)

(1)See Note 17 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 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
Sept. 30, 2022Sept. 30, 2021
U.S. plans
Qualified pension4.80 %2.75 %
Nonqualified pension4.80 2.70 
Postretirement4.75 2.60 
Non-U.S. plans  
Pension
2.00–10.75
0.25–9.25
Weighted average6.68 4.23 
Postretirement10.75 9.50 

The discount rates utilized at period end in determining the pension and postretirement benefit obligations for the Significant Plans are as follows:

Plan obligations assumed discount rates at period endedSept. 30, 2022Jun. 30, 2022Mar. 31, 2022
U.S. plans
Qualified pension5.65 %4.80 %3.80 %
Nonqualified pension5.60 4.80 3.85 
Postretirement5.65 4.75 3.85 
Non-U.S. plans   
Pension
2.10–11.30
2.00–10.75
1.10–10.00
Weighted average7.64 6.68 5.55 
Postretirement11.25 10.75 10.10 
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 September 30, 2022
In millions of dollarsOne-percentage-point increaseOne-percentage-point decrease
Pension
U.S. plans$6 $(7)
Non-U.S. plans— 2 
Postretirement
Non-U.S. plans(1)1 



112

Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first nine months of 2022.
The following table summarizes the Company’s actual contributions for the nine months ended September 30, 2022 and 2021, as well as expected Company contributions for the remainder of 2022 and the actual contributions made in 2021:

 Pension plans Postretirement plans 
 
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20222021202220212022202120222021
Company contributions (reimbursements)(2)(3) for the nine months ended September 30
$41 $41 $417 $116 $5 $19 $7 $6 
Company contributions made during the remainder of the year— 15 — 39 — 3 — 2 
Company contributions expected to be made during the remainder of the year(3)
16 26 2 2 

(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.
(3)2022 benefit payments have increased due to the wind-down of Citi’s consumer banking business in Korea, as it is expected that employees who elected the VERP will be withdrawing their pension plan assets.


Defined Contribution Plans
The following table summarizes the Company’s contributions for the defined contribution plans:

Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
U.S. plans$119 $113 $356 $324 
Non-U.S. plans98 87 303 270 












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 September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Service-related expense
Amortization of unrecognized:
Net actuarial loss$1 $1 $2 $2 
Total service-related expense$1 $1 $2 $2 
Non-service-related expense$2 $3 $8 $7 
Total net expense $3 $4 $10 $9 




113

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 September 30,Nine Months Ended September 30,
In millions of dollars, except per share amounts2022202120222021
Earnings per common share
Income from continuing operations before attribution to noncontrolling interests$3,515 $4,669 $12,629 $18,839 
Less: Noncontrolling interests from continuing operations30 24 68 67 
Net income from continuing operations (for EPS purposes)$3,485 $4,645 $12,561 $18,772 
Income (loss) from discontinued operations, net of taxes(6)(1)(229)7 
Citigroup’s net income$3,479 $4,644 $12,332 $18,779 
Less: Preferred dividends277 266 794 811 
Net income available to common shareholders$3,202 $4,378 $11,538 $17,968 
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS28 26 89 134 
Net income allocated to common shareholders for basic EPS$3,174 $4,352 $11,449 $17,834 
Weighted-average common shares outstanding applicable to basic EPS (in millions)
1,936.8 2,009.3 1,950.0 2,049.3 
Basic earnings per share(1)
Income from continuing operations$1.64 $2.17 $5.99 $8.70 
Discontinued operations— — (0.12)— 
Net income per share—basic$1.64 $2.17 $5.87 $8.70 
Diluted earnings per share
Net income allocated to common shareholders for basic EPS$3,174 $4,352 $11,449 $17,834 
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable11 8 30 23 
Net income allocated to common shareholders for diluted EPS$3,185 $4,360 $11,479 $17,857 
Weighted-average common shares outstanding applicable to basic EPS (in millions)
1,936.8 2,009.3 1,950.0 2,049.3 
Effect of dilutive securities
Options(2)
— — — — 
Other employee plans18.3 16.9 17.1 16.0 
Adjusted weighted-average common shares outstanding applicable to diluted EPS
(in millions)(3)
1,955.1 2,026.2 1,967.1 2,065.3 
Diluted earnings per share(1)
    
Income from continuing operations$1.63 $2.15 $5.95 $8.64 
Discontinued operations— — (0.12)— 
Net income per share—diluted$1.63 $2.15 $5.84 $8.65 

(1)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
(2)    During the first, second and third quarters of 2022 and 2021, no significant options to purchase shares of common stock were outstanding.
(3)    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.



114

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 2021 Form 10-K.
Securities borrowed and purchased under agreements to resell, at their respective carrying values, consisted of the following:

In millions of dollarsSeptember 30,
2022		December 31, 2021
Securities purchased under agreements to resell$268,471 $236,252 
Deposits paid for securities borrowed80,812 91,042 
Total, net(1)
$349,283 $327,294 
Allowance for credit losses on securities purchased and borrowed(2)
(69)(6)
Total, net of allowance$349,214 $327,288 

Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:

In millions of dollarsSeptember 30,
2022		December 31, 2021
Securities sold under agreements to repurchase$186,055 $174,255 
Deposits received for securities loaned17,374 17,030 
Total, net(1)
$203,429 $191,285 

(1)    The above tables do not include securities-for-securities lending transactions of $3.2 billion and $3.6 billion at September 30, 2022 and December 31, 2021, 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 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 the Company elected the fair value option, as described in Notes 20 and 21. 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. 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 posts or obtains 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 September 30, 2022
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$368,675 $100,204 $268,471 $188,620 $79,851 
Deposits paid for securities borrowed89,452 8,640 80,812 12,272 68,540 
Total$458,127 $108,844 $349,283 $200,892 $148,391 
115

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$286,259 $100,204 $186,055 $74,279 $111,776 
Deposits received for securities loaned26,014 8,640 17,374 1,302 16,072 
Total$312,273 $108,844 $203,429 $75,581 $127,848 
 As of December 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$367,594 $131,342 $236,252 $205,349 $30,903 
Deposits paid for securities borrowed107,041 15,999 91,042 17,326 73,716 
Total$474,635 $147,341 $327,294 $222,675 $104,619 
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$305,597 $131,342 $174,255 $85,184 $89,071 
Deposits received for securities loaned33,029 15,999 17,030 2,868 14,162 
Total$338,626 $147,341 $191,285 $88,052 $103,233 

(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 September 30, 2022
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$138,287 $77,589 $27,855 $42,528 $286,259 
Deposits received for securities loaned19,746 325 458 5,485 26,014 
Total$158,033 $77,914 $28,313 $48,013 $312,273 

As of December 31, 2021
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$127,679 $93,257 $32,908 $51,753 $305,597 
Deposits received for securities loaned23,387 6 1,392 8,244 33,029 
Total$151,066 $93,263 $34,300 $59,997 $338,626 
116

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

As of September 30, 2022
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$105,681 $119 $105,800 
State and municipal securities1,141 — 1,141 
Foreign government securities120,050 110 120,160 
Corporate bonds15,176 67 15,243 
Equity securities10,263 25,541 35,804 
Mortgage-backed securities24,007 — 24,007 
Asset-backed securities1,749 — 1,749 
Other8,192 177 8,369 
Total$286,259 $26,014 $312,273 

As of December 31, 2021
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$85,861 $90 $85,951 
State and municipal securities1,053 — 1,053 
Foreign government securities133,352 212 133,564 
Corporate bonds20,398 152 20,550 
Equity securities25,653 32,517 58,170 
Mortgage-backed securities33,573 — 33,573 
Asset-backed securities1,681 — 1,681 
Other4,026 58 4,084 
Total$305,597 $33,029 $338,626 

117

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 2021 Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:

In millions of dollarsSeptember 30,
2022		December 31, 2021
Receivables from customers$26,670 $26,403 
Receivables from brokers, dealers and clearing organizations53,026 27,937 
Total brokerage receivables(1)
$79,696 $54,340 
Payables to customers$69,531 $52,158 
Payables to brokers, dealers and clearing organizations18,310 9,272 
Total brokerage payables(1)
$87,841 $61,430 

(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.
118

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 2021 Form 10-K.





The following table presents Citi’s investments by category:

In millions of dollarsSeptember 30,
2022		December 31, 2021
Debt securities available-for-sale (AFS)$232,143 $288,522 
Debt securities held-to-maturity (HTM)(1)
267,864 216,963 
Marketable equity securities carried at fair value(2)
431 543 
Non-marketable equity securities carried at fair value(2)(5)
419 489 
Non-marketable equity securities measured using the measurement alternative(3)
1,690 1,413 
Non-marketable equity securities carried at cost(4)
5,469 4,892 
Total investments$508,016 $512,822 

(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.
(5)    Includes $26 million and $145 million of investments in funds for which the fair values are estimated using the net asset value of the Company’s ownership interest in the funds at September 30, 2022 and December 31, 2021, respectively.


The following table presents interest and dividend income on investments:

Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Taxable interest$2,714 $1,777 $7,001 $5,152 
Interest exempt from U.S. federal income tax220 73 263 196 
Dividend income59 35 149 107 
Total interest and dividend income on investments$2,993 $1,885 $7,413 $5,455 


The following table presents realized gains and losses on the sales of investments, which exclude impairment losses:

Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Gross realized investment gains$102 $142 $282 $757 
Gross realized investment losses(50)(25)(208)(102)
Net realized gains (losses) on sales of investments$52 $117 $74 $655 



119

Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:

 September 30, 2022December 31, 2021
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(2)
$12,214 $7 $890 $— $11,331 $33,064 $453 $301 $— $33,216 
Residential479 — 3 — 476 380 1 1 — 380 
Commercial4 — — — 4 25 — — — 25 
Total mortgage-backed securities$12,697 $7 $893 $— $11,811 $33,469 $454 $302 $— $33,621 
U.S. Treasury and federal agency securities     
U.S. Treasury$92,595 $41 $2,973 $— $89,663 $122,669 $615 $844 $— $122,440 
Agency obligations— — — — — — — — — — 
Total U.S. Treasury and federal agency securities$92,595 $41 $2,973 $— $89,663 $122,669 $615 $844 $— $122,440 
State and municipal(3)
$2,368 $8 $223 $— $2,153 $2,643 $79 $101 $— $2,621 
Foreign government121,815 400 3,244 — 118,971 119,426 337 1,023 — 118,740 
Corporate5,773 37 296 1 5,513 5,972 33 77 8 5,920 
Asset-backed securities(1)
277 1 2 — 276 304 — 1 — 303 
Other debt securities3,764 — 8 — 3,756 4,880 1 4 — 4,877 
Total debt securities AFS$239,289 $494 $7,639 $1 $232,143 $289,363 $1,519 $2,352 $8 $288,522 

(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. See Note 18 for mortgage- and asset-backed securitizations in which the Company has other involvement.
(2)In June 2022, Citibank transferred $21.5 billion of agency residential mortgage-backed securities from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized loss position of $2.3 billion. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities.
(3)    In September 2022, Citibank transferred $165 million of municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the bonds were in an unrealized loss position of $12 million. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities.

120

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
September 30, 2022      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$9,471 $615 $1,922 $275 $11,393 $890 
Residential46 3 — — 46 3 
Commercial3 — 1 — 4 — 
Total mortgage-backed securities$9,520 $618 $1,923 $275 $11,443 $893 
U.S. Treasury$44,899 $1,300 $33,305 $1,673 $78,204 $2,973 
State and municipal488 40 1,308 183 1,796 223 
Foreign government79,279 2,514 13,266 730 92,545 3,244 
Corporate4,068 270 394 26 4,462 296 
Asset-backed securities159 2 — — 159 2 
Other debt securities2,271 8 — — 2,271 8 
Total debt securities AFS$140,684 $4,752 $50,196 $2,887 $190,880 $7,639 
December 31, 2021      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$17,039 $270 $698 $31 $17,737 $301 
Non-U.S. residential96 1 1 — 97 1 
Commercial— — — — — — 
Total mortgage-backed securities$17,135 $271 $699 $31 $17,834 $302 
U.S. Treasury and federal agency securities     
U.S. Treasury$56,448 $713 $6,310 $131 $62,758 $844 
Agency obligations— — — — — — 
Total U.S. Treasury and federal agency securities$56,448 $713 $6,310 $131 $62,758 $844 
State and municipal$229 $3 $874 $98 $1,103 $101 
Foreign government64,319 826 9,924 197 74,243 1,023 
Corporate2,655 77 22 — 2,677 77 
Asset-backed securities108 1 — — 108 1 
Other debt securities3,439 4 — — 3,439 4 
Total debt securities AFS$144,333 $1,895 $17,829 $457 $162,162 $2,352 



121

The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
 September 30, 2022December 31, 2021
In millions of dollarsAmortized
cost		Fair
value		Amortized
cost		Fair
value
Mortgage-backed securities(1)
  
Due within 1 year$42 $42 $188 $189 
After 1 but within 5 years514 502 211 211 
After 5 but within 10 years365 337 523 559 
After 10 years11,776 10,930 32,547 32,662 
Total$12,697 $11,811 $33,469 $33,621 
U.S. Treasury and federal agency securities    
Due within 1 year$16,839 $16,737 $34,321 $34,448 
After 1 but within 5 years75,414 72,631 87,987 87,633 
After 5 but within 10 years342 295 361 359 
After 10 years— — — — 
Total$92,595 $89,663 $122,669 $122,440 
State and municipal    
Due within 1 year$18 $19 $40 $40 
After 1 but within 5 years101 99 121 124 
After 5 but within 10 years263 247 156 161 
After 10 years1,986 1,788 2,326 2,296 
Total$2,368 $2,153 $2,643 $2,621 
Foreign government    
Due within 1 year$55,925 $55,735 $49,263 $49,223 
After 1 but within 5 years62,444 60,195 64,555 63,961 
After 5 but within 10 years2,564 2,239 3,736 3,656 
After 10 years882 802 1,872 1,900 
Total$121,815 $118,971 $119,426 $118,740 
All other(2)
    
Due within 1 year$4,396 $4,378 $5,175 $5,180 
After 1 but within 5 years4,592 4,420 5,177 5,149 
After 5 but within 10 years770 743 750 750 
After 10 years56 4 54 21 
Total$9,814 $9,545 $11,156 $11,100 
Total debt securities AFS$239,289 $232,143 $289,363 $288,522 

(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)Includes corporate, asset-backed and other debt securities.


122

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
September 30, 2022    
Debt securities HTM    
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed(3)
$89,020 $2 $11,160 $77,862 
Non-U.S. residential467 — — 467 
Commercial1,100 4 1 1,103 
Total mortgage-backed securities$90,587 $6 $11,161 $79,432 
U.S. Treasury securities$134,969 $— $14,672 $120,297 
State and municipal(4)
9,215 18 1,111 8,122 
Foreign government2,014 — 115 1,899 
Asset-backed securities(2)
31,079 4 1,026 30,057 
Total debt securities HTM, net$267,864 $28 $28,085 $239,807 
December 31, 2021    
Debt securities HTM   
Mortgage-backed securities(2)
    
U.S. government-sponsored agency guaranteed$63,885 $1,076 $925 $64,036 
Non-U.S. residential736 3 — 739 
Commercial1,070 4 2 1,072 
Total mortgage-backed securities$65,691 $1,083 $927 $65,847 
U.S. Treasury securities$111,819 $30 $1,632 $110,217 
State and municipal(5)
8,923 589 12 9,500 
Foreign government1,651 4 36 1,619 
Asset-backed securities(2)
28,879 8 32 28,855 
Total debt securities HTM, net$216,963 $1,714 $2,639 $216,038 

(1)Amortized cost is reported net of ACL of $115 million and $87 million at September 30, 2022 and December 31, 2021, 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. See Note 18 for mortgage- and asset-backed securitizations in which the Company has other involvement.
(3)In June 2022, Citibank transferred $21.5 billion of agency residential mortgage-backed securities from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized loss position of $2.3 billion. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities.
(4)In September 2022, Citibank transferred $165 million of municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the bonds were in an unrealized loss position of $12 million. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities.
(5)In February 2021, the Company 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.





123

The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:

 September 30, 2022December 31, 2021
In millions of dollars
Amortized cost(1)
Fair value
Amortized cost(1)
Fair value
Mortgage-backed securities    
Due within 1 year$32 $32 $152 $151 
After 1 but within 5 years683 663 684 725 
After 5 but within 10 years1,520 1,386 1,655 1,739 
After 10 years88,352 77,351 63,200 63,232 
Total$90,587 $79,432 $65,691 $65,847 
U.S. Treasury securities
Due within 1 year$— $— $— $— 
After 1 but within 5 years89,774 81,540 65,498 64,516 
After 5 but within 10 years45,195 38,757 46,321 45,701 
After 10 years— — — — 
Total$134,969 $120,297 $111,819 $110,217 
State and municipal    
Due within 1 year$41 $41 $51 $50 
After 1 but within 5 years121 120 166 170 
After 5 but within 10 years935 880 908 951 
After 10 years8,118 7,081 7,798 8,329 
Total$9,215 $8,122 $8,923 $9,500 
Foreign government    
Due within 1 year$— $— $292 $291 
After 1 but within 5 years2,014 1,899 1,359 1,328 
After 5 but within 10 years— — — — 
After 10 years— — — — 
Total$2,014 $1,899 $1,651 $1,619 
All other(2)
  
Due within 1 year$— $— $— $— 
After 1 but within 5 years— — — — 
After 5 but within 10 years11,857 11,603 11,520 11,515 
After 10 years19,222 18,454 17,359 17,340 
Total$31,079 $30,057 $28,879 $28,855 
Total debt securities HTM$267,864 $239,807 $216,963 $216,038 

(1)Amortized cost is reported net of ACL of $115 million and $87 million at September 30, 2022 and December 31, 2021, respectively.
(2)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 September 30, 2022 or December 31, 2021.

There were no purchased credit-deteriorated HTM debt securities held by the Company as of September 30, 2022 or December 31, 2021.



124

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.
For more information on evaluating investments for impairment, see Note 13 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.












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

Three Months Ended
September 30, 2022		Three Months Ended
September 30, 2021
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 74 — 74 21 — 21 
Total impairment losses recognized in earnings$74 $— $74 $21 $— $21 
Nine Months Ended
September 30, 2022		Nine Months Ended
 September 30, 2021
In millions of dollarsAFSOther
assets		TotalAFSOther assetsTotal
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:
Total impairment losses recognized during the period$— $— $— $— $— $— 
Less: portion of impairment loss recognized in AOCI (before taxes)
— — — — — — 
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell$— $— $— $— $— $— 
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 254 — 254 99 — 99 
Total impairment losses recognized in earnings$254 $— $254 $99 $— $99 



125

Allowance for Credit Losses on AFS Debt Securities

Three Months Ended September 30, 2022
In millions of dollarsCorporateTotal AFS
Allowance for credit losses at beginning of period$6 $6 
Gross write-offs— — 
Gross recoveries5 5 
Net credit losses (NCLs)$5 $5 
NCLs$(5)$(5)
Credit losses on securities without previous credit losses— — 
Net reserve builds (releases) on securities with previous credit losses— — 
Total provision for credit losses$(5)$(5)
Initial allowance on newly purchased credit-deteriorated securities during the period— — 
Allowance for credit losses at end of period$1 $1 
Nine Months Ended September 30, 2022
In millions of dollarsCorporateTotal AFS
Allowance for credit losses at beginning of period$8 $8 
Gross write-offs— — 
Gross recoveries5 5 
Net credit losses (NCLs)$5 $5 
NCLs$(5)$(5)
Credit losses on securities without previous credit losses— — 
Net reserve builds (releases) on securities with previous credit losses(2)(2)
Total provision for credit losses$(7)$(7)
Initial allowance on newly purchased credit-deteriorated securities during the period— — 
Allowance for credit losses at end of period$1 $1 

126

Three Months Ended September 30, 2021
In millions of dollarsCorporateTotal AFS
Allowance for credit losses at beginning of period$5 $5 
Gross write-offs— — 
Gross recoveries— — 
Net credit losses (NCLs)$— $— 
NCLs$— $— 
Credit losses on securities without previous credit losses1 1 
Net reserve builds (releases) on securities with previous credit losses— — 
Total provision for credit losses$1 $1 
Initial allowance on newly purchased credit-deteriorated securities during the period— — 
Allowance for credit losses at end of period$6 $6 
Nine Months Ended September 30, 2021
In millions of dollarsCorporateTotal AFS
Allowance for credit losses at beginning of period$5 $5 
Gross write-offs— — 
Gross recoveries— — 
Net credit losses (NCLs)$— $— 
NCLs$— $— 
Credit losses on securities without previous credit losses1 1 
Net reserve builds (releases) on securities with previous credit losses— — 
Total provision for credit losses$1 $1 
Initial allowance on newly purchased credit-deteriorated securities during the period— — 
Allowance for credit losses at end of period$6 $6 




127

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. For details on impairment indicators that are considered, see Note 13 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
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 September 30, 2022 and December 31, 2021:

In millions of dollarsSeptember 30, 2022December 31, 2021
Measurement alternative:
Carrying value$1,690 $1,413 

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

Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Measurement alternative:(1)
Impairment losses$17 $9 $23 $13 
Downward changes for observable prices— — — — 
Upward changes for observable prices7 86 141 382 

(1)     See Note 20 for additional information on these nonrecurring fair value measurements.

Life-to-date amounts on securities still held
In millions of dollarsSeptember 30, 2022
Measurement alternative:
Impairment losses$103 
Downward changes for observable prices3 
Upward changes for observable prices831 

A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three months ended September 30, 2022 and 2021, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.

128

13.  LOANS

Citigroup loans are reported in two categories: corporate and consumer. These categories are classified primarily according to the operating segment and component that manage the loans in addition to the nature of the obligor, with corporate loans generally made for corporate institutional and public sector clients around the world and consumer loans to retail and small business customers. For additional information regarding Citi’s corporate and consumer loans, including related accounting policies, see Note 1 and Notes 1 and 14 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.

Corporate Loans
Corporate loans represent loans and leases managed by ICG and the Mexico SBMM component of Legacy Franchises. The following table presents information by corporate loan type:

In millions of dollarsSeptember 30,
2022		December 31,
2021
In North America offices(1)
  
Commercial and industrial$52,990 $48,364 
Financial institutions43,667 49,804 
Mortgage and real estate(2)
17,762 15,965 
Installment and other21,222 20,143 
Lease financing383 415 
Total$136,024 $134,691 
In offices outside North America(1)
  
Commercial and industrial$100,570 $102,735 
Financial institutions23,604 22,158 
Mortgage and real estate(2)
4,005 4,374 
Installment and other19,653 22,812 
Lease financing48 40 
Governments and official institutions4,473 4,423 
Total$152,353 $156,542 
Corporate loans, net of unearned income(3)
$288,377 $291,233 

(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 ($750) million and ($770) million at September 30, 2022 and December 31, 2021, 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 $2.2 billion and $3.7 billion of corporate loans during the three and nine months ended September 30, 2022, respectively, and $1.0 billion and $4.1 billion of corporate loans during the three and nine months ended September 30, 2021, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and nine months ended September 30, 2022 or 2021.

129

Corporate Loan Delinquencies and Non-Accrual Details at September 30, 2022
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$598 $691 $1,289 $1,085 $149,236 $151,610 
Financial institutions147 140 287 178 66,439 66,904 
Mortgage and real estate22 15 37 110 21,573 21,720 
Lease financing— — — 10 421 431 
Other46 126 172 102 43,800 44,074 
Loans at fair value3,638 
Total$813 $972 $1,785 $1,485 $281,469 $288,377 

Corporate Loan Delinquencies and Non-Accrual Details at December 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$1,072 $239 $1,311 $1,263 $144,430 $147,004 
Financial institutions320 166 486 2 71,279 71,767 
Mortgage and real estate1 1 2 136 20,153 20,291 
Lease financing— — — 14 441 455 
Other77 19 96 138 45,412 45,646 
Loans at fair value6,070 
Total$1,470 $425 $1,895 $1,553 $281,715 $291,233 

(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.
130

Corporate Loans Credit Quality Indicators
 
Recorded investment in loans(1)
Term loans by year of origination
Revolving line
of credit arrangements(2)
September 30, 2022
In millions of dollars20222021202020192018Prior
Investment grade(3)
 
Commercial and industrial(4)
$40,874 $6,736 $3,544 $3,550 $2,771 $7,943 $38,771 $104,189 
Financial institutions(4)
10,942 4,787 1,053 1,104 764 1,722 37,679 58,051 
Mortgage and real estate3,376 2,997 3,858 2,779 1,393 2,083 174 16,660 
Other(5)
6,583 2,113 1,689 829 2,216 4,221 22,732 40,383 
Total investment grade$61,775 $16,633 $10,144 $8,262 $7,144 $15,969 $99,356 $219,283 
Non-investment grade(3)
 
Accrual 
Commercial and industrial(4)
$16,582 $4,509 $1,858 $1,275 $1,134 $4,267 $16,711 $46,336 
Financial institutions(4)
4,674 1,006 217 232 53 423 2,070 8,675 
Mortgage and real estate532 761 513 782 1,049 865 448 4,950 
Other(5)
929 615 493 394 121 306 1,152 4,010 
Non-accrual
Commercial and industrial(4)
157 107 111 81 71 147 411 1,085 
Financial institutions41 35 — — — — 102 178 
Mortgage and real estate— 31 28 — — 15 36 110 
Other(5)
13 1 8 38 10 13 29 112 
Total non-investment grade$22,928 $7,065 $3,228 $2,802 $2,438 $6,036 $20,959 $65,456 
Loans at fair value(6)
$3,638 
Corporate loans, net of unearned income$84,703 $23,698 $13,372 $11,064 $9,582 $22,005 $120,315 $288,377 
131

 
Recorded investment in loans(1)
Term loans by year of origination
Revolving line
of credit arrangements(2)
December 31, 2021
In millions of dollars20212020201920182017Prior
Investment grade(3)
 
Commercial and industrial(4)
$42,422 $5,529 $4,642 $3,757 $2,911 $8,392 $30,588 $98,241 
Financial institutions(4)
12,862 1,678 1,183 1,038 419 1,354 43,630 62,164 
Mortgage and real estate2,423 3,660 3,332 2,015 1,212 1,288 141 14,071 
Other(5)
9,037 3,099 1,160 2,789 330 4,601 18,727 39,743 
Total investment grade$66,744 $13,966 $10,317 $9,599 $4,872 $15,635 $93,086 $214,219 
Non-investment grade(3)
 
Accrual 
Commercial and industrial(4)
$16,783 $2,281 $2,343 $2,024 $1,412 $3,981 $18,676 $47,500 
Financial institutions(4)
4,325 347 567 101 71 511 3,679 9,601 
Mortgage and real estate1,275 869 1,228 1,018 493 586 615 6,084 
Other(5)
1,339 349 554 364 119 245 3,236 6,206 
Non-accrual
Commercial and industrial(4)
53 119 64 104 94 117 712 1,263 
Financial institutions— — — — — — 2 2 
Mortgage and real estate11 8 2 49 10 25 31 136 
Other(5)
19 5 19 19 — 90 — 152 
Total non-investment grade$23,805 $3,978 $4,777 $3,679 $2,199 $5,555 $26,951 $70,944 
Loans at fair value(6)
$6,070 
Corporate loans, net of unearned income$90,549 $17,944 $15,094 $13,278 $7,071 $21,190 $120,037 $291,233 

(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)Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.


