Citigroup
Annual Report 2022

Plain-text annual report

2022 ANNUAL REPORT Citi is proud of its colleagues in Ukraine, who are supporting the country through a devastating war. More than 20 years ago, I started at Citi as a market risk analyst in New York City. Since then, I have benefited from the career opportunities that come with being at a global bank and have worked across the world. In 2018, I took on the role of leading Citi’s franchise in Ukraine and have had the pleasure of making my home with my family in the beautiful city of Kyiv. At Citi, we like to think of ourselves as a “human bank,” and nowhere has that been more apparent than in Ukraine. When Russia invaded our country last year, the entire firm moved swiftly to support our colleagues and clients. Thanks to the courage and dedication of our Citi Ukraine team, our business here has operated continuously throughout the war. That’s allowed us to support clients on the ground who are overseeing essential services and the non-governmental organizations that are delivering aid. On the cover of this report, you will find some images illustrating these heroic efforts. I am also incredibly grateful to my Citi colleagues in Poland, Romania, Hungary and other neighboring countries who have received displaced Ukrainians and mobilized volunteer efforts. On top of that, so many members of the firm from around the world have found other ways to support us in Ukraine. Simply put, I could not be prouder to work at Citi. May 2023 bring peace to Ukraine. Alex McWhorter Citi Country Officer, Citi Ukraine Hear more from Alex and Citi Ukraine colleagues on the impact of the war. Europe, Middle East and Africa CEO David Livingstone (center left) and Alex McWhorter (center right) meet with Citi Ukraine colleagues during a visit to Poland. Citi’s Value Proposition A mission of enabling growth and economic progress What you can expect from us and what we expect from ourselves Citi’s mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients. We have more than 200 years of experience helping our clients meet the world’s toughest challenges and embrace its greatest opportunities. We are Citi, the global bank — an institution connecting millions of people across hundreds of countries and cities. We protect people’s savings and help them make the purchases — from everyday transactions to buying a home — that improve the quality of their lives. We advise people on how to invest for future needs, such as their children’s education and their own retirement, and help them buy securities such as stocks and bonds. We work with companies to optimize their daily operations, whether they need working capital, to make payroll or export their goods overseas. By lending to companies large and small, we help them grow, creating jobs and real economic value at home and in communities around the world. We provide financing and support to governments at all levels, so they can build sustainable infrastructure, such as housing, transportation, schools and other vital public works. These capabilities create an obligation to act responsibly, do everything possible to create the best outcomes and prudently manage risk. If we fall short, we will take decisive action and learn from our experience. We strive to earn and maintain the public’s trust by constantly adhering to the highest ethical standards. We ask our colleagues to ensure that their decisions pass three tests: they are in our clients’ interests, create economic value and are always systemically responsible. When we do these things well, we make a positive financial and social impact in the communities we serve and show what a global bank can do. 1 Letter to shareholders “ We have absolute clarity on our future, and we are focused on accelerating growth, gaining share and increasing returns for shareholders over time.” Jane Fraser Chief Executive Officer Dear shareholders, Looking back at 2022, I don’t think any of us could have predicted the twists and turns the year would take. Lingering disruptions to supply chains, historic inflationary pressures, persistent lockdowns in China and the largest war on European soil since World War II combined to create a tumultuous environment for businesses and financial markets. As a leading global bank with a more-than-210-year history, these dynamics are not unfamiliar to us. And as we showed throughout the pandemic, Citi is an important source of strength and stability during times of immense change and challenge. This is an opportunity and a responsibility we take very seriously. So, for me, 2022 will be remembered most for two things: The first is how we continued to support our clients. We helped them navigate macro and geopolitical dynamics. We advised them in their digital transformations and supported the shifts in their business models. We guided them in their transitions toward a clean-energy economy. When war broke out in Ukraine, we sprang to the aid of our employees and clients on the ground, and helped our multinational clients unwind their operations in Russia in response to Western sanctions aimed at the country. The second is the important strides we are making to position Citi to win in the decade ahead. In March 2022, at our first Investor Day in several years, we set a vision and refreshed our strategy to change our business mix and simplify our operating model. We have absolute clarity on our future, and we are focused on accelerating growth, gaining share and increasing returns for shareholders over time. By most measures, we ended the year in a stronger position than we started. A foundation for the future Our vision for Citi is to be the preeminent banking partner for institutions with cross-border needs, a global leader in wealth management and a valued personal bank in our home market. To that end, we have laid the foundation by focusing on five core interconnected businesses: Services, Markets, Banking, Global Wealth Management and U.S. Personal Banking. We intentionally designed our business mix to withstand different macroeconomic conditions, and we have seen that borne out over the past year. So whilst the environment has changed, our strategy has not, and we remain steadfast in executing and delivering for our shareholders. 2 For the year, we delivered $14.8 billion in net income on revenues of $75.3 billion. Our Return on Tangible Common Equity (RoTCE1) was 8.9%, and we remain on track to achieve an RoTCE of 11–12% in the medium term. We increased our Common Equity Tier 1 Capital ratio by nearly 80 basis points to 13%, which includes a buffer of 100 basis points above the regulatory requirement to help absorb the impact of various macro and other factors. Finally, our tangible book value per share1 increased to $81.65, and we returned more than $7 billion to our shareholders through common dividends and share repurchases. How our core businesses fared Our Services business had an exceptional year with revenues up 27% versus 2021. Treasury and Trade Solutions (TTS), the crown jewel of our global network, experienced a 32% increase in revenues as we continued to grow our wallet share with existing clients whilst also adding new client relationships. With the introduction of a seven-day sweeps service, the industry’s first 24/7 USD clearing capabilities and instant payments in 33 markets, we’re moving closer to an always-on, near real-time cash management solution for corporate clients. In Securities Services, we grew yearly revenues by 15% and onboarded $1.2 trillion in assets under custody and administration. Our Markets business closed 2022 with revenues up 7% from 2021, ending the year with one of the best fourth quarters in recent memory. Our traders navigated the volatility quite well, with notable performance amongst corporate clients and strong gains in FX and rates. And together with our Corporate Bank, our Markets team continued to optimize its balance sheet. Revenues in Banking fell 35% as we contended with a materially slower deal environment. But Banking remains a key part of our strategy, and we continued to play a leading role in the year’s notable transactions. This included acting as one of the lead advisors on Volkswagen’s €9.4 billion IPO of Porsche, the largest public listing of the year, and serving as financial advisor to Amgen on its proposed $27.8 billion acquisition of Horizon Therapeutics. We hired exceptional bankers in healthcare, clean energy and technology — all sectors critical to our growth — and welcomed new talent into our Commercial Bank as it has expanded into Canada, Germany and Switzerland. In U.S. Personal Banking, revenues for the year rose 7% as we bolstered our leadership in payments and lending. Branded Cards grew revenues by 9%, whilst Retail Services revenues were up 7%. We launched new credit cards with ExxonMobil and AT&T and celebrated 35 years of our co-branded credit 3 A year of progress Debuted a refreshed strategy for improving returns at Citi’s Investor Day Celebrated 35 years of the American Airlines co-branded credit card, a leading airline rewards credit card Served as one of the lead advisors on Porsche’s IPO and as financial advisor on Amgen’s proposed acquisition of Horizon Therapeutics Hired exceptional talent in Banking, Capital Markets and Advisory to strengthen coverage of growth sectors such as healthcare, clean energy and technology Built out digital capabilities in our market-leading Treasury and Trade Solutions business and launched a 24/7 payments clearing service Expanded the Private Bank to France and Germany, opened the first Citi Global Wealth Center in Hong Kong and established a Citi Global Wealth at Work presence in Luxembourg Onboarded $1.2 trillion of new assets under custody and administration in Securities Services Simplified our operating model by closing the sale of five consumer businesses and announced plans to end nearly all operations in Russia Strengthened connections between businesses resulting in more than 60,000 client referrals from the U.S. Personal Bank to Citi Global Wealth Grew Citi Commercial Bank by expanding into Canada, Germany and Switzerland and hiring talent to execute on our client-centric coverage model Enhanced risk and controls by improving stress test capabilities and our approval process for new products Implemented new performance management framework to drive excellence and accountability across the firm 4 5 card partnership with American Airlines. Revenues in Retail Banking were roughly flat for the full year, but we continued to enhance our digital capabilities, growing digital users by 6% for the year. And as part of our efforts to break down barriers to banking, last year we became the first of the largest U.S. banks to completely eliminate overdraft fees and returned item fees for our customers. We also made progress building out our Global Wealth Management business despite the economic headwinds that slowed activity amongst our Asia-based clients in particular and reduced overall revenues by 2%. Having unified our Wealth businesses under a single platform, we’ve been acquiring new clients and investing in hiring advisors to make sure we’re well-positioned for success as the markets recover. In addition, we forged ahead with our global expansion, opening Private Bank offices in Paris and Frankfurt, a new Wealth center in Hong Kong and a Citi Global Wealth at Work presence in Luxembourg. Greater connectivity and focus A centerpiece of our go-forward plan is increasing the linkages between our businesses so we can more easily engage clients in one part of our firm with products and services from another. By delivering the full power of Citi to clients, we can deepen existing relationships and win new mandates. Our Markets and Banking businesses are now aligned more closely than ever, and, as a result, we are supporting our clients in a more integrated way. Our Wealth business is also benefiting from closer connections and received more than 60,000 referrals from the Retail Bank last year. In addition, we have established a new partnership agreement between Wealth and our Commercial Bank, where 90% of our clients are privately owned companies. At the same time, we are making progress in simplifying our firm, making us easier to manage and allowing us to focus on the parts of our business where we know we can grow and improve our competitiveness. We announced our intention to exit 14 consumer businesses in Asia, Europe, the Middle East and Mexico — businesses that do not have clear synergies with our global network. As a result of swift but disciplined execution, in 2022 we successfully closed the sale of our consumer businesses in Australia, Bahrain, Malaysia, the Philippines and Thailand. In March 2023, we closed the sale of our consumer businesses in India and Vietnam and are on track to close two additional markets by the end of the year. We also are progressing with the wind-down of our consumer business in Korea. In addition to exiting our consumer and local commercial banking businesses in Russia, we are actively ending nearly all institutional banking services in the country, and by the second quarter of 2023, our only operations will be those necessary to fulfill any legal and regulatory obligations. Apart from Russia, Citi will continue to serve our clients and invest in these markets through our institutional franchise and our Wealth business. 6 Citi’s Transformation For our strategy to unlock the greatest possible value, we know we need to modernize our infrastructure so that we are scaled and agile and able to continue to deliver for our clients. The consent orders issued in 2020 by the Federal Reserve Board and Office of the Comptroller of the Currency underscored how we had underinvested not only in parts of our infrastructure but also in our risk and controls environment and our data governance. Last year, we made progress in accelerating our work to address these gaps and simplify and modernize our operating model for the digital age. This work is so consequential in nature that we call it our “Transformation.” It remains my number one priority. Whilst this is a multi-year journey, we are already seeing the fruits of our labors. We have dramatically streamlined our approval process for new products. And new stress testing capabilities enable us to make faster, better-informed risk decisions. This made a huge difference in how we have been able to minimize the impact of Russia’s invasion of Ukraine on all parts of our business. Investments in our people and communities Ensuring we have a culture characterized by excellence and accountability underpins the success of our Transformation and broader vision for the firm. Last year, we launched a program, Citi’s New Way, to help our colleagues adopt the everyday habits we need in order to operate with excellence. We have also hardwired accountability into our firm by strengthening our performance management process and implementing a greater emphasis on financial returns rather than on revenues. The diversity of the nearly 240,000 people who work at Citi is a distinguishing aspect of our firm, as is the diversity of our Board, which is majority female. We remain committed to a workplace that mirrors the communities we serve. In 2022, we set new goals to increase the number of women and other underrepresented groups working at Citi. These new goals follow our success in exceeding the three-year goals we set in 2018 to increase the percentage of women in the firm globally and of Black talent in the U.S. In another sign of our progress, last year we celebrated the promotion of one of the largest and most diverse Managing Director classes in recent years. Maintaining a workplace that is diverse, equitable and inclusive is not only true to our values but key to our competitiveness. Our commitment to advancing diversity, equity and inclusion goes well beyond Citi’s walls as we continue to use our resources as a global bank to take on some of society’s toughest challenges. We expanded the Citi Impact Fund to $500 million in support of diverse founders who are driving both financial and social returns. And we delivered on our commitment to transparency and accountability by announcing the findings from an external review and audit of our $1 billion Action for Racial Equity initiative to help close the racial wealth gap. Full year 2022 results and key metrics Key financial metrics Businesses snapshot REVENUES $75.3B NET INCOME $14.8B EPS $7.00 ROCE 7.7% RoTCE 8.9%1 SLR 5.8% CET1 CAPITAL RATIO 13.0%2 TOTAL SERVICES REVENUES  27% TOTAL MARKETS REVENUES  7% TOTAL BANKING REVENUES U.S. PERSONAL BANKING REVENUES  35% GLOBAL WEALTH MANAGEMENT REVENUES  2%  7% LEGACY FRANCHISES REVENUES  3% TTS revenues  32% YoY with further wallet share gains Securities Services  15% YoY with $1.2T of new client assets under custody and administration onboarded Key highlights Fixed Income revenues  13% YoY signaling our strengthened leadership position Cards revenues  8% YoY with double-digit growth in revenues and interest-earning balances in the second half Returned ~$7.3B in capital to shareholders in the form of common dividends and share repurchases Closed the sale of 5 non-strategic consumer exit markets3 We have also been a leader in reimagining the future of work. Drawing on lessons learned during the pandemic, we have institutionalized a hybrid work model for much of our firm. This approach provides the flexibility that our people want whilst also ensuring we benefit from the in-person collaboration, real-time coaching and apprenticeship that occurs only when we are physically together. Everywhere you look around the firm, there is an undeniable sense of momentum. We have never been clearer about the bank we want to be, and we have made significant progress over the past year in bringing this vision to life. Through our relentless commitment to excellence, we are changing the trajectory of Citi to close the gap with our competitors and deliver a new era of success for all our stakeholders. Sincerely, Jane Fraser Chief Executive Officer, Citigroup Inc. 1 RoTCE and tangible book value per share are non-GAAP financial measures. For more information, see page 40 of Citi’s 2022 Form 10-K. 2 Citi’s binding CET1 Capital ratio was derived under the Basel III Standardized Approach as of December 31, 2022. 