 
132

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:

 September 30, 2022Three Months Ended
September 30, 2022		Nine Months Ended September 30, 2022
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance		Related specific
allowance
Average
carrying
 value(2)
Interest income recognized
Interest
income recognized(3)
Non-accrual corporate loans    
Commercial and industrial$1,085 $1,837 $368 $1,047 $10 $28 
Financial institutions178 236 51 33 — — 
Mortgage and real estate110 110 1 83 — 2 
Lease financing10 10 — 10 — — 
Other102 186 6 95 — 3 
Total non-accrual corporate loans$1,485 $2,379 $426 $1,268 $10 $33 
December 31, 2021
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance		Related specific
allowance
Average
carrying
 value(2)
Non-accrual corporate loans    
Commercial and industrial$1,263 $1,858 $198 $1,839 
Financial institutions2 55 — 4 
Mortgage and real estate136 285 10 163 
Lease financing14 14 — 21 
Other138 165 4 134 
Total non-accrual corporate loans$1,553 $2,377 $212 $2,161 
 September 30, 2022December 31, 2021
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$723 $368 $637 $198 
Financial institutions176 51 — — 
Mortgage and real estate57 1 29 10 
Other49 6 37 4 
Total non-accrual corporate loans with specific allowances$1,005 $426 $703 $212 
Non-accrual corporate loans without specific allowances  
Commercial and industrial$362 N/A$626 N/A
Financial institutions2 N/A2 N/A
Mortgage and real estate53 N/A107 N/A
Lease financing10 N/A14 N/A
Other53 N/A101 N/A
Total non-accrual corporate loans without specific allowances$480 N/A$850 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.
(3)Interest income recognized for the three and nine months ended September 30, 2021 was $8 million and $39 million, respectively.
N/A Not applicable
133

Corporate Troubled Debt Restructurings(1)

For the Three and Nine Months Ended September 30, 2022
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
Three Months Ended September 30, 2022
Commercial and industrial$11 $— $— $11 
Mortgage and real estate1 1 — — 
Other7 — — 7 
Total$19 $1 $— $18 
Nine Months Ended September 30, 2022
Commercial and industrial$26 $— $— $26 
Mortgage and real estate1 1 — — 
Other30 — — 30 
Total$57 $1 $— $56 

For the Three and Nine Months Ended September 30, 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
Three Months Ended September 30, 2021
Commercial and industrial$2 $— $— $2 
Mortgage and real estate— — — — 
Other4 — — 4 
Total$6 $— $— $6 
Nine Months Ended September 30, 2021
Commercial and industrial$75 $— $— $75 
Mortgage and real estate4 — — 4 
Other4 — — 4 
Total$83 $— $— $83 

(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.

TDR loans that re-defaulted within one year of modification during theTDR loans that re-defaulted within one year of modification during the
In millions of dollars
TDR
balances at September 30, 2022
Three Months Ended September 30, 2022Nine Months Ended September 30, 2022
TDR
balances at
 September 30, 2021
Three Months Ended September 30, 2021Nine Months Ended September 30, 2021
Commercial and industrial$114 $— $— $249 $— $— 
Mortgage and real estate14 — — 19 — — 
Other22 — — 36 — — 
Total(1)
$150 $— $— $304 $— $— 

(1)The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.
134

Consumer Loans
Consumer loans represent loans and leases managed primarily by PBWM and Legacy Franchises (except Mexico SBMM). The tables below present details about these loans, including the following loan categories:

•Residential first mortgages and Home equity loans in North America offices primarily represent secured mortgage lending to customers of Retail banking and Global Wealth (primarily Private bank and Citigold).
•Credit cards in North America offices primarily represents unsecured credit card lending to customers of Branded cards and Retail services.
•Personal, small business and other loans in North America is primarily composed of classifiably managed loans to customers of Global Wealth (mostly within the Private bank) who are typically high credit quality borrowers that historically experienced minimal delinquencies and credit losses. Loans to these borrowers are generally well collateralized in the form of liquid securities and other forms of collateral.
•Residential first mortgages and Home equity loans in offices outside North America primarily represent secured mortgage lending to customers of Global Wealth (primarily Private bank and Citigold) as well as customers of Legacy Franchises.
•Credit cards in offices outside North America primarily represents unsecured credit card lending to customers of Legacy Franchises, primarily in Asia and Mexico.
•Personal, small business and other loans in offices outside North America is primarily composed of secured and unsecured loans to customers of PBWM and Legacy Franchises. A significant portion of PBWM loans are classifiably managed and represent loans to high credit quality Private bank customers who historically experienced minimal delinquencies and credit losses. Loans to these borrowers are generally well collateralized in the form of liquid securities and other forms of collateral.


135

Consumer Loans, Delinquencies and Non-Accrual Status

In millions of dollars at September 30, 2022
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)
$92,339 $434 $337 $271 $93,381 $83 $450 $533 $178 
Home equity loans(8)(9)
4,629 26 139 — 4,794 52 167 219 — 
Credit cards138,030 1,269 1,105 — 140,404 — — — 1,105 
Personal, small business and other(10)
39,977 55 60 18 40,110 2 62 64 13 
Total$274,975 $1,784 $1,641 $289 $278,689 $137 $679 $816 $1,296 
In offices outside North America(6)
      
Residential mortgages(7)(9)
$27,144 $51 $86 $— $27,281 $— $295 $295 $10 
Credit cards11,508 131 125 — 11,764 — 103 103 51 
Personal, small business and other(10)
39,658 111 80 — 39,849 3 184 187 — 
Total$78,310 $293 $291 $— $78,894 $3 $582 $585 $61 
Total Citigroup(11)
$353,285 $2,077 $1,932 $289 $357,583 $140 $1,261 $1,401 $1,357 

(1)Loans less than 30 days past due are presented as current.
(2)Includes $241 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes delinquencies on $33.9 billion and $19.4 billion of classifiably managed Private bank loans in North America and outside North America, respectively.
(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).
(5)Consists of loans 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 $0.2 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 and $0.0 billion of residential first mortgage loans in process of foreclosure in North America and outside North America, respectively, and $19.3 billion of residential mortgages outside North America related to the Global Wealth business.
(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)Includes loans related to the Global Wealth business: $36.6 billion in North America, approximately $33.9 billion of which are classifiably managed, and as of September 30, 2022 approximately 96% were rated investment grade; and $28.5 billion outside North America, approximately $19.4 billion of which are classifiably managed, and as of September 30, 2022 approximately 94% were rated investment grade. The classifiably managed portion of these loans is shown as “current” because the delinquency status is not applicable, since these loans are primarily evaluated for credit risk based on their internal risk classification.
(11)Consumer loans are net of unearned income of $671 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
136

Consumer Loans, Delinquencies and Non-Accrual Status

In millions of dollars at December 31, 2021
Total
current(1)(2)
30–89 days
past due(3)(4)(5)
≥ 90 days
past due(3)(4)(5)
Past due
government
guaranteed(5)(6)
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(7)
       
Residential first mortgages(8)
$82,087 $381 $499 $394 $83,361 $134 $559 $693 $282 
Home equity loans(9)(10)
5,546 43 156 — 5,745 64 221 285 — 
Credit cards132,050 947 871 — 133,868 — — — 871 
Personal, small business and other(11)
40,533 126 16 38 40,713 2 70 72 30 
Total$260,216 $1,497 $1,542 $432 $263,687 $200 $850 $1,050 $1,183 
In offices outside North America(7)
       
Residential mortgages(8)
$37,566 $165 $158 $— $37,889 $— $409 $409 $10 
Credit cards17,428 192 188 — 17,808 — 140 140 133 
Personal, small business and other(11)
56,930 145 75 — 57,150 — 227 227 — 
Total$111,924 $502 $421 $— $112,847 $— $776 $776 $143 
Total Citigroup(12)
$372,140 $1,999 $1,963 $432 $376,534 $200 $1,626 $1,826 $1,326 

(1)Loans less than 30 days past due are presented as current.
(2)Includes $12 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes $35.3 billion and $24.5 billion of classifiably managed Private bank loans in North America and outside North America, respectively.
(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).
(5)Conformed to be consistent with the current period’s delineation between delinquency-managed and classifiably managed loans.
(6)Consists of loans 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 $0.3 billion.
(7)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(8)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure, and $19.8 billion of residential mortgages outside North America related to the Global Wealth reporting unit.
(9)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(10)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(11)Includes loans related to the Global Wealth business: $37.9 billion in North America, approximately $35.3 billion of which are classifiably managed, and as of December 31, 2021 approximately 95% were rated investment grade; and $34.6 billion outside North America, approximately $24.5 billion of which are classifiably managed, and as of December 31, 2021 approximately 94% were rated investment grade. The classifiably managed portion of these loans is shown as “current” because the delinquency status is not applicable, since these loans are primarily evaluated for credit risk based on their internal risk classification.
(12)Consumer loans are net of unearned income of $629 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.


137

Interest Income Recognized for Non-Accrual Consumer Loans

In millions of dollarsThree Months Ended September 30, 2022Three Months Ended September 30, 2021Nine Months Ended September 30, 2022Nine Months Ended September 30, 2021
In North America offices(1)
Residential first mortgages$3 $3 $9 $10 
Home equity loans1 2 3 6 
Credit cards— — — — 
Personal, small business and other1 — 2 — 
Total$5 $5 $14 $16 
In offices outside North America(1)
Residential mortgages$2 $— $2 $— 
Credit cards— — — — 
Personal, small business and other— — — — 
Total$2 $— $2 $— 
Total Citigroup$7 $5 $16 $16 

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

During the three and nine months ended September 30, 2022, the Company sold and/or reclassified to HFS $0 million and $337 million of consumer loans, respectively. During the three and nine months ended September 30, 2021, the Company sold and/or reclassified to HFS $346 million and $1,449 million of consumer loans, respectively. Loans held by a business for sale are not included in the above. The Company did not have significant purchases of consumer loans classified as held-for-investment for the three and nine months ended September 30, 2022 or 2021. See Note 2 for additional information regarding Citigroup’s businesses for sale.







138

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. For Citi’s $80.4 billion and $114.3 billion in the consumer loan portfolio outside of the U.S. as of September 30, 2022 and December 31, 2021, respectively, various country-specific or regional credit risk metrics and acquisition and behavior scoring models are leveraged as one of the factors to evaluate the credit quality of customers (for additional information on loans outside of the U.S., see “Consumer Loans and Ratios Outside of North America” below). As a result, details of relevant credit quality indicators for those loans are not comparable to the below FICO score distribution for the U.S. portfolio.

FICO score distribution—U.S. portfolio(1)(2)
September 30, 2022
In millions of dollarsLess than
680		680
to 760		Greater
than 760
Classifiably managed(3)
FICO not available(4)
Total
loans
Residential first mortgages
2022$504 $6,083 $10,880 
2021628 6,029 12,782 
2020472 4,806 10,893 
2019302 2,673 5,424 
2018302 1,110 1,908 
Prior2,043 6,754 13,031 
Total residential first mortgages$4,251 $27,455 $54,918 $— $6,757 $93,381 
Home equity loans (pre-reset)$237 $913 $1,280 
Home equity loans (post-reset)496 890 948 
Total home equity loans$733 $1,803 $2,228 $— $30 $4,794 
Credit cards(5)
$26,172 $55,368 $56,529 $— $1,787 $139,856 
Personal, small business and other
2022$162 $397 $594 
202199 194 250 
202017 24 36 
201925 29 36 
201815 15 15 
Prior124 190 145 
Total personal, small business and other(6)
$442 $849 $1,076 $33,910 $2,922 $39,199 
Total$31,598 $85,475 $114,751 $33,910 $11,496 $277,230 

139

FICO score distribution—U.S. portfolio(1)(2)
December 31, 2021
In millions of dollarsLess than
680		680
to 760		Greater
than 760
Classifiably managed(3)
FICO not available(4)
Total
loans
Residential first mortgages
2021$626 $6,729 $12,349 
20205085,10212,153
20193733,0746,167
20183941,1802,216
20173431,4552,568
Prior2,0536,54012,586
Total residential first mortgages$4,297 $24,080 $48,039 $— $6,945 $83,361 
Home equity loans (pre-reset)$263 $1,030 $1,539 
Home equity loans (post-reset)639 1,047 1,160 
Total home equity loans$902 $2,077 $2,699 $— $67 $5,745 
Credit cards(5)
$23,115 $52,907 $55,137 $— $2,192 $133,351 
Personal, small business and other
2021$59 $201 $319 
202022 41 64 
201942 53 68 
201834 35 37 
20177 8 9 
Prior120 179 143 
Total personal, small business and other(6)
$284 $517 $640 $35,324 $3,041 $39,806 
Total$28,598 $79,581 $106,515 $35,324 $12,245 $262,263 

(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)    These personal, small business and other loans without a FICO score available include $33.9 billion and $35.3 billion of Private bank loans as of September 30, 2022 and December 31, 2021, respectively, which are classifiably managed within Global Wealth and are primarily evaluated for credit risk based on their internal risk ratings. As of September 30, 2022 and December 31, 2021, approximately 96% and 95% of these loans, respectively, were rated investment grade.
(4)    FICO scores not available related to loans guaranteed by government-sponsored enterprises for which FICO scores are generally not utilized.
(5)    Excludes $548 million and $517 million of balances related to Canada for September 30, 2022 and December 31, 2021, respectively.
(6)    Excludes $911 million and $907 million of balances related to Canada for September 30, 2022 and December 31, 2021, respectively.



140

Loan-to-Value (LTV) Ratios—U.S. Consumer Mortgages
The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolio 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—U.S. portfolio
September 30, 2022
In millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%
LTV not available(1)
Total
Residential first mortgages
2022$14,631 $3,653 $3 
202119,790 737 31 
202017,274 138 — 
20198,948 111 26 
20183,667 67 8 
Prior23,077 130 82 
Total residential first mortgages$87,387 $4,836 $150 $1,008 $93,381 
Home equity loans (pre-reset)$2,278 $28 $58 
Home equity loans (post-reset)2,271 22 31 
Total home equity loans$4,549 $50 $89 $106 $4,794 
Total$91,936 $4,886 $239 $1,114 $98,175 

LTV distribution—U.S. portfolio
December 31, 2021
In millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%
LTV not available(1)
Total
Residential first mortgages
2021$18,107 $2,723 $34 
202018,715 446 — 
201910,047 269 29 
20184,117 136 11 
20174,804 103 4 
Prior22,161 128 14 
Total residential first mortgages$77,951 $3,805 $92 $1,513 $83,361 
Home equity loans (pre-reset)$2,637 $46 $69 
Home equity loans (post-reset)2,751 52 32 
Total home equity loans$5,388 $98 $101 $158 $5,745 
Total$83,339 $3,903 $193 $1,671 $89,106 

(1)Residential first mortgages with no LTV information available are primarily due to government-guaranteed loans that do not require LTV information for credit risk assessment and fair value loans.






141

Loan-to-Value (LTV) Ratios—Outside of U.S. Consumer Mortgages
The following tables provide details on the LTV ratios for Citi’s consumer mortgage portfolio outside of the U.S. by year of origination:

LTV distribution—outside of U.S. portfolio(1)
September 30, 2022
In millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%		LTV not availableTotal
Residential mortgages
2022$2,347 $865 $— 
20214,316 1,076 3 
20203,653 342 — 
20193,243 62 1 
20182,193 7 — 
Prior8,873 34 8 
Total$24,625 $2,386 $12 $258 $27,281 

LTV distribution—outside of U.S. portfolio(1)
December 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 mortgages
2021$6,334 $989 $— 
20205,996 292 — 
20195,293 116 1 
20183,729 32 — 
20172,739 38 — 
Prior12,190 102 14 
Total$36,281 $1,569 $15 $24 $37,889 

(1)Mortgage portfolios outside of the U.S. are primarily in Global Wealth. As of September 30, 2022 and December 31, 2021, mortgage portfolios outside of the U.S. have an average LTV of approximately 49% and 46%, respectively.

142

Consumer Loans and Ratios Outside of North America

Delinquency-managed loans and ratios
In millions of dollars at September 30, 2022
Total
loans outside of North America(1)
Classifiably managed loans(2)
Delinquency-managed loans30–89 
days past
 due ratio
≥ 90 days
past
 due ratio
3Q22 NCL ratio3Q21 NCL ratio
Residential mortgages(3)
$27,281 $— $27,281 0.19 %0.32 %0.18 %0.10 %
Credit cards11,764 — 11,764 1.11 1.06 3.22 3.99 
Personal, small business and other(4)
39,849 19,432 20,417 0.54 0.39 0.74 0.92 
Total$78,894 $19,432 $59,462 0.49 %0.49 %0.91 %1.10 %
Delinquency-managed loans and ratios
In millions of dollars at December 31, 2021
Total
loans outside
of North America(1)
Classifiably managed loans(2)
Delinquency-managed loans30–89 
days past
 due ratio
≥ 90 days
past
 due ratio
Residential mortgages(3)
$37,889 $— $37,889 0.44 %0.42 %
Credit cards17,808 — 17,808 1.08 1.06 
Personal, small business and other(4)
57,150 24,482 32,668 0.44 0.23 
Total$112,847 $24,482 $88,365 0.57 %0.48 %

(1)    Mexico is included in offices outside of North America.
(2)    Classifiably managed loans are primarily evaluated for credit risk based on their internal risk classification. As of September 30, 2022 and December 31, 2021, approximately 94% and 94% of these loans, respectively, were rated investment grade.
(3)    Includes $19.3 billion and $19.8 billion as of September 30, 2022 and December 31, 2021, respectively, of residential mortgages related to the Global Wealth business.
(4)    Includes $28.5 billion and $34.6 billion as of September 30, 2022 and December 31, 2021, respectively, of loans related to the Global Wealth business.


Impaired Consumer Loans
The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:

Three Months Ended
September 30,		Nine Months Ended
September 30,
 Balance at September 30, 20222022202120222021
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)(4)
Average
carrying value(5)
Interest income
recognized(6)
Interest income
recognized(6)
Interest income
recognized(6)
Interest income
recognized(6)
Mortgage and real estate     
Residential first mortgages$1,242 $1,361 $49 $1,337 $23 $23 $94 $67 
Home equity loans250 319 (7)245 2 2 7 7 
Credit cards1,212 1,212 461 1,328 14 24 47 92 
Personal, small business and other114 114 72 207 4 14 11 41 
Total$2,818 $3,006 $575 $3,117 $43 $63 $159 $207 

143

 Balance at December 31, 2021
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)(4)
Average
carrying value(5)
Mortgage and real estate    
Residential first mortgages$1,521 $1,595 $87 $1,564 
Home equity loans191 344 (1)336 
Credit cards1,582 1,609 594 1,795 
Personal, small business and other454 461 133 505 
Total$3,748 $4,009 $813 $4,200 

(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)At September 30, 2022, $144 million of residential first mortgages and $75 million of home equity loans do not have a specific allowance. At December 31, 2021, $190 million of residential first mortgages and $94 million of home equity loans do not have a specific allowance because they are accounted for based on collateral value, and that value is in excess of the outstanding loan balance.
(3)Included in the Allowance for credit losses on loans.
(4)The negative allowance on home equity loans resulted from expected recoveries on previously written-off accounts.
(5)Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.
(6)Includes amounts recognized on both accrual and cash basis.



144

Consumer Troubled Debt Restructurings(1)

 
For the Three Months Ended September 30, 2022
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
In North America offices(7)
      
Residential first mortgages235 $58 $— $— $— — %
Home equity loans117 14 — — — — 
Credit cards46,326 203 — — — 18 
Personal, small business and other132 3 — — — 7 
Total(8)
46,810 $278 $— $— $— 
In offices outside North America(7)
Residential mortgages172 $6 $— $— $— — %
Credit cards3,519 15 — — — 27 
Personal, small business and other575 6 — — 1 8 
Total(8)
4,266 $27 $— $— $1 
 
For the Nine Months Ended September 30, 2022
In millions of dollars, except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(2)(9)
Deferred
principal(4)
Contingent
principal
forgiveness(5)
Principal
forgiveness(6)
Average
interest rate
reduction
In North America offices(7)
      
Residential first mortgages860 $195 $— $— $— — %
Home equity loans324 30 — — — — 
Credit cards123,886 533 — — — 18 
Personal, small business and other383 5 — — — 5 
Total(8)
125,453 $763 $— $— $— 
In offices outside North America(7)
Residential mortgages465 $16 $— $— $— — %
Credit cards11,981 50 — — 1 24 
Personal, small business and other1,842 22 — — 1 8 
Total(8)
14,288 $88 $— $— $2 

145

 
For the Three Months Ended September 30, 2021
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
In North America offices(7)
      
Residential first mortgages285 $49 $— $— $— 1 %
Home equity loans33 2 — — — — 
Credit cards33,746 159 — — — 18 
Personal, small business and other169 1 — — — 5 
Total(8)
34,233 $211 $— $— $—  
In offices outside North America(7)
      
Residential mortgages451 $22 $— $— $— — %
Credit cards16,082 71 — — 2 15 
Personal, small business and other7,336 49 — — 2 9 
Total(8)
23,869 $142 $— $— $4  
 
For the Nine Months Ended September 30, 2021
In millions of dollars, except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(2)(9)
Deferred
principal(4)
Contingent
principal
forgiveness(5)
Principal
forgiveness(6)
Average
interest rate
reduction
In North America offices(7)
      
Residential first mortgages955 $169 $— $— $— — %
Home equity loans145 11 — — — 
Credit cards129,129 640 — — — 17 
Personal, small business and other855 11 — — — 3 
Total(8)
131,084 $831 $— $— $—  
In offices outside North America(7)
      
Residential mortgages1,448 $74 $— $— $— — %
Credit cards58,978 267 — — 10 14 
Personal, small business and other21,654 164 — — 6 10 
Total(8)
82,080 $505 $— $— $16  

(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 $1.8 million and $3.8 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the three months ended September 30, 2022 and September 30, 2021, respectively. These amounts include $1.8 million and $1.6 million of residential first mortgages that were newly classified as TDRs in the three months ended September 30, 2022 and September 30, 2021, respectively, 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)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(8)    The above tables reflect activity for restructured loans that were considered TDRs during the reporting period.
(9)    Post-modification balances in North America include $3.7 million and $10.7 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the nine months ended September 30, 2022 and September 30, 2021, respectively. These amounts include $3.7 million and $4.1 million of residential first mortgages that were newly classified as TDRs in the nine months ended September 30, 2022 and September 30, 2021, respectively, based on previously received OCC guidance.

146

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 September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
In North America offices(1)
Residential first mortgages$6 $10 $23 $43 
Home equity loans1 1 3 8 
Credit cards62 60 178 196 
Personal, small business and other— 1 — 3 
Total$69 $72 $204 $250 
In offices outside North America(1)
Residential mortgages$2 $9 $9 $31 
Credit cards3 36 10 133 
Personal, small business and other1 29 3 87 
Total$6 $74 $22 $251 

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

Purchased Credit-Deteriorated Assets

Three Months Ended
September 30, 2022		Three Months Ended
December 31, 2021		Three Months Ended
September 30, 2021
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 $— $7 $— $— $4 $— $— $6 $— 
Allowance for credit losses at acquisition date— — — — — — — — — 
Discount or premium attributable to non-credit factors— — — — — — — — — 
Par value (amortized cost basis)$— $7 $— $— $4 $— $— $6 $— 

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


147

14. ALLOWANCE FOR CREDIT LOSSES
 
Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Allowance for credit losses on loans (ACLL) at beginning of period$15,952 $19,238 $16,455 $24,956 
Gross credit losses on loans$(1,237)$(1,389)$(3,689)$(5,441)
Gross recoveries on loans350 428 1,080 1,412 
Net credit losses on loans (NCLs) $(887)$(961)$(2,609)$(4,029)
Replenishment of NCLs$887 $961 $2,609 $4,029 
Net reserve builds (releases) for loans519 (1,010)259 (6,262)
Net specific reserve builds (releases) for loans(78)(139)104 (560)
Total provision for credit losses on loans (PCLL)$1,328 $(188)$2,972 $(2,793)
Other, net (see table below)(84)(374)(509)(419)
ACLL at end of period$16,309 $17,715 $16,309 $17,715 
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(1)
$2,193 $2,073 $1,871 $2,655 
Provision (release) for credit losses on unfunded lending commitments(71)(13)244 (595)
Other, net
(33)3 (26)3 
ACLUC at end of period(1)
$2,089 $2,063 $2,089 $2,063 
Total allowance for credit losses on loans, leases and unfunded
lending commitments(2)
$18,398 $19,778 $18,398 $19,778 

Other, net detailsThree Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Reclasses of consumer ACLL to HFS(3)
$— $(278)$(350)$(278)
FX translation and other(84)(96)(159)(141)
Other, net$(84)$(374)$(509)$(419)

(1)    Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.
(2)    See below for ACL on HTM debt securities and Other assets.
(3)    See Note 2.
148

Allowance for Credit Losses on Loans and End-of-Period Loans

Three Months Ended
September 30, 2022September 30, 2021
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
ACLL at beginning of period$2,969 $12,983 $15,952 $2,672 $16,566 $19,238 
Charge-offs(43)(1,194)(1,237)(47)(1,342)(1,389)
Recoveries37 313 350 8 420 428 
Replenishment of NCLs6 881 887 39 922 961 
Net reserve builds (releases)145 374 519 (26)(984)(1,010)
Net specific reserve builds (releases)(104)26 (78)(21)(118)(139)
Other(62)(22)(84)(15)(359)(374)
Ending balance$2,948 $13,361 $16,309 $2,610 $15,105 $17,715 
Nine Months Ended
September 30, 2022September 30, 2021
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
ACLL at beginning of period$2,415 $14,040 $16,455 $4,776 $20,180 $24,956 
Charge-offs(148)(3,541)(3,689)(383)(5,058)(5,441)
Recoveries88 992 1,080 82 1,330 1,412 
Replenishment of NCLs60 2,549 2,609 301 3,728 4,029 
Net reserve builds (releases)394 (135)259 (1,970)(4,292)(6,262)
Net specific reserve builds (releases)169 (65)104 (167)(393)(560)
Other(30)(479)(509)(29)(390)(419)
Ending balance$2,948 $13,361 $16,309 $2,610 $15,105 $17,715 


September 30, 2022December 31, 2021
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
ACLL   
Collectively evaluated$2,522 $12,784 $15,306 $2,203 $13,227 $15,430 
Individually evaluated 426 575 1,001 212 813 1,025 
Purchased credit deteriorated— 2 2 — — — 
Total ACLL$2,948 $13,361 $16,309 $2,415 $14,040 $16,455 
Loans, net of unearned income
Collectively evaluated$283,254 $354,414 $637,668 $283,610 $372,655 $656,265 
Individually evaluated 1,485 2,818 4,303 1,553 3,748 5,301 
Purchased credit deteriorated— 110 110 — 119 119 
Held at fair value3,638 241 3,879 6,070 12 6,082 
Total loans, net of unearned income$288,377 $357,583 $645,960 $291,233 $376,534 $667,767 


149

Allowance for Credit Losses on HTM Debt Securities

Three Months Ended September 30, 2022
In millions of dollarsMortgage-backedState and municipalForeign governmentAsset-backedTotal HTM
Allowance for credit losses on HTM debt securities
at beginning of quarter		$2 $94 $3 $6 $105 
Gross credit losses— — — — — 
Gross recoveries— — — — — 
Net credit losses (NCLs)$— $— $— $— $— 
Replenishment of NCLs$— $— $— $— $— 
Net reserve builds (releases)1 15 — (6)10 
Net specific reserve builds (releases)— — — — — 
Total provision for credit losses on HTM debt securities$1 $15 $— $(6)$10 
Allowance for credit losses on HTM debt securities
at end of quarter		$3 $109 $3 $— $115 
Nine Months Ended September 30, 2022
In millions of dollarsMortgage-backedState and municipalForeign governmentAsset-backedTotal HTM
Allowance for credit losses on HTM debt securities
at beginning of year		$6 $76 $3 $2 $87 
Gross credit losses— — — — — 
Gross recoveries— — — — — 
Net credit losses (NCLs)$— $— $— $— $— 
Replenishment of NCLs$— $— $— $— $— 
Net reserve builds (releases)(3)33 — (2)28 
Net specific reserve builds (releases)— — — — — 
Total provision for credit losses on HTM debt securities$(3)$33 $— $(2)$28 
Allowance for credit losses on HTM debt securities
at end of quarter		$3 $109 $3 $— $115 


150

Allowance for Credit Losses on HTM Debt Securities

Three Months Ended September 30, 2021
In millions of dollarsMortgage-backedState and municipalForeign governmentAsset-backedTotal HTM
Allowance for credit losses on HTM debt securities
at beginning of quarter		$5 $72 $5 $1 $83 
Gross credit losses— — — — — 
Gross recoveries— — — — — 
Net credit losses (NCLs)$— $— $— $— $— 
Replenishment of NCLs$— $— $— $— $— 
Net reserve builds (releases)— (5)(1)— (6)
Net specific reserve builds (releases)(4)— — — (4)
Total provision for credit losses on HTM debt securities$(4)$(5)$(1)$— $(10)
Other, net$— $— $— $— $— 
Allowance for credit losses on HTM debt securities
at end of quarter		$1 $67 $4 $1 $73 
Nine Months Ended September 30, 2021
In millions of dollarsMortgage-backedState and municipalForeign governmentAsset-
backed		Total HTM
Allowance for credit losses on HTM debt securities
at beginning of year		$3 $74 $6 $3 $86 
Gross credit losses— — — — — 
Gross recoveries3 — — — 3 
Net credit losses (NCLs)$3 $— $— $— $3 
Replenishment of NCLs$(3)$— $— $— $(3)
Net reserve builds2 (7)(2)(3)(10)
Net specific reserve builds (releases)(4)— — — (4)
Total provision for credit losses on HTM debt securities$(5)$(7)$(2)$(3)$(17)
Other, net$— $— $— $1 $1 
Allowance for credit losses on HTM debt securities
at end of quarter		$1 $67 $4 $1 $73 

151

Allowance for Credit Losses on Other Assets

Three Months Ended September 30, 2022
In millions of dollarsDeposits with banksSecurities borrowed and purchased under agreements
to resell		Brokerage receivables
All other assets(1)
Total
Allowance for credit losses on other assets
at beginning of quarter		$17 $27 $— $30 $74 
Gross credit losses— — — (4)(4)
Gross recoveries— — — — — 
Net credit losses (NCLs)$— $— $— $(4)$(4)
Replenishment of NCLs$— $— $— $4 $4 
Net reserve builds (releases)23 45 — 1 69 
Total provision for credit losses$23 $45 $— $5 $73 
Other, net$— $(3)$— $1 $(2)
Allowance for credit losses on other assets
at end of quarter		$40 $69 $— $32 $141 
Nine Months Ended September 30, 2022
In millions of dollarsDeposits with banksSecurities borrowed and purchased under agreements
to resell		Brokerage receivables
All other assets(1)
Total
Allowance for credit losses on other assets
at beginning of year		$21 $6 $— $26 $53 
Gross credit losses— — — (19)(19)
Gross recoveries— — — 2 2 
Net credit losses (NCLs)$— $— $— $(17)$(17)
Replenishment of NCLs$— $— $— $17 $17 
Net reserve builds (releases)19 35 — 5 59 
Total provision for credit losses$19 $35 $— $22 $76 
Other, net(2)
$— $28 $— $1 $29 
Allowance for credit losses on other assets
at end of quarter		$40 $69 $— $32 $141 

(1)Primarily accounts receivable.
(2)Includes $30 million of ACL transferred from ICG loans ACL during the second quarter of 2022 for securities borrowed and purchased under agreements to resell.


152

Allowance for Credit Losses on Other Assets

Three Months Ended September 30, 2021
In millions of dollarsDeposits with banksSecurities borrowed and purchased under agreements
to resell		Brokerage receivables
All other assets(1)
Total
Allowance for credit losses on other assets
at beginning of quarter		$24 $8 $— $28 $60 
Gross credit losses— — — — — 
Gross recoveries— — — — — 
Net credit losses (NCLs)$— $— $— $— $— 
Replenishment of NCLs$— $— $— $— $— 
Net reserve builds (releases)— 1 — (4)(3)
Total provision for credit losses$— $1 $— $(4)$(3)
Other, net$— $— $— $1 $1 
Allowance for credit losses on other assets
at end of quarter		$24 $9 $— $25 $58 
 
Nine Months Ended September 30, 2021
In millions of dollarsDeposits with banksSecurities borrowed and purchased under agreements
to resell		Brokerage receivables
All other assets(1)
Total
Allowance for credit losses on other assets
at beginning of year		$20 $10 $— $25 $55 
Gross credit losses— — — — — 
Gross recoveries— — — — — 
Net credit losses (NCLs)$— $— $— $— $— 
Replenishment of NCLs$— $— $— $— $— 
Net reserve builds (releases)5 (1)— (1)3 
Total provision for credit losses$5 $(1)$— $(1)$3 
Other, net$(1)$— $— $1 $— 
Allowance for credit losses on other assets
at end of quarter		$24 $9 $— $25 $58 

(1)    Primarily accounts receivable.

For ACL on AFS debt securities, see Note 12.
153

15.  GOODWILL AND INTANGIBLE ASSETS

Goodwill
The changes in Goodwill were as follows:

In millions of dollarsInstitutional Clients GroupPersonal Banking and Wealth ManagementLegacy FranchisesTotal
Balance at December 31, 2021$9,215 $9,717 $2,367 $21,299 
Impairment(1)
— — (535)(535)
Divestitures(2)
— — (873)(873)
Foreign currency translation(44)18 — (26)
Balance at March 31, 2022$9,171 $9,735 $959 $19,865 
Foreign currency translation(223)(20)(25)(268)
Balance at June 30, 2022$8,948 $9,715 $934 $19,597 
Foreign currency translation(272)— 1 (271)
Balance at September 30, 2022$8,676 $9,715 $935 $19,326 

(1)Goodwill impairment of $535 million (approximately $489 million after-tax) was incurred in the Asia Consumer reporting unit of Legacy Franchises in the first quarter of 2022, due to the re-segmentation and change of reporting units as well as the sequence of the signing of sale agreements.
(2)Primarily relates to Citi’s agreements to sell its consumer banking businesses in Malaysia, Thailand, Indonesia, Vietnam, Taiwan, India and Bahrain within Asia Consumer, during the first quarter of 2022 and reclassified as HFS as of March 31, 2022. See Note 2.

Citi had historically performed its annual goodwill impairment test as of July 1 each year. During the quarter ended September 30, 2022, the Company voluntarily changed its annual impairment assessment date from July 1 to October 1. Based on interim impairment tests performed within the period between the previous annual test on July 1, 2021 and the annual test to be performed on October 1, 2022, no more than 12 months will have elapsed between goodwill impairment tests of any of Citi’s reporting units. The change in measurement date represents a change in method of applying an accounting principle. This change is preferable because it better aligns the Company’s goodwill impairment testing procedures with its annual planning process and with its fiscal year-end. Citi continues to monitor each reporting unit for triggering events for purposes of goodwill impairment testing. The change in accounting principle did not result in any, nor does Citi expect the change in accounting principle to result in any, delay, acceleration or avoidance of an impairment charge.
As discussed in Note 3, effective January 1, 2022, as part of its strategic refresh, Citi made changes to its management structure, which resulted in changes in its operating segments and reporting units to reflect how the CEO, who is the chief operating decision maker, intends to manage the Company, allocate resources and measure performance. Goodwill balances were reallocated across the new reporting units based on their relative fair values using the valuation performed as of the effective date of the reorganization. Further, the goodwill balances associated with certain Asia Consumer businesses within the Legacy Franchises operating segment were reclassified to HFS as of March 31, 2022. See Note 2 for a discussion of Citi’s divestiture activities.
The reorganization of Citi’s reporting structure and the announced sales of businesses within a reporting unit were identified as triggering events for purposes of goodwill impairment testing. Consistent with the requirements of ASC
350, interim goodwill impairment tests were performed that resulted in an impairment of $535 million to the Asia Consumer reporting unit within the Legacy Franchises operating segment, due to the implementation of Citi’s revised operating segments and reporting units, as well as the timing of mutual execution of sale agreements for Asia consumer banking businesses. This impairment was recorded in the first quarter of 2022 as an operating expense. The interim goodwill impairment tests were performed using a combination of the income approach, market approach and bids from buyers, where available, to determine the fair value of the reporting units.
During the second quarter of 2022, Citi’s Banking reporting unit within the ICG operating segment was negatively impacted by the industry-wide decline in investment banking activity and macroeconomic challenges and uncertainties. These conditions resulted in a corresponding decline in the operating results of the Banking reporting unit as of June 30, 2022 and were identified as a triggering event for purposes of goodwill impairment testing. Consistent with the requirements of ASC 350, an interim goodwill impairment test was performed that resulted in no impairment of the Banking reporting unit within the ICG operating segment. The results of the impairment test showed that the fair value of the Banking reporting unit as a percentage of its carrying value was 102%, with the carrying value including approximately $1.5 billion of goodwill. No other events or circumstances were identified for any other reporting unit as a triggering event for purposes of goodwill impairment testing. The interim goodwill impairment test was performed using a combination of the income approach and market approach to determine the fair value of the reporting unit.
During the third quarter of 2022, Citi’s Banking reporting unit within the ICG operating segment continued to be negatively impacted by the industry-wide decline in investment banking activity amid ongoing macroeconomic
154

challenges and uncertainties. The presence of these conditions was identified as a triggering event for the purposes of goodwill impairment testing. Consistent with the requirements of ASC 350, an interim goodwill impairment test was performed that resulted in no impairment of the Banking reporting unit. The results of the impairment test showed that the fair value of the Banking reporting unit as a percentage of its carrying value was 106%, with the carrying value including approximately $1.5 billion of goodwill. No other events or circumstances were identified for any other reporting unit as a triggering event for purposes of goodwill impairment testing. The interim goodwill impairment test was performed using a combination of the income approach and market approach to determine the fair value of the reporting unit.
Also, during the third quarter of 2022, Citi performed an interim goodwill impairment test on the Mexico Consumer/SBMM reporting unit as of July 1, 2022 to satisfy the requirement that no more than 12 months elapse between the tests for all reporting units. The test resulted in no impairment as the fair value of the Mexico Consumer/SBMM reporting unit was greater than its carrying value. The interim goodwill impairment test was performed using the market approach to determine the fair value of the reporting unit.
For the interim impairment tests performed in 2022, the valuation of reporting units used either the market approach, income approach, or a combination of both. Under the market approach, Citi estimated fair value by comparing the business to similar businesses or guideline companies whose securities are actively traded in public markets. Under the income approach, Citi used a discounted cash flow (DCF) model in
which cash flows anticipated over several periods, plus a terminal value at the end of that time horizon, are discounted to their present value using an appropriate rate that is commensurate with the risk inherent within the reporting unit.
The key assumptions used to determine the fair value of Citi’s reporting units consisted primarily of significant unobservable inputs (Level 3 fair value inputs), including discount rates, estimated cash flows, growth rates, earnings multiples and/or transaction multiples of similar businesses or guideline public companies, and bids from buyers. The DCF method employs a capital asset pricing model in estimating the discount rate based on several factors, including market interest rates, and includes adjustments for market risk and company-specific risk. Estimated cash flows are based on internally developed estimates and the growth rates are based on industry knowledge and historical performance.
Based on the interim impairment tests, the fair values of all of Citi’s other reporting units as a percentage of their allocated carrying values ranged from approximately 106% to 267%, resulting in no further impairment recognized as of September 30, 2022.
While the inherent risk of uncertainty is embedded in the key assumptions used in the valuations, the economic and business environments continue to evolve as management implements its strategic refresh. If management’s future estimate of key economic and market assumptions were to differ from its current assumptions, Citi could potentially experience material goodwill impairment charges in the future.



Intangible Assets
The components of intangible assets were as follows:

 September 30, 2022December 31, 2021
In millions of dollarsGross
carrying
amount		Accumulated
amortization		Net
carrying
amount		Gross
carrying
amount		Accumulated
amortization		Net
carrying
amount
Purchased credit card relationships$5,513 $4,391 $1,122 $5,579 $4,348 $1,231 
Credit card contract-related intangibles(1)
3,902 1,479 2,423 3,912 1,372 2,540 
Core deposit intangibles35 35 — 39 39 — 
Other customer relationships345 256 89 429 305 124 
Present value of future profits32 30 2 31 29 2 
Indefinite-lived intangible assets186 — 186 183 — 183 
Other27 11 16 37 26 11 
Intangible assets (excluding MSRs)$10,040 $6,202 $3,838 $10,210 $6,119 $4,091 
Mortgage servicing rights (MSRs)(2)
647 — 647 404 — 404 
Total intangible assets$10,687 $6,202 $4,485 $10,614 $6,119 $4,495 

(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% of the aggregate net carrying amount as of both September 30, 2022 and December 31, 2021.
(2)See Note 18 for additional information on Citi’s MSRs.

155

The changes in intangible assets were as follows:

In millions of dollarsNet carrying amount at December 31, 2021Acquisitions/renewals/
divestitures 		AmortizationImpairmentsFX translation and otherNet carrying amount at September 30, 2022
Purchased credit card relationships(1)
$1,231 $3 $(105)$— $(7)$1,122 
Credit card contract-related intangibles(2)
2,540 — (116)— (1)2,423 
Core deposit intangibles— — — — — — 
Other customer relationships124 10 (18)— (27)89 
Present value of future profits2 — — — — 2 
Indefinite-lived intangible assets183 — — — 3 186 
Other11 33 (25)— (3)16 
Intangible assets (excluding MSRs)$4,091 $46 $(264)$— $(35)$3,838 
Mortgage servicing rights (MSRs)(3)
404 647 
Total intangible assets$4,495 $4,485 

(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract-related intangibles, and includes 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% of the aggregate net carrying amount as of both September 30, 2022 and December 31, 2021.
(3)See Note 18 for additional information on Citi’s MSRs, including the rollforward for the three and nine months ended September 30, 2022.

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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 2021 Form 10-K.

Short-Term Borrowings

In millions of dollarsSeptember 30,
2022		December 31,
2021
Commercial paper
Bank(1)
$11,113 $9,026 
Broker-dealer and other(2)
14,465 6,992 
Total commercial paper$25,578 $16,018 
Other borrowings(3)
21,790 11,955 
Total$47,368 $27,973 

(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 September 30, 2022 and December 31, 2021, collateralized short-term advances from the Federal Home Loan Banks were $12.0 billion and $0.0 billion, respectively.

Long-Term Debt

In millions of dollarsSeptember 30,
2022		December 31, 2021
Citigroup Inc.(1)
$159,251 $164,945 
Bank(2)
22,463 23,567 
Broker-dealer and other(3)
71,354 65,862 
Total$253,068 $254,374 

(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At September 30, 2022 and December 31, 2021, collateralized long-term advances from the Federal Home Loan Banks were $7.3 billion and $5.3 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 $1.6 billion and $1.7 billion at September 30, 2022 and December 31, 2021, respectively.


The following table summarizes Citi’s outstanding trust preferred securities at September 30, 2022:

      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 XIIIOct. 201089,840,000 2,246 
3 mo. LIBOR + 637 bps
1,000 2,246 Oct. 30, 2040Oct. 30, 2015
Total obligated  $2,440  $2,446   

Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III 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.
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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 and Nine Months Ended September 30, 2022

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)(5)
Excluded component of fair value hedgesAccumulated
other
comprehensive income (loss)
Three Months Ended September 30, 2022
Balance, June 30, 2022$(6,392)$1,573 $(2,106)$(5,770)$(32,810)$10 $(45,495)
Other comprehensive income before
reclassifications		(595)874 (870)5 (2,423)31 (2,978)
Increase (decrease) due to amounts
reclassified from AOCI
15 (2)107 32 24 (1)175 
Change, net of taxes
$(580)$872 $(763)$37 $(2,399)$30 $(2,803)
Balance at September 30, 2022$(6,972)$2,445 $(2,869)$(5,733)$(35,209)$40 $(48,298)
Nine Months Ended September 30, 2022
Balance, December 31, 2021$(614)$(1,187)$101 $(5,852)$(31,166)$(47)$(38,765)
Other comprehensive income before
reclassifications		(6,490)3,635 (2,709)26 (4,412)81 (9,869)
Increase (decrease) due to amounts
reclassified from AOCI
132 (3)(261)93 369 6 336 
Change, net of taxes$(6,358)$3,632 $(2,970)$119 $(4,043)$87 $(9,533)
Balance at September 30, 2022$(6,972)$2,445 $(2,869)$(5,733)$(35,209)$40 $(48,298)
Footnotes to the table above appear on the following page.
158

Three and Nine Months Ended September 30, 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)
Three Months Ended September 30, 2021
Balance, June 30, 2021$1,061 $(1,523)$864 $(6,063)$(29,392)$(67)$(35,120)
Other comprehensive income before
reclassifications		(204)(138)2 84 (1,325)7 (1,574)
Increase (decrease) due to amounts
reclassified from AOCI
(75)56 (203)51 13 1 (157)
Change, net of taxes
$(279)$(82)$(201)$135 $(1,312)$8 $(1,731)
Balance at September 30, 2021$782 $(1,605)$663 $(5,928)$(30,704)$(59)$(36,851)
Nine Months Ended September 30, 2021
Balance, December 31, 2020$3,320 $(1,419)$1,593 $(6,864)$(28,641)$(47)$(32,058)
Other comprehensive income before
reclassifications		(2,101)(295)(318)773 (2,076)(14)(4,031)
Increase (decrease) due to amounts
reclassified from AOCI
(437)109 (612)163 13 2 (762)
Change, net of taxes$(2,538)$(186)$(930)$936 $(2,063)$(12)$(4,793)
Balance at September 30, 2021$782 $(1,605)$663 $(5,928)$(30,704)$(59)$(36,851)

(1)Reflects the after-tax valuation of Citi’s fair value option liabilities. See “Market Valuation Adjustments” in Note 20.
(2)Primarily driven by Citi’s pay floating/receive fixed interest rate swap programs that hedge certain floating rates on assets.
(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 South Korean won, Euro, Russian ruble, Mexican peso, Polish zloty and Japanese yen against the U.S. dollar and changes in related tax effects and hedges for the three months ended September 30, 2022. Primarily reflects the movements in (by order of impact) the South Korean won, Euro, Japanese yen, Indian rupee, Chinese yuan and British pound sterling against the U.S. dollar and changes in related tax effects and hedges for the nine months ended September 30, 2022. Primarily reflects the movements in (by order of impact) the Mexican peso, South Korean won, Euro, Chilean peso and Brazilian real against the U.S. dollar and changes in related tax effects and hedges for the three months ended September 30, 2021. Primarily reflects the movements in (by order of impact) the Mexican peso, South Korean won, Euro, Chilean peso and Japanese yen against the U.S. dollar and changes in related tax effects and hedges for the nine months ended September 30, 2021. Amounts recorded in the CTA component of AOCI remain in AOCI until the sale or substantial liquidation of the foreign entity, at which point such amounts related to the foreign entity are reclassified into earnings.
(5)September 30, 2022 reflects a reduction of approximately $470 million (after-tax) ($620 million pretax) currency translation adjustment (CTA) loss (net of hedges) recorded in June 2022, associated with the closing of Citi’s sale of its consumer banking business in Australia (see Note 2). The reduction from AOCI had a neutral impact on Citi’s Common Equity Tier 1 Capital.