3 Closed the sale of India and Vietnam consumer businesses in March 2023. 7 Confronting society’s toughest challenges Prioritized the safety of Citi colleagues in Ukraine while supporting clients and relief organizations on the ground. Provided more than 2.5 million households, including nearly 1 million women, access to essential goods and services in emerging markets. Mobilized over $3 billion in emerging market social finance activity, including access to finance, healthcare, digital connectivity, smallholder agriculture, reliable energy, water and sanitation. Became the first major U.S. bank to set a recruiting goal for LGBTQ+ candidates from colleges and universities around the globe. Became a founding member of the Biden administration’s Economic Opportunity Coalition focused on addressing economic disparities in underserved communities. Created a first-of-its-kind diverse financial institutions group to deepen our work with minority-owned firms. Advised the Egyptian government, in its role as COP27 president, on climate finance in Egypt and other developing countries. Expanded the Citi Impact Fund to $500 million more than tripling our initial commitment to invest in private companies helping to address societal challenges. Signed onto the Sustainable Steel Principles, the first framework for lenders to measure steel industry emissions. Committed $50 million through the Citi Foundation to nonprofits supporting community finance initiatives throughout the U.S. Financed nearly $6 billion in affordable housing projects in the U.S. Became the first major U.S. bank to eliminate overdraft fees. Volunteered over 115,000 hours across 84 countries and territories as part of Citi’s Global Community Day. Set 2030 emissions reductions targets for energy and power lending portfolios as part of Citi’s net zero commitment. 8 9 UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-K (Mark One) ☒ ☐ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 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) Delaware (State or other jurisdiction of incorporation or organization) 52-1568099 (I.R.S. Employer Identification No.) 388 Greenwich Street, New York NY (Address of principal executive offices) 10013 (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 Securities registered pursuant to Section 12(g) of the Act: none Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes x No o Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or 15(d) of the Act. Yes o No x 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 x No o 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 x No o Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, 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 o Indicate by check mark whether the Registrant has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued its audit report. ☒ If securities are registered pursuant to Section 12(b) of the Act, indicate by check mark whether the financial statements of the registrant included in the filing reflect the correction of an error to previously issued financial statements. o Indicate by check mark whether any of those error corrections are restatements that required a recovery analysis of incentive-based compensation received by any of the registrant’s executive officers during the relevant recovery period pursuant to §240.10D-1(b). o Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act). Yes ☐ No x The aggregate market value of Citigroup Inc. common stock held by non-affiliates of Citigroup Inc. on June 30, 2022 was approximately $88.9 billion. Number of shares of Citigroup Inc. common stock outstanding on January 31, 2023: 1,943,712,436 Documents Incorporated by Reference: Portions of the registrant’s proxy statement for the annual meeting of stockholders scheduled to be held on April 25, 2023 are incorporated by reference in this Form 10-K in response to Items 10, 11, 12, 13 and 14 of Part III. Available on the web at www.citigroup.com FORM 10-K CROSS-REFERENCE INDEX Item Number Part I 1. Business Page 9C. Disclosure Regarding Foreign Jurisdictions that Prevent Inspections Not Applicable 1–23, 122–128, 131, 163–164, 315–316 Part III 10. Directors, Executive Officers and Corporate Governance 319–321* 142–143, 170–172, 317–318 15. Exhibit and Financial Statement Schedules 1A. Risk Factors 41–54 1B. Unresolved Staff Comments Not Applicable 2. 3. Properties Not Applicable Legal Proceedings—See Note 29 to the Consolidated Financial Statements 298–304 4. Mine Safety Disclosures Not Applicable Part II 5. 6. 7. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities [Reserved] Management’s Discussion and Analysis of Financial Condition and Results of Operations 3–23, 60–121 7A. Quantitative and Qualitative Disclosures About Market Risk 60–121, 165–169, 189–232, 238–289 8. 9. Financial Statements and Supplementary Data 138–314 Changes in and Disagreements with Accountants on Accounting and Financial Disclosure Not Applicable 9A. Controls and Procedures 129–130 9B. Other Information Not Applicable 11. Executive Compensation 12. 13. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters Certain Relationships and Related Transactions, and Director Independence 14. Principal Accountant Fees and Services Part IV ** *** **** ***** * For additional information regarding Citigroup’s Directors, see “Corporate Governance” and “Proposal 1: Election of Directors” in the definitive Proxy Statement for Citigroup’s Annual Meeting of Stockholders scheduled to be held on April 25, 2023, to be filed with the SEC (the Proxy Statement), incorporated herein by reference. ** See “Compensation Discussion and Analysis,” “The Personnel and Compensation Committee Report,” and “2022 Summary Compensation Table and Compensation Information” and “CEO Pay Ratio” in the Proxy Statement, incorporated herein by reference, other than disclosure under the heading “Pay versus Performance” information responsive to Item 402(v) of Regulation S-K of SEC rules. *** See “About the Annual Meeting,” “Stock Ownership,” and “Equity Compensation Plan Information” in the Proxy Statement, incorporated herein by reference. **** See “Corporate Governance—Director Independence,” “—Certain Transactions and Relationships, Compensation Committee Interlocks and Insider Participation” and “—Indebtedness” in the Proxy Statement, incorporated herein by reference. ***** See “Proposal 2: Ratification of Selection of Independent Registered Public Accountants” in the Proxy Statement, incorporated herein by reference. CITIGROUP’S 2022 ANNUAL REPORT ON FORM 10-K OVERVIEW Citigroup Operating Segments MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Executive Summary Citi’s Consent Order Compliance Summary of Selected Financial Data Segment Revenues and Income (Loss) Segment Balance Sheet Institutional Clients Group Personal Banking and Wealth Management Legacy Franchises Corporate/Other CAPITAL RESOURCES RISK FACTORS SUSTAINABILITY AND OTHER ESG MATTERS HUMAN CAPITAL RESOURCES AND MANAGEMENT Managing Global Risk Table of Contents MANAGING GLOBAL RISK 1 2 3 3 6 8 10 11 12 18 20 23 24 41 54 57 59 60 SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES DISCLOSURE CONTROLS AND PROCEDURES MANAGEMENT’S ANNUAL REPORT ON INTERNAL CONTROL OVER FINANCIAL REPORTING FORWARD-LOOKING STATEMENTS REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (PCAOB ID # 185) FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS CONSOLIDATED FINANCIAL STATEMENTS NOTES TO CONSOLIDATED FINANCIAL STATEMENTS FINANCIAL DATA SUPPLEMENT SUPERVISION, REGULATION AND OTHER CORPORATE INFORMATION Executive Officers Citigroup Board of Directors GLOSSARY OF TERMS AND ACRONYMS 122 129 130 131 132 137 138 146 314 315 319 319 320 322 Non-GAAP Financial Measures Citi prepares its financial statements in accordance with U.S. GAAP and also presents certain non-GAAP financial measures (non-GAAP measures) that exclude certain items or otherwise include components that differ from the most directly comparable measures calculated in accordance with U.S. GAAP. Non-GAAP measures are provided as additional useful information to assess Citi’s financial condition and results of operations (including period-to-period operating performance). These non-GAAP measures are not intended as a substitute for GAAP financial measures and may not be defined or calculated the same way as non-GAAP measures with similar names used by other companies. For more information, including the reconciliation of these non-GAAP financial measures to their corresponding GAAP financial measures, see the respective sections where the measures are presented and described and the “Glossary of Terms and Acronyms” below. OVERVIEW Citigroup’s history dates back to the founding of the City Bank of New York in 1812. Citigroup is a global diversified financial services holding company whose businesses provide consumers, corporations, governments and institutions with a broad, yet focused, range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, trade and securities services and wealth management. Citi has approximately 200 million customer accounts and does business in nearly 160 countries and jurisdictions. At December 31, 2022, Citi had approximately 240,000 full-time employees, compared to approximately 223,400 full- time employees at December 31, 2021. For additional information, see “Human Capital Resources and Management” below. Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries. For a list of certain terms and acronyms used herein, see “Glossary of Terms and Acronyms” at the end of this report. All “Note” references correspond to the Notes to the Consolidated Financial Statements. Additional Information Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s recent 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 free of charge through Citi’s website by clicking on the “Investors” tab and selecting “SEC Filings.” The SEC’s website also contains these filings and other information regarding Citi at www.sec.gov. For a discussion of 2021 versus 2020 results of operations of Institutional Clients Group (ICG), Personal Banking and Wealth Management (PBWM), Legacy Franchises and Corporate/Other, see each respective business’s results of operations in Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2021 and its 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) (collectively referred to as Citigroup’s 2021 Annual Report on Form 10-K). Certain reclassifications have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation. Please see “Risk Factors” below for a discussion of material risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition. 1 Citigroup is managed pursuant to three operating segments: Institutional Clients Group, Personal Banking and Wealth Management and Legacy Franchises. Activities not assigned to the operating segments are included in Corporate/Other. Citigroup Operating Segments Institutional Clients Group (ICG) Personal Banking and Wealth Management (PBWM) Legacy Franchises • Services • U.S. Personal Banking • Asia Consumer Banking – Treasury and trade solutions (TTS) – Securities services • Markets – Equity markets – Fixed income markets • Banking – Investment banking – Corporate lending – Cards ◦ Branded cards ◦ Retail services – Retail banking • Global Wealth Management (Global Wealth) – Private bank – Wealth at Work – Citigold (Asia Consumer) – Retail banking and cards for the remaining 8 exit markets (China, India, Indonesia, Korea, Poland, Russia, Taiwan 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 operating segments and Corporate/Other above. Citigroup Regions(1) North America Europe, Middle East and Africa (EMEA) Latin America Asia (1) 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 As described further throughout this Executive Summary, Citi demonstrated continued progress across the franchise during 2022: • • • • • • Citi’s revenues increased 5% versus the prior year, including net gains on sales of Citi’s Philippines and Thailand consumer banking businesses versus a loss on sale of Citi’s Australia consumer banking business in the prior year. Excluding these divestiture-related impacts (see “2022 Results Summary” below), revenues increased 3%, driven by higher net interest income, partially offset by lower non-interest revenues. Citi’s expenses increased 6% versus the prior year, including divestiture-related impacts in both the current and prior years. Excluding these divestiture-related impacts (see “2022 Results Summary” below), expenses increased 8%, driven by continued investments in Citi’s transformation, business-led investments and volume- related expenses, as well as other risk and control investments and inflation, all partially offset by productivity savings, the impact of foreign exchange translation and the expense reduction from the closure of five exit markets (see also “Expenses” below). Citi’s cost of credit was $5.2 billion, versus $(3.8) billion in the prior year, largely reflecting a net build of $1.2 billion in the allowance for credit losses (ACL) for loans and unfunded commitments, primarily due to consumer loan growth and a deterioration in macroeconomic assumptions, compared to a net ACL release of $8.8 billion in the prior year. Citi returned $7.3 billion to common shareholders in the form of dividends and share repurchases. Citi’s Common Equity Tier 1 (CET1) Capital ratio increased to 13.0% as of December 31, 2022, compared to 12.2% as of December 31, 2021 (for additional information, see “Capital Resources” below). Citi’s required regulatory CET1 Capital ratio was 12.0% as of January 1, 2023, under the Basel III Standardized Approach. Citi made substantial progress on its consumer banking business divestitures in 2022, closing sales in five exit markets and working toward closing four additional sale transactions, as well as progressing with the ongoing wind-downs of the Korea consumer banking business and Russia consumer, local commercial and institutional businesses. 