159

The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:

Three and Nine Months Ended September 30, 2022

In millions of dollarsPretaxTax effectAfter-tax
Three Months Ended September 30, 2022
Balance, June 30, 2022$(53,566)$8,071 $(45,495)
Change in net unrealized gains (losses) on debt securities(850)270 (580)
Debt valuation adjustment (DVA)1,159 (287)872 
Cash flow hedges(1,025)262 (763)
Benefit plans(4)41 37 
Foreign currency translation adjustment(2,238)(161)(2,399)
Excluded component of fair value hedges40 (10)30 
Change$(2,918)$115 $(2,803)
Balance at September 30, 2022$(56,484)$8,186 $(48,298)
Nine Months Ended September 30, 2022
Balance, December 31, 2021$(45,383)$6,618 $(38,765)
Change in net unrealized gains (losses) on debt securities(8,464)2,106 (6,358)
Debt valuation adjustment (DVA)4,800 (1,168)3,632 
Cash flow hedges(3,933)963 (2,970)
Benefit plans100 19 119 
Foreign currency translation adjustment(3,720)(323)(4,043)
Excluded component of fair value hedges116 (29)87 
Change$(11,101)$1,568 $(9,533)
Balance at September 30, 2022$(56,484)$8,186 $(48,298)

Three and Nine Months Ended September 30, 2021

In millions of dollarsPretaxTax effectAfter-tax
Three Months Ended September 30, 2021
Balance, June 30, 2021$(41,087)$5,967 $(35,120)
Change in net unrealized gains (losses) on debt securities(374)95 (279)
Debt valuation adjustment (DVA)(107)25 (82)
Cash flow hedges(265)64 (201)
Benefit plans175 (40)135 
Foreign currency translation adjustment(1,325)13 (1,312)
Excluded component of fair value hedges12 (4)8 
Change$(1,884)$153 $(1,731)
Balance, September 30, 2021$(42,971)$6,120 $(36,851)
Nine Months Ended September 30, 2021
Balance, December 31, 2020$(36,992)$4,934 $(32,058)
Change in net unrealized gains (losses) on debt securities(3,439)901 (2,538)
Debt valuation adjustment (DVA)(256)70 (186)
Cash flow hedges(1,219)289 (930)
Benefit plans1,166 (230)936 
Foreign currency translation adjustment(2,217)154 (2,063)
Excluded component of fair value hedges(14)2 (12)
Change$(5,979)$1,186 $(4,793)
Balance, September 30, 2021$(42,971)$6,120 $(36,851)
160

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 September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Realized (gains) losses on sales of investments$(52)$(117)$(74)$(655)
Gross impairment losses74 21 254 99 
Subtotal, pretax$22 $(96)$180 $(556)
Tax effect(7)21 (48)119 
Net realized (gains) losses on investments after-tax(1)
$15 $(75)$132 $(437)
Realized DVA (gains) losses on fair value option liabilities, pretax$(3)$72 $(4)$141 
Tax effect1 (16)1 (32)
Net realized DVA, after-tax$(2)$56 $(3)$109 
Interest rate contracts$141 $(269)$(344)$(809)
Foreign exchange contracts1 1 3 3 
Subtotal, pretax$142 $(268)$(341)$(806)
Tax effect(35)65 80 194 
Amortization of cash flow hedges, after-tax(2)
$107 $(203)$(261)$(612)
Amortization of unrecognized:
Prior service cost (benefit)$(6)$(5)$(17)$(17)
Net actuarial loss49 74 177 232 
Curtailment/settlement impact(3)
— 1 (33)5 
Subtotal, pretax$43 $70 $127 $220 
Tax effect(11)(19)(34)(57)
Amortization of benefit plans, after-tax(3)
$32 $51 $93 $163 
Excluded component of fair value hedges, pretax$(1)$1 $9 $2 
Tax effect— — (3)— 
Excluded component of fair value hedges, after-tax$(1)$1 $6 $2 
Foreign currency translation adjustment, pretax$26 $20 $423 $20 
Tax effect(2)(7)(54)(7)
Foreign currency translation adjustment, after-tax $24 $13 $369 $13 
Total amounts reclassified out of AOCI, pretax
$229 $(201)$394 $(979)
Total tax effect(54)44 (58)217 
Total amounts reclassified out of AOCI, after-tax
$175 $(157)$336 $(762)

(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 for additional details.
(2)See Note 19 for additional details.
(3)See Note 8 for additional details.

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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 2021 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 September 30, 2022
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
$31,139 $31,139 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored
112,923 — 112,923 2,019 — — 49 2,068 
Non-agency-sponsored
59,730 — 59,730 2,606 — 7 — 2,613 
Citi-administered asset-backed commercial paper conduits15,583 15,583 — — — — — — 
Collateralized loan obligations (CLOs)7,563 — 7,563 2,580 — — — 2,580 
Asset-based financing(5)
236,093 8,929 227,164 36,588 1,050 11,421 — 49,059 
Municipal securities tender option bond trusts (TOBs)2,521 665 1,856 10 — 1,395 — 1,405 
Municipal investments
21,677 3 21,674 2,738 3,252 3,810 — 9,800 
Client intermediation
696 325 371 58 — — 13 71 
Investment funds492 82 410 5 5 20 — 30 
Other
— — — — — — — — 
Total
$488,417 $56,726 $431,691 $46,604 $4,307 $16,653 $62 $67,626 
As of December 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
$31,518 $31,518 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored
113,641 — 113,641 1,582 — — 43 1,625 
Non-agency-sponsored
60,851 632 60,219 2,479 — 5 — 2,484 
Citi-administered asset-backed commercial paper conduits14,018 14,018 — — — — — — 
Collateralized loan obligations (CLOs)8,302 — 8,302 2,636 — — — 2,636 
Asset-based financing(5)
246,632 11,085 235,547 32,242 1,139 12,189 — 45,570 
Municipal securities tender option bond trusts (TOBs)3,251 905 2,346 2 — 1,498 — 1,500 
Municipal investments
20,597 3 20,594 2,512 3,617 3,562 — 9,691 
Client intermediation
904 297 607 75 — — 224 299 
Investment funds498 179 319 — — 12 1 13 
Other
— — — — — — — — 
Total
$500,212 $58,637 $441,575 $41,528 $4,756 $17,266 $268 $63,818 

(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)    Included on Citigroup’s September 30, 2022 and December 31, 2021 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 $75 billion and $100 billion in unconsolidated VIE assets and $500 million and $497 million in maximum exposure to loss as of September 30, 2022 and December 31, 2021, respectively.
162

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 September 30, 2022 and December 31, 2021, the Company’s maximum exposure to loss related to these transactions was $43.4 billion and $55.6 billion, respectively (for more information on these positions, see Note 13 and Note 26 to the Consolidated Financial Statements in Citigroup’s 2021 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 (see Notes 12 and 20 for more information on these positions);
•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 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 classification of the asset (e.g., loan or security) and the associated accounting model ascribed to that classification.
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.
163

The following tables present certain assets and liabilities of consolidated variable interest entities (VIEs), which are included on Citi’s Consolidated Balance Sheet. 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. 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.

September 30,
2022December 31,
In millions of dollars(Unaudited)2021
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs  
Cash and due from banks$63 $260 
Trading account assets8,274 10,038 
Investments616 844 
Loans, net of unearned income 
Consumer
34,333 34,677 
Corporate
15,815 14,312 
Loans, net of unearned income$50,148 $48,989 
Allowance for credit losses on loans (ACLL)(2,446)(2,668)
Total loans, net$47,702 $46,321 
Other assets71 1,174 
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$56,726 $58,637 

September 30,
2022December 31,
In millions of dollars(Unaudited)2021
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		  
Short-term borrowings$10,073 $8,376 
Long-term debt
10,438 12,579 
Other liabilities266 694 
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup		$20,777 $21,649 


164

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:
September 30, 2022December 31, 2021
In millions of dollars
Liquidity
facilities		Loan/equity
commitments		Liquidity
facilities		Loan/equity
commitments
Non-agency-sponsored mortgage securitizations$— $7 $— $5 
Asset-based financing
— 11,421 — 12,189 
Municipal securities tender option bond trusts (TOBs)
1,395 — 1,498 — 
Municipal investments
— 3,810 — 3,562 
Investment funds
— 20 — 12 
Other
— — — — 
Total funding commitments
$1,395 $15,258 $1,498 $15,768 

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
September 30, 2022December 31, 2021
Cash
$— $— 
Trading account assets
1.6 1.4 
Investments
8.7 8.8 
Total loans, net of allowance
40.0 35.4 
Other
0.6 0.8 
Total assets
$50.9 $46.4 

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 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
September 30, 2022December 31, 2021
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$8.6 $9.7 
Retained by Citigroup as trust-issued securities6.5 7.2 
Retained by Citigroup via non-certificated interests17.8 16.1 
Total
$32.9 $33.0 
The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:
Three Months Ended September 30,Nine Months Ended September 30,
In billions of dollars
2022202120222021
Proceeds from new securitizations
$— $— $— $— 
Pay down of maturing notes
(1.1)— (1.1)(4.7)
Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 3.3 years as of September 30, 2022 and 3.6 years as of December 31, 2021.
In billions of dollars
Sept. 30, 2022Dec. 31, 2021
Term notes issued to third parties
$7.3 $8.4 
Term notes retained by Citigroup affiliates1.7 2.2 
Total Master Trust liabilities
$9.0 $10.6 
Omni Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was 0.7 years as of September 30, 2022 and 1.6 years as of December 31, 2021.
In billions of dollars
Sept. 30, 2022Dec. 31, 2021
Term notes issued to third parties
$1.3 $1.3 
Term notes retained by Citigroup affiliates4.8 5.0 
Total Omni Trust liabilities
$6.1 $6.3 
165

Mortgage Securitizations
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:

Three Months Ended September 30,
20222021
In billions of dollars
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized
$1.4 $1.1 $0.5 $1.7 
Proceeds from new securitizations
1.4 1.0 0.5 1.9 
Contractual servicing fees received— — — — 
Cash flows received on retained interests and other new cash flows— — — — 
Purchases of previously transferred financial assets
— — — — 
Nine Months Ended September 30,
20222021
In billions of dollars
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized
$5.4 $11.3 $5.4 $19.8 
Proceeds from new securitizations
5.2 11.0 5.6 19.7 
Contractual servicing fees received0.1 — 0.1 — 
Cash flows received on retained interests and other new cash flows— 0.1 — — 
Purchases of previously transferred financial assets0.1 — 0.1 — 

Note: Excludes re-securitization transactions.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $1 million and $1 million for the three and nine months ended September 30, 2022, respectively. Gains recognized on the securitization of non-agency-sponsored mortgages were $21 million and $94 million for the three and nine months ended September 30, 2022, respectively.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $2 million and $3 million for the three and nine months ended September 30, 2021, respectively. Gains recognized on the securitization of non-agency-sponsored mortgages were $121 million and $423 million for the three and nine months ended September 30, 2021, respectively.


September 30, 2022December 31, 2021
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)
$647 $1,069 $945 $374 $1,452 $955 

(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 $35 million related to personal loan securitizations at September 30, 2022.
(3)    Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 20 for more information about fair value measurements.

166

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 September 30, 2022
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate9.6 %NM5.7 %
Weighted average constant prepayment rate2.6 %NM9.1 %
Weighted average anticipated net credit losses(2)
NMNM0.7 %
Weighted average life
9.4 yearsNM5.3 years
Nine Months Ended September 30, 2022
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate8.2 %3.4 %4.2 %
Weighted average constant prepayment rate2.6 %5.9 %11.7 %
Weighted average anticipated net credit losses(2)
NM2.9 %0.5 %
Weighted average life
9.2 years6.5 years5.7 years
Three Months Ended September 30, 2021
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate8.6 %2.2 %2.4 %
Weighted average constant prepayment rate5.9 %4.3 %13.3 %
Weighted average anticipated net credit losses(2)
NM0.8 %0.2 %
Weighted average life
7.4 years3.2 years4.9 years
Nine Months Ended September 30, 2021
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate8.8 %2.2 %2.8 %
Weighted average constant prepayment rate5.3 %6.3 %10.6 %
Weighted average anticipated net credit losses(2)
NM1.4 %1.0 %
Weighted average life
7.6 years3.4 years5.4 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.

167

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:

September 30, 2022
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate5.9 %1.5 %NM
Weighted average constant prepayment rate4.8 %15.0 %NM
Weighted average anticipated net credit losses(2)
NM1.0 %NM
Weighted average life
8.2 years1.5 yearsNM
December 31, 2021
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate3.7 %16.2 %4.0 %
Weighted average constant prepayment rate14.5 %6.8 %9.0 %
Weighted average anticipated net credit losses(2)
   NM1.0 %2.0 %
Weighted average life
5.1 years8.8 years18.0 years

(1)    Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)    Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM    Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

The 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.

September 30, 2022
Non-agency-sponsored mortgages
In millions of dollars
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate
Adverse change of 10%$(21)$— $— 
Adverse change of 20%(40)— — 
Constant prepayment rate
Adverse change of 10%(12)— — 
Adverse change of 20%(24)— — 
Anticipated net credit losses
Adverse change of 10%NM— — 
Adverse change of 20%NM— — 
168

December 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%$(6)$(1)$— 
Adverse change of 20%(11)(1)— 
Constant prepayment rate
Adverse change of 10%(19)— — 
Adverse change of 20%(37)— — 
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 September 30,Nine Months Ended September 30,
In billions of dollars, except liquidation losses in millionsSept. 30, 2022Dec. 31, 2021Sept. 30, 2022Dec. 31, 20212022202120222021
Securitized assets
Residential mortgages(1)
$29.3 $29.2 $0.5 $0.4 $1 $2 $3 $8 
Commercial and other
28.8 26.2 — — — — — — 
Total
$58.1 $55.4 $0.5 $0.4 $1 $2 $3 $8 

(1)    Securitized assets include $0.2 billion of personal loan securitizations as of September 30, 2022.

Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $647 million and $409 million at September 30, 2022 and 2021, respectively. The MSRs correspond to principal loan balances of $48 billion and $48 billion as of September 30, 2022 and 2021, respectively. The following table summarizes the changes in capitalized MSRs:



Three Months Ended September 30,Nine Months Ended
September 30,
In millions of dollars2022202120222021
Balance, beginning of period$600 $419 $404 $336 
Originations25 8 94 76 
Changes in fair value of MSRs due to changes in inputs and assumptions37 (3)195 49 
Other changes(1)
(15)(15)(46)(52)
Sales of MSRs— — — — 
Balance, as of September 30$647 $409 $647 $409 

(1)    Represents changes due to customer payments and passage of time.


169

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 September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Servicing fees
$31 $32 $90 $100 
Late fees
1 1 3 2
Ancillary fees
— — — —
Total MSR fees
$32 $33 $93 $102 

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 September 30, 2022 and 2021. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of September 30, 2022 and December 31, 2021, 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 and nine months ended September 30, 2022, Citi transferred agency securities with a fair value of approximately $5.3 billion and $20.3 billion, respectively, to re-securitization entities compared to approximately $12.6 billion and $37.1 billion for the three and nine months ended September 30, 2021, respectively.
As of September 30, 2022, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.4 billion (including $747 million related to re-securitization transactions executed in 2022), an increase from $1.2 billion as of December 31, 2021 (including $641 million related to re-securitization transactions executed in 2021), 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 September 30, 2022 and December 31, 2021 were approximately $76.0 billion and $78.4 billion, respectively.
As of September 30, 2022 and December 31, 2021, the Company did not consolidate any private label or agency re-securitization entities.
Citi-Administered Asset-Backed Commercial Paper Conduits
At September 30, 2022 and December 31, 2021, the commercial paper conduits administered by Citi had approximately $15.6 billion and $14.0 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $17.0 billion and $18.3 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At September 30, 2022 and December 31, 2021, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 65 and 70 days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. Each asset purchased by the conduit is structured with transaction-specific credit enhancement features provided by the third-party client seller, including over-collateralization, cash and excess spread collateral accounts, direct recourse or third-party guarantees. These credit enhancements are sized with the objective of approximating a credit rating of A or above, based on Citi’s internal risk ratings. 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 $1.6 billion and $1.3 billion as of September 30, 2022 and December 31, 2021, respectively. The net result across multiseller 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 September 30, 2022 and December 31, 2021, the Company owned $4.6 billion and $4.9 billion, respectively, of the commercial paper issued by its administered conduits. The Company’s investments were not driven by market illiquidity and the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.

Collateralized Loan Obligations (CLOs)
There were no new securitizations during the three and nine months ended September 30, 2022 and 2021. The following table summarizes selected retained interests related to Citigroup CLOs:

In millions of dollars
Sept. 30, 2022Dec. 31, 2021
Carrying value of retained interests
$681 $921 

All of Citi’s retained interests were held-to-maturity securities as of September 30, 2022 and December 31, 2021.


170

Municipal Securities Tender Option Bond (TOB) Trusts
At September 30, 2022 and December 31, 2021, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At September 30, 2022 and December 31, 2021, liquidity agreements provided with respect to customer TOB trusts totaled $1.4 billion and $1.5 billion, respectively, of which $0.8 billion and $0.6 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 $1.4 billion and $2.0 billion as of September 30, 2022 and December 31, 2021, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.


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.

September 30, 2022December 31, 2021
In millions of dollars
Total
unconsolidated
VIE assets
Maximum
exposure to
unconsolidated VIEs
Total
unconsolidated
VIE assets
Maximum
exposure to
unconsolidated VIEs
Type
Commercial and other real estate$39,681 $7,767 $32,932 $7,461 
Corporate loans
24,486 14,870 18,257 12,581 
Other (including investment funds, airlines and shipping)162,997 26,422 184,358 25,528 
Total
$227,164 $49,059 $235,547 $45,570 



171

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 2021 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.

Derivative Notionals
 Hedging instruments under ASC 815Trading derivative instruments
In millions of dollarsSeptember 30,
2022		December 31,
2021		September 30,
2022		December 31,
2021
Interest rate contracts    
Swaps$241,324 $267,035 $23,601,980 $21,873,538 
Futures and forwards— — 2,646,937 2,383,702 
Written options— — 1,804,687 1,584,451 
Purchased options— — 1,722,756 1,428,376 
Total interest rate contracts$241,324 $267,035 $29,776,360 $27,270,067 
Foreign exchange contracts 
Swaps$44,981 $47,298 $6,486,067 $6,288,193 
Futures, forwards and spot40,271 50,926 3,877,382 4,316,242 
Written options— — 951,315 664,942 
Purchased options— — 938,775 651,958 
Total foreign exchange contracts$85,252 $98,224 $12,253,539 $11,921,335 
Equity contracts  
Swaps$— $— $257,136 $269,062 
Futures and forwards— — 85,257 71,363 
Written options— — 520,219 492,433 
Purchased options— — 438,795 398,129 
Total equity contracts$— $— $1,301,407 $1,230,987 
Commodity and other contracts  
Swaps$— $— $93,580 $91,962 
Futures and forwards1,381 2,096 173,404 157,195 
Written options— — 55,264 51,224 
Purchased options— — 52,101 47,868 
Total commodity and other contracts$1,381 $2,096 $374,349 $348,249 
Credit derivatives(1)
 
Protection sold$— $— $662,018 $572,486 
Protection purchased— — 698,039 645,996 
Total credit derivatives$— $— $1,360,057 $1,218,482 
Total derivative notionals$327,957 $367,355 $45,065,712 $41,989,120 
(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.
172

The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of September 30, 2022 and December 31, 2021. 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. 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.
173

Derivative Mark-to-Market (MTM) Receivables/Payables

In millions of dollars at September 30, 2022
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$601 $— 
Cleared139 68 
Interest rate contracts$740 $68 
Over-the-counter$2,343 $1,806 
Cleared14 — 
Foreign exchange contracts$2,357 $1,806 
Total derivatives instruments designated as ASC 815 hedges$3,097 $1,874 
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter$131,748 $125,570 
Cleared57,713 57,704 
Exchange traded382 323 
Interest rate contracts$189,843 $183,597 
Over-the-counter$250,015 $246,503 
Cleared954 1,005 
Exchange traded— 4 
Foreign exchange contracts$250,969 $247,512 
Over-the-counter$28,909 $31,335 
Cleared32 3 
Exchange traded31,915 32,568 
Equity contracts$60,856 $63,906 
Over-the-counter$47,061 $39,429 
Exchange traded2,334 3,101 
Commodity and other contracts$49,395 $42,530 
Over-the-counter$6,399 $5,343 
Cleared3,826 3,999 
Credit derivatives$10,225 $9,342 
Total derivatives instruments not designated as ASC 815 hedges$561,288 $546,887 
Total derivatives$564,385 $548,761 
Less: Netting agreements(3)
$(431,992)$(431,992)
Less: Netting cash collateral received/paid(4)
(34,709)(44,172)
Net receivables/payables included on the Consolidated Balance Sheet(5)
$97,684 $72,597 
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid$(1,789)$(2,034)
Less: Non-cash collateral received/paid(5,216)(14,274)
Total net receivables/payables(5)
$90,679 $56,289 

(1)The derivative fair values are also presented in Note 20.
(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)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $353 billion, $46 billion and $33 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(4)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.
(5)The net receivables/payables include approximately $7 billion of derivative asset and $11 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
174

In millions of dollars at December 31, 2021
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$1,167 $6 
Cleared122 89 
Interest rate contracts$1,289 $95 
Over-the-counter$1,338 $1,472 
Cleared6 — 
Foreign exchange contracts$1,344 $1,472 
Total derivatives instruments designated as ASC 815 hedges$2,633 $1,567 
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter$152,524 $138,114 
Cleared11,579 11,821 
Exchange traded96 44 
Interest rate contracts$164,199 $149,979 
Over-the-counter$133,357 $133,548 
Cleared848 278 
Foreign exchange contracts$134,205 $133,826 
Over-the-counter$23,452 $28,352 
Cleared19 — 
Exchange traded21,781 21,332 
Equity contracts$45,252 $49,684 
Over-the-counter$29,279 $29,833 
Exchange traded1,065 1,546 
Commodity and other contracts$30,344 $31,379 
Over-the-counter$6,896 $6,959 
Cleared3,322 4,056 
Credit derivatives$10,218 $11,015 
Total derivatives instruments not designated as ASC 815 hedges$384,218 $375,883 
Total derivatives$386,851 $377,450 
Less: Netting agreements(3)
$(292,628)$(292,628)
Less: Netting cash collateral received/paid(4)
(24,447)(29,306)
Net receivables/payables included on the Consolidated Balance Sheet(5)
$69,776 $55,516 
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid$(907)$(538)
Less: Non-cash collateral received/paid(5,777)(13,607)
Total net receivables/payables(5)
$63,092 $41,371 

(1)The derivative fair values are also presented in Note 20.
(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)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $259 billion, $14 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.
(4)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.
(5)The net receivables/payables include approximately $10 billion of derivative asset and $11 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
175

For the three and nine months ended September 30, 2022 and 2021, 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 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 September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Interest rate contracts$26 $9 $170 $(66)
Foreign exchange(33)(26)(114)(60)
Total$(7)$(17)$56 $(126)

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. Changes in the fair value of the forward points (i.e., the spot-forward difference) of forward contracts are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in the fair value of cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness and records them 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 entire change in the fair value of the hedging instrument is recorded in earnings, Citigroup excludes changes in the fair value of the forward points (i.e., spot-forward difference) of the futures contract from the assessment of hedge effectiveness, and they are generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in the fair value of forward points from the assessment of hedge effectiveness and records them in Other comprehensive income.





















176

The following table summarizes the gains (losses) on the Company’s fair value hedges:

 
Gains (losses) on fair value hedges(1)
Three Months Ended September 30,Nine Months Ended September 30,
2022202120222021
In millions of dollarsOther revenueNet interest incomeOther revenueNet interest incomeOther
revenue		Net interest incomeOther revenueNet interest income
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges  
Interest rate hedges$— $(1,855)$— $(747)$— $(8,238)$— $(4,228)
Foreign exchange hedges(964)— (724)— (2,623)— (714)— 
Commodity hedges(977)— (166)— (362)— (732)— 
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges$(1,941)$(1,855)$(890)$(747)$(2,985)$(8,238)$(1,446)$(4,228)
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges$— $1,793 $— $667 $— $8,036 $— $3,934 
Foreign exchange hedges964 — 725 — 2,621 — 715 — 
Commodity hedges977 — 166 — 362 — 732 — 
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$1,941 $1,793 $891 $667 $2,983 $8,036 $1,447 $3,934 
Net gain (loss) on the hedging derivatives excluded from
assessment of the effectiveness of fair value hedges		    
Interest rate hedges$— $— $— $— $— $(11)$— $(3)
Foreign exchange hedges(2)
79 — 79 — 183 — 96 — 
Commodity hedges7 — 42 — 30 — (33)— 
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges$86 $— $121 $— $213 $(11)$63 $(3)

(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 income 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 $40 million and $116 million for the three and nine months ended September 30, 2022 and $12 million and $(14) million for the three and nine months ended September 30, 2021, respectively.

















177

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 basis adjustment becomes part of the carrying amount 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 September 30, 2022 and December 31, 2021, along with the cumulative 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 basis adjustment increasing (decreasing) the carrying amount
ActiveDe-designated
As of September 30, 2022
Debt securities AFS(1)(3)
$97,753 $(3,207)$(383)
Long-term debt139,620 (6,706)(1,879)
As of December 31, 2021
Debt securities AFS(2)(3)
$62,733 $149 $212 
Long-term debt149,305 623 3,936 

(1)These amounts include a cumulative basis adjustment of $(113) million for active hedges and $(316) million for de-designated hedges as of September 30, 2022, 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 $3 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $11 billion as of September 30, 2022) in a last-of-layer hedging relationship.
(2)These amounts include a cumulative basis adjustment of $24 million for active hedges and $(92) million for de-designated hedges as of December 31, 2021, 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 $6 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $25 billion as of December 31, 2021) in a last-of-layer hedging relationship.
(3)Carrying amount represents the amortized cost.
178

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 September 30, 2022 is approximately $(1.6) 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.