2022 Results Summary Citigroup Citigroup reported net income of $14.8 billion, or $7.00 per share, compared to net income of $22.0 billion, or $10.14 per share in the prior year. The decrease in net income was primarily driven by the higher cost of credit, resulting from loan growth in Personal Banking and Wealth Management (PBWM) and a deterioration in macroeconomic assumptions, 3 and the higher operating expenses, partially offset by the higher revenues. Citigroup’s effective tax rate was 19.4% in the current year versus 19.8% in the prior year. Earnings per share (EPS) decreased 31%, reflecting the decrease in net income, partially offset by a 4% decline in average diluted shares outstanding. As discussed above, results for 2022 included divestiture- related impacts of approximately $(184) million in after-tax earnings, substantially all of which were recorded in Legacy Franchises (for additional information, see discussion below). Collectively, divestiture-related impacts had a $0.09 negative impact on EPS. This compares to divestiture-related negative impacts on EPS of $0.80 in 2021. (As used throughout this Form 10-K, Citi’s results of operations and financial condition excluding the divestiture-related impacts are non-GAAP financial measures. Citi believes the presentation of its results of operations and financial condition excluding the divestiture- related impacts described above provides a meaningful depiction of the underlying fundamentals of its broader results and Legacy Franchises’ results for investors, industry analysts and others.) Results for 2022 included pretax divestiture-related impacts of approximately $82 million (approximately $(184) million after-tax), substantially all of which were recorded in Legacy Franchises, primarily consisting of the following: • • • • • Approximately $618 million Philippines gain on sale recorded in revenues Approximately $209 million Thailand gain on sale recorded in revenues Approximately $(64) million incremental Australia consumer business loss on sale recorded in revenues Approximately $535 million goodwill impairment recorded in expenses due to re-segmentation and timing of divestitures Approximately $161 million of aggregate divestiture- related costs Results for 2021 included pretax divestiture-related impacts of $(1.9) billion (approximately $(1.6) billion after- tax) in Legacy Franchises, which primarily consisted of the following: • • • Approximately $(694) million Australia loss on sale recorded in revenues Approximately $1.1 billion related to charges incurred from the voluntary early retirement program (VERP) in connection with the wind-down of the Korea consumer banking business recorded in expenses Contract modification costs related to the Asia divestitures of $119 million Citigroup revenues of $75.3 billion increased 5% versus the prior year. Excluding the divestiture-related impacts, revenues were up 3%, as the impact of higher interest rates across businesses and strong loan growth in PBWM were partially offset by declines in Banking in Institutional Clients Group (ICG) and Asia investment product revenue in Global Wealth Management (Global Wealth), as well as the reduction in revenues from the closure of five exit markets and ongoing wind-downs. Citigroup’s end-of-period loans were $657 billion, down 2% versus the prior year, largely driven by Legacy Franchises and the impact of foreign exchange translation. 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 banking businesses in Asia Consumer Banking (Asia Consumer), as well as the impact of the ongoing Korea and Russia wind-downs. Citigroup’s end-of-period deposits were $1.4 trillion, up 4% versus the prior year, largely driven by Treasury and trade solutions in ICG, partially offset by the impact of foreign exchange translation. Expenses Citigroup’s operating expenses of $51.3 billion increased 6% in 2022. Reported expenses included divestiture-related impacts of approximately $696 million in the current year and approximately $1.2 billion in the prior year, substantially all of which were recorded in Legacy Franchises. Excluding these divestiture-related impacts, expenses increased 8% versus the prior year, largely driven by the following: • • • • Approximately 2% 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% by business-led investments, as Citi continues to hire commercial and investment bankers, as well as client advisors in Global Wealth, and continues to invest in client experience, front-office platforms and onboarding. Approximately 1% by higher volume-related expenses across both PBWM and ICG. Approximately 3% by other risk and control investments and inflation, partially offset by a Revlon-related wire transfer recovery, productivity savings, the impact of foreign exchange translation and the expense reduction from the exit markets. Citi expects to incur higher expenses in 2023, primarily driven by transformation-related investments, volume-related expenses and inflation-related impacts. Cost of Credit Citi’s total provisions for credit losses and for benefits and claims was a cost of $5.2 billion, compared to a benefit of $3.8 billion in the prior year. Results in 2022 included net credit losses of $3.8 billion versus $4.9 billion in the prior year. The higher cost of credit was driven by the net build of $1.2 billion in the ACL for loans and unfunded commitments, compared to a net ACL release of $8.8 billion in the prior year, partially offset by the lower net credit losses. The net ACL build was primarily due to cards loan growth in PBWM and a deterioration in macroeconomic assumptions. For additional information on Citi’s ACL, see “Significant Accounting 4 Policies and Significant Estimates—Citi’s Allowance for Credit Losses (ACL)” below. Net credit losses of $3.8 billion decreased 23% from the prior year, largely driven by lower consumer net credit losses. Consumer net credit losses decreased 20% to $3.6 billion, reflecting low loss rates in the first half of 2022, followed by the ongoing normalization of losses toward pre-pandemic levels, particularly in Retail services cards business in PBWM. Corporate net credit losses decreased 54% to $178 million, largely driven by improvements in portfolio credit quality. Citi expects to incur higher net credit losses in 2023, primarily driven by continued normalization toward pre- pandemic levels, particularly in the cards business in PBWM. 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 13.0% as of December 31, 2022, compared to 12.2% as of December 31, 2021, based on the Basel III Standardized Approach for determining risk- weighted assets (RWA). The increase was primarily driven by net income, impacts from the closing of the Australia, Philippines and other Asia consumer banking business sales and business actions to reduce RWA, partially offset by the return of capital to common shareholders and interest rate impacts on Citigroup’s investment portfolio. 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 December 31, 2022 was 5.8%, compared to 5.7% as of December 31, 2021. The increase was driven by a decrease in Total Leverage Exposure, partly offset by lower Tier 1 Capital. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below. Citi has continued to pause common share repurchases in order to absorb any temporary capital impacts related to any potential signing of a sale agreement for its Mexico Consumer and Small Business and Middle-Market Banking (Mexico Consumer/SBMM) business (for additional information, see “Macroeconomic and Other Risks and Uncertainties” and the capital return risk factor in “Risk Factors” below) and to continue to have ample capital to serve its clients. Institutional Clients Group ICG net income of $10.7 billion decreased 25%, driven by a net ACL release in the prior year, versus a net ACL build in the current year, and higher expenses, partially offset by higher revenues. ICG operating expenses of $26.3 billion increased 10%, primarily driven by continued investment in Citi’s transformation, business-led investments and volume- related expenses, partially offset by a Revlon-related wire transfer recovery, the impact of foreign exchange translation and productivity savings. ICG revenues of $41.2 billion increased 3% (including losses on loan hedges), as revenue growth in Services and Markets was partially offset by lower revenues in Banking. Results included a gain on loan hedges of $307 million, compared with a loss on loan hedges of $140 million in the prior year. Services revenues of $16.0 billion increased 27%. Treasury and trade solutions (TTS) revenues of $12.2 billion increased 32%, driven by 46% growth in net interest income and 10% growth in non-interest revenue. The strong performance in TTS was driven by the benefit of higher interest rates, as well as business actions, including balance sheet optimization and managing deposit pricing, deepening of relationships with existing clients and an increase in new clients across segments. Securities services revenues of $3.9 billion increased 15%, as net interest income increased 59%, driven by higher interest rates across currencies, as well as the impact of foreign exchange translation, partially offset by a 1% decrease in non-interest revenue due to the impact of lower global financial markets. Markets revenues of $19.1 billion increased 7% versus the prior year, largely driven by Fixed income markets, partially offset by lower client activity levels in Equity markets, as well as business actions to reduce RWA. Fixed income markets revenues of $14.6 billion increased 13%, driven by strength in rates and currencies. Equity markets revenues of $4.6 billion were down 9%, largely reflecting reduced client activity in equity derivatives versus the prior year. Banking revenues of $6.1 billion decreased 35%, including the gain on loan hedges in the current year and loss on loan hedges in the prior year. Excluding the gain and loss on loan hedges, Banking revenues of $5.8 billion decreased 39%, driven by lower revenues in Investment banking and Corporate lending. Investment banking revenues of $3.1 billion decreased 53%, as heightened macroeconomic uncertainty and volatility continued to impact client activity. Excluding the gain and loss on loan hedges, Corporate lending revenues decreased 8% versus the prior year, driven by the impact of foreign currency translation, higher cost of funds and higher hedging costs. For additional information on the results of operations of ICG in 2022, see “Institutional Clients Group” below. Personal Banking and Wealth Management PBWM net income of $3.3 billion decreased 57% versus the prior year, largely driven by a net ACL release in the prior year versus a net ACL build in the current year, as well as higher expenses. PBWM operating expenses of $16.3 billion increased 11%, primarily driven by continued investments in Citi’s transformation, other risk and control initiatives, volume-related expenses and business-led investments, partially offset by productivity savings. PBWM revenues of $24.2 billion increased 4% versus the prior year, 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 product revenue in Global Wealth and higher partner payments in Retail services. U.S. Personal Banking revenues of $16.8 billion increased 7% versus the prior year. Branded cards revenues of $8.9 billion increased 9%, driven by higher net interest income. In Branded cards, new account acquisitions increased 11%, card spend volumes increased 16% and average loans increased 11%. Retail services revenues of $5.5 billion increased 7%, 5 driven by higher net interest income, partially offset by higher partner payments. Retail banking revenues of $2.5 billion were largely unchanged versus the prior year, as higher interest income and modest deposit growth were offset by lower mortgage revenues due to fewer mortgage originations. Global Wealth revenues of $7.4 billion decreased 2% versus the prior year, as investment product revenue headwinds, particularly in Asia, more than offset net interest income growth from higher interest rates and higher loan and deposit volumes. For additional information on the results of operations of PBWM in 2022, see “Personal Banking and Wealth Management” below. Legacy Franchises Legacy Franchises net loss of $12 million compared to net income of $1 million in the prior year, primarily driven by higher cost of credit, partially offset by lower expenses and higher revenues, primarily reflecting the Philippines and Thailand gains on sales in the current year and the Australia loss on sale in the prior year. Legacy Franchises expenses of $7.8 billion decreased 6%, largely driven by the absence of the Korea VERP charge in the prior year and the benefit from closing the five exit markets, partially offset by the $535 million goodwill impairment, an approximate $70 million impairment of long-lived assets related to the Russia consumer banking business and $156 million of other aggregate divestiture-related costs. Legacy Franchises revenues of $8.5 billion increased 3% versus the prior year, primarily driven by the Philippines and Thailand gains on sale versus the Australia loss on sale in the prior year. Excluding these divestiture-related impacts, revenues decreased 15%, primarily driven by the reduction in revenues from the closings of the five exit markets, as well as the impact of the ongoing Korea and Russia wind-downs. For additional information on the results of operations of Legacy Franchises in 2022, see “Legacy Franchises” below. Corporate/Other Corporate/Other net income was $879 million, compared to a net loss of $8 million in the prior year, reflecting higher revenue and lower expenses, partially offset by lower income tax benefits, as well as the second quarter of 2022 release of a CTA (cumulative translation adjustment) loss (net of hedges) from Accumulated other comprehensive income (loss) (AOCI) related to the substantial liquidation of a legacy U.K. consumer operation, recorded in discontinued operations. Corporate/Other operating expenses of $953 million decreased 31%, primarily driven by lower consulting expenses and the impact of certain legal settlements. Corporate/Other revenues of $1.4 billion increased from $0.5 billion in the prior year, driven by higher net interest income, primarily from the investment portfolio, partially offset by lower non-interest revenue, primarily due to the absence of mark-to-market gains in the prior year as well as higher hedging costs. For additional information on the results of operations of Corporate/Other in 2022, see “Corporate/Other” 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 rates increases, with additional increases expected in the near term. In addition to causing a humanitarian crisis, the war in Ukraine continues to disrupt energy and food markets. An economic rebound in China remains uncertain, due to the ongoing impacts from COVID-19, the amount of leverage in its economy and stress in the property sector. These and other factors have adversely affected financial markets, negatively impacted global economic growth rates, contributed to lower consumer confidence and 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, expenses and results during 2023. In addition, Citi could incur a significant loss on sale in 2023, due to CTA losses (net of hedges) in AOCI, goodwill write-offs and other AOCI loss components, related to the potential signing of a sale agreement for any of its remaining consumer banking divestitures. The majority of these losses would be regulatory capital neutral at closing. 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 2023, see “2022 Results Summary” above and “Risk Factors,” each respective business’s results of operations and “Managing Global Risk,” including “Managing Global Risk—Other Risks —Country Risk—Russia,” below. CITI’S CONSENT ORDER COMPLIANCE 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. This includes efforts to effectively implement the October 2020 Federal Reserve Board (FRB) and Office of the Comptroller of the Currency (OCC) consent orders issued to Citigroup and Citibank, respectively. In the second quarter of 2021, Citi made an initial submission to the OCC, and submitted its plans to address the consent orders to both regulators during the third quarter of 2021. Citi continues to work constructively with the regulators and provides to both regulators on an ongoing basis additional information regarding its plans and progress. Citi will continue to reflect their feedback in its project plans and execution efforts. As discussed above, Citi’s efforts include continued investments in its transformation, including the remediation of its consent orders. Citi’s CEO has made the strengthening of Citi’s risk and control environment a strategic priority and has established a Chief Administrative Officer organization to centralize program management. In addition, the Citigroup and Citibank Boards of Directors each formed a Transformation Oversight Committee, an ad hoc committee of each Board, to provide oversight of management’s remediation efforts under the consent orders. The Citi Board of Directors has determined that Citi’s plans are responsive to the Company’s objectives and that progress continues to be made on execution of the plans. For additional information about the consent orders, see “Risk Factors—Compliance Risks” below and Citi’s Current Report on Form 8-K filed with the SEC on October 7, 2020. 6 This page intentionally left blank. 