 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts$(1,196)$19 $(3,637)$(397)
Foreign exchange contracts29 (16)45 (16)
Total gain (loss) recognized in AOCI
$(1,167)$3 $(3,592)$(413)

Other
revenue		Net interest
revenue		Other
revenue
Net interest
revenue		Other
revenue		Net interest
revenue		Other
revenue		Net interest
revenue
Amount of gain (loss) reclassified from AOCI to earnings(1)
Interest rate contracts$— $(141)$— $269 $— $344 $— $809 
Foreign exchange contracts(1)— (1)— (3)— (3)— 
Total gain (loss) reclassified from AOCI into earnings
$(1)$(141)$(1)$269 $(3)$344 $(3)$809 
Net pretax change in cash flow hedges included within AOCI
$(1,025)$(265)$(3,933)$(1,219)

(1)All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest income). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest income in the Consolidated Statement of Income.
179

Net Investment Hedges
Citi uses foreign currency forwards, cross-currency swaps, options and foreign currency-denominated debt instruments to manage the foreign exchange risk associated with Citi’s equity investments in several non-U.S.-dollar-functional-currency foreign subsidiaries. Citi records the change in the fair value of these hedging instruments and the translation adjustment for the investments in these foreign subsidiaries in Foreign currency translation adjustment within AOCI.
The pretax gain (loss) recorded in Foreign currency translation adjustment within AOCI, related to net investment hedges, was $812 million and $1.5 billion for the three and nine months ended September 30, 2022 and $700 million and $831 million for the three and nine months ended September 30, 2021, respectively. The three and nine months ended September 30, 2022 include a $1.0 million pretax gain and $46 million pretax loss related to net investment hedges, respectively, which were reclassified from AOCI into earnings (recorded in Other revenue).

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 September 30, 2022
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty
Banks$2,367 $2,985 $109,040 $109,216 
Broker-dealers2,135 1,415 46,379 42,384 
Non-financial64 8 2,147 1,888 
Insurance and other financial institutions5,659 4,934 540,473 508,530 
Total by industry of counterparty$10,225 $9,342 $698,039 $662,018 
By instrument
Credit default swaps and options$8,366 $8,547 $682,184 $654,560 
Total return swaps and other1,859 795 15,855 7,458 
Total by instrument$10,225 $9,342 $698,039 $662,018 
By rating of reference entity
Investment grade$4,534 $3,742 $540,193 $508,631 
Non-investment grade5,691 5,600 157,846 153,387 
Total by rating of reference entity$10,225 $9,342 $698,039 $662,018 
By maturity
Within 1 year$2,276 $1,918 $153,088 $159,624 
From 1 to 5 years5,319 4,878 461,986 422,941 
After 5 years2,630 2,546 82,965 79,453 
Total by maturity$10,225 $9,342 $698,039 $662,018 

(1)The fair value amount receivable is composed of $8,304 million under protection purchased and $1,921 million under protection sold.
(2)The fair value amount payable is composed of $2,170 million under protection purchased and $7,172 million under protection sold.
180

 Fair valuesNotionals
In millions of dollars at December 31, 2021
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty
Banks$2,375 $3,031 $108,415 $103,756 
Broker-dealers1,962 1,139 44,364 40,068 
Non-financial113 306 2,785 2,728 
Insurance and other financial institutions5,768 6,539 490,432 425,934 
Total by industry of counterparty$10,218 $11,015 $645,996 $572,486 
By instrument
Credit default swaps and options$9,923 $10,234 $628,136 $565,131 
Total return swaps and other295 781 17,860 7,355 
Total by instrument$10,218 $11,015 $645,996 $572,486 
By rating of reference entity
Investment grade$4,149 $4,258 $511,652 $448,944 
Non-investment grade6,069 6,757 134,344 123,542 
Total by rating of reference entity$10,218 $11,015 $645,996 $572,486 
By maturity
Within 1 year$878 $1,462 $133,866 $115,603 
From 1 to 5 years6,674 6,638 454,617 413,174 
After 5 years2,666 2,915 57,513 43,709 
Total by maturity$10,218 $11,015 $645,996 $572,486 

(1)    The fair value amount receivable is composed of $3,705 million under protection purchased and $6,513 million under protection sold.
(2)    The fair value amount payable is composed of $7,354 million under protection purchased and $3,661 million under protection sold.

181

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 September 30, 2022 and December 31, 2021 was $23 billion and $19 billion, respectively. The Company posted $20 billion and $16 billion as collateral for this exposure in the normal course of business as of September 30, 2022 and December 31, 2021, 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 September 30, 2022, the Company could be required to post an additional $1.3 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 $0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.4 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), the asset amounts derecognized and the gross cash proceeds received as of the date of derecognition were $0.7 billion and $2.9 billion as of September 30, 2022 and December 31, 2021, respectively.
At September 30, 2022, the fair value of these previously derecognized assets was $0.7 billion. The fair value of the total return swaps as of September 30, 2022 was $22 million recorded as gross derivative assets and $30 million recorded as gross derivative liabilities. At December 31, 2021, the fair value of these previously derecognized assets was $2.9 billion, and the fair value of the total return swaps was $13 million recorded as gross derivative assets and $58 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.






182

20.  FAIR VALUE MEASUREMENT

For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2021 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 September 30, 2022 and December 31, 2021:

 Credit and funding
valuation adjustments
contra-liability (contra-asset)
In millions of dollarsSeptember 30,
2022		December 31,
2021
Counterparty CVA$(1,020)$(705)
Asset FVA(718)(433)
Citigroup (own credit) CVA775 379 
Liability FVA257 110 
Total CVA and FVA—derivative instruments$(706)$(649)
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 September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Counterparty CVA$(10)$25 $(211)$68 
Asset FVA(96)(23)(247)71 
Own credit CVA29 34 327 (44)
Liability FVA58 (63)148 (52)
Total CVA and FVA—derivative instruments$(19)$(27)$17 $43 
DVA related to own FVO liabilities(1)
$1,159 $(107)$4,800 $(256)
Total CVA, DVA and FVA$1,140 $(134)$4,817 $(213)

(1)    See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2021 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 the market.
•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 fair value hierarchy classification approach typically utilizes rules-based and data-driven selection criteria to determine whether an instrument is classified as Level 1, Level 2 or Level 3:

•The determination of whether an instrument is quoted in an active market and therefore considered a Level 1 instrument is based upon the frequency of observed transactions and the quality of independent market data available on the measurement date.
•A Level 2 classification is assigned where there is observability of prices/market inputs to models, or where any unobservable inputs are not significant to the valuation. The determination of whether an input is considered observable is based on the availability of independent market data and its corroboration, for example through observed transactions in the market.
•Otherwise, an instrument is classified as Level 3.
183

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 September 30, 2022 and December 31, 2021. 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. The effects of these hedges are presented gross in the following tables:

Fair Value Levels

In millions of dollars at September 30, 2022Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Securities borrowed and purchased under agreements to resell$— $326,645 $141 $326,786 $(97,767)$229,019 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed— 30,517 672 31,189 — 31,189 
Residential1 853 142 996 — 996 
Commercial— 817 116 933 — 933 
Total trading mortgage-backed securities$1 $32,187 $930 $33,118 $— $33,118 
U.S. Treasury and federal agency securities$77,742 $2,740 $— $80,482 $— $80,482 
State and municipal— 2,068 22 2,090 — 2,090 
Foreign government41,515 27,530 380 69,425 — 69,425 
Corporate1,530 14,164 460 16,154 — 16,154 
Equity securities33,153 7,740 187 41,080 — 41,080 
Asset-backed securities— 1,557 612 2,169 — 2,169 
Other trading assets(2)
1 15,378 679 16,058 — 16,058 
Total trading non-derivative assets$153,942 $103,364 $3,270 $260,576 $— $260,576 
Trading derivatives
Interest rate contracts$730 $186,092 $3,761 $190,583 
Foreign exchange contracts— 252,468 858 253,326 
Equity contracts57 58,446 2,353 60,856 
Commodity contracts— 47,989 1,406 49,395 
Credit derivatives— 8,802 1,423 10,225 
Total trading derivatives—before netting and collateral$787 $553,797 $9,801 $564,385 
Netting agreements$(431,992)
Netting of cash collateral received(34,709)
Total trading derivatives—after netting and collateral$787 $553,797 $9,801 $564,385 $(466,701)$97,684 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$— $11,305 $26 $11,331 $— $11,331 
Residential— 437 39 476 — 476 
Commercial— 4 — 4 — 4 
Total investment mortgage-backed securities$— $11,746 $65 $11,811 $— $11,811 
U.S. Treasury and federal agency securities$89,618 $45 $— $89,663 $— $89,663 
State and municipal— 1,578 575 2,153 — 2,153 
Foreign government51,713 66,398 860 118,971 — 118,971 
Corporate2,437 2,739 337 5,513 — 5,513 
Marketable equity securities233 188 10 431 — 431 
Asset-backed securities— 274 2 276 — 276 
Other debt securities— 3,756 — 3,756 — 3,756 
Non-marketable equity securities(3)
— 9 384 393 — 393 
Total investments$144,001 $86,733 $2,233 $232,967 $— $232,967 

Table continues on the next page.
184

In millions of dollars at September 30, 2022Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$—$3,244$635$3,879 $— $3,879 
Mortgage servicing rights——647647 — 647 
Non-trading derivatives and other financial assets measured on a recurring basis$3,318$6,579$50$9,947 $— $9,947 
Total assets$302,048$1,080,362$16,777$1,399,187 $(564,468)$834,719 
Total as a percentage of gross assets(4)
21.6%77.2%1.2%
Liabilities
Interest-bearing deposits$—$2,424$16$2,440 $— $2,440 
Securities loaned and sold under agreements to repurchase—155,912997156,909 (83,802)73,107 
Trading account liabilities
Securities sold, not yet purchased108,42515,350103123,878 — 123,878 
Other trading liabilities—224 — 4 
Total trading liabilities$108,425$15,352$105$123,882 $— $123,882 
Trading derivatives
Interest rate contracts$358$179,520$3,787$183,665 
Foreign exchange contracts—248,737581249,318 
Equity contracts8461,5302,29263,906 
Commodity contracts—41,3771,15342,530 
Credit derivatives—7,8061,5369,342 
Total trading derivatives—before netting and collateral$442$538,970$9,349$548,761 
Netting agreements$(431,992)
Netting of cash collateral paid(44,172)
Total trading derivatives—after netting and collateral$442$538,970$9,349$548,761 $(476,164)$72,597 
Short-term borrowings$—$6,534$35$6,569 $— $6,569 
Long-term debt—60,11531,71091,825 — 91,825 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$3,064$136$13$3,213 $— $3,213 
Total liabilities$111,931$779,443$42,225$933,599 $(559,966)$373,633 
Total as a percentage of gross liabilities(4)
12.0 %83.5 %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. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)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).
(4)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.


185

Fair Value Levels

In millions of dollars at December 31, 2021Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Securities borrowed and purchased under agreements to resell$— $342,030 $231 $342,261 $(125,795)$216,466 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed— 34,534 496 35,030 — 35,030 
Residential1 643 104 748 — 748 
Commercial— 778 81 859 — 859 
Total trading mortgage-backed securities$1 $35,955 $681 $36,637 $— $36,637 
U.S. Treasury and federal agency securities$44,900 $3,230 $4 $48,134 $— $48,134 
State and municipal— 1,995 37 2,032 — 2,032 
Foreign government39,176 31,485 23 70,684 — 70,684 
Corporate1,544 16,156 412 18,112 — 18,112 
Equity securities53,833 10,047 174 64,054 — 64,054 
Asset-backed securities— 981 613 1,594 — 1,594 
Other trading assets(2)
— 20,346 576 20,922 — 20,922 
Total trading non-derivative assets$139,454 $120,195 $2,520 $262,169 $— $262,169 
Trading derivatives
Interest rate contracts$90 $161,500 $3,898 $165,488 
Foreign exchange contracts— 134,912 637 135,549 
Equity contracts41 43,904 1,307 45,252 
Commodity contracts— 28,547 1,797 30,344 
Credit derivatives— 9,299 919 10,218 
Total trading derivatives—before netting and collateral$131 $378,162 $8,558 $386,851 
Netting agreements$(292,628)
Netting of cash collateral received(3)
(24,447)
Total trading derivatives—after netting and collateral$131 $378,162 $8,558 $386,851 $(317,075)$69,776 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$— $33,165 $51 $33,216 $— $33,216 
Residential— 286 94 380 — 380 
Commercial— 25 — 25 — 25 
Total investment mortgage-backed securities$— $33,476 $145 $33,621 $— $33,621 
U.S. Treasury and federal agency securities$122,271 $168 $1 $122,440 $— $122,440 
State and municipal— 1,849 772 2,621 — 2,621 
Foreign government56,842 61,112 786 118,740 — 118,740 
Corporate2,861 2,871 188 5,920 — 5,920 
Marketable equity securities350 177 16 543 — 543 
Asset-backed securities— 300 3 303 — 303 
Other debt securities— 4,877 — 4,877 — 4,877 
Non-marketable equity securities(4)
— 28 316 344 — 344 
Total investments$182,324 $104,858 $2,227 $289,409 $— $289,409 

Table continues on the next page.
186

In millions of dollars at December 31, 2021Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$—$5,371$711$6,082 $— $6,082 
Mortgage servicing rights——404404 — 404 
Non-trading derivatives and other financial assets measured on a recurring basis$4,075$8,194$73$12,342 $— $12,342 
Total assets$325,984$958,810$14,724$1,299,518 $(442,870)$856,648 
Total as a percentage of gross assets(5)
25.1%73.8%1.1%
Liabilities
Interest-bearing deposits$—$1,483$183$1,666 $— $1,666 
Securities loaned and sold under agreements to repurchase—174,318643174,961 (118,267)56,694 
Trading account liabilities
Securities sold, not yet purchased82,67523,26865106,008 — 106,008 
Other trading liabilities—5—5 — 5 
Total trading liabilities$82,675$23,273$65$106,013 $— $106,013 
Trading derivatives
Interest rate contracts$56$147,846$2,172$150,074 
Foreign exchange contracts—134,572726135,298 
Equity contracts6046,1773,44749,684 
Commodity contracts—30,0041,37531,379 
Credit derivatives—10,06595011,015 
Total trading derivatives—before netting and collateral$116$368,664$8,670$377,450 
Netting agreements$(292,628)
Netting of cash collateral paid(3)
(29,306)
Total trading derivatives—after netting and collateral$116$368,664$8,670$377,450 $(321,934)$55,516 
Short-term borrowings$—$7,253$105$7,358 $— $7,358 
Long-term debt—57,10025,50982,609 — 82,609 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$3,574$—$1$3,575 $— $3,575 
Total liabilities$86,365$632,091$35,176$753,632 $(440,201)$313,431 
Total as a percentage of gross liabilities(5)
11.5 %83.9 %4.7 %

(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. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)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.
(4)Amounts exclude $0.1 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.

187

Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the three and nine months ended September 30, 2022 and 2021. 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 dollarsJun. 30, 2022Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2022
Assets
Securities borrowed and purchased under agreements to resell$183 $(1)$— $— $— $128 $— $— $(169)$141 $3 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed708 (28)— 54 (153)310 — (219)— 672 (33)
Residential153 (2)— 25 (22)33 — (45)— 142 (2)
Commercial138 (4)— 20 (17)5 — (26)— 116 1 
Total trading mortgage-backed securities$999 $(34)$— $99 $(192)$348 $— $(290)$— $930 $(34)
U.S. Treasury and federal agency securities$1 $— $— $— $— $— $— $— $(1)$— $— 
State and municipal80 4 — 4 (6)14 — (74)— 22 — 
Foreign government364 (14)— 5 (4)70 — (41)— 380 (9)
Corporate537 21 — 193 (72)91 — (310)— 460 (15)
Marketable equity securities133 48 — 71 (12)34 — (87)— 187 (26)
Asset-backed securities554 (7)— 68 (25)196 — (174)— 612 (18)
Other trading assets816 32 — 74 (280)191 11 (161)(4)679 (19)
Total trading non-derivative assets$3,484 $50 $— $514 $(591)$944 $11 $(1,137)$(5)$3,270 $(121)
Trading derivatives, net(4)
Interest rate contracts$881 $(278)$— $(503)$(12)$(195)$1 $83 $(3)$(26)$(142)
Foreign exchange contracts156 (171)— 32 (3)(146)— 212 197 277 121 
Equity contracts(101)162 — 60 222 (347)— 28 37 61 (150)
Commodity contracts255 110 — 140 (134)(60)— (2)(56)253 151 
Credit derivatives(349)(110)— 53 124 (36)— 1 204 (113)(164)
Total trading derivatives, net(4)
$842 $(287)$— $(218)$197 $(784)$1 $322 $379 $452 $(184)

Table continues on the next page.
188

  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains (losses)
still held(3)
In millions of dollarsJun. 30, 2022Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2022
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$28 $— $(2)$— $— $— $— $— $— $26 $(2)
Residential40 — (4)— — 3 — — — 39 (5)
Commercial— — — — — — — — — — — 
Total investment mortgage-backed securities$68 $— $(6)$— $— $3 $— $— $— $65 $(7)
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal539 — (20)81 — — — (25)— 575 (14)
Foreign government1,001 — (53)6 (56)224 — (262)— 860 (44)
Corporate334 — 4 1 (3)1 — — — 337 — 
Marketable equity securities10 — — — — — — — — 10 — 
Asset-backed securities1 — 8 — — — — (7)— 2 — 
Other debt securities— — — — — — — — — — — 
Non-marketable equity securities310 — (3)— (10)87 — — — 384 — 
Total investments$2,263 $— $(70)$88 $(69)$315 $— $(294)$— $2,233 $(65)
Loans$325 $— $5 $83 $(3)$— $333 $— $(108)$635 $(6)
Mortgage servicing rights600 — 37 — 25 (15)647 38 
Other financial assets measured on a recurring basis63 — (19)22 — 7 (1)(16)(6)50 (12)
Liabilities
Interest-bearing deposits$18 $— $3 $— $— $— $2 $— $(1)$16 $— 
Securities loaned and sold under agreements to repurchase593 36 — — — 437 33 — (30)997 — 
Trading account liabilities
Securities sold, not yet purchased72 (10)— 13 (2)46 — — (36)103 (13)
Other trading liabilities— (2)— — — — — — — 2 — 
Short-term borrowings81 12 — 1 (40)— 6 — (1)35 (17)
Long-term debt29,778 3,734 — 2,831 (811)— 3,838 — (192)31,710 3,336 
Other financial liabilities measured on a recurring basis— — (8)5 — — — — 13 — 

(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 September 30, 2022.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.

189

  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers    
Unrealized
gains (losses)
still held(3)
In millions of dollarsDec. 31, 2021Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2022
Assets
Securities borrowed and purchased under agreements to resell$231 $(2)$— $— $— $252 $— $— $(340)$141 $14 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed496 (41)— 181 (311)794 — (447)— 672 (53)
Residential104 (2)— 86 (54)118 — (110)— 142 (1)
Commercial81 (9)— 117 (51)14 — (36)— 116 7 
Total trading mortgage-backed securities$681 $(52)$— $384 $(416)$926 $— $(593)$— $930 $(47)
U.S. Treasury and federal agency securities$4 $(4)$— $2 $(1)$— $— $— $(1)$— $— 
State and municipal37 9 — 75 (26)15 — (88)— 22 (1)
Foreign government23 (40)— 304 (5)157 — (59)— 380 (19)
Corporate412 89 — 455 (350)919 — (1,065)— 460 (109)
Marketable equity securities174 34 — 134 (99)142 — (198)— 187 (47)
Asset-backed securities613 (26)— 208 (192)589 — (580)— 612 (151)
Other trading assets576 158 — 407 (372)557 27 (662)(12)679 (95)
Total trading non-derivative assets$2,520 $168 $— $1,969 $(1,461)$3,305 $27 $(3,245)$(13)$3,270 $(469)
Trading derivatives, net(4)
Interest rate contracts$1,726 $322 $— $(430)$(815)$(186)$7 $77 $(727)$(26)$(332)
Foreign exchange contracts(89)993 — (443)(9)29 20 (399)175 277 240 
Equity contracts(2,140)2,159 — (13)429 58 — (288)(144)61 1,021 
Commodity contracts422 732 — 95 (543)60 — (144)(369)253 412 
Credit derivatives(31)(167)— (12)(27)(36)— — 160 (113)(260)
Total trading derivatives, net(4)
$(112)$4,039 $— $(803)$(965)$(75)$27 $(754)$(905)$452 $1,081 

Table continues on the next page.
190

  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains (losses)
still held(3)
In millions of dollarsDec. 31, 2021Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2022
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$51 $— $(11)$1 $(10)$4 $— $(9)$— $26 $(5)
Residential94 — (10)— (39)3 — (9)— 39 (6)
Commercial— — — — — — — — — — — 
Total investment mortgage-backed securities$145 $— $(21)$1 $(49)$7 $— $(18)$— $65 $(11)
U.S. Treasury and federal agency securities$1 $— $(1)$— $— $— $— $— $— $— $— 
State and municipal772 — (98)81 (142)1 — (39)— 575 (73)
Foreign government786 — (92)256 (169)609 — (530)— 860 (36)
Corporate188 — (3)154 (3)1 — — — 337 (2)
Marketable equity securities16 — (6)— — — — — — 10 — 
Asset-backed securities3 — 19 — — — — (20)— 2 — 
Other debt securities— — — — — — — — — — — 
Non-marketable equity securities316 — (15)11 (10)107 — (25)— 384 — 
Total investments$2,227 $— $(217)$503 $(373)$725 $— $(632)$— $2,233 $(122)
Loans$711 $— $(185)$84 $(198)$— $334 $— $(111)$635 $(52)
Mortgage servicing rights404 — 195 — — — 94 — (46)647 194 
Other financial assets measured on a recurring basis73 — (13)29 (16)21 39 (17)(66)50 8 
Liabilities
Interest-bearing deposits$183 $— $6 $7 $(122)$— $20 $— $(66)$16 $— 
Securities loaned and sold under agreements to repurchase643 86 — — (3)453 33 — (43)997 — 
Trading account liabilities
Securities sold, not yet purchased65 11 — 48 (21)129 — 1 (108)103 (6)
Other trading liabilities— (2)— — — — — — — 2 — 
Short-term borrowings105 101 — 41 (61)— 82 — (31)35 (22)
Long-term debt25,509 11,979 — 9,574 (4,318)— 13,537 — (613)31,710 9,530 
Other financial liabilities measured on a recurring basis1 — (7)5 — — — — — 13 — 

(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 September 30, 2022.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.

191

  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers    
Unrealized
gains (losses)
still held(3)
In millions of dollarsJun. 30, 2021Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2021
Assets
Securities borrowed and purchased under agreements to resell$211 $1 $— $45 $— $43 $— $— $(43)$257 $3 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed376 20 — 60 (52)154 — (126)— 432 17 
Residential95 2 — 5 (9)19 — (51)— 61 3 
Commercial87 1 — 17 (12)36 — (9)— 120 1 
Total trading mortgage-backed securities$558 $23 $— $82 $(73)$209 $— $(186)$— $613 $21 
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal70 3 — — — — — (2)— 71 4 
Foreign government141 26 — 7 (98)6 — (49)— 33 4 
Corporate823 3 — 123 (110)246 — (544)— 541 16 
Marketable equity securities147 12 — 55 (9)58 — (58)— 205 14 
Asset-backed securities692 101 — 128 (19)186 — (424)— 664 (28)
Other trading assets555 138 — 25 (67)379 — (115)— 915 36 
Total trading non-derivative assets$2,986 $306 $— $420 $(376)$1,084 $— $(1,378)$— $3,042 $67 
Trading derivatives, net(4)
Interest rate contracts$1,764 $(160)$— $(79)$56 $10 $— $— $(100)$1,491 $(189)
Foreign exchange contracts(184)131 — (71)(22)11 — (3)(70)(208)121 
Equity contracts(2,550)538 — (370)668 134 — (98)(295)(1,973)452 
Commodity contracts142 200 — (3)106 44 — (50)(21)418 218 
Credit derivatives(41)(84)— 24 116 — — — 35 50 (87)
Total trading derivatives, net(4)
$(869)$625 $— $(499)$924 $199 $— $(151)$(451)$(222)$515 

Table continues on the next page.
192

  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains (losses)
still held(3)
In millions of dollarsJun. 30, 2021Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2021
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$52 $— $— $20 $(10)$— $— $(10)$— $52 $— 
Residential— — — — — 12 — — — 12 — 
Commercial— — — — — — — — — — — 
Total investment mortgage-backed securities$52 $— $— $20 $(10)$12 $— $(10)$— $64 $— 
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal748 — (6)— — 2 — (9)— 735 (6)
Foreign government957 — (25)63 (232)99 — (50)— 812 (6)
Corporate104 — (2)151 (41)7 — (27)— 192 — 
Marketable equity securities— — — — — — — — — — — 
Asset-backed securities3 — — — — — — — — 3 — 
Other debt securities— — — — — — — — — — — 
Non-marketable equity securities382 — (36)1 — — — — — 347 (53)
Total investments$2,246 $— $(69)$235 $(283)$120 $— $(96)$— $2,153 $(65)
Loans$429 $— $(16)$— $(20)$— $336 $— $(7)$722 $14 
Mortgage servicing rights419 — (3)— — — 8 — (15)409 (3)
Other financial assets measured on a recurring basis55 — 3 10 (4)33 — (11)— 86 — 
Liabilities
Interest-bearing deposits$154 $— $(25)$— $— $— $14 $— $(11)$182 $5 
Securities loaned and sold under agreements to repurchase488 (29)— 183 — — — — (44)656 6 
Trading account liabilities
Securities sold, not yet purchased168 (22)— 7 (4)21 — — (126)88 4 
Other trading liabilities1 1 — — — — — — — — 4 
Short-term borrowings41 (1)— 2 (12)— 2 — (31)3 2 
Long-term debt25,068 486 — 2,052 (1,086)— 1,526 — (1,032)26,042 434 
Other financial liabilities measured on a recurring basis4 — — — — — — — (3)1 — 

(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 other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities 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 September 30, 2021.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.