7 RESULTS OF OPERATIONS SUMMARY OF SELECTED FINANCIAL DATA Citigroup Inc. and Consolidated Subsidiaries In millions of dollars, except per share amounts 2022 2021 2020 2019 2018 Net interest income Non-interest revenue Revenues, net of interest expense Operating expenses Provisions for credit losses and for benefits and claims Income from continuing operations before income taxes Income taxes Income from continuing operations Income (loss) from discontinued operations, net of taxes Net income before attribution of noncontrolling interests Net income attributable to noncontrolling interests Citigroup’s net income Earnings per share Basic Income from continuing operations Net income Diluted Income from continuing operations Net income Dividends declared per common share Common dividends Preferred dividends(1) Common share repurchases $ $ $ $ $ $ $ $ $ 48,668 $ 42,494 $ 44,751 $ 48,128 $ 26,670 29,390 30,750 26,939 75,338 $ 71,884 $ 75,501 $ 75,067 $ 51,292 5,239 48,193 (3,778) 44,374 17,495 42,783 8,383 18,807 $ 27,469 $ 13,632 $ 23,901 $ 3,642 5,451 2,525 4,430 15,165 $ 22,018 $ 11,107 $ 19,471 $ 47,744 26,292 74,036 43,023 7,568 23,445 5,357 18,088 (231) 7 (20) (4) (8) 14,934 $ 22,025 $ 11,087 $ 19,467 $ 18,080 89 73 40 66 35 14,845 $ 21,952 $ 11,047 $ 19,401 $ 18,045 7.16 $ 7.04 10.21 $ 10.21 7.11 $ 10.14 $ 7.00 2.04 10.14 2.04 4.75 $ 4.74 4.73 $ 4.72 2.04 8.08 $ 8.08 8.04 $ 8.04 1.92 4,028 $ 4,196 $ 4,299 $ 4,403 $ 1,032 3,250 1,040 7,600 1,095 2,925 1,109 17,875 6.69 6.69 6.69 6.68 1.54 3,865 1,174 14,545 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 2022 2021 2020 2019 2018 At December 31: Total assets Total deposits Long-term debt Citigroup common stockholders’ equity Total Citigroup stockholders’ equity Average assets Direct staff (in thousands) Performance metrics $ 2,416,676 $ 2,291,413 $ 2,260,090 $ 1,951,158 $ 1,917,383 1,365,954 1,317,230 1,280,671 1,070,590 1,013,170 271,606 182,194 201,189 254,374 182,977 201,972 271,686 179,962 199,442 248,760 175,262 193,242 231,999 177,760 196,220 2,396,023 2,347,709 2,226,454 1,978,805 1,920,242 240 223 210 200 204 Return on average assets Return on average common stockholders’ equity(2) Return on average total stockholders’ equity(2) Return on tangible common equity (RoTCE)(3) Efficiency ratio (total operating expenses/total revenues, net) 0.62 % 0.94 % 0.50 % 0.98 % 0.94 % 7.7 7.5 8.9 68.1 11.5 10.9 13.4 67.0 5.7 5.7 6.6 58.8 10.3 9.9 12.1 57.0 9.4 9.1 11.0 58.1 Basel III ratios CET1 Capital(4) Tier 1 Capital(4) Total Capital(4) Supplementary Leverage ratio Citigroup common stockholders’ equity to assets Total Citigroup stockholders’ equity to assets Dividend payout ratio(5) Total payout ratio(6) Book value per common share Tangible book value (TBV) per share(3) 13.03 % 12.25 % 11.51 % 11.79 % 11.86 % 14.80 15.46 5.82 7.54 % 8.33 29 53 13.91 16.04 5.73 7.99 % 8.81 20 56 13.06 15.33 6.99 7.96 % 8.82 43 73 13.33 15.87 6.20 13.43 16.14 6.40 8.98 % 9.27 % 9.90 24 122 10.23 23 109 75.05 63.79 $ 94.06 $ 92.21 $ 86.43 $ 82.90 $ 81.65 79.16 73.67 70.39 (1) Certain series of preferred stock have semiannual payment dates. See Note 21. (2) The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity. (3) 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 Returns on Equity” below. (4) Citi’s binding CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach as of December 31, 2022, 2021, 2019 and 2018, and were derived under the Basel III Advanced Approaches framework as of December 31, 2020. Citi’s binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented. (5) Dividends declared per common share as a percentage of net income per diluted share. (6) 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 10 and “Equity Security Repurchases” below for the component details. 9 SEGMENT REVENUES AND INCOME (LOSS) REVENUES In millions of dollars Institutional Clients Group Personal Banking and Wealth Management Legacy Franchises Corporate/Other 2022 2021 2020 % Change 2022 vs. 2021 % Change 2021 vs. 2020 $ 41,206 $ 39,836 $ 24,217 23,327 8,472 1,443 8,251 470 41,093 25,140 9,454 (186) 3 % 4 3 NM 5 % (3) % (7) (13) NM (5) % Total Citigroup net revenues $ 75,338 $ 71,884 $ 75,501 NM Not meaningful INCOME In millions of dollars Income (loss) from continuing operations 2022 2021 2020 % Change 2022 vs. 2021 % Change 2021 vs. 2020 Institutional Clients Group $ 10,738 $ 14,308 $ Personal Banking and Wealth Management Legacy Franchises Corporate/Other Income from continuing operations Discontinued operations Less: Net income attributable to noncontrolling interests Citigroup’s net income NM Not meaningful (25) % (57) — NM (31) % NM 22 % (32) % 32 % NM 94 98 98 % NM 83 % 99 % 3,319 (9) 1,117 7,734 (9) (15) 10,811 1,322 (142) (884) $ $ $ 15,165 $ 22,018 $ 11,107 (231) $ 89 7 $ 73 (20) 40 14,845 $ 21,952 $ 11,047 10 SEGMENT BALANCE SHEET(1)—DECEMBER 31, 2022 In millions of dollars Assets Cash and deposits with banks, net of allowance Securities borrowed and purchased under agreements to resell, net of allowance Trading account assets Investments, net of allowance Loans, net of unearned income and allowance for credit losses on loans Other assets, net of allowance Net intersegment liquid assets(4) Total assets Liabilities and equity Total deposits Securities loaned and sold under agreements to repurchase Trading account liabilities Short-term borrowings Long-term debt(3) Other liabilities Net intersegment funding (lending)(3) Institutional 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 $ 108,289 $ 6,411 $ 3,251 $ 224,074 $ — $ 342,025 364,673 319,376 140,613 425 2,250 303 639 73 1,516 279,337 324,260 36,650 111,477 25,559 27,764 406,143 134,852 26,592 — 11,849 384,380 — 43,507 (567,587) — — — — — — 365,401 334,114 526,582 640,247 208,307 — $ 1,729,908 $ 493,830 $ 96,715 $ 96,223 $ — $ 2,416,676 $ 845,364 $ 437,813 $ 50,994 $ 31,783 $ — $ 1,365,954 199,895 168,550 34,785 93,219 99,353 80 2,469 1,636 2 189 258 4 75 14,514 27,868 288,742 39,596 15,047 — 203 12,305 11,866 15,356 24,061 — — — 166,257 — (367,446) 202,444 170,647 47,096 271,606 157,091 — Total liabilities Total stockholders’ equity(5) Total liabilities and equity $ 1,729,908 $ 493,830 $ 96,715 $ 95,574 $ (201,189) $ 2,214,838 — — — 649 201,189 201,838 $ 1,729,908 $ 493,830 $ 96,715 $ 96,223 $ — $ 2,416,676 (1) The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reportable segment and component. 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) Total stockholders’ equity and the majority of long-term debt of Citigroup are reflected on the Citigroup parent company balance sheet (see Notes 18 and 30). Citigroup allocates stockholders’ equity and long-term debt to its businesses through intersegment 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. ICG’s revenue is generated primarily from fees and spreads associated with these activities. ICG earns fee income for assisting clients with transactional services and clearing and providing brokerage and investment banking services and other such activities. Such fees are recognized at the point in time when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the trade/execution date or closing of a transaction. Revenue generated from these activities is recorded in Commissions and fees and Investment banking fees. Revenue is also generated from assets under custody and administration, which is recognized as/when the associated promised service is satisfied, which normally occurs at the point in time the service is requested by the customer and provided by Citi. Revenue generated from these activities is primarily recorded in Administration and other fiduciary fees. For additional information on these various types of revenues, see Note 5. In addition, as a market maker, ICG facilitates transactions, including holding product inventory to meet client demand, and earns the differential between the price at which it buys and sells the products. These price differentials and the unrealized gains and losses on the inventory are recorded in Principal transactions. Mark-to-market gains and losses on certain credit derivatives (used to economically hedge the corporate loan portfolio) are also recorded in Principal transactions (for additional information on Principal transactions revenue, see Note 6). Other primarily includes realized gains and losses on available-for-sale (AFS) debt securities, gains and losses on equity securities not held in trading accounts and other non-recurring gains and losses. Interest income earned on assets held, less interest paid on long- and short-term debt, secured funding transactions and customers deposits, is recorded as Net interest income. The amount and types of Markets revenues are impacted by a variety of interrelated factors, including market liquidity; changes in market variables such as interest rates, foreign exchange rates, equity prices, commodity prices and credit spreads, as well as their implied volatilities; investor confidence and other macroeconomic conditions. Assuming all other market conditions do not change, increases in client activity levels or bid/offer spreads generally result in increases in revenues. However, changes in market conditions can significantly impact client activity levels, bid/offer spreads and the fair value of product inventory. For example, a decrease in market liquidity may increase bid/offer spreads, decrease client activity levels and widen credit spreads on product inventory positions. ICG’s management of the Markets businesses involves daily monitoring and evaluation of the above factors at the trading desk as well as the country level. In the Markets businesses, client revenues are those revenues directly attributable to client transactions at the time of inception, including commissions, interest or fees earned. Client revenues do not include the results of client facilitation activities (e.g., holding product inventory in anticipation of client demand) or the results of certain economic hedging activities. 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, the estimated cost to be incurred in relation to this action is approximately $80 million (excluding the impact from any portfolio sales), primarily through 2024. 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 December 31, 2022, ICG had $1.7 trillion in assets and $845 billion in deposits. Securities services managed $22.2 trillion in assets under custody and administration at December 31, 2022, of which Citi provided both custody and administrative services to certain clients related to $1.9 trillion of such assets. Managed assets under trust were $4.0 trillion at December 31, 2022. For additional information on these operations, see “Administration and Other Fiduciary Fees” in Note 5. In millions of dollars, except as otherwise noted 2022 2021 2020 Commissions and fees Administration and other fiduciary fees Investment banking fees(1) Principal transactions Other Total non-interest revenue Net interest income (including dividends) Total revenues, net of interest expense Total operating expenses(2) $ 4,404 $ 4,300 $ 2,684 3,573 13,633 (999) 2,693 6,709 9,763 1,372 3,961 2,348 4,982 12,916 1,136 $ 23,295 $ 24,837 $ 25,343 17,911 41,206 26,299 $ $ 14,999 39,836 23,949 $ $ 15,750 41,093 22,336 $ $ 12 % Change 2022 vs. 2021 % Change 2021 vs. 2020 2 % 9 % — (47) 40 NM (6) % 19 3 % 10 % 15 35 (24) 21 (2) % (5) (3) % 7 % Net credit losses on loans Credit reserve build (release) for loans Provision (release) for credit losses on unfunded lending commitments Provisions for credit losses on HTM debt securities and other assets Provisions (releases) for credit losses Income from continuing operations before taxes Income taxes $ $ $ 152 478 187 94 911 13,996 3,258 $ 356 $ (2,093) 877 2,582 (753) 1,390 — 20 $ $ (2,490) $ 4,869 18,377 $ 13,888 4,069 3,077 Income from continuing operations $ 10,738 $ 14,308 $ 10,811 Noncontrolling interests Net income Balance Sheet data (in billions of dollars) EOP assets Average assets Efficiency ratio Average loans by reporting unit (in billions of dollars) Services Banking Markets Total Average deposits by reporting unit (in billions of dollars) TTS Securities services Services Markets and Banking Total 79 83 50 $ 10,659 $ 14,225 $ 10,761 $ 1,730 $ 1,613 $ 1,716 64 % 1,669 60 % 1,592 1,566 54 % $ $ $ $ $ $ $ $ $ 82 196 13 291 675 133 808 22 $ $ $ $ 75 196 16 287 670 135 805 23 830 $ 828 $ 70 217 11 298 646 108 754 26 780 (57) % NM NM — NM (24) % (20) (25) % (5) (25) % 7 % 3 9 % — (19) 1 % 1 % (1) — % (4) — % (59) % NM NM 100 NM 32 % 32 32 % 66 32 % 1 % 7 7 % (10) 45 (4) % 4 % 25 7 % (12) 6 % Investment banking fees are substantially composed of underwriting and advisory revenues. (1) (2) 2020 includes an approximate $390 million operational loss related to certain legal matters. 2022 includes a Revlon-related wire transfer recovery. NM Not meaningful 13 ICG Revenue Details In millions of dollars Services Net interest income Non-interest revenue Total Services revenues Net interest income Non-interest revenue TTS revenues Net interest income Non-interest revenue Securities services revenues Markets Net interest income Non-interest revenue Total Markets revenues(1) Fixed income markets Equity markets Total Markets revenues Rates and currencies Spread products / other fixed income Total Fixed income markets revenues Banking Net interest income Non-interest revenue Total Banking revenues Investment banking Advisory Equity underwriting Debt underwriting Total Investment banking revenues Corporate lending (excluding gains (losses) on loan hedges)(2) Total Banking revenues (excluding gains (losses) on loan hedges)(2) Gain (loss) on loan hedges(2) Total Banking revenues (including gains (losses) on loan hedges)(2) Total ICG revenues, net of interest expense 2022 2021 2020 % Change 2022 vs. 2021 % Change 2021 vs. 2020 $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ 9,722 $ 6,300 6,595 $ 5,987 7,581 5,165 16,022 $ 12,582 $ 12,746 8,306 $ 3,857 12,163 $ 1,416 $ 2,443 3,859 $ 5,164 $ 13,949 19,113 $ 14,555 $ 4,558 19,113 $ 11,743 $ 2,812 5,706 $ 3,509 9,215 $ 889 $ 2,478 3,367 $ 5,161 $ 12,715 17,876 $ 12,880 $ 4,996 17,876 $ 8,793 $ 4,087 14,555 $ 12,880 $ 3,025 $ 3,046 6,071 $ 3,243 $ 6,135 9,378 $ 1,365 $ 1,796 $ 611 1,133 2,249 2,586 3,109 $ 6,631 $ 6,524 3,004 9,528 1,057 2,161 3,218 5,182 15,932 21,114 17,040 4,074 21,114 12,057 4,983 17,040 2,987 4,246 7,233 1,010 1,423 2,173 4,606 47 % 5 27 % 46 % 10 32 % 59 % (1) 15 % — % 10 7 % 13 % (9) 7 % 34 % (31) 13 % (7) % (50) (35) % (24) % (73) (56) (53) % 2,655 $ 2,887 $ 2,686 (8) % 5,764 $ 9,518 $ 307 (140) 7,292 (59) 6,071 $ 9,378 $ 41,206 $ 39,836 $ 7,233 41,093 (39) % NM (35) % 3 % (13) % 16 (1) % (13) % 17 (3) % (16) % 15 5 % — % (20) (15) % (24) % 23 (15) % (27) % (18) (24) % 9 % 44 30 % 78 % 58 19 44 % 7 % 31 % NM 30 % (3) % (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 by 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. Gain (loss) on loan hedges include the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the impact of gain (loss) on loan hedges are non-GAAP financial measures. NM Not meaningful 14 The discussion of the results of operations for ICG below excludes (where noted) the impact of any gain (loss) on hedges of accrual loans, which are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above. 2022 vs. 2021 Net income of $10.7 billion decreased 25%, primarily driven by substantially higher cost of credit and higher expenses, partially offset by higher revenues. Revenues increased 3% (including gain (loss) on loan hedges), primarily reflecting higher Services and Markets revenues, partially offset by lower Banking revenues. Services revenues were up 27%, driven by higher revenues in both TTS and Securities services. Markets revenues were up 7%, primarily driven by higher Fixed income markets revenues, partially offset by lower Equity markets revenues and the impact of business actions taken to reduce RWA. Banking revenues were down 35% (39% excluding the impact of gain (loss) on loan hedges), reflecting lower revenues in both Investment banking and Corporate lending. Citi expects that revenues in its Markets and Investment banking businesses will continue to reflect the overall market environment during 2023. Within Services: • • TTS revenues increased 32%, driven by 46% growth in net interest income and 10% growth in non-interest revenue, driven by deepening of existing client relations and gaining new clients across 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, higher average deposits and higher average loans. Average deposits grew 1%, as volume growth was partially offset by the impact of foreign exchange translation. Average loans grew 11%, primarily driven by the strength in trade flows in Asia and Latin America, partially offset by loan sales in North America. Strong non-interest revenues growth across both cash and trade businesses reflected client engagement and growth from underlying drivers, including higher U.S. dollar clearing volumes (up 2%), cross-border flows (up 11%) and commercial card spend (up 49%). Securities services revenues increased 15%, primarily driven by an increase in net interest income, reflecting higher interest rates across currencies as well as the impact of foreign exchange translation. Non-interest revenues decreased 1%, due to the impact of foreign exchange translation and lower fees in the custody business tied to lower assets under custody and administration (decline of 7%), 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 and new client onboarding of $1.2 trillion in assets under custody and administration. Average deposits declined 7%, due to clients seeking higher rate alternatives. Within Markets: • Fixed income markets revenues increased 13%, driven by growth in rates and currencies across all regions, due to strong corporate and investor client engagement, partially 15 • • offset by a decline in spread products, primarily driven by North America. Rates and currencies revenues increased 34%, reflecting increased market volatility, driven by rising interest rates and quantitative tightening, as central banks responded to elevated levels of inflation. Spread products and other fixed income revenues decreased 31%, due to continued lower client activity across spread products and a challenging credit market due to widening spreads for most of the year. The decline in spread products and other fixed income revenues was partially offset by strength in commodities, particularly with corporate clients, as the business assisted those clients in managing risk associated with the increased volatility. Equity markets revenues decreased 9%, driven by equity derivatives, primarily reflecting lower activity by both corporate and institutional clients compared to a strong prior year. The lower revenues also reflected a decline in equity cash, driven by lower client activity. Within Banking: • • Investment banking revenues were down 53%, reflecting a significant decline in the overall market wallet and loss in wallet share, as heightened macroeconomic uncertainty and volatility continued to impact client activity. Advisory revenues decreased 24%, reflecting a decline in North America and EMEA, driven by the decline in the market wallet as well as loss in wallet share. Equity and debt underwriting revenues decreased 73% and 56% respectively, reflecting a decline in North America, EMEA and Asia and driven by the decline in the market wallet as well as wallet share loss. The decline in debt underwriting revenues also reflected markdowns on loan commitments and losses on loan sales. Corporate lending revenues increased 8%, including the impact of gain (loss) on loan hedges. Excluding the impact of gain (loss) on loan hedges, revenues decreased 8%, primarily driven by the impacts of foreign currency translation, higher cost of funds 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 a Revlon- related wire transfer recovery, the impact of foreign exchange translation and productivity savings. Provisions were $911 million, compared to a benefit of $2.5 billion in the prior year, driven by an ACL build, partially offset by lower net credit losses. Net credit losses declined to $152 million, compared to $356 million in the prior year, driven by improvements in portfolio credit quality. The ACL build was $759 million, compared to a release of $2.8 billion in the prior year. The ACL build was primarily driven by a deterioration in macroeconomic assumptions. 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 and “Risk Factors” and “Managing Global Risk—Other Risks—Country Risk—Argentina” and “—Russia” below. 16 This page intentionally left blank. 17 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 the following proprietary portfolios: Cash, Rewards and Value portfolios and co-branded cards (including, among others, American Airlines and Costco) within Branded cards, and 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 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 December 31, 2022, U.S. Personal Banking had 654 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Los Angeles, San Francisco, Miami and Washington, D.C. U.S. Personal Banking had $151 billion in outstanding credit card balances, $113 billion in deposits and $37 billion in retail banking loans. At December 31, 2022, Global Wealth had $325 billion in deposits, $84 billion in mortgage loans, $61 billion in personal and small business loans and $5 billion in outstanding credit card balances. In millions of dollars, except as otherwise noted 2022 2021 2020 % Change 2022 vs. 2021 % Change 2021 vs. 2020 Net interest income Non-interest revenue Total revenues, net of interest expense Total operating expenses Net credit losses on loans Credit reserve build (release) for loans Provision (release) for credit losses on unfunded lending commitments Provisions for benefits and claims (PBC), and other assets Provisions (release) for credit losses and PBC Income from continuing operations before taxes Income taxes Income from continuing operations Noncontrolling interests Net income Balance Sheet data (in billions of dollars) EOP assets Average assets Average loans Average deposits Efficiency ratio Net credit losses as a percentage of average loans Revenue by reporting unit and component Branded cards Retail services Retail banking U.S. Personal Banking Private bank Wealth at Work Citigold Global Wealth Total NM Not meaningful $ 22,656 $ 20,646 $ 22,326 $ $ $ $ $ $ $ $ 1,561 24,217 16,258 3,021 707 11 15 3,754 4,205 886 $ $ $ $ $ $ $ $ 2,681 23,327 14,610 3,061 (4,284) (16) 15 (1,224) $ 9,941 $ 2,207 3,319 $ 7,734 $ — — 2,814 25,140 13,599 5,229 4,613 26 17 9,885 1,656 334 1,322 — 3,319 $ 7,734 $ 1,322 $ 494 476 321 435 67 % 0.94 $ 464 467 307 417 63 % 1.00 453 454 304 358 54 % 1.72 $ 8,892 $ 8,190 $ 5,450 2,501 16,843 2,762 730 3,882 7,374 24,217 $ $ $ $ 5,082 2,506 15,778 2,943 691 3,915 7,549 23,327 $ $ $ $ $ $ $ $ 8,799 5,965 2,790 17,554 2,882 677 4,027 7,586 25,140 18 10 % (42) 4 % 11 % (1) % NM NM — NM (58) % (60) (57) % — (57) % (8) % (5) (7) % 7 % (41) % NM NM (12) NM NM NM NM — % NM 6 % 2 % 2 5 4 9 % 7 — 7 % (6) % 6 (1) (2) % 4 % 3 1 16 (7) % (15) (10) (10) % 2 % 2 (3) — % (7) % The net ACL build was $0.7 billion, compared to a net release of $4.3 billion in the prior year, primarily driven by U.S. Cards loan growth and a deterioration in macroeconomic assumptions. 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, and its 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 “Risk Factors” below. 2022 vs. 2021 Net income was $3.3 billion, compared to $7.7 billion in the prior year, reflecting significantly higher cost of credit and higher expenses, partially offset by higher revenues. Revenues increased 4%, 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 product revenue in Global Wealth and higher partner payments in Retail services resulting from higher revenues. U.S. Personal Banking revenues increased 7%, reflecting higher revenues in cards. Cards revenues increased 8%. Branded cards revenues increased 9%, primarily driven by higher net interest income on higher loan balances. Branded cards new account acquisitions increased 11% and card spend volume increased 16%. Average loans increased 11%, reflecting the higher card spend volumes. Retail services revenues increased 7%, primarily driven by higher net interest income on higher loan balances and lower payment rates, partially offset by the increase in partner payments. The increase in partner payments reflected higher income sharing as a result of higher revenues (for additional information on partner payments, see Note 5). Retail services credit card spend volume increased 8% and average loans increased 6%, reflecting the higher card spend volumes. Retail banking revenues were largely unchanged, as the higher interest rates and modest deposit growth were offset by lower mortgage revenues due to fewer mortgage originations, driven by the higher interest rates. Average deposits increased 3%, largely reflecting higher levels of consumer liquidity in the first half of 2022. Global Wealth revenues decreased 2%, reflecting investment product revenue headwinds, particularly in Asia, driven by overall market volatility, partially offset by net interest income growth, driven by higher interest rates and higher loan and deposit volumes. Average loans increased 2% and average deposits increased 5%. Client assets decreased 8%, primarily driven by declines in equity market valuations. Global Wealth advisors increased 4% during 2022. Private bank revenues decreased 6%, Citigold revenues decreased 1% and Wealth at Work revenues increased 6%. Expenses increased 11%, primarily driven by continued investments in Citi’s transformation, other risk and control initiatives, volume-related expenses and business-led investments, partially offset by productivity savings. Provisions were $3.8 billion, compared to a benefit of $1.2 billion in the prior year, largely driven by a net ACL build. Net credit losses decreased 1%, driven by historically low loss rates experienced in the first half of 2022, followed by the ongoing normalization of losses toward pre-pandemic levels, particularly in Retail services (net credit losses up 7% to $1.3 billion). Branded cards net credit losses declined 17% to $1.4 billion. 19 LEGACY FRANCHISES As of December 31, 2022, Legacy Franchises included (i) Asia Consumer Banking (Asia Consumer), representing the consumer banking operations of the remaining eight Asia and EMEA exit countries; (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). 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 traditional middle- market banking products and services to commercial customers through Citibanamex. Legacy Franchises also included the following consumer banking businesses prior to their sale: Australia, until its closing on June 1, 2022; the Philippines, until its closing on August 1, 2022; Thailand and Malaysia, until their closings on November 1, 2022; and Bahrain, until its closing on December 1, 2022. In addition, Citi has entered into agreements to sell its consumer banking businesses in India, Indonesia, Taiwan and Vietnam, and announced its wind-down of consumer banking operations in Korea and China and consumer banking and local commercial banking operations in Russia (see below). In December 2022, Citi announced the pursuit of sales of portfolios within its China consumer banking business, subject to applicable regulations. See Note 2 for additional information on Legacy Franchises’ consumer banking business sales and wind-downs. As previously disclosed, Citi announced the wind-down of its consumer banking and local commercial banking operations in Russia, including its active pursuit of sales of certain Russia consumer banking portfolios. In connection with this wind-down plan, Citi expects to incur approximately $110 million in costs (excluding the impact from any portfolio sales), primarily through 2024, largely driven by restructuring, vendor termination fees and other related charges. In December 2022, Citi (i) sold a portfolio of ruble- denominated personal installment loans, totaling approximately $240 million in outstanding loan balances as of the fourth quarter of 2022 and (ii) entered into a referral agreement to settle a portfolio of ruble-denominated credit card loans, subject to customer consents; the outstanding card loans balance was approximately $219 million as of the fourth quarter of 2022. For additional information about Citi’s continued efforts to reduce its operations and exposure in Russia, see “Institutional Clients Group” above and “Risk Factors” and “Managing Global Risk—Other Risks—Country Risk—Russia” below. At December 31, 2022, on a combined basis, Legacy Franchises had 1,438 retail branches, $23 billion in retail banking loans and $51 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 $12 billion of loans ($9 billion of retail banking loans and $3 billion of credit card loan balances) and approximately $16 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 India, Indonesia, Taiwan and Vietnam. See Note 2 for additional information. 20 In millions of dollars, except as otherwise noted 2022 2021 2020 % Change 2022 vs. 2021 % Change 2021 vs. 2020 (9) % 39 3 % (6) % (58) % 86 NM (9) NM NM NM — % NM NM (22) % (13) (42) (33) 12 % 2 NM 3 % (10) % (19) (13) % 20 % (2) % NM NM 14 NM NM NM 94 % (67) 101 % (5) % (1) (23) (16) (21) % (5) (24) (13) % $ $ $ $ $ $ $ $ $ Net interest income Non-interest revenue Total revenues, net of interest expense Total operating expenses Net credit losses on loans Credit reserve build (release) for loans Provision (release) for credit losses on unfunded lending commitments Provisions for benefits and claims (PBC), HTM debt securities and other assets Provisions (releases) for credit losses and PBC Income (loss) from continuing operations before taxes Income taxes Income (loss) from continuing operations Noncontrolling interests Net income (loss) Balance Sheet data (in billions of dollars) EOP assets Average assets EOP loans EOP deposits Efficiency ratio Revenue by reporting unit and component Asia Consumer Mexico Consumer/SBMM Legacy Holdings Assets Total NM Not meaningful 5,691 $ 6,250 $ 2,781 8,472 7,782 616 (229) 93 91 571 119 128 $ $ $ $ $ $ $ $ 2,001 8,251 8,259 1,478 (1,621) (19) 100 $ 54 63 (9) $ (9) $ 3 (10) (12) $ 1 $ 97 $ 110 38 51 $ 125 127 65 76 6,973 2,481 9,454 6,890 1,505 1,116 30 88 (175) (33) (142) (6) (136) 131 128 84 90 (62) $ 2,739 92 % 100 % 73 % $ 3,811 $ 3,405 $ 4,751 (90) 4,651 195 $ 8,472 $ 8,251 $ 4,311 4,885 258 9,454 21 Provisions were $571 million, compared to a benefit of $62 million in the prior year, primarily driven by a lower net ACL release, partially offset by lower net credit losses. Net credit losses decreased 58%, 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 the aforementioned consumer banking businesses in Asia Consumer. The net ACL release was $136 million, compared to a net release of $1.6 billion in the prior year. The continued release primarily reflected further improvement in portfolio credit quality. 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 and “Risk Factors” and “Managing Global Risk—Other Risks—Country Risk— Russia” below. 2022 vs. 2021 Net loss was $12 million, compared to net income of $1 million in the prior year, primarily driven by higher cost of credit, partially offset by lower expenses and higher revenues. Results for 2022 included divestiture-related impacts of approximately $87 million (approximately $(180) million after-tax), which primarily consisted of (i) an approximate $618 million Philippines gain on sale recorded in revenues, (ii) an approximate $209 million Thailand gain on sale recorded in revenues, (iii) an approximate $(64) million incremental Australia consumer banking loss on sale recorded in revenues, (iv) an approximate $535 million goodwill impairment recorded in expenses and (v) an approximate $156 million of other aggregate divestiture-related costs. Results for 2021 included divestiture-related impacts of approximately $(1.9) billion (approximately $(1.6) billion after-tax), which primarily consisted of (i) an approximate $(694) million Australia loss on sale recorded in revenues, (ii) an approximate $1.1 billion related to charges incurred from the voluntary early retirement program (VERP) in connection with the wind-down of the Korea consumer banking business recorded in expenses and (iii) contract modification costs related to the Asia divestitures of approximately $119 million recorded in expenses. Revenues increased 3%, primarily driven by higher revenues in Asia Consumer and Mexico Consumer/SBMM, partially offset by lower Legacy Holdings Assets revenues. Asia Consumer revenues increased 12%, primarily driven by the Philippines and Thailand gains on sale, versus the Australia loss on sale in the prior year, partially offset by the loss of revenues from the closing of the five exit markets and impacts of the ongoing Korea and Russia wind-downs. Mexico Consumer/SBMM revenues increased 2%, as cards revenues in Mexico Consumer increased 7% and SBMM revenues increased 9%, primarily due to higher interest rates and higher deposit and loan growth. The increase in revenues was partially offset by a 1% decrease in retail banking revenues, primarily driven by lower fiduciary fees reflecting declines in equity market valuations. Legacy Holdings Assets revenues of $(90) million decreased from $195 million in the prior year, largely driven by a CTA loss (net of hedges) recorded in AOCI in the second quarter of 2022, 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 Holdings Assets. Expenses decreased 6%, primarily driven by the absence of the $1.2 billion divestiture-related costs in the prior year, including the Korea VERP of approximately $1.1 billion and contract modification costs related to Asia divestiture markets of approximately $119 million, and the benefit from the closing of the five exit markets. The decline was partially offset by an approximate $535 million goodwill impairment in the first quarter of 2022, an approximate $70 million impairment of long-lived assets related to the Russia consumer banking business in the second quarter of 2022 and approximately $156 million of other aggregate divestiture- related costs. 