193

  
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		PurchasesIssuancesSalesSettlementsSept. 30, 2021
Assets
Securities borrowed and purchased under agreements to resell$320 $(10)$— $45 $(49)$319 $— $— $(368)$257 $25 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed27 21 — 312 (60)268 — (136)— 432 31 
Residential340 24 — 74 (77)220 — (520)— 61 17 
Commercial136 22 — 93 (53)60 — (138)— 120 2 
Total trading mortgage-backed securities$503 $67 $— $479 $(190)$548 $— $(794)$— $613 $50 
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal94 3 — — (29)5 — (2)— 71 4 
Foreign government51 31 — 143 (126)77 — (143)— 33 4 
Corporate375 78 — 441 (278)721 — (796)— 541 (6)
Marketable equity securities73 59 — 139 (51)93 — (108)— 205 26 
Asset-backed securities1,606 349 — 163 (217)1,120 — (2,357)— 664 (58)
Other trading assets945 156 — 86 (196)727 4 (803)(4)915 29 
Total trading non-derivative assets$3,647 $743 $— $1,451 $(1,087)$3,291 $4 $(5,003)$(4)$3,042 $49 
Trading derivatives, net(4)
Interest rate contracts$1,614 $(458)$— $94 $377 $12 $(84)$— $(64)$1,491 $(216)
Foreign exchange contracts52 52 — (63)(18)145 — (300)(76)(208)53 
Equity contracts(3,213)1,150 — (968)1,566 243 — (215)(536)(1,973)237 
Commodity contracts292 750 — 7 (511)138 — (205)(53)418 272 
Credit derivatives48 (205)— 39 45 — — — 123 50 (239)
Total trading derivatives, net(4)
$(1,207)$1,289 $— $(891)$1,459 $538 $(84)$(720)$(606)$(222)$107 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$30 $— $2 $42 $(10)$3 $— $(15)$— $52 $(53)
Residential— — — — — 12 — — — 12 — 
Commercial— — — — — — — — — — 
Total investment mortgage-backed securities$30 $— $2 $42 $(10)$15 $— $(15)$— $64 $(53)
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal834 — (16)58 (108)5 — (38)— 735 (12)
Foreign government268 — (24)503 (521)744 — (158)— 812 (4)
Corporate60 — (13)183 (41)37 — (34)— 192 2 
Marketable equity securities— — — — — — — — — — — 
Asset-backed securities1 — (21)36 — — — (13)— 3 (25)
Other debt securities— — — — — — — — — — — 
Non-marketable equity securities349 — 4 2 — — — (8)— 347 (53)
Total investments$1,542 $— $(68)$824 $(680)$801 $— $(266)$— $2,153 $(145)

Table continues on the next page.
194

  
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		PurchasesIssuancesSalesSettlementsSept. 30, 2021
Loans$1,985 $— $332 $271 $(2,071)$— $337 $— $(132)$722 $111 
Mortgage servicing rights336 — 49 — — — 76 — (52)409 50 
Other financial assets measured on a recurring basis— — 3 65 (4)33 — (11)— 86 — 
Liabilities
Interest-bearing deposits$206 $— $(7)$— $(44)$— $34 $— $(21)$182 $(146)
Securities loaned and sold under agreements to repurchase631 (22)— 183 (483)488 — — (185)656 25 
Trading account liabilities
Securities sold, not yet purchased214 39 — 69 (29)41 — — (168)88 4 
Other trading liabilities26 26 — — — — — — — — — 
Short-term borrowings219 31 — 44 (56)— 27 — (200)3 2 
Long-term debt25,210 2,259 — 6,921 (7,054)— 9,071 — (5,847)26,042 1,305 
Other financial liabilities measured on a recurring basis1 — (3)— (4)— 14 — (13)1 — 

(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 other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities 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 September 30, 2021.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.


Level 3 Fair Value Transfers
The following were the significant Level 3 transfers for the period December 31, 2021 to September 30, 2022:

•During the three and nine months ended September 30, 2022, transfers of Long-term debt were $2.8 billion and $9.6 billion, respectively, from Level 2 to Level 3. Of the $9.6 billion transfer in the nine months ended September 30, 2022, approximately $6.8 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $2.8 billion related to equity and credit derivative inputs (in addition to other volatility inputs, e.g., interest rate volatility inputs) becoming unobservable and/or significant to their overall valuation. In other instances, market changes have resulted in some inputs becoming more observable, and some unobservable inputs becoming less significant to the overall valuation of the instruments (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $0.8 billion and $4.3 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and nine months ended September 30, 2022, respectively.




































195

The following were the significant Level 3 transfers for the period December 31, 2020 to September 30, 2021:

•During the nine months ended September 30, 2021, transfers of Loans of $2.0 billion from Level 3 to Level 2 were primarily driven by equity forward and volatility inputs that have been assessed as not significant to the overall valuation of certain hybrid loan instruments, including equity options and long dated equity call spreads.
•During the three and nine months ended September 30, 2021, transfers of Long-term debt were $2.1 billion and $6.9 billion, respectively, from Level 2 to Level 3. Of the $6.9 billion transfer in the nine months ended September 30, 2021, approximately $5.9 billion related to interest option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $0.9 billion related to equity volatility inputs (in addition to the other volatility inputs, e.g, interest rate volatility inputs) becoming unobservable and/or significant relative to their overall valuation. In other instances, market changes have resulted in some inputs becoming less significant to the overall valuation of the instruments (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $1.1 billion and $7.1 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and nine months ended September 30, 2021, respectively.
•During the nine months ended September 30, 2021, transfers of Equity contracts of $1.0 billion from Level 2 to Level 3 were due to equity forward and volatility inputs becoming an unobservable and/or significant input relative to the overall valuation of equity options and equity swaps. In other instances, market changes have resulted in observable equity forward and volatility inputs 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 resulted in $1.6 billion of certain Equity contracts being transferred from Level 3 to Level 2 during the nine months ended September 30, 2021.


196

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 September 30, 2022
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets   
Securities borrowed and purchased under agreements to resell$141 Model-basedInterest rate2.40 %2.40 %2.40 %
Credit spread15 bps15 bps15 bps
Mortgage-backed securities$645 Yield analysisYield4.43 %18.27 %8.42 %
344 Price-basedPrice$0.76 $109.46 $67.19 
State and municipal, foreign government, corporate and other debt securities$2,433 
Price-based
Price
$0.01$927.52$186.59
891 
Model-based
Equity forward77.40 %254.90 %103.70 %
Equity volatility— %301.70 %34.50 %
Marketable equity securities(5)
$156 Price-basedPrice$—$7,876.60$74.30
26 Model-basedWAL2.48 years2.48 years2.48 years
Recovery
(in millions)
$7,148 $7,148 $7,148 
Asset-backed securities$451 Price-basedPrice$21.13$145.00$88.14
Non-marketable equities$200 Price-basedIlliquidity discount10.00 %29.40 %24.47 %
145 Comparables analysisPE ratio13.20x15.70x15.08x
40 Model-basedCost of capital 8.10 %17.50 %10.40 %
Revenue multiple4.20x10.50x9.75x
Derivatives—gross(6)
Interest rate contracts (gross)$7,129 Model-basedIR normal volatility0.33 %1.78 %1.04 %
Foreign exchange contracts (gross)$1,331 Model-basedIR basis (5.23)%16.38 %0.34 %
IR normal volatility0.33 %1.78 %0.32 %
Credit spread143 bps879 bps766 bps
Equity contracts (gross)(7)
$4,436 Model-basedEquity volatility— %301.69 %41.90 %
Equity forward77.43 %254.93 %103.67 %
Equity-Equity correlation(6.49)%100.00 %87.19 %
Equity-FX correlation(95.00)%80.00 %(9.77)%
WAL2.48 years2.48 years2.48 years
Recovery
(in millions)
$7,148 $7,148 $7,148 
Commodity and other contracts (gross)$2,559 Model-basedCommodity correlation(50.34)%93.35 %26.54 %
Commodity volatility15.49 %133.07 %25.90 %
Forward price17.53 %524.16 %123.15 %
Credit derivatives (gross)$2,076 Model-basedCredit spread13 bps961 bps154 bps
394 Price-basedRecovery rate2.00 %75.00 %37.55 %
Credit correlation10.00 %90.00 %43.22 %
Price$—$95.02$7.13
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)$25 Price-basedPrice$0.73$845.00$214.89
Loans and leases$337 Price-basedPrice$—$109.75$81.61
197

As of September 30, 2022
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
$297 Model-basedEquity volatility58.44 %103.57 %72.59 %
Forward price17.53 %524.16 %148.69 %
Commodity volatility15.49 %133.07 %25.90 %
Commodity correlation(50.34)%93.35 %26.54 %
Mortgage servicing rights$571 Cash flowYield0.80 %13.20 %5.97 %
76 Model-basedWAL4.07 years10.23 years8.19 years
Liabilities
Interest-bearing deposits$16 Model-basedIR normal volatility0.23 %0.64 %0.42 %
Forward price100.00 %100.00 %100.00 %
Securities loaned and sold under agreements to repurchase$997 
Model-based
Interest rate
3.43 %4.43 %4.08 %
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities$86 Price-basedPrice$—$12,100$1,085
Short-term borrowings and long-term debt$31,745 
Model-based
IR normal volatility0.33 %20.00 %1.57 %
Equity volatility— %301.69 %34.49 %

As of December 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$231 Model-basedCredit spread15 bps15 bps15 bps
Interest rate0.26 %0.72 %0.50 %
Mortgage-backed securities$279 Price-basedPrice$4 $118 $79 
526 Yield analysisYield1.43 %23.79 %7.25 %
State and municipal, foreign government, corporate and other debt securities$2,264 Price-basedPrice$— $995 $193 
415 Model-basedEquity volatility0.08 %290.64 %53.94 %
Marketable equity securities(5)
$128 Price-basedPrice$— $73,000 $6,477 
43 Model-basedWAL1.73 years1.73 years1.73 years
Recovery
(in millions)
$7,148 $7,148 $7,148 
Asset-backed securities$386 Price-basedPrice$5 $754 $87 
208 Yield analysisYield2.43 %19.35 %8.18 %
Non-marketable equities$121 Price-basedIlliquidity discount 10.00 %36.00 %26.43 %
112 Comparables analysisPE ratio11.00x29.00x15.42x
83 Model-basedPrice$3 $2,601 $2,029 
Adjustment factor0.33x0.44x0.34x
Revenue multiple19.80x30.00x20.48x
Cost of capital 17.50 %20.00 %17.57 %
Derivatives—gross(6)
Interest rate contracts (gross)$6,054 Model-basedIR normal volatility0.24 %0.94 %0.70 %
Foreign exchange contracts (gross)$1,364 Model-basedIR normal volatility0.24 %0.74 %0.58 %
FX volatility2.13 %107.42 %11.21 %
Credit spread140 bps696 bps639 bps
Equity contracts (gross)(7)
$4,690 Model-basedEquity volatility0.08 %290.64 %47.67 %
Equity forward57.99 %165.83 %89.45 %
Equity-FX correlation(95.00)%80.00 %(16.00)%
198

Equity-Equity correlation(6.49)%99.00 %85.61 %
Commodity and other contracts (gross)$3,172 Model-basedForward price8.00 %599.44 %123.22 %
Commodity volatility10.87 %188.30 %26.85 %
Commodity correlation(50.52)%89.83 %(7.11)%
Credit derivatives (gross)$1,480 Model-basedCredit spread1.00 bps874.72 bps68.83 bps
427 Price-basedRecovery rate20.00 %75.00 %44.72 %
Upfront points2.74 %99.96 %59.37 %
Price$40 $103 $80 
Credit correlation30.00 %80.00 %54.57 %
Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross)$69 Price-basedPrice$94 $2,598 $591 
Loans and leases$691 Model-basedEquity volatility22.48 %85.44 %50.56 %
Forward price26.95 %333.08 %106.97 %
Commodity volatility10.87 %188.30 %26.85 %
Commodity correlation(50.52)%89.83 %(7.11)%
Mortgage servicing rights$331 Cash flowYield(1.20)%12.10 %4.51 %
73 Model-basedWAL2.75 years5.86 years5.14 years
Liabilities
Interest-bearing deposits$183 Model-basedIR normal volatility0.34 %0.88 %0.68 %
Equity volatility0.08 %290.64 %54.05 %
Equity forward57.99 %165.83 %89.39 %
Securities loaned and sold under agreements to repurchase$643 Model-basedInterest rate0.12 %1.95 %1.47 %
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities$63 Price-basedPrice$— $12,875 $1,707 
Short-term borrowings and long-term debt$25,514 Model-basedIR normal volatility0.07 %0.88 %0.60 %
Equity volatility0.08 %290.64 %53.21 %
Equity-IR correlation(3.53)%60.00 %32.12 %
Equity-FX correlation(95.00)%80.00 %(15.98)%
FX volatility0.06 %41.76 %9.38 %

(1)The tables above include the fair values for the items listed and may not foot to the total population for each category.
(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.


199

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 an identical or similar investment in 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
September 30, 2022   
Loans HFS(1)
$3,175 $1,151 $2,024 
Other real estate owned3 — 3 
Loans(2)
126 — 126 
Non-marketable equity securities measured using the measurement alternative70 — 70 
Total assets at fair value on a nonrecurring basis$3,374 $1,151 $2,223 

In millions of dollarsFair valueLevel 2Level 3
December 31, 2021   
Loans HFS(1)
$2,298 $986 $1,312 
Other real estate owned11 — 11 
Loans(2)
144 — 144 
Non-marketable equity securities measured using the measurement alternative655 104 551 
Total assets at fair value on a nonrecurring basis$3,108 $1,090 $2,018 

(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.


200

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 September 30, 2022
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$2,024 Price-basedPrice$80.40 $100.00 $91.24 
Other real estate owned$1 Price-based
Appraised value(4)
$10,200 $990,910 $730,901 
1 Recovery analysis
Loans(5)
$126 Recovery analysis
Appraised value(4)
$12,000 $17,525,636 $2,578,191 
Non-marketable equity securities measured using the measurement alternative$40 Price-basedPrice$3.35 $196.50 $96.21 
29 Comparable analysisRevenue multiple9.26x73.10x31.10x
Discount to price percentage 28.00 %28.00 %28.00 %

As of December 31, 2021
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFS$1,312 Price-basedPrice$89 $100 $99 
Other real estate owned$4 Price-based
Appraised value(4)
$14,000 $2,392,464 $1,660,120 
5 Recovery analysis
Loans(5)
$120 Recovery analysis
Appraised value(4)
$10,000 $3,900,000 $247,018 
24 Price-basedPrice3 75 35 
Recovery rate84.00 %100.00 %84.00 %
Non-marketable equity securities measured using the measurement alternative$551 Price-basedPrice$6 $1,339 $52 

(1)The table above includes the fair values for the items listed and may not foot to the total population for each category.
(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 table presents 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 September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Loans HFS$(250)$(13)$(413)$(22)
Other real estate owned— — — — 
Loans(1)
10 (10)17 33 
Non-marketable equity securities measured using the measurement alternative(14)72 114 363 
Total nonrecurring fair value gains (losses)$(254)$49 $(282)$374 

(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.


201

Estimated Fair Value of Financial Instruments Not Carried at Fair Value
The following tables present the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The tables below therefore exclude items measured at fair value on a recurring basis presented in the tables above.

 September 30, 2022Estimated fair value
 Carrying
value		Estimated
fair value
In billions of dollarsLevel 1Level 2Level 3
Assets 
Investments, net of allowance$273.3 $245.4 $122.2 $120.1 $3.1 
Securities borrowed and purchased under agreements to resell120.2 120.3 — 120.3 — 
Loans(1)(2)
625.5 627.2 — — 627.2 
Other financial assets(2)(3)
410.9 410.9 281.0 18.6 111.3 
Liabilities
Deposits$1,304.0 $1,299.4 $— $1,139.5 $159.9 
Securities loaned and sold under agreements to repurchase130.3 130.3 — 130.3 — 
Long-term debt(4)
161.2 154.0 — 117.2 36.8 
Other financial liabilities(5)
157.3 157.3 — 26.4 130.9 
 December 31, 2021Estimated fair value
 Carrying
value		Estimated
fair value
In billions of dollarsLevel 1Level 2Level 3
Assets     
Investments, net of allowance$221.9 $221.0 $111.8 $106.4 $2.8 
Securities borrowed and purchased under agreements to resell110.8 110.8 — 106.4 4.4 
Loans(1)(2)
644.8 659.6 — — 659.6 
Other financial assets(2)(3)
351.9 351.9 242.1 19.9 89.9 
Liabilities     
Deposits$1,315.6 $1,316.2 $— $1,153.9 $162.3 
Securities loaned and sold under agreements to repurchase134.6 134.6 — 134.5 0.1 
Long-term debt(4)
171.8 184.6 — 171.9 12.7 
Other financial liabilities(5)
111.1 111.1 — 17.0 94.1 
(1)The carrying value of loans is net of the Allowance for credit losses on loans of $16.3 billion for September 30, 2022 and $16.5 billion for December 31, 2021. In addition, the carrying values exclude $0.4 billion and $0.5 billion of lease finance receivables at September 30, 2022 and December 31, 2021, 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 September 30, 2022 and December 31, 2021 were off-balance sheet liabilities of $11.3 billion and $8.1 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.

202

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.
The Company has elected fair value accounting for its mortgage servicing rights (MSRs). See Note 18 for additional details on Citi’s 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 September 30,
Nine Months Ended September 30,
In millions of dollars2022202120222021
Assets  
Securities borrowed and purchased under agreements to resell$(82)$(28)$(165)$(64)
Trading account assets(69)(2)(307)151 
Loans
Certain corporate loans(372)(292)(2,227)376 
Consumer loans— — (1)— 
Total loans$(372)$(292)$(2,228)$376 
Other assets 
MSRs$37 $(3)$195 $49 
Certain mortgage loans HFS(1)
(110)25 (440)69 
Total other assets$(73)$22 $(245)$118 
Total assets$(596)$(300)$(2,945)$581 
Liabilities 
Interest-bearing deposits$133 $54 $10 $(39)
Securities loaned and sold under agreements to repurchase63 19 159 37 
Trading account liabilities208 5 (241)15 
Short-term borrowings(2)
61 140 1,257 332 
Long-term debt(2)
4,922 975 20,635 542 
Total liabilities$5,387 $1,193 $21,820 $887 

(1)Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected the fair value option.
(2)Includes DVA that is included in AOCI. See Notes 17 and 20.
203

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 gain of $1,159 million and a loss of $107 million for the three months ended September 30, 2022 and 2021, respectively, and a gain of $4,800 million and a loss of $256 million for the nine months ended September 30, 2022 and 2021, 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:

 September 30, 2022December 31, 2021
In millions of dollarsTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$6,436 $3,879 $9,530 $6,082 
Aggregate unpaid principal balance in excess of (less than) fair value434 (97)(100)226 
Balance of non-accrual loans or loans more than 90 days past due— 148 — 1 
Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due— — — — 
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In addition to the amounts reported above, $777 million and $719 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of September 30, 2022 and December 31, 2021, 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 September 30, 2022 and 2021 due to instrument-specific credit risk totaled to losses of $(69) million and $(10) million, respectively. Changes in fair value due to instrument-specific credit risk are estimated based on changes in borrower-specific credit spreads and recovery assumptions.

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 $0.2 billion and $0.3 billion at September 30, 2022 and December 31, 2021, 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 September 30, 2022, there were approximately $16.4 billion and $12.4 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 dollarsSeptember 30,
2022		December 31, 2021
Carrying amount reported on the Consolidated Balance Sheet$1,481 $3,035 
Aggregate fair value in excess of (less than) unpaid principal balance(53)70 
Balance of non-accrual loans or loans more than 90 days past due4 — 
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due— — 
205

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 nine months ended September 30, 2022 and 2021 due to instrument-specific credit risk. Changes in fair value due to instrument-specific credit risk are estimated based on changes in the borrower default, prepayment and recovery forecasts in addition to instrument-specific credit spread. 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 Debt Liabilities
The Company has elected the fair value option for certain debt liabilities. 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 classified as 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 notes carried at fair value, disaggregated by type of risk:

In billions of dollarsSeptember 30, 2022December 31, 2021
Interest rate linked$45.2 $38.9 
Foreign exchange linked0.1 — 
Equity linked37.0 36.1 
Commodity linked5.1 3.9 
Credit linked4.4 3.7 
Total$91.8 $82.6 

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 liabilities include accrued interest, which is also included in the change in fair value reported in Principal transactions.



The following table provides information about long-term debt carried at fair value:

In millions of dollarsSeptember 30, 2022December 31, 2021
Carrying amount reported on the Consolidated Balance Sheet$91,825 $82,609 
Aggregate unpaid principal balance in excess of (less than) fair value(2,745)(2,459)


The following table provides information about short-term borrowings carried at fair value:

In millions of dollarsSeptember 30, 2022December 31, 2021
Carrying amount reported on the Consolidated Balance Sheet$6,570 $7,358 
Aggregate unpaid principal balance in excess of (less than) fair value1 (644)
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22.  GUARANTEES 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 range 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 these tables, see Note 26 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
The following tables present information about Citi’s guarantees at September 30, 2022 and December 31, 2021:


Maximum potential amount of future payments 
In billions of dollars at September 30, 2022Expire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$34.2 $56.0 $90.2 $864 
Performance guarantees6.2 5.3 11.5 66 
Derivative instruments considered to be guarantees21.6 40.7 62.3 475 
Loans sold with recourse— 1.7 1.7 15 
Securities lending indemnifications(1)
108.8 — 108.8 — 
Credit card merchant processing(2)
129.8 — 129.8 1 
Credit card arrangements with partners— 0.6 0.6 7 
Other0.4 10.5 10.9 33 
Total$301.0 $114.8 $415.8 $1,461 
 Maximum potential amount of future payments 
In billions of dollars at December 31, 2021Expire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$34.3 $58.4 $92.7 $791 
Performance guarantees6.6 6.4 13.0 47 
Derivative instruments considered to be guarantees14.6 48.9 63.5 514 
Loans sold with recourse— 1.7 1.7 15 
Securities lending indemnifications(1)
121.9 — 121.9 — 
Credit card merchant processing(2)
119.4 — 119.4 1 
Credit card arrangements with partners— 0.8 0.8 7 
Other2.0 12.0 14.0 34 
Total$298.8 $128.2 $427.0 $1,409 

(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 September 30, 2022 and December 31, 2021, this maximum potential exposure was estimated to be approximately $130 billion and $119 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.


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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 $15 million and $19 million at September 30, 2022 and December 31, 2021, 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 September 30, 2022 and December 31, 2021, 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 September 30, 2022 or December 31, 2021 for potential obligations that could arise from Citi’s involvement with VTN associations.

Long-Term Care (LTC) Insurance Indemnification
Citi has an indemnification contingency to Brighthouse Financial in connection with Citi’s sale of an insurance subsidiary. A liability under this indemnification agreement is currently remote because Brighthouse Financial would become responsible for LTC policyholder claims only when both the reinsurance provided by other parties ceases and trust assets set aside to meet these claims are not adequate. However, should events occur causing both the reinsurance protection and trust collateral to become insufficient to cover Brighthouse Financial’s LTC policyholder claims, Citi will be required to either estimate and disclose a reasonably possible loss or range of loss to the extent that such an estimate can be made, or to accrue for such liability if the event becomes probable and estimable. Citi continues to closely monitor its potential exposure under this indemnification obligation. For additional information, see Note 26 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.

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) derivatives 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 derivatives 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
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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 $17.4 billion and $18.7 billion as of September 30, 2022 and December 31, 2021, 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 September 30, 2022 and December 31, 2021, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to approximately $1.5 billion and $1.4 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 $58.3 billion and $56.5 billion at September 30, 2022 and December 31, 2021, respectively. Securities and other marketable assets held as collateral amounted to $71.0 billion and $84.2 billion at September 30, 2022 and December 31, 2021, 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 $3.6 billion and $4.1 billion at September 30, 2022 and December 31, 2021, 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 September 30, 2022Investment
grade		Non-investment
grade		Not
rated		Total
Financial standby letters of credit$80.4 $9.8 $— $90.2 
Performance guarantees9.4 2.1 — 11.5 
Derivative instruments deemed to be guarantees— — 62.3 62.3 
Loans sold with recourse— — 1.7 1.7 
Securities lending indemnifications— — 108.8 108.8 
Credit card merchant processing— — 129.8 129.8 
Credit card arrangements with partners— — 0.6 0.6 
Other0.2 10.7 — 10.9 
Total$90.0 $22.6 $303.2 $415.8 
 Maximum potential amount of future payments
In billions of dollars at December 31, 2021Investment
grade		Non-investment
grade		Not
rated		Total
Financial standby letters of credit$81.4 $11.3 $— $92.7 
Performance guarantees10.5 2.5 — 13.0 
Derivative instruments deemed to be guarantees— — 63.5 63.5 
Loans sold with recourse— — 1.7 1.7 
Securities lending indemnifications— — 121.9 121.9 
Credit card merchant processing— — 119.4 119.4 
Credit card arrangements with partners— — 0.8 0.8 
Other— 12.0 2.0 14.0 
Total$91.9 $25.8 $309.3 $427.0 



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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.(1)
September 30,
2022		December 31,
2021
Commercial and similar letters of credit $1,028 $4,827 $5,855 $5,910 
One- to four-family residential mortgages1,159 1,636 2,795 4,351 
Revolving open-end loans secured by one- to four-family residential properties6,156 653 6,809 7,913 
Commercial real estate, construction and land development13,785 2,150 15,935 17,843 
Credit card lines608,930 85,756 694,686 700,559 
Commercial and other consumer loan commitments182,268 104,229 286,497 320,556 
Other commitments and contingencies5,214 148 5,362 5,649 
Total$818,540 $199,399 $1,017,939 $1,062,781 

(1)Consumer commitments related to the business HFS countries under sales agreements are reflected in their original categories until the respective sales are completed.