22 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 December 31, 2022, Corporate/Other had $96 billion in assets, primarily related to the investment securities. In millions of dollars Net interest income Non-interest revenue Total revenues, net of interest expense Total operating expenses Provisions (releases) for HTM debt securities and other assets Income (loss) from continuing operations before taxes Income taxes (benefits) Income (loss) from continuing operations Income (loss) from discontinued operations, net of taxes Net income (loss) before attribution of noncontrolling interests Noncontrolling interests Net income (loss) NM Not meaningful 2022 2021 2020 % Change 2022 vs. 2021 % Change 2021 vs. 2020 $ $ $ $ $ $ $ $ 2,410 $ (967) 1,443 $ 953 $ 3 $ 487 $ (630) 1,117 $ (231) 886 $ 7 879 $ 599 $ (129) 470 $ (298) 112 (186) NM NM NM 1,375 $ 1,549 (31) % (2) $ (903) $ (888) (15) $ 7 (8) $ — (8) $ 2 (1,737) (853) (884) (20) (904) (4) (900) NM NM 29 % NM NM NM — % NM NM NM NM (11) % NM 48 % (4) 98 % NM 99 % 100 99 % 2022 vs. 2021 Net income was $879 million, compared to a net loss of $8 million in the prior year, reflecting higher revenues and lower expenses, partially offset by lower income tax benefits and a 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 were $1.4 billion, compared to $470 million in the prior year, driven by higher net interest income, partially offset by lower non-interest revenue. The higher net interest income was primarily due to the investment portfolio driven by higher balances, higher interest rates and lower mortgage- backed securities prepayments, partially offset by higher cost of funds related to higher institutional certificates of deposit. The lower non-interest revenue was primarily due to the absence of mark-to-market gains in the prior year as well as higher hedging costs. Expenses decreased 31%, primarily driven by lower consulting expenses and the impact of certain legal settlements. For additional information about trends, uncertainties and risks related to Corporate/Other’s future results, see “Executive Summary” above and “Risk Factors” below. 23 CAPITAL RESOURCES Overview Capital is used principally to support assets in Citi’s businesses and to absorb potential losses, including credit, market and operational losses. Citi primarily generates capital through earnings from its operating businesses. Citi may augment its capital through issuances of common stock and noncumulative perpetual preferred stock, among other issuances. Further, Citi’s capital levels may also be affected by changes in accounting and regulatory standards, as well as the impact of future events on Citi’s business results, such as the signing or closing of divestitures and changes in interest and foreign exchange rates. During 2022, Citi returned a total of $7.3 billion of capital to common shareholders in the form of $4.0 billion in dividends and $3.3 billion in share repurchases totaling approximately 56 million common shares. Citi has continued to pause common share repurchases in order to absorb any temporary capital impacts related to any potential signing of a sale agreement for its Mexico Consumer and Small Business and Middle-Market Banking (Mexico Consumer/SBMM) business (for additional information, see “Executive Summary —Macroeconomic and Other Risks and Uncertainties” above) and to continue to have ample capital to serve its clients. For additional information on capital-related trends, uncertainties and risks related to Citi’s exit businesses, including the impact of CTA losses, see “Executive Summary” above and “Risk Factors—Strategic Risks” and “—Operational Risks” below. Capital Management Citi’s capital management framework is designed to ensure that Citigroup and its principal subsidiaries maintain sufficient capital consistent with each entity’s respective risk profile, management targets and all applicable regulatory standards and guidelines. Citi assesses its capital adequacy against a series of internal quantitative capital goals, designed to evaluate its capital levels in expected and stressed economic environments. Underlying these internal quantitative capital goals are strategic capital considerations, centered on preserving and building financial strength. The Citigroup Capital Committee, with oversight from the Risk Management Committee of Citigroup’s Board of Directors, has responsibility for Citi’s aggregate capital structure, including the capital assessment and planning process, which is integrated into Citi’s capital plan. Balance sheet management, including oversight of capital adequacy, for Citigroup and its subsidiaries is governed by each entity’s Asset and Liability Committee, where applicable. For additional information regarding Citi’s capital planning and stress testing exercises, see “Stress Testing Component of Capital Planning” below. Current Regulatory Capital Standards Citi is subject to regulatory capital rules issued by the Federal Reserve Board (FRB), in coordination with the OCC and FDIC, including the U.S. implementation of the Basel III rules (for information on potential changes to the Basel III rules, see “Basel III Revisions” below). These rules establish an integrated capital adequacy framework, encompassing both risk-based capital ratios and leverage ratios. Risk-Based Capital Ratios The U.S. Basel III rules set forth the composition of regulatory capital (including the application of regulatory capital adjustments and deductions), as well as two comprehensive methodologies (a Standardized Approach and Advanced Approaches) for measuring total risk-weighted assets. Total risk-weighted assets under the Standardized Approach include credit and market risk-weighted assets, which are generally prescribed supervisory risk weights. Total risk-weighted assets under the Advanced Approaches, which are primarily model based, include credit, market and operational risk-weighted assets. As a result, credit risk- weighted assets calculated under the Advanced Approaches are more risk sensitive than those calculated under the Standardized Approach. Market risk-weighted assets are currently calculated on a generally consistent basis under both the Standardized and Advanced Approaches. The Standardized Approach does not include operational risk- weighted assets. Under the U.S. Basel III rules, Citigroup is required to maintain several regulatory capital buffers above the stated minimum capital requirements to avoid certain limitations on capital distributions and discretionary bonus payments to executive officers. Accordingly, for the fourth quarter of 2022, Citigroup’s required regulatory CET1 Capital ratio was 11.5% under the Standardized Approach (incorporating its Stress Capital Buffer of 4.0% and GSIB (global systemically important bank) surcharge of 3.0%) and 10.0% under the Advanced Approaches (inclusive of the fixed 2.5% Capital Conservation Buffer and GSIB surcharge of 3.0%). In addition, commencing January 1, 2023, Citi’s GSIB surcharge increased from 3.0% to 3.5%, which is applicable to both the Standardized and Advanced Approaches, resulting in a required 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, see “GSIB Surcharge” below). Similarly, Citigroup’s primary subsidiary, Citibank, N.A. (Citibank), is required to maintain minimum regulatory capital ratios plus applicable regulatory buffers, as well as hold sufficient capital to be considered “well capitalized” under the Prompt Corrective Action framework. In effect, Citibank’s required CET1 Capital ratio was 7.0% under both the Standardized and Advanced Approaches, which is the sum of the minimum 4.5% CET1 requirement and a fixed 2.5% Capital Conservation Buffer. For additional information, see “Regulatory Capital Buffers” and “Prompt Corrective Action Framework” below. Further, the U.S. Basel III rules implement the “capital floor provision” of the Dodd-Frank Act (the so-called “Collins Amendment”), which requires banking organizations to calculate “generally applicable” capital requirements. As a result, Citi must calculate each of the three risk-based capital ratios (CET1 Capital, Tier 1 Capital and Total Capital) under both the Standardized Approach and the Advanced Approaches and comply with the more binding of each of the resulting risk-based capital ratios. 24 Tier 1 Leverage Ratio Under the U.S. Basel III rules, Citigroup is also required to maintain a minimum Tier 1 Leverage ratio of 4.0%. Similarly, Citibank is required to maintain a minimum Tier 1 Leverage ratio of 5.0% to be considered “well capitalized” under the Prompt Corrective Action framework. The Tier 1 Leverage ratio, a non-risk-based measure of capital adequacy, is defined as Tier 1 Capital as a percentage of quarterly adjusted average total assets less amounts deducted from Tier 1 Capital. Supplementary Leverage Ratio Citi is also required to calculate a Supplementary Leverage ratio (SLR), which differs from the Tier 1 Leverage ratio by including certain off-balance sheet exposures within the denominator of the ratio (Total Leverage Exposure). The SLR represents end-of-period Tier 1 Capital to Total Leverage Exposure. Total Leverage Exposure is defined as the sum of (i) the daily average of on-balance sheet assets for the quarter and (ii) the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter, less applicable Tier 1 Capital deductions. Advanced Approaches banking organizations are required to maintain a stated minimum SLR of 3.0%. Further, U.S. GSIBs, including Citigroup, are subject to a 2.0% leverage buffer in addition to the 3.0% stated minimum SLR requirement, resulting in a 5.0% SLR. If a U.S. GSIB fails to exceed this requirement, it will be subject to increasingly stringent restrictions (depending upon the extent of the shortfall) on capital distributions and discretionary executive bonus payments. Similarly, Citibank is required to maintain a minimum SLR of 6.0% to be considered “well capitalized” under the Prompt Corrective Action framework. Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology In 2020, the U.S. banking agencies issued a final rule that modified the regulatory capital transition provision related to the current expected credit losses (CECL) methodology. The rule does not have any impact on U.S. GAAP accounting. The rule permitted banks to delay for two years the “Day One” adverse regulatory capital effects resulting from adoption of the CECL methodology on January 1, 2020 until January 1, 2022, followed by a three-year transition to phase out the regulatory capital benefit provided by the delay. In addition, for the ongoing impact of CECL, the agencies utilized a 25% scaling factor as an approximation of the increased reserve build under CECL compared to the previous incurred loss model and, therefore, allowed banks to add back to CET1 Capital an amount equal to 25% of the change in CECL-based allowances in each quarter between January 1, 2020 and December 31, 2021. Beginning January 1, 2022, the cumulative 25% change in CECL-based allowances between January 1, 2020 and December 31, 2021 started to be phased in to regulatory capital (i) at 25% per year on January 1 of each year over the three-year transition period and (ii) along with the delayed Day One impact. Citigroup and Citibank elected the modified CECL transition provision provided by the rule. Accordingly, the Day One regulatory capital effects resulting from adoption of 25 the CECL methodology, as well as the ongoing adjustments for 25% of the change in CECL-based allowances in each quarter between January 1, 2020 and December 31, 2021, started to be phased in on January 1, 2022 and will be fully reflected in Citi’s regulatory capital as of January 1, 2025. As of December 31, 2022, Citigroup’s reported CET1 Capital ratio of 13.0% benefited from the deferrals of the CECL transition provision by 24 basis points. For additional information on Citigroup’s and Citibank’s regulatory capital ratios excluding the impact of the CECL transition provision, see “Capital Resources (Full Adoption of CECL)” below. Regulatory Capital Buffers Citigroup and Citibank are required to maintain several regulatory capital buffers above the stated minimum capital requirements. These capital buffers would be available to absorb losses in advance of any potential impairment of regulatory capital below the stated minimum regulatory capital ratio requirements. Banking organizations that fall below their regulatory capital buffers are subject to limitations on capital distributions and discretionary bonus payments to executive officers based on a percentage of “Eligible Retained Income” (ERI), with increasing restrictions based upon the severity of the breach. ERI is equal to the greater of (i) the bank’s net income for the four calendar quarters preceding the current calendar quarter, net of any distributions and tax effects not already reflected in net income, and (ii) the average of the bank’s net income for the four calendar quarters preceding the current calendar quarter. As of December 31, 2022, Citi’s regulatory capital ratios exceeded the regulatory capital requirements. Accordingly, Citi is not subject to payout limitations as a result of the U.S. Basel III requirements. Stress Capital Buffer Citigroup is subject to the FRB’s Stress Capital Buffer (SCB) rule, which integrates the annual stress testing requirements with ongoing regulatory capital requirements. The SCB equals the peak-to-trough CET1 Capital ratio decline under the Supervisory Severely Adverse scenario over a nine-quarter period used in the Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST), plus four quarters of planned common stock dividends, subject to a floor of 2.5%. SCB-based capital requirements are reviewed and updated annually by the FRB as part of the CCAR process. For additional information regarding CCAR and DFAST, see “Stress Testing Component of Capital Planning” below. The fixed 2.5% Capital Conservation Buffer will continue to apply under the Advanced Approaches (for additional information, see below). In August 2022, the FRB finalized and announced Citi’s 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 GSIB surcharge of 3.0%. Previously, from October 1, 2021 through September 30, 2022, Citi had been subject to a 3.0% SCB, and a 10.5% required regulatory CET1 Capital ratio effective January 1, 2025). The following table presents Citi’s effective GSIB surcharge as determined under method 1 and method 2 during 2022 and 2021: Method 1 Method 2 2022 2021 2.0 % 3.0 2.0 % 3.0 Citi’s GSIB surcharge effective during both 2022 and 2021 was 3.0%, as derived under the higher method 2 result. Citi’s GSIB surcharge effective for 2023 has increased from 3.0% to 3.5%, as derived under the higher method 2 result. Citi expects that its method 2 GSIB surcharge will continue to remain higher than its method 1 GSIB surcharge. Accordingly, based on Citi’s method 2 result as of December 31, 2021 and its estimated method 2 result as of December 31, 2022, Citi’s GSIB surcharge is expected to remain at 3.5% effective January 1, 2024. Citi’s GSIB surcharge effective for 2025 will likely be based on the lower of its method 2 scores for year-end 2022 and 2023 and, therefore, is not expected to exceed 3.5%. Prompt Corrective Action Framework In general, the Prompt Corrective Action (PCA) regulations direct the U.S. banking agencies to enforce increasingly strict limitations on the activities of insured depository institutions that fail to meet certain regulatory capital thresholds. The PCA framework contains five categories of capital adequacy as measured by risk-based capital and leverage ratios: (i) “well capitalized,” (ii) “adequately capitalized,” (iii) “undercapitalized,” (iv) “significantly undercapitalized” and (v) “critically undercapitalized.” Accordingly, an insured depository institution, such as Citibank, must maintain minimum CET1 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.” In addition, insured depository institution subsidiaries of U.S. GSIBs, including Citibank, must maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.” Citibank was “well capitalized” as of December 31, 2022. Furthermore, to be “well capitalized” under current federal bank regulatory agency definitions, a bank holding company must have a Tier 1 Capital ratio of at least 6.0%, a Total Capital ratio of at least 10.0% and not be subject to a FRB directive to maintain higher capital levels. under the Standardized Approach. 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. Capital Conservation Buffer and Countercyclical Capital Buffer Citigroup is subject to a fixed 2.5% Capital Conservation Buffer under the Advanced Approaches. Citibank is subject to the fixed 2.5% Capital Conservation Buffer under both the Advanced Approaches and the Standardized Approach. In addition, Advanced Approaches banking organizations, such as Citigroup and Citibank, are subject to a discretionary Countercyclical Capital Buffer. The Countercyclical Capital Buffer is currently set at 0% by the U.S. banking agencies. GSIB Surcharge The FRB imposes a risk-based capital surcharge upon U.S. bank holding companies that are identified as GSIBs, including Citi. The GSIB surcharge augments the SCB, Capital Conservation Buffer and, if invoked, any Countercyclical Capital Buffer. A U.S. bank holding company that is designated a GSIB is required, on an annual basis, to calculate a surcharge using two methods and is subject to the higher of the resulting two surcharges. The first method (“method 1”) is based on the Basel Committee’s GSIB methodology. Under the second method (“method 2”), the substitutability category under the Basel Committee’s GSIB methodology is replaced with a quantitative measure intended to assess a GSIB’s reliance on short-term wholesale funding. In addition, method 1 incorporates relative measures of systemic importance across certain global banking organizations and a year-end spot foreign exchange rate, whereas method 2 uses fixed measures of systemic importance and application of an average foreign exchange rate over a three-year period. The GSIB surcharges calculated under both method 1 and method 2 are based on measures of systemic importance from the year immediately preceding that in which the GSIB surcharge calculations are being performed (e.g., the method 1 and method 2 GSIB surcharges calculated during 2022 will be based on 2021 systemic indicator data). Generally, Citi’s surcharge determined under method 2 will result in a higher surcharge than its surcharge determined under method 1. Should a GSIB’s systemic importance change year-over- year, such that it becomes subject to a higher GSIB surcharge, the higher surcharge would become effective on January 1 of the year that is one full calendar year after the increased GSIB surcharge was calculated (e.g., a higher surcharge calculated in 2024 using data as of December 31, 2023 would not become effective until January 1, 2026). However, if a GSIB’s systemic importance changes such that the GSIB would be subject to a lower surcharge, the GSIB would be subject to the lower surcharge on January 1 of the year immediately following the calendar year in which the decreased GSIB surcharge was calculated (e.g., a lower surcharge calculated in 2024 using data as of December 31, 2023 would become 26 Both CCAR and DFAST include an estimate of projected revenues, losses, reserves, pro forma regulatory capital ratios and any other additional capital measures deemed relevant by Citi. Projections are required over a nine-quarter planning horizon under two supervisory scenarios (baseline and severely adverse conditions). All risk-based capital ratios reflect application of the Standardized Approach framework under the U.S. Basel III rules. In addition, Citibank is required to conduct the annual Dodd-Frank Act Stress Test. The annual stress test consists of a forward-looking quantitative evaluation of the impact of stressful economic and financial market conditions under several scenarios on Citibank’s regulatory capital. This program serves to inform the Office of the Comptroller of the Currency as to how Citibank’s regulatory capital ratios might change during a hypothetical set of adverse economic conditions and to ultimately evaluate the reliability of Citibank’s capital planning process. Citigroup and Citibank are required to disclose the results of their company-run stress tests. Stress Testing Component of Capital Planning Citi is subject to an annual assessment by the FRB as to whether Citigroup has effective capital planning processes as well as sufficient regulatory capital to absorb losses during stressful economic and financial conditions, while also meeting obligations to creditors and counterparties and continuing to serve as a credit intermediary. This annual assessment includes two related programs: the Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST). For the largest and most complex firms, such as Citi, CCAR includes a qualitative evaluation of a firm’s abilities to determine its capital needs on a forward-looking basis. In conducting the qualitative assessment, the FRB evaluates firms’ capital planning practices, focusing on six areas of capital planning: governance, risk management, internal controls, capital policies, incorporating stressful conditions and events, and estimating impact on capital positions. As part of the CCAR process, the FRB evaluates Citi’s capital adequacy, capital adequacy process and its planned capital distributions, such as dividend payments and common share repurchases. The FRB assesses whether Citi has sufficient capital to continue operations throughout times of economic and financial market stress and whether Citi has robust, forward-looking capital planning processes that account for its unique risks. All CCAR firms, including Citi, are subject to a rigorous evaluation of their capital planning process. Firms with weak practices may be subject to a deficient supervisory rating, and potentially an enforcement action, for failing to meet supervisory expectations. For additional information regarding CCAR, see “Risk Factors—Strategic Risks” below. DFAST is a forward-looking quantitative evaluation of the impact of stressful economic and financial market conditions on Citi’s regulatory capital. This program serves to inform the FRB and the general public as to how Citi’s regulatory capital ratios might change using a hypothetical set of adverse economic conditions as designed by the FRB. In addition to the annual supervisory stress test conducted by the FRB, Citi is required to conduct annual company-run stress tests under the same adverse economic conditions designed by the FRB. 27 Citigroup’s Capital Resources The following table presents Citi’s required risk-based capital ratios as of December 31, 2022, September 30, 2022 and December 31, 2021: CET1 Capital ratio(1) Tier 1 Capital ratio(1) Total Capital ratio(1) Advanced Approaches Standardized Approach December 31, 2022 September 30, 2022 December 31, 2021 December 31, 2022 September 30, 2022 December 31, 2021 10.0 % 11.5 13.5 10.0 % 11.5 13.5 10.0 % 11.5 % 11.5 13.5 13.0 15.0 10.5 % 12.0 14.0 10.5 % 12.0 14.0 (1) Beginning October 1, 2022, Citi’s required risk-based capital ratios included the 4.0% 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 CET1 Capital). For prior periods presented, Citi’s required risk-based capital ratios included the 3.0% 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. Commencing January 1, 2023, Citi’s GSIB surcharge increased from 3.0% to 3.5%, which is applicable to both the Standardized Approach and Advanced Approaches. See “Regulatory Capital Buffers” above for more information. The following tables present Citi’s capital components and ratios as of December 31, 2022, September 30, 2022 and December 31, 2021: In millions of dollars, except ratios CET1 Capital(1) Tier 1 Capital(1) Total Capital (Tier 1 Capital + Tier 2 Capital)(1) Total Risk-Weighted Assets Credit Risk(1) Market Risk Operational Risk CET1 Capital ratio(2) Tier 1 Capital ratio(2) Total Capital ratio(2) Advanced Approaches Standardized Approach December 31, 2022 September 30, 2022 December 31, 2021 December 31, 2022 September 30, 2022 December 31, 2021 $ 148,930 $ 144,567 $ 149,305 $ 148,930 $ 144,567 $ 149,305 169,145 164,830 169,568 169,145 164,830 169,568 188,839 185,046 194,006 197,543 193,871 203,838 1,221,538 1,226,578 1,209,374 1,142,985 1,176,749 1,219,175 $ 851,875 $ 849,769 $ 840,483 $ 1,069,992 $ 1,096,384 $ 1,135,906 71,889 297,774 78,748 298,061 78,634 290,257 72,993 — 80,365 — 83,269 — 12.19 % 11.79 % 12.35 % 13.03 % 12.29 % 12.25 % 13.85 15.46 13.44 15.09 14.02 16.04 14.80 17.28 14.01 16.48 13.91 16.72 In millions of dollars, except ratios Quarterly Adjusted Average Total Assets(1)(3) Total Leverage Exposure(1)(4) Tier 1 Leverage ratio Supplementary Leverage ratio Required Capital Ratios December 31, 2022 September 30, 2022 December 31, 2021 $ 2,395,863 $ 2,364,564 $ 2,906,773 2,888,535 4.0% 5.0 7.06 % 5.82 6.97 % 5.71 2,351,434 2,957,764 7.21 % 5.73 (1) Citi’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the CECL standard. For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” above. (2) Citi’s binding CET1 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. (3) Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital. (4) Supplementary Leverage ratio denominator. 28 Common Equity Tier 1 Capital Ratio Citi’s Common Equity Tier 1 (CET1) Capital ratio under the Basel III Standardized Approach was 13.0% as of December 31, 2022, relative to a required regulatory CET1 Capital ratio of 11.5% as of such date under the Standardized Approach. This compares to a CET1 Capital ratio of 12.3% as of September 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 12.2% as of December 31, 2022, compared to 11.8% as of September 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 September 30, 2022, driven primarily by net income, business actions to reduce RWA, beneficial net movements in AOCI and impacts from the closing of Asia consumer banking business sales, partially offset by the payment of common dividends. Citi’s CET1 Capital ratio increased under the Standardized Approach from year-end 2021, due to the net income of $14.8 billion, impacts from the closing of the Australia, Philippines and other Asia consumer banking business sales and business actions to reduce RWA, partially offset by the return of capital to common shareholders and interest rate impacts on Citigroup’s investment portfolio. 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. Citi’s CET1 Capital ratio decreased under the Advanced Approaches from year-end 2021, due to the return of capital to common shareholders, the interest rate impacts on Citigroup’s investment portfolio and the impact of adopting the SA-CCR, partially offset by the net income of $14.8 billion and the impacts from the closing of the Australia, Philippines and other Asia consumer banking business sales. For additional information on SA-CCR, see “Standardized Approach for Counterparty Credit Risk” below. 29 Components of Citigroup Capital In millions of dollars CET1 Capital Citigroup common stockholders’ equity(1) Add: Qualifying noncontrolling interests Regulatory capital adjustments and deductions: Add: CECL transition provision(2) Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax Less: Intangible assets: Goodwill, net of related DTLs(3) Identifiable intangible assets other than MSRs, net of related DTLs Less: Defined benefit pension plan net assets; other Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards(4) Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments, and MSRs(4)(5) Total CET1 Capital (Standardized Approach and Advanced Approaches) Additional Tier 1 Capital Qualifying noncumulative perpetual preferred stock(1) Qualifying trust preferred securities(6) Qualifying noncontrolling interests Regulatory capital deductions: Less: Other Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches) Total Tier 1 Capital (CET1 Capital + Additional Tier 1 Capital) (Standardized Approach and Advanced Approaches) Tier 2 Capital Qualifying subordinated debt Qualifying trust preferred securities(7) Qualifying noncontrolling interests Eligible allowance for credit losses(2)(8) Regulatory capital deduction: Less: Other Total Tier 2 Capital (Standardized Approach) Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) Adjustment for excess of eligible credit reserves over expected credit losses(2)(8) Total Tier 2 Capital (Advanced Approaches) Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) December 31, 2022 December 31, 2021 $ 182,325 $ 183,108 128 143 2,271 (2,522) 3,028 101 1,441 (896) 19,007 3,411 1,935 20,619 3,800 2,080 12,197 11,270 325 — 148,930 $ 149,305 18,864 $ 1,406 30 85 18,864 1,399 34 34 20,215 $ 20,263 169,145 $ 169,568 15,530 $ 20,064 — 37 248 42 13,426 14,209 595 28,398 $ 197,543 $ (8,704) $ 19,694 $ 293 34,270 203,838 (9,832) 24,438 188,839 $ 194,006 $ $ $ $ $ $ $ $ $ $ (1) Issuance costs of $131 million related to outstanding noncumulative perpetual preferred stock at December 31, 2022 and 2021 were excluded from common stockholders’ equity and netted against such preferred stock in accordance with FRB 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 CECL standard. For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” above. Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions. (3) Footnotes continue on the following page. 30 (4) Of Citi’s $27.7 billion of net DTAs at December 31, 2022, $12.2 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards, as well as $0.3 billion of DTAs arising from temporary differences that exceeded 10%/15% limitations, were excluded from Citi’s CET1 Capital as of December 31, 2022. DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards are required to be entirely deducted from CET1 Capital under the U.S. Basel III rules. DTAs arising from temporary differences are required to be deducted from capital only if they 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 December 31, 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 $4.7 billion and $4.4 billion at December 31, 2022 and December 31, 2021, respectively. 31 Citigroup Capital Rollforward In millions of dollars CET1 Capital, beginning of period Net income Common and preferred dividends declared Net change in treasury stock Net increase in common stock and additional paid-in capital Net change in CTA net of hedges, net of tax Net change in unrealized gains (losses) on debt securities AFS, net of tax Net change in defined benefit plans liability adjustment, net of tax Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax Net change in excluded component of fair value hedges Net change in goodwill, net of related DTLs Net decrease in identifiable intangible assets other than MSRs, net of related DTLs Net change in defined benefit pension plan net assets Net increase in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards Net change in excess over 10%/15% limitations for other DTAs, certain common stock investments and MSRs Net decrease in CECL 25% provision deferral Other Net change in CET1 Capital CET1 Capital, end of period (Standardized Approach and Advanced Approaches) Additional Tier 1 Capital, beginning of period Net increase in qualifying trust preferred securities Other Net decrease in Additional Tier 1 Capital Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) Tier 2 Capital, beginning of period (Standardized Approach) Net decrease in qualifying subordinated debt Net decrease in eligible allowance for credit losses Other Net decrease in Tier 2 Capital (Standardized Approach) Tier 2 Capital, end of period (Standardized Approach) Total Capital, end of period (Standardized Approach) Tier 2 Capital, beginning of period (Advanced Approaches) Net decrease in qualifying subordinated debt Net increase in excess of eligible credit reserves over expected credit losses Other Net decrease in Tier 2 Capital (Advanced Approaches) Tier 2 Capital, end of period (Advanced Approaches) Total Capital, end of period (Advanced Approaches) $ $ $ $ $ $ $ $ $ $ $ $ $ 32 Three months ended December 31, 2022 Twelve months ended December 31, 2022 $ 144,567 $ 2,513 (1,241) 10 111 1,571 974 (22) 168 (32) (211) 81 (7) (507) 936 — 19 4,363 $ 148,930 $ 20,263 $ 2 (50) (48) $ 169,145 $ 29,041 $ (149) (326) (168) (643) $ 28,398 $ 197,543 $ 20,216 $ (149) (205) (168) (522) $ 19,694 $ 188,839 $ 149,305 14,845 (5,060) (2,727) 455 (2,472) (5,384) 97 (307) 55 1,612 389 61 (927) (325) (757) 70 (375) 148,930 20,263 7 (55) (48) 169,145 34,270 (4,534) (783) (555) (5,872) 28,398 197,543 24,438 (4,534) 345 (555) (4,744) 19,694 188,839 Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach) In millions of dollars Total Risk-Weighted Assets, beginning of period Changes in Credit Risk-Weighted Assets General credit risk exposures(1) Repo-style transactions(2) Securitization exposures(3) Equity exposures(4) Over-the-counter (OTC) derivatives(5) Other exposures(6) Off-balance sheet exposures(7) Net decrease in Credit Risk-Weighted Assets Changes in Market Risk-Weighted Assets Risk levels Model and methodology updates Net decrease in Market Risk-Weighted Assets(8) Total Risk-Weighted Assets, end of period Three months ended December 31, 2022 Twelve months ended December 31, 2022 $ 1,176,749 $ 1,219,175 (4,243) (225) 2,928 3,751 (27,320) (1,911) 628 (26,392) $ (8,974) $ 1,602 (7,372) $ (26,061) (15,302) 4,886 453 (4,619) (10,718) (14,553) (65,914) (15,961) 5,685 (10,276) 1,142,985 $ 1,142,985 $ $ $ $ (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 12 months ended December 31, 2022 primarily due to Asia consumer divestitures and a decrease in corporate lending, partially offset by an increase in card activities. (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 12 months ended December 31, 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 and 12 months ended December 31, 2022 primarily due to new exposures. (4) Equity exposures increased during the three months ended December 31, 2022 primarily due to increases in market value of various investments. (5) OTC derivatives decreased during the three months ended December 31, 2022 primarily due to decreases across FX, commodities and equities. OTC derivatives decreased during the 12 months ended December 31, 2022 primarily due to decreases in rates, FX, commodities and equities, partially offset by the impact from the adoption of SA-CCR. For additional information on SA-CCR, see “Standardized Approach for Counterparty Credit Risk” below. (6) Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures decreased during the 12 months ended December 31, 2022 primarily due to decreases in centrally cleared derivatives and default fund contributions, partially offset by an increase in fixed assets. (7) Off-balance sheet exposures decreased during the 12 months ended December 31, 2022 primarily due to a decrease in loan commitments. (8) Market risk-weighted assets decreased during the three and 12 months ended December 31, 2022 primarily due to exposure changes, partially offset by changes in model inputs regarding volatility and the correlation between market risk factors. 