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 September 30, 2022 and December 31, 2021, Citigroup had approximately $135.4 billion and $126.6 billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $53.3 billion and $41.1 billion of unsettled repurchase and securities lending agreements, respectively. See Note 10 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.


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 dollarsSeptember 30,
2022		December 31,
2021
Cash and due from banks$5,216 $2,786 
Deposits with banks, net of allowance10,950 10,636 
Total$16,166 $13,422 

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.  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 September 30, 2022.
For additional information regarding Citi’s leases, see Note 1 and Note 26 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
The following table presents information on the Right of Use (ROU) asset and lease liabilities included in Other assets and Other liabilities, respectively.

In millions of dollarsSeptember 30,
2022		December 31,
2021
ROU asset$2,932 $2,914 
Lease liability3,118 3,116 

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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24.  CONTINGENCIES

The following information supplements and amends, as applicable, the disclosure in Note 23 to the Consolidated Financial Statements of Citigroup’s Second Quarter of 2022 Form 10-Q and First Quarter of 2022 Form 10-Q and in Note 27 to the Consolidated Financial Statements in Citi’s 2021 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. With respect to previously incurred loss contingencies for which recovery is expected, Citi applies loss recovery accounting when disputes and uncertainties affecting recognition are resolved.
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 for which an estimate can be made. At September 30, 2022, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately $1.2 billion in the aggregate.
As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation, regulatory, tax, or other matters are subject to particular uncertainties. For example, at the time of making an estimate, Citigroup may only have preliminary or incomplete 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 amounts accrued in relation to matters for 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 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 2021 Form 10-K.

Foreign Exchange Matters
Antitrust and Other Litigation: On August 22, 2022, in NYPL v. JPMORGAN CHASE & CO., ET AL., the United States Court of Appeals for the Second Circuit denied plaintiffs’ petition seeking appellate review of the decision denying class certification. Additional information concerning this action is publicly available in court filings under the docket numbers 15-CV-9300 (S.D.N.Y.) (Schofield, J.) and 22-698 (2d Cir.).
On October 4, 2022, in MICHAEL O’HIGGINS FX CLASS REPRESENTATIVE LIMITED v. BARCLAYS BANK PLC AND OTHERS and PHILLIP EVANS v. BARCLAYS BANK PLC AND OTHERS, the U.K.’s Competition Appeal Tribunal granted permission to both claimants to appeal its March 31, 2022 judgment on certification. Additional information concerning these actions is publicly available in court filings under the case numbers 1329/7/7/19 and 1336/7/7/19.

Interbank Offered Rates-Related Litigation and Other Matters
Antitrust and Other Litigation: On September 13, 2022, in MCCARTHY, ET AL. v. INTERCONTINENTAL EXCHANGE, INC., ET AL., the United States District Court for the Northern District of California granted defendants’ motions to dismiss for lack of antitrust standing, but granted plaintiffs leave to amend. On October 4, 2022, plaintiffs filed an amended complaint. Plaintiffs continue to allege that defendants conspired to fix ICE LIBOR, assert claims under the Sherman Act and the Clayton Act, and seek declaratory relief, injunctive relief, and treble damages. Additional information concerning this action is publicly available in court filings under the docket number 20-CV-5832 (N.D. Cal.) (Donato, J.).

Madoff-Related Litigation
In the actions brought by the trustee appointed for the Securities Investor Protection Act liquidation of Bernard L. Madoff Investment Securities LLC (BLMIS), on September 27, 2022, the United States Bankruptcy Court for the Southern District of New York denied the motion to dismiss filed by Citibank, Citicorp North America, and CGML. Additional
information concerning these actions is publicly available in
court filings under the docket numbers 10-5345, 12-1700
213

(Bankr. S.D.N.Y.) (Morris, J.); 12-MC-115 (S.D.N.Y.) (Rakoff, J.); and 17-2992, 17-3076, 17-3139, 19-4282, 20-1333 (2d Cir.).
In the actions brought by liquidators of Fairfield Sentry Limited, on August 24, 2022, the United States District Court for the Southern District of New York affirmed various decisions of the bankruptcy court, which dismissed claims against Citibank NA London, Citigroup Global Markets Ltd. (CGML), Citivic Nominees Ltd., Citibank (Switzerland) AG, Cititrust Bahamas Ltd., and Citibank Korea Inc., and sustained a single claim against Citibank NA London, CGML, Citivic Nominees Ltd., and Citibank (Switzerland) AG. Beginning on September 26, 2022, the liquidators filed notices of appeal, and on September 30, 2022, the defendants sought review of the district court’s decision with respect to the remaining claim. Additional information concerning these actions is publicly available in court filings under the docket numbers 10-13164, 10-3496, 10-3622, 10-3634, 10-4100, 10-3640, 11-2770, 12-1298, 12-1142 (Bankr. S.D.N.Y.) (Morris, J.); 19-3911, 19-4267, 19-4396, 19-4484, 19-5106, 19-5109, 19-5135, 21-2997, 21-3243, 21-3526, 21-3529, 21-3530, 21-3998, 21-4307, 21-4498, 21-4496 (S.D.N.Y.) (Broderick, J.); and 22-2101, 22-2557, 22-2122, 22-2562, 22-2216, 22-2545, 22-2308, 22-2591, 22-2502, 22-2553, 22-2398, 22-258 (2d Cir.).

Record-Keeping Matters
In September 2022, Citigroup Global Markets Inc. (CGMI) entered into a resolution with the U.S. Securities and Exchange Commission (SEC), and CGMI, Citibank, and Citigroup Energy Inc. (CEI) entered into a resolution with the U.S. Commodity Futures Trading Commission (CFTC), to resolve the SEC’s and CFTC’s respective investigations regarding compliance with record-keeping obligations in connection with business-related communications sent over unapproved electronic messaging channels. Under these resolutions, a $125 million civil monetary penalty was paid to the SEC, and a $75 million civil monetary penalty was paid to the CFTC.

Revlon-Related Wire Transfer Litigation
On September 8, 2022, the United States Court of Appeals for the Second Circuit ruled in Citi’s favor and vacated the judgment of the district court, which had been in favor of the defendants. On September 22, 2022, the defendants filed a petition for rehearing and rehearing en banc, which the Court of Appeals denied. Additional information concerning this action is publicly available in court filings under the docket numbers 20-CV-6539 (S.D.N.Y.) (Furman, J.) and 21-487 (2d Cir.).


Shareholder Derivative and Securities Litigations
On August 2, 2022, a shareholder derivative action captioned LIPSHUTZ et al. v. COSTELLO et al. was filed in the United States District Court for the Eastern District of New York, purportedly on behalf of Citigroup (as nominal defendant) against Citigroup’s current directors. The action raises substantially the same claims and allegations as IN RE CITIGROUP INC. SHAREHOLDER DERIVATIVE LITIGATION. The LIPSHUTZ action additionally asserts that plaintiffs made a litigation demand on the Citigroup Board of Directors and that the demand was wrongfully refused. On October 20, 2022, defendants moved to transfer the new action to the United States District Court for the Southern District of New York. Additional information concerning these actions is publicly available in court filings under the docket numbers 22 Civ. 4547 (E.D.N.Y.) (Kovner, J.) and 1:20-CV-09438 (S.D.N.Y.) (Preska, J.).

Sovereign Securities Litigation
Antitrust and Other Litigation: On September 15, 2022, in IN RE MEXICAN GOVERNMENT BONDS ANTITRUST LITIGATION, plaintiffs filed a notice of appeal to the United States Court of Appeals for the Second Circuit from the district court’s order dismissing certain defendants, including Citibanamex, for lack of personal jurisdiction. Additional information concerning this action is publicly available in court filings under the docket numbers 18-CV-2830 (S.D.N.Y.) (Oetken, J.) and 22-2039 (2d Cir.).

Settlement Payments
Payments required in any settlement agreements described
above have been made or are covered by existing litigation or
other accruals.
214

25.  CONDENSED CONSOLIDATING FINANCIAL STATEMENTS

Citigroup’s Registration Statement on Form S-3 on file with the SEC includes its wholly owned subsidiary, Citigroup Global Markets Holdings Inc. (CGMHI), as a co-registrant. Any securities issued by CGMHI under the Form S-3 will be fully and unconditionally guaranteed by Citigroup.
The following are the Condensed Consolidating Statements of Income and Comprehensive Income for the three and nine months ended September 30, 2022 and 2021, Condensed Consolidating Balance Sheet as of September 30, 2022 and December 31, 2021 and Condensed Consolidating Statement of Cash Flows for the nine months ended September 30, 2022 and 2021 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.

215

Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended September 30, 2022
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Revenues
Dividends from subsidiaries$3,742 $— $— $(3,742)$— 
Interest revenue— 2,973 16,946 — 19,919 
Interest revenue—intercompany1,190 689 (1,879)— — 
Interest expense1,324 1,740 4,292 — 7,356 
Interest expense—intercompany198 1,316 (1,514)— — 
Net interest income$(332)$606 $12,289 $— $12,563 
Commissions and fees$— $1,078 $1,061 $— $2,139 
Commissions and fees—intercompany— (31)31 — — 
Principal transactions1,584 1,319 (278)— 2,625 
Principal transactions—intercompany(1,887)(809)2,696 — — 
Other revenue137 122 922 — 1,181 
Other revenue—intercompany(122)(15)137 — — 
Total non-interest revenues$(288)$1,664 $4,569 $— $5,945 
Total revenues, net of interest expense$3,122 $2,270 $16,858 $(3,742)$18,508 
Provisions for credit losses and for benefits and claims$— $6 $1,359 $— $1,365 
Operating expenses
Compensation and benefits$6 $1,427 $5,312 $— $6,745 
Compensation and benefits—intercompany1 — (1)— — 
Other operating28 772 5,204 — 6,004 
Other operating—intercompany4 643 (647)— — 
Total operating expenses$39 $2,842 $9,868 $— $12,749 
Equity in undistributed income of subsidiaries$40 $— $— $(40)$— 
Income (loss) from continuing operations before income taxes$3,123 $(578)$5,631 $(3,782)$4,394 
Provision (benefit) for income taxes(356)(5)1,240 — 879 
Income (loss) from continuing operations$3,479 $(573)$4,391 $(3,782)$3,515 
Income (loss) from discontinued operations, net of taxes— — (6)— (6)
Net income before attribution of noncontrolling interests$3,479 $(573)$4,385 $(3,782)$3,509 
Noncontrolling interests— — 30 — 30 
Net income (loss)$3,479 $(573)$4,355 $(3,782)$3,479 
Comprehensive income
Add: Other comprehensive income (loss)$(2,803)$(109)$2,559 $(2,450)$(2,803)
Total Citigroup comprehensive income (loss)$676 $(682)$6,914 $(6,232)$676 
Add: Other comprehensive income attributable to noncontrolling interests$— $— $(44)$— $(44)
Add: Net income attributable to noncontrolling interests— — 30 — 30 
Total comprehensive income (loss)$676 $(682)$6,900 $(6,232)$662 
216

Condensed Consolidating Statements of Income and Comprehensive Income
Nine Months Ended September 30, 2022
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Revenues
Dividends from subsidiaries$5,792 $— $— $(5,792)$— 
Interest revenue— 5,328 43,372 — 48,700 
Interest revenue—intercompany3,124 1,121 (4,245)— — 
Interest expense3,801 2,636 6,865 — 13,302 
Interest expense—intercompany438 2,352 (2,790)— — 
Net interest income$(1,115)$1,461 $35,052 $— $35,398 
Commissions and fees$— $3,667 $3,492 $— $7,159 
Commissions and fees—intercompany(1)95 (94)— — 
Principal transactions5,478 11,129 (4,867)— 11,740 
Principal transactions—intercompany(5,846)(8,246)14,092 — — 
Other revenue524 386 2,125 — 3,035 
Other revenue—intercompany(303)(50)353 — — 
Total non-interest revenues$(148)$6,981 $15,101 $— $21,934 
Total revenues, net of interest expense$4,529 $8,442 $50,153 $(5,792)$57,332 
Provisions for credit losses and for benefits and claims$— $7 $3,387 $— $3,394 
Operating expenses
Compensation and benefits$4 $4,262 $15,771 $— $20,037 
Compensation and benefits—intercompany12 — (12)— — 
Other operating40 2,318 15,912 — 18,270 
Other operating—intercompany11 2,015 (2,026)— — 
Total operating expenses$67 $8,595 $29,645 $— $38,307 
Equity in undistributed income of subsidiaries$6,806 $— $— $(6,806)$— 
Income (loss) from continuing operations before income taxes$11,268 $(160)$17,121 $(12,598)$15,631 
Provision (benefit) for income taxes(1,064)(120)4,186 — 3,002 
Income (loss) from continuing operations$12,332 $(40)$12,935 $(12,598)$12,629 
Income (loss) from discontinued operations, net of taxes— — (229)— (229)
Net income before attribution of noncontrolling interests$12,332 $(40)$12,706 $(12,598)$12,400 
Noncontrolling interests— — 68 — 68 
Net income (loss)$12,332 $(40)$12,638 $(12,598)$12,332 
Comprehensive income
Add: Other comprehensive income (loss)$(9,533)$987 $(2,710)$1,723 $(9,533)
Total Citigroup comprehensive income (loss)$2,799 $947 $9,928 $(10,875)$2,799 
Add: Other comprehensive income attributable to noncontrolling interests$— $— $(126)$— $(126)
Add: Net income attributable to noncontrolling interests— — 68 — 68 
Total comprehensive income (loss)$2,799 $947 $9,870 $(10,875)$2,741 

217

Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended September 30, 2021
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Revenues
Dividends from subsidiaries$2,592 $— $— $(2,592)$— 
Interest revenue— 844 11,806 — 12,650 
Interest revenue—intercompany935 129 (1,064)— — 
Interest expense1,190 201 568 — 1,959 
Interest expense—intercompany56 323 (379)— — 
Net interest income$(311)$449 $10,553 $— $10,691 
Commissions and fees$— $1,893 $1,506 $— $3,399 
Commissions and fees—intercompany— 85 (85)— — 
Principal transactions130 (1,468)3,571 — 2,233 
Principal transactions—intercompany(305)2,220 (1,915)— — 
Other revenue(138)159 1,103 — 1,124 
Other revenue—intercompany(44)(13)57 — — 
Total non-interest revenues$(357)$2,876 $4,237 $— $6,756 
Total revenues, net of interest expense$1,924 $3,325 $14,790 $(2,592)$17,447 
Provisions for credit losses and for benefits and claims$(2)$2 $(192)$— $(192)
Operating expenses
Compensation and benefits$3 $1,347 $4,708 $— $6,058 
Compensation and benefits—intercompany21 — (21)— — 
Other operating35 728 4,956 — 5,719 
Other operating—intercompany2 781 (783)— — 
Total operating expenses$61 $2,856 $8,860 $— $11,777 
Equity in undistributed income of subsidiaries$2,530 $— $— $(2,530)$— 
Income (loss) from continuing operations before income
taxes		$4,395 $467 $6,122 $(5,122)$5,862 
Provision (benefit) for income taxes(249)183 1,259 — 1,193 
Income (loss) from continuing operations$4,644 $284 $4,863 $(5,122)$4,669 
Income (loss) from discontinued operations, net of taxes— — (1)— (1)
Net income (loss) before attribution of noncontrolling interests$4,644 $284 $4,862 $(5,122)$4,668 
Noncontrolling interests— — 24 — 24 
Net income (loss) $4,644 $284 $4,838 $(5,122)$4,644 
Comprehensive income
Add: Other comprehensive income (loss) $(1,731)$(195)$2,007 $(1,812)$(1,731)
Total Citigroup comprehensive income (loss)$2,913 $89 $6,845 $(6,934)$2,913 
Add: Other comprehensive income attributable to noncontrolling interests$— $— $(31)$— $(31)
Add: Net income attributable to noncontrolling interests— — 24 — 24 
Total comprehensive income (loss)$2,913 $89 $6,838 $(6,934)$2,906 
218

Condensed Consolidating Statements of Income and Comprehensive Income
Nine Months Ended September 30, 2021
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Revenues
Dividends from subsidiaries$6,392 $— $— $(6,392)$— 
Interest revenue— 2,829 34,818 — 37,647 
Interest revenue—intercompany2,847 410 (3,257)— — 
Interest expense3,611 645 1,716 — 5,972 
Interest expense—intercompany234 982 (1,216)— — 
Net interest income$(998)$1,612 $31,061 $— $31,675 
Commissions and fees$— $5,890 $4,553 $— $10,443 
Commissions and fees—intercompany(27)220 (193)— — 
Principal transactions1,007 5,109 2,334 — 8,450 
Principal transactions—intercompany(1,273)(2,128)3,401 — — 
Other revenue(87)401 3,985 — 4,299 
Other revenue—intercompany(105)(41)146 — — 
Total non-interest revenues$(485)$9,451 $14,226 $— $23,192 
Total revenues, net of interest expense$4,909 $11,063 $45,287 $(6,392)$54,867 
Provisions for credit losses and for benefits and claims$— $9 $(3,322)$— $(3,313)
Operating expenses
Compensation and benefits$31 $3,984 $14,026 $— $18,041 
Compensation and benefits—intercompany69 — (69)— — 
Other operating60 2,050 14,510 — 16,620 
Other operating—intercompany8 2,269 (2,277)— — 
Total operating expenses$168 $8,303 $26,190 $— $34,661 
Equity in undistributed income of subsidiaries$13,270 $— $— $(13,270)$— 
Income (loss) from continuing operations before income
taxes		$18,011 $2,751 $22,419 $(19,662)$23,519 
Provision (benefit) for income taxes(768)516 4,932 — 4,680 
Income (loss) from continuing operations$18,779 $2,235 $17,487 $(19,662)$18,839 
Income (loss) from discontinued operations, net of taxes— — 7 — 7 
Net income (loss) before attribution of noncontrolling interests$18,779 $2,235 $17,494 $(19,662)$18,846 
Noncontrolling interests— — 67 — 67 
Net income (loss)$18,779 $2,235 $17,427 $(19,662)$18,779 
Comprehensive income
Add: Other comprehensive income (loss)$(4,793)$(238)$578 $(340)$(4,793)
Total Citigroup comprehensive income (loss)$13,986 $1,997 $18,005 $(20,002)$13,986 
Add: Other comprehensive income attributable to noncontrolling interests$— $— $(71)$— $(71)
Add: Net income attributable to noncontrolling interests— — 67 — 67 
Total comprehensive income (loss)$13,986 $1,997 $18,001 $(20,002)$13,982 



219

Condensed Consolidating Balance Sheet
September 30, 2022
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Assets
Cash and due from banks$— $1,405 $25,097 $— $26,502 
Cash and due from banks—intercompany25 5,903 (5,928)— — 
Deposits with banks, net of allowance— 8,582 264,523 — 273,105 
Deposits with banks—intercompany3,000 11,110 (14,110)— — 
Securities borrowed and purchased under resale agreements— 284,357 64,857 — 349,214 
Securities borrowed and purchased under resale agreements—intercompany— 20,830 (20,830)— — 
Trading account assets150 203,977 154,133 — 358,260 
Trading account assets—intercompany155 3,188 (3,343)— — 
Investments, net of allowance1 230 507,785 — 508,016 
Loans, net of unearned income— 1,633 644,327 — 645,960 
Loans, net of unearned income—intercompany— — — — — 
Allowance for credit losses on loans (ACLL)— — (16,309)— (16,309)
Total loans, net$— $1,633 $628,018 $— $629,651 
Advances to subsidiaries$138,514 $— $(138,514)$— $— 
Investments in subsidiaries219,162 — — (219,162)— 
Other assets, net of allowance(1)
10,066 90,233 136,017 — 236,316 
Other assets—intercompany3,647 84,026 (87,673)— — 
Total assets$374,720 $715,474 $1,510,032 $(219,162)$2,381,064 
Liabilities and equity
Deposits $— $— $1,306,486 $— $1,306,486 
Deposits—intercompany— — — — — 
Securities loaned and sold under repurchase agreements— 183,473 19,956 — 203,429 
Securities loaned and sold under repurchase agreements—intercompany— 65,458 (65,458)— — 
Trading account liabilities44 116,473 79,962 — 196,479 
Trading account liabilities—intercompany660 3,475 (4,135)— — 
Short-term borrowings— 20,483 26,885 — 47,368 
Short-term borrowings—intercompany— 25,335 (25,335)— — 
Long-term debt159,251 75,887 17,930 — 253,068 
Long-term debt—intercompany— 81,276 (81,276)— — 
Advances from subsidiaries 13,714 — (13,714)— — 
Other liabilities2,405 92,435 80,277 — 175,117 
Other liabilities—intercompany86 12,092 (12,178)— — 
Stockholders’ equity198,560 39,087 180,632 (219,162)199,117 
Total liabilities and equity$374,720 $715,474 $1,510,032 $(219,162)$2,381,064 

(1)Other assets for Citigroup parent company at September 30, 2022 included $35.8 billion of placements to Citibank and its branches, of which $26.0 billion had a remaining term of less than 30 days.



220

Condensed Consolidating Balance Sheet
December 31, 2021
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Assets
Cash and due from banks$— $834 $26,681 $— $27,515 
Cash and due from banks—intercompany17 6,890 (6,907)— — 
Deposits with banks, net of allowance— 7,936 226,582 — 234,518 
Deposits with banks—intercompany3,500 11,005 (14,505)— — 
Securities borrowed and purchased under resale agreements— 269,608 57,680 — 327,288 
Securities borrowed and purchased under resale agreements—intercompany— 23,362 (23,362)— — 
Trading account assets248 189,841 141,856 — 331,945 
Trading account assets—intercompany1,215 1,438 (2,653)— — 
Investments, net of allowance1 224 512,597 — 512,822 
Loans, net of unearned income— 2,293 665,474 — 667,767 
Loans, net of unearned income—intercompany— — — — — 
Allowance for credit losses on loans (ACLL)— — (16,455)— (16,455)
Total loans, net$— $2,293 $649,019 $— $651,312 
Advances to subsidiaries$142,144 $— $(142,144)$— $— 
Investments in subsidiaries223,303 — — (223,303)— 
Other assets, net of allowance(1)
10,589 69,312 126,112 — 206,013 
Other assets—intercompany2,737 60,567 (63,304)— — 
Total assets$383,754 $643,310 $1,487,652 $(223,303)$2,291,413 
Liabilities and equity
Deposits $— $— $1,317,230 $— $1,317,230 
Deposits—intercompany— — — — — 
Securities loaned and sold under repurchase agreements— 171,818 19,467 — 191,285 
Securities loaned and sold under repurchase agreements—intercompany— 62,197 (62,197)— — 
Trading account liabilities17 122,383 39,129 — 161,529 
Trading account liabilities—intercompany777 500 (1,277)— — 
Short-term borrowings— 13,425 14,548 — 27,973 
Short-term borrowings—intercompany— 17,230 (17,230)— — 
Long-term debt164,945 61,416 28,013 — 254,374 
Long-term debt—intercompany— 76,335 (76,335)— — 
Advances from subsidiaries 13,469 — (13,469)— — 
Other liabilities2,574 68,206 65,570 — 136,350 
Other liabilities—intercompany— 11,774 (11,774)— — 
Stockholders’ equity201,972 38,026 185,977 (223,303)202,672 
Total liabilities and equity$383,754 $643,310 $1,487,652 $(223,303)$2,291,413 

(1)Other assets for Citigroup parent company at December 31, 2021 included $30.5 billion of placements to Citibank and its branches, of which $19.5 billion had a remaining term of less than 30 days.







221

Condensed Consolidating Statement of Cash Flows
Nine Months Ended September 30, 2022
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$(3,688)$(29,719)$29,237 $— $(4,170)
Cash flows from investing activities of continuing operations
Change in securities borrowed and purchased under agreements to resell$— $(11,947)$(9,979)$— $(21,926)
Change in loans— — (5,788)— (5,788)
Proceeds from sales and securitizations of loans— — 3,077 — 3,077 
Proceeds from divestitures— — 3,242 3,242 
Available-for-sale debt securities:
Purchases of investments— — (177,306)— (177,306)
Proceeds from sales of investments— — 86,454 — 86,454 
Proceeds from maturities of investments— — 118,951 — 118,951 
Held-to-maturity debt securities:
Purchases of investments— — (39,288)— (39,288)
Proceeds from maturities of investments— — 9,913 — 9,913 
Changes in investments and advances—intercompany(1,070)(23,189)24,259 — — 
Other investing activities
— (45)(4,106)— (4,151)
Net cash provided by (used in) investing activities of continuing operations$(1,070)$(35,181)$9,429 $— $(26,822)
Cash flows from financing activities of continuing operations
Dividends paid$(3,777)$(271)$271 $— $(3,777)
Treasury stock acquired(3,250)— — — (3,250)
Proceeds (repayments) from issuance of long-term debt, net11,386 30,094 (3,032)— 38,448 
Proceeds (repayments) from issuance of long-term debt—intercompany, net— 12,847 (12,847)— — 
Change in deposits— 8,947 — 8,947 
Change in securities loaned and sold under agreements to repurchase— 14,916 (2,772)— 12,144 
Change in short-term borrowings— 7,058 12,337 — 19,395 
Net change in short-term borrowings and other advances—intercompany246 207 (453)— — 
Capital contributions from (to) parent— 380 (380)— — 
Other financing activities(339)4 (4)— (339)
Net cash provided by financing activities of continuing operations$4,266 $65,235 $2,067 $— $71,568 
Effect of exchange rate changes on cash and due from banks$— $— $(3,002)$— $(3,002)
Change in cash and due from banks and deposits with banks$(492)$335 $37,731 $— $37,574 
Cash and due from banks and deposits with banks at beginning of period3,517 26,665 231,851 — 262,033 
Cash and due from banks and deposits with banks at end of period$3,025 $27,000 $269,582 $— $299,607 
Cash and due from banks$25 $7,308 $19,169 $— $26,502 
Deposits with banks, net of allowance3,000 19,692 250,413 — 273,105 
Cash and due from banks and deposits with banks at end of period$3,025 $27,000 $269,582 $— $299,607 
Supplemental disclosure of cash flow information for continuing operations
Cash paid (received) during the period for income taxes$(1,030)$228 $3,486 $— $2,684 
Cash paid during the period for interest
1,308 4,785 6,464 — 12,557 
Non-cash investing activities
Transfer of investment securities from AFS to HTM$— $— $21,688 $— $21,688 
Decrease in net loans associated with divestitures reclassified to HFS— — 16,956 — 16,956 
Decrease in goodwill associated with divestitures reclassified to HFS— — 876 — 876 
Transfers to loans HFS (Other assets) from loans
— — 4,037 — 4,037 
Non-cash financing activities
Decrease in deposits associated with divestitures reclassified to HFS$— $— $19,691 $— $19,691 
222

Condensed Consolidating Statement of Cash Flows

Nine Months Ended September 30, 2021
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$3,604 $30,413 $25,168 $— $59,185 
Cash flows from investing activities of continuing operations
Change in securities borrowed and purchased under agreements to resell$— $(40,065)$(2,919)$— $(42,984)
Change in loans— — 6,613 — 6,613 
Proceeds from sales and securitizations of loans— — 1,134 — 1,134 
Available-for-sale debt securities:
Purchases of investments— — (164,613)— (164,613)
Proceeds from sales of investments— — 96,022 — 96,022 
Proceeds from maturities of investments— — 90,415 — 90,415 
Held-to-maturity debt securities:
Purchases of investments— — (112,883)— (112,883)
Proceeds from maturities of investments— — 16,946 — 16,946 
Changes in investments and advances—intercompany3,374 (9,743)6,369 — — 
Other investing activities— (42)(2,677)— (2,719)
Net cash provided by (used in) investing activities of continuing operations$3,374 $(49,850)$(65,593)$— $(112,069)
Cash flows from financing activities of continuing operations
Dividends paid$(3,959)$(195)$195 $— $(3,959)
Issuance of preferred stock2,300 — — — 2,300 
Redemption of preferred stock(3,785)— — — (3,785)
Treasury stock acquired(7,448)— — — (7,448)
Proceeds (repayments) from issuance of long-term debt, net4,660 11,336 (18,507)— (2,511)
Proceeds (repayments) from issuance of long-term debt—intercompany, net— 9,084 (9,084)— — 
Change in deposits— — 73,769 — 73,769 
Change in securities loaned and sold under agreements to repurchase— (2,397)12,056 — 9,659 
Change in short-term borrowings— 2,224 (2,055)— 169 
Net change in short-term borrowings and other advances—intercompany1,074 1,253 (2,327)— — 
Capital contributions from (to) parent— (19)19 — — 
Other financing activities(328)— — — (328)
Net cash provided by (used in) financing activities of continuing operations$(7,486)$21,286 $54,066 $— $67,866 
Effect of exchange rate changes on cash and due from banks$— $— $(789)$— $(789)
Change in cash and due from banks and deposits with banks$(508)$1,849 $12,852 $— $14,193 
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$4,008 $21,961 $297,839 $— $323,808 
Cash and due from banks$8 $6,998 $21,900 $— $28,906 
Deposits with banks, net of allowance4,000 14,963 275,939 — 294,902 
Cash and due from banks and deposits with banks at end of period$4,008 $21,961 $297,839 $— $323,808 
Supplemental disclosure of cash flow information for continuing operations
Cash paid (received) during the period for income taxes$(1,757)$809 $4,011 $— $3,063 
Cash paid during the period for interest2,307 1,687 1,989 — 5,983 
Non-cash investing activities
Decrease in net loans associated with divestitures reclassified to HFS$— $— $8,291 $— $8,291 
223

Transfers to loans HFS from loans— — 5,329 — 5,329 
Non-cash financing activities
Decrease in deposits associated with divestitures reclassified to HFS$— $— $6,912 $— $6,912 
Decrease in long-term debt associated with divestitures reclassified to HFS— — 521 — 521 
224

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

Unregistered Sales of Equity Securities
None.

Equity Security Repurchases
All large banks, including Citi, are subject to limitations on capital distributions in the event of a breach of any regulatory capital buffers, including the Stress Capital Buffer, with the degree of such restrictions based on the extent to which the buffers are breached. For additional information, see “Capital Resources—Regulatory Capital Buffers” and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.
For information on Citi’s pause of common share repurchases, see “Executive Summary” above.
During the third quarter of 2022, pursuant to Citigroup’s Board of Directors’ authorization, Citi withheld an insignificant number of shares of common stock, added to treasury stock, related to activity on employee stock programs to satisfy employee tax requirements.




Dividends
Citi paid common dividends of $0.51 per share during the first, second and third quarters of 2022, and on October 20, 2022, declared common dividends of $0.51 per share for the fourth quarter of 2022. As previously announced, Citi intends to maintain its current quarterly common dividend of $0.51 per share, subject to financial and macroeconomic conditions as well as Board of Directors’ approval.
As discussed above, Citi’s ability to pay common stock dividends is subject to limitations on capital distributions in the event of a breach of any regulatory capital buffers, including the Stress Capital Buffer, with the degree of such restrictions based on the extent to which the buffers are breached. For additional information, see “Capital Resources—Regulatory Capital Buffers” and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.
Any dividend on Citi’s outstanding common stock would also need to be in compliance with Citi’s obligations on its outstanding preferred stock.
On October 20, 2022, Citi declared preferred dividends of approximately $238 million for the fourth quarter of 2022.
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 2021 Form 10-K.

225

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 4th day of November, 2022.



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)


226

GLOSSARY OF TERMS AND ACRONYMS

The following is a list of terms and acronyms that are used in this Quarterly Report on Form 10-Q and other Citigroup SEC filings and presentations.

* Denotes a Citi metric
2021 Annual Report on Form 10-K: Annual report on Form 10-K for year ended December 31, 2021, filed with the SEC.
2021 Form 10-K: Current Report on Form 8-K dated May 10, 2022 (see “Overview” above) together with the 2021 Annual Report on Form 10-K.
90+ days past due delinquency rate*: Represents consumer loans that are past due by 90 or more days, divided by that period’s total EOP loans.
ABS: Asset-backed securities
ACL: Allowance for credit losses
ACLL: Allowance for credit losses on loans
ACLUC: Allowance for credit losses on unfunded lending commitments
AFS: Available-for-sale
ALCO: Asset Liability Committee
Amortized cost: Amount at which a financing receivable or investment is originated or acquired, adjusted for accretion or amortization of premium, discount, and net deferred fees or costs, collection of cash, charge-offs, foreign exchange, and fair value hedge accounting adjustments. For AFS securities, amortized cost is also reduced by any impairment losses recognized in earnings. Amortized cost is not reduced by the allowance for credit losses, except where explicitly presented net.
AOCI: Accumulated other comprehensive income (loss)
ARM: Adjustable rate mortgage(s)
ASC: Accounting Standards Codification under GAAP issued by the FASB.
Asia Consumer: Asia Consumer Banking
ASU: Accounting Standards Update under GAAP issued by the FASB.
AUC: Assets under custody
AUM: Assets under management. Represent assets managed on behalf of Citi’s clients.
Available liquidity resources*: Resources available at the balance sheet date to support Citi’s client and business needs, including 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.
Basel III: Liquidity and capital rules adopted by the FRB based on an internationally agreed set of measures developed by the Basel Committee on Banking Supervision.
Beneficial interests issued by consolidated VIEs: Represents the interest of third-party holders of debt, equity securities or other obligations, issued by VIEs that Citi consolidates.
Benefit obligation: Refers to the projected benefit obligation for pension plans and the accumulated postretirement benefit obligation for OPEB plans.
BHC: Bank holding company
Book value per share*: EOP common equity divided by EOP common shares outstanding.
Bps: Basis points. One basis point equals 1/100th of one percent.
Branded cards: Citi’s branded cards business with a portfolio of proprietary cards (Double Cash, Custom Cash, ThankYou and Value cards) and co-branded cards (including, among others, American Airlines and Costco).
Build: A net increase in ACL through the provision for credit losses.
Cards: Citi’s credit cards’ businesses or activities.
CCAR: Comprehensive Capital Analysis and Review
CCO: Chief Compliance Officer
CDS: Credit default swaps
CECL: Current expected credit losses
CEO: Chief Executive Officer
CET1 Capital: Common Equity Tier 1 Capital. See “Capital Resources—Components of Citigroup Capital” above for the components of CET1.
CET1 Capital ratio*: Common Equity Tier 1 Capital ratio. A primary regulatory capital ratio representing end-of-period CET1 Capital divided by total risk-weighted assets.
CFO: Chief Financial Officer
CFTC: Commodity Futures Trading Commission
CGMHI: Citigroup Global Markets Holdings Inc.
Citi: Citigroup Inc.
Citibank or CBNA: Citibank, N.A. (National Association)
Classifiably managed: Loans primarily evaluated for credit risk based on internal risk rating classification.
Client assets: Represent assets under management as well as custody, brokerage, administration and deposit accounts.
CLO: Collateralized loan obligations
Collateral dependent: A loan is considered collateral dependent when repayment of the loan is expected to be provided substantially through the operation or sale of the collateral when the borrower is experiencing financial
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difficulty, including when foreclosure is deemed probable based on borrower delinquency.
Commercial cards: Provides a wide range of payment services to corporate and public sector clients worldwide through commercial card products. Services include procurement, corporate travel and entertainment, expense management services, and business-to-business payment solutions.
Consent orders: In October 2020, Citigroup and Citibank entered into consent orders with the Federal Reserve and OCC that require Citigroup and Citibank to make improvements in various aspects of enterprise-wide risk management, compliance, data quality management and governance and internal controls.
CRE: Commercial real estate
Credit card spend volume*: Dollar amount of card customers’ purchases, net of returns. Also known as purchase sales.
Credit cycle: A period of time over which credit quality improves, deteriorates and then improves again (or vice versa). The duration of a credit cycle can vary from a couple of years to several years.
Credit derivatives: Financial instruments whose value is derived from the credit risk associated with the debt of a third-party issuer (the reference entity), which allow one party (the protection purchaser) to transfer that risk to another party (the protection seller).
Critical Audit Matters: Audit matters communicated by KPMG to Citi’s Audit Committee of the Board of Directors, relating to accounts or disclosures that are material to the consolidated financial statements and involved especially challenging, subjective or complex judgments. See “Report of Independent Registered Public Accounting Firm” in Citi’s Annual Reports on Form 10-K.
Criticized: Criticized loans, lending-related commitments and derivative receivables that are classified as special mention, substandard and doubtful categories for regulatory purposes.
CRO: Chief Risk Officer
CTA: Currency translation adjustment, or cumulative translation adjustment. A separate component of equity within AOCI reported net of tax. For Citi, represents the impact of translating non-USD balance sheet items into USD each period. The CTA amount in EOP AOCI is a cumulative balance, net of tax.
CVA: Credit valuation adjustment
Delinquency managed: Loans primarily evaluated for credit risk based on delinquencies, FICO scores and the value of underlying collateral.
Dividend payout ratio*: Represents dividends declared per common share as a percentage of net income per diluted share.
Dodd-Frank Act: Wall Street Reform and Consumer Protection Act
DPD: Days past due
DSA: Deferred stock awards
DTA: Deferred tax asset
DVA: Debit valuation adjustment
EC: European Commission
Efficiency ratio*: A ratio signifying how much of a dollar in expenses (as a percentage) it takes to generate one dollar in revenue. Represents total operating expenses divided by total revenues, net.
EMEA: Europe, Middle East and Africa
EOP: End-of-period
EPS*: Earnings per share
ERISA: Employee Retirement Income Security Act of 1974
ETR: Effective tax rate
EU: European Union
Fannie Mae: Federal National Mortgage Association
FASB: Financial Accounting Standards Board
FDIC: Federal Deposit Insurance Corporation
Federal Reserve: The Board of the Governors of the Federal Reserve System
FFIEC: Federal Financial Institutions Examination Council
FHA: Federal Housing Administration
FHLB: Federal Home Loan Bank
FICO: Fair Issac Corporation
FICO score: A measure of consumer credit risk provided by credit bureaus, typically produced from statistical models by Fair Isaac Corporation utilizing data collected by the credit bureaus.
FINRA: Financial Industry Regulatory Authority
Firm: Citigroup Inc.
FRBNY: Federal Reserve Bank of New York
Freddie Mac: Federal Home Loan Mortgage Corporation
Free standing derivatives: A derivative contract entered into either separate and apart from any of the Company’s other financial instruments or equity transactions, or in conjunction with some other transaction and legally detachable and separately exercisable.
FTCs: Foreign tax credit carry-forwards
FTE: Full-time employee
FVA: Funding valuation adjustment
FX: Foreign exchange
FX translation: The impact of converting non-U.S.-dollar currencies into U.S. dollars.
G7: Group of Seven nations. Countries in the G7 are Canada, France, Germany, Italy, Japan, the U.K. and the U.S.
GAAP or U.S. GAAP: Generally accepted accounting principles in the United States of America.
228

Ginnie Mae: Government National Mortgage Association
Global Wealth: Global Wealth Management
GSIB: Global systemically important banks
HELOC: Home equity line of credit
HFI loans: Loans that are held-for-investment (i.e., excludes loans held-for-sale).
HFS: Held-for-sale
HQLA: High-quality liquid assets. Consist of cash and certain high-quality liquid securities as defined in the LCR rule.
HTM: Held-to-maturity
Hyperinflation: Extreme economic inflation with prices rising at a very high rate in a very short time. Under U.S. GAAP, entities operating in a hyperinflationary economy need to change their functional currency to the U.S. dollar. Once an entity switches its functional currency to the U.S. dollar, the CTA balance is frozen.
IBOR: Interbank Offered Rate
ICG: Institutional Clients Group
ICRM: Independent Compliance Risk Management
IPO: Initial public offering
ISDA: International Swaps and Derivatives Association
KM: Key financial and non-financial metric used by management when evaluating consolidated and/or individual business results.
KPMG LLP: Citi’s Independent Registered Public Accounting Firm.
LATAM: Latin America, which for Citi, includes Mexico.
LCR: Liquidity coverage ratio. Represents HQLA divided by net outflows in the period.
LDA: Loss Distribution Approach
LGD: Loss given default
LIBOR: London Interbank Offered Rate
LLC: Limited Liability Company
LTD: Long-term debt
LTV: Loan-to-value. For residential real estate loans, the relationship, expressed as a percentage, between the principal amount of a loan and the appraised value of the collateral (i.e., residential real estate) securing the loan.
Master netting agreement: A single agreement with a counterparty that permits multiple transactions governed by that agreement to be terminated or accelerated and settled through a single payment in a single currency in the event of a default (e.g., bankruptcy, failure to make a required payment or securities transfer or deliver collateral or margin when due).
MBS: Mortgage-backed securities
MCA: Manager’s control assessment
MD&A: Management’s discussion and analysis
Measurement alternative: Measures equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer.
Mexico Consumer: Mexico Consumer Banking
Mexico Consumer/SBMM: Mexico Consumer Banking and Small Business and Middle-Market Banking
Mexico SBMM: Mexico Small Business and Middle-Market Banking
Moody’s: Moody’s Investor Services
MSRs: Mortgage servicing rights
MTM: Mark-to-market
N/A: Data is not applicable or available for the period presented.
NAA: Non-accrual assets. Consists of non-accrual loans and OREO.
NAL: Non-accrual loans. Loans for which interest income is not recognized on an accrual basis. Loans (other than credit card loans and certain consumer loans insured by U.S. government-sponsored agencies) are placed on non-accrual status when full payment of principal and interest is not expected, regardless of delinquency status, or when principal and interest have been in default for a period of 90 days or more unless the loan is both well secured and in the process of collection. Collateral-dependent loans are typically maintained on non-accrual status.
NAV: Net asset value
NCL(s): Net credit losses. Represents gross credit losses, less gross credit recoveries.
NCL ratio*: Represents net credit losses (recoveries) (annualized), divided by average loans for the reporting period.
Net interchange income: Includes the following components:
•    Interchange revenue: Fees earned from merchants based on Citi’s credit and debit card customers’ sales transactions.
•    Reward costs: The cost to Citi for points earned by cardholders enrolled in credit card rewards programs generally tied to sales transactions.
•    Partner payments: Payments to co-brand credit card partners based on the cost of loyalty program rewards earned by cardholders on credit card transactions.
NII: Net interest income. Represents total interest revenue less total interest expenses.
NIM*: Net interest margin expressed as a yield percentage, calculated as annualized net interest income divided by average interest-earning assets for the period.
NIR: Non-interest revenues
NM: Not meaningful
Noncontrolling interests: The portion of an investment that has been consolidated by Citi that is not 100% owned by Citi.
229

Non-GAAP financial measure: Management uses these financial measures because it believes they provide information to enable investors to understand the underlying operational performance and trends of Citi and its businesses.
NSFR: Net stable funding ratio
O/S: Outstanding
OCC: Office of the Comptroller of the Currency
OCI: Other comprehensive income (loss)
OREO: Other real estate owned
OTTI: Other-than-temporary impairment
Over-the-counter cleared (OTC-cleared) derivatives: Derivative contracts that are negotiated and executed bilaterally, but subsequently settled via a central clearing house, such that each derivative counterparty is only exposed to the default of that clearing house.
Over-the-counter (OTC) derivatives: Derivative contracts that are negotiated, executed and settled bilaterally between two derivative counterparties, where one or both counterparties is a derivatives dealer.
Parent company: Citigroup Inc.
Participating securities: Represents unvested share-based compensation awards containing nonforfeitable rights to dividends or dividend equivalents (collectively, “dividends”), which are included in the earnings per share calculation using the two-class method. Citi grants RSUs to certain employees under its share-based compensation programs, which entitle the recipients to receive non-forfeitable dividends during the vesting period on a basis equivalent to the dividends paid to holders of common stock. These unvested awards meet the definition of participating securities. Under the two-class method for calculating EPS, all earnings (distributed and undistributed) are allocated to each class of common stock and participating securities, based on their respective rights to receive dividends.
PBWM: Personal Banking and Wealth Management
PCD: Purchased credit-deteriorated assets are financial assets that as of the date of acquisition have experienced a more-than-insignificant deterioration in credit quality since origination, as determined by the Company.
PCI: Purchased credit-impaired loans represented certain loans that were acquired and deemed to be credit impaired on the acquisition date. The now superseded FASB guidance that allowed purchasers to aggregate credit-impaired loans acquired in the same fiscal quarter into one or more pools, provided that the loans had common risk characteristics (e.g., product type, LTV ratios).
PD: Probability of default
Principal transactions revenue: Primarily trading-related revenues predominantly generated by the ICG businesses. See Note 6.
Provisions: Provisions for credit losses and for benefits and claims.
PSUs: Performance share units
Real GDP: Real gross domestic product is the inflation-adjusted value of the goods and services produced by labor and property located in a country.
Regulatory VAR: Daily aggregated VAR calculated in accordance with regulatory rules.
REITs: Real estate investment trusts
Release: A net decrease in ACL through the provision for credit losses.
Reported basis: Financial statements prepared under U.S. GAAP.
Results of operations that exclude certain impacts from gains or losses on sale, or one-time charges*: Represents GAAP items, excluding the impact of gains or losses on sales, or one-time charges (e.g., the loss on sale related to the sale of Citi’s consumer banking business in Australia).
Results of operations that exclude the impact of FX translation*: Represents GAAP items, excluding the impact of FX translation, whereby the prior periods’ foreign currency balances are translated into U.S. dollars at the current period’s conversion rates (also known as constant dollar).
Retail services: Citi’s U.S. retail services cards business with a portfolio of co-brand and private label relationships (including, among others, The Home Depot, Sears, Best Buy and Macy’s).
ROA*: Return on assets. Represents net income (annualized), divided by average assets for the period.
ROCE*: Return on Common Equity. Represents net income less preferred dividends (both annualized), divided by average common equity for the period.
ROE: Return on equity. Represents net income less preferred dividends (both annualized), divided by average Citigroup equity for the period.
RoTCE*: Return on tangible common equity. Represents net income less preferred dividends (both annualized), divided by average tangible common equity for the period.
RSU(s): Restricted stock units
RWA: Risk-weighted assets. Basel III establishes two comprehensive approaches for calculating RWA (the Standardized Approach and the Advanced Approaches), which include capital requirements for credit risk, market risk, and in the case of Basel III Advanced, also operational risk. Key differences in the calculation of credit risk RWA between the Standardized and Advanced approaches are that for Basel III Advanced, credit risk RWA is based on risk-sensitive approaches that largely rely on the use of internal credit models and parameters, whereas for Basel III Standardized, credit risk RWA is generally based on supervisory risk-weightings, which vary primarily by counterparty type and asset class. Market risk RWA is calculated on a generally consistent basis between Basel III Standardized Approach and Basel III Advanced Approaches.
S&P: Standard and Poor’s Global Ratings
SCB: Stress Capital Buffer
230

SCF: Subscription credit facility. SCFs are revolving credit facilities provided to private equity funds that are secured against the fund’s investors’ capital commitments.
SEC: The U.S. Securities and Exchange Commission
Securities financing agreements: Include resale, repurchase, securities borrowed and securities loaned agreements.
SLR: Supplementary Leverage ratio. Represents Tier 1 Capital divided by total leverage exposure.
SOFR: Secured Overnight Financing Rate
SPEs: Special purpose entities
Structured notes: Financial instruments whose cash flows are linked to the movement in one or more indexes, interest rates, foreign exchange rates, commodities prices, prepayment rates or other market variables. The notes typically contain embedded (but not separable or detachable) derivatives. Contractual cash flows for principal, interest or both can vary in amount and timing throughout the life of the note based on non-traditional indexes or non-traditional uses of traditional interest rates or indexes.
Tangible book value per share (TBVPS)*: Represents tangible common equity divided by EOP common shares outstanding.
Tangible common equity (TCE): Represents common stockholders’ equity less goodwill and identifiable intangible assets, other than MSRs.
Taxable-equivalent basis: Represents the total revenue, net of interest expense for the business, adjusted for revenue from investments that receive tax credits and the impact of tax-exempt securities. This metric presents results on a level comparable to taxable investments and securities.
TDR: Troubled debt restructuring. TDR is deemed to occur when the Company modifies the original terms of a loan agreement by granting a concession to a borrower that is experiencing financial difficulty. Loans with short-term and other insignificant modifications that are not considered concessions are not TDRs.
TLAC: Total loss-absorbing capacity
Total payout ratio*: Represents total common dividends declared plus common share repurchases as a percentage of net income available to common shareholders.
Transformation: Citi has embarked on a multiyear transformation, with the target outcome to change Citi’s business and operating models such that they simultaneously strengthen risk and controls and improve Citi’s value to customers, clients and shareholders.
Unaudited: Financial statements and information that have not been subjected to auditing procedures sufficient to permit an independent certified public accountant to express an opinion.

U.S. government agencies: U.S. government agencies include, but are not limited to, agencies such as Ginnie Mae and FHA, and do not include Fannie Mae and Freddie Mac, which are U.S. government-sponsored enterprises (U.S. GSEs). In general, obligations of U.S. government agencies are fully and explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government in the event of a default.
U.S. Treasury: U.S. Department of the Treasury
VAR: Value at risk. A measure of the dollar amount of potential loss from adverse market moves in an ordinary market environment.
VIEs: Variable interest entities
Wallet: Proportion of fee revenue based on estimates of investment banking fees generated across the industry (i.e., the revenue wallet) from investment banking transactions in M&A, equity and debt underwriting, and loan syndications.
231

EXHIBIT INDEX
Exhibit
NumberDescription of Exhibit
 
 
 
   
101.01+ 
Financial statements from the Quarterly Report on Form 10-Q of Citigroup for the quarterly period ended September 30, 2022, filed on November 4, 2022, formatted in Inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Stockholders’ Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to the Consolidated Financial Statements.
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.    



232

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