33 Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches) In millions of dollars Total Risk-Weighted Assets, beginning of period Changes in Credit Risk-Weighted Assets Retail exposures(1) Wholesale exposures(2) Repo-style transactions(3) Securitization exposures(4) Equity exposures(5) Over-the-counter (OTC) derivatives(6) Derivatives CVA(7) Other exposures(8) Supervisory 6% multiplier Net increase in Credit Risk-Weighted Assets Changes in Market Risk-Weighted Assets Risk levels Model and methodology updates Net decrease in Market Risk-Weighted Assets(9) Net change in Operational Risk-Weighted Assets(10) Total Risk-Weighted Assets, end of period Three months ended December 31, 2022 Twelve months ended December 31, 2022 $ 1,226,578 $ 1,209,374 4,610 2,094 390 2,916 3,795 (11,929) (2,067) 2,026 271 2,106 $ (8,461) $ 1,602 (6,859) $ (287) $ 12,633 (14,843) (10,694) 5,057 948 (2,667) 19,667 1,725 (434) 11,392 (12,430) 5,685 (6,745) 7,517 1,221,538 $ 1,221,538 $ $ $ $ $ (1) Retail exposures increased during the three months ended December 31, 2022 primarily due to an increase in card activities, partially offset by a decrease from divestitures. Retail exposures increased during the 12 months ended December 31, 2022 primarily due to increases in card activities, consumer loans and model recalibrations, partially offset by a decrease from divestitures. (2) Wholesale exposures decreased during the 12 months ended December 31, 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 12 months ended December 31, 2022 primarily due to reduced exposure in repurchase agreements and securities lending, as well as a decrease in margin loans. (4) Securitization exposures increased during the three and 12 months ended December 31, 2022 primarily driven by new exposures. (5) Equity exposures increased during the three months ended December 31, 2022 primarily due to increases in market value of various investments. (6) OTC derivatives decreased during the three months ended December 31, 2022 primarily due to exposure decreases across FX and commodities. OTC derivatives decreased during the 12 months ended December 31, 2022 primarily due to exposure decreases across FX and commodities, partially offset by the impact from the adoption of SA-CCR. For additional information on SA-CCR, see “Standardized Approach for Counterparty Credit Risk” below. (7) Derivatives CVA increased during the 12 months ended December 31, 2022 primarily due to the adoption of SA-CCR. For additional information on SA-CCR, see “Standardized Approach for Counterparty Credit Risk” below. (8) Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures increased during the three and 12 months ended December 31, 2022 primarily due to an increase in fixed assets. (9) Market risk-weighted assets decreased during the three and 12 months ended December 31, 2022 primarily due to exposure changes, partially offset by changes in model inputs regarding volatility and the correlation between market risk factors. (10) Operational risk-weighted assets increased during the 12 months ended December 31, 2022 primarily due to new model severity updates. 34 Supplementary Leverage Ratio The following table presents Citi’s Supplementary Leverage ratio and related components as of December 31, 2022, September 30, 2022 and December 31, 2021: In millions of dollars, except ratios Tier 1 Capital Total Leverage Exposure On-balance sheet assets(1)(2) Certain off-balance sheet exposures(3) Potential future exposure on derivative contracts Effective notional of sold credit derivatives, net(4) Counterparty credit risk for repo-style transactions(5) Other off-balance sheet exposures Total of certain off-balance sheet exposures Less: Tier 1 Capital deductions Total Leverage Exposure Supplementary Leverage ratio December 31, 2022 September 30, 2022 December 31, 2021 169,145 $ 164,830 $ 169,568 2,432,823 $ 2,401,767 $ 2,389,237 133,071 34,117 17,169 326,553 153,842 32,768 16,997 320,364 510,910 $ 523,971 $ 36,960 37,203 222,241 23,788 25,775 334,526 606,330 37,803 2,906,773 $ 2,888,535 $ 2,957,764 5.82 % 5.71 % 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 CECL standard. For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” above. (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 or securities lending transactions. As presented in the table above, Citigroup’s Supplementary Leverage ratio was 5.8% at December 31, 2022, compared to 5.7% at September 30, 2022 and December 31, 2021. The quarter-over-quarter increase was primarily driven by an increase in Tier 1 Capital due to net income in the fourth quarter of 2022 and beneficial net movements in AOCI, partially offset by an increase in Total Leverage Exposure. The year-over-year increase was primarily driven by a decrease in Total Leverage Exposure. 35 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 FRB. The following tables present the capital components and ratios for Citibank, Citi’s primary subsidiary U.S. depository institution, as of December 31, 2022, September 30, 2022 and December 31, 2021: In millions of dollars, except ratios CET1 Capital(2) Tier 1 Capital(2) Total Capital (Tier 1 Capital + Tier 2 Capital)(2)(3) Total Risk-Weighted Assets Credit Risk(2) Market Risk Operational Risk CET1 Capital ratio(4)(5) Tier 1 Capital ratio(4)(5) Total Capital ratio(4)(5) Advanced Approaches Standardized Approach Required Capital Ratios(1) December 31, 2022 September 30, 2022 December 31, 2021 December 31, 2022 September 30, 2022 December 31, 2021 $ 149,593 $ 147,938 $ 148,548 $ 149,593 $ 147,938 $ 148,548 151,720 150,062 150,679 151,720 150,062 150,679 165,131 165,171 166,921 172,647 172,916 175,427 1,003,747 1,046,884 1,017,774 982,914 1,024,923 1,066,015 $ 728,082 $ 762,660 $ 737,802 $ 948,150 $ 983,949 $ 1,016,293 34,403 241,262 40,676 243,548 48,089 231,883 34,764 — 40,974 49,722 — — 7.0 % 14.90 % 14.13 % 14.60 % 15.22 % 14.43 % 13.93 % 8.5 10.5 15.12 16.45 14.33 15.78 14.80 16.40 15.44 17.56 14.64 16.87 14.13 16.46 In millions of dollars, except ratios Quarterly Adjusted Average Total Assets(2)(6) Total Leverage Exposure(2)(7) Tier 1 Leverage ratio(5) Supplementary Leverage ratio(5) Required Capital Ratios December 31, 2022 September 30, 2022 December 31, 2021 $ 1,738,744 $ 1,694,381 $ 2,189,541 2,147,923 5.0 % 6.0 8.73 % 6.93 8.86 % 6.99 1,716,596 2,236,839 8.78 % 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 CET1 Capital). (2) Citibank’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the CECL standard. For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” above. (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 CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of December 31, 2022 and September 30, 2022, and under the Basel III Standardized Approach as of 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 CET1 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 December 31, 2022 were in excess of the regulatory capital requirements under the U.S. Basel III rules. In addition, Citibank was “well capitalized” as of December 31, 2022. As presented in the table above, Citibank’s Supplementary Leverage ratio was 6.9% at December 31, 2022, compared to 7.0% at September 30, 2022 and 6.7% at December 31, 2021. The quarter-over-quarter decrease was primarily driven by an increase in Total Leverage Exposure, partially offset by an increase in Tier 1 Capital due to net income in the fourth quarter of 2022 and beneficial net movements in AOCI. The year-over-year increase was primarily driven by a decrease in Total Leverage Exposure. 36 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 CET1 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 December 31, 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 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 0.8 0.9 1.0 1.0 1.0 1.1 1.5 1.5 0.8 0.9 1.0 1.0 1.1 1.3 1.5 1.6 0.8 0.9 1.0 1.0 1.3 1.5 1.6 1.8 Tier 1 Leverage ratio Supplementary Leverage ratio Impact of $100 million change in Tier 1 Capital 0.4 0.6 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 0.3 0.5 0.3 0.5 0.2 0.3 In basis points Citigroup Advanced Approaches Standardized Approach Citibank Advanced Approaches Standardized Approach In basis points Citigroup Citibank Citigroup Broker-Dealer Subsidiaries At December 31, 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 $13 billion, which exceeded the minimum requirement by $8 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 December 31, 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 December 31, 2022. 37 Total Loss-Absorbing Capacity (TLAC) U.S. GSIBs, including Citi, are required to maintain minimum levels of TLAC and eligible long-term debt (LTD), each set by reference to the GSIB’s consolidated risk-weighted assets (RWA) and total leverage exposure. Minimum External TLAC Requirement The minimum external TLAC requirement is the greater of (i) 18% of the GSIB’s RWA plus the then-applicable RWA-based TLAC buffer (see below) and (ii) 7.5% of the GSIB’s total leverage exposure plus a leverage-based TLAC buffer of 2% (i.e., 9.5%). The RWA-based TLAC buffer equals the 2.5% Capital Conservation Buffer, plus any applicable Countercyclical Capital Buffer (currently 0%), plus the GSIB’s capital surcharge as determined under method 1 of the GSIB surcharge rule (2.0% for Citi for 2022). Accordingly, Citi’s total current minimum TLAC requirement was 22.5% of RWA for 2022. Minimum Long-Term Debt (LTD) Requirement The minimum LTD requirement is the greater of (i) 6% of the GSIB’s RWA plus its capital surcharge as determined under method 2 of the GSIB surcharge rule (3.0% for Citi for 2022), for a total current requirement of 9% of RWA for Citi, and (ii) 4.5% of the GSIB’s total leverage exposure. The table below details Citi’s eligible external TLAC and LTD amounts and ratios, and each TLAC and LTD regulatory requirement, as well as the surplus amount in dollars in excess of each requirement. In billions of dollars, except ratios Total eligible amount % of Advanced Approaches risk- weighted assets Regulatory requirement(1)(2) Surplus amount December 31, 2022 External TLAC LTD $ 334 $ 160 27.3 % 13.1 % 22.5 $ 59 $ 9.0 50 % of Total Leverage Exposure 11.5 % 5.5 % Regulatory requirement Surplus amount 9.5 58 $ 4.5 29 $ (1) External TLAC includes method 1 GSIB surcharge of 2.0%. (2) LTD includes method 2 GSIB surcharge of 3.0%. As of December 31, 2022, Citi exceeded each of the TLAC and LTD regulatory requirements, resulting in a $29 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 “Liquidity Risk—Total Loss-Absorbing Capacity (TLAC)” below. 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 December 31, 2022: Citigroup Citibank Required Capital Ratios, Advanced Approaches Required Capital Ratios, Standardized Approach Advanced Approaches Standardized Approach Required Capital Ratios(2) Advanced Approaches Standardized Approach CET1 Capital ratio Tier 1 Capital ratio Total Capital ratio 10.0 % 11.5 % 11.96 % 12.79 % 7.0 % 14.70 % 15.01 % 11.5 13.5 13.0 15.0 13.62 15.24 14.56 17.06 8.5 10.5 14.91 16.25 15.23 17.36 Tier 1 Leverage ratio Supplementary Leverage ratio Required Capital Ratios 4.0 % 5.0 Citigroup 6.94 % 5.71 Required Capital Ratios 5.0 % 6.0 Citibank 8.61 % 6.84 (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. 38 Standardized Approach for Counterparty Credit Risk In 2020, the U.S. banking agencies adopted the Standardized Approach for Counterparty Credit Risk (SA-CCR) to calculate exposure for all derivative contracts at the netting set level. In addition, SA-CCR is used in numerous other instances throughout the regulatory framework, including but not limited to the Supplementary Leverage ratio, certain components of the GSIB score, single counterparty credit limits and legal lending limits. As previously disclosed, Citi adopted SA-CCR as of the mandatory compliance date of January 1, 2022. Adoption of SA-CCR increased Citigroup’s Standardized RWA by approximately $51 billion, which resulted in a 49 basis points decrease to Citigroup’s CET1 Capital ratio under the Standardized Approach on January 1, 2022. Adoption of SA-CCR also increased Citigroup’s Advanced RWA by approximately $29 billion, which resulted in a 29 basis points decrease to Citigroup’s CET1 Capital ratio under the Advanced Approaches on January 1, 2022. Regulatory Capital Standards Developments Basel III Revisions As described above, the U.S. banking agencies implemented a number of international capital standards adopted by the Basel Committee on Banking Supervision (Basel Committee), following the Global Financial Crisis regulatory reforms (see the U.S. Basel III rules discussion above). The Basel Committee finalized the Basel III reforms in December 2017, which included revisions to the methodologies in deriving credit, market and operational risk-weighted assets, the imposition of a new aggregate output floor for risk-weighted assets and revisions to the leverage ratio framework. The U.S. banking agencies may revise the U.S. Basel III rules in the future, in response to the Basel Committee’s final Basel III reforms. For information about risks related to changes in regulatory capital requirements, see “Risk Factors —Strategic Risks” below. 39 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. Citi believes TCE, TBV and RoTCE provide alternative measures of capital strength and performance for investors, industry analysts and others. At December 31, In millions of dollars or shares, except per share amounts 2022 2021 2020 2019 2018 Total Citigroup stockholders’ equity $ 201,189 $ 201,972 $ 199,442 $ 193,242 $ 196,220 Less: Preferred stock Common stockholders’ equity Less: Goodwill Identifiable intangible assets (other than MSRs) Goodwill and identifiable intangible assets (other than MSRs) related to assets held-for-sale (HFS) Tangible common equity (TCE) Common shares outstanding (CSO) 18,995 18,995 19,480 17,980 18,460 $ 182,194 $ 182,977 $ 179,962 $ 175,262 $ 177,760 19,691 3,763 21,299 4,091 22,162 4,411 22,126 4,327 22,046 4,636 589 510 — — — $ 158,151 $ 157,077 $ 153,389 $ 148,809 $ 151,078 1,937.0 1,984.4 2,082.1 2,114.1 2,368.5 Book value per share (common stockholders’ equity/ CSO) Tangible book value per share (TCE/CSO) $ 94.06 81.65 $ 92.21 $ 86.43 $ 82.90 $ 79.16 73.67 70.39 75.05 63.79 In millions of dollars 2022 2021 2020 2019 2018 Net income available to common shareholders $ 13,813 $ 20,912 $ 9,952 $ 18,292 $ 16,871 Average common stockholders’ equity Average TCE Return on average common stockholders’ equity RoTCE 180,093 155,943 7.7 % 8.9 182,421 156,253 11.5 % 13.4 175,508 149,892 5.7 % 6.6 177,363 150,994 10.3 % 12.1 179,497 153,343 9.4 % 11.0 For the year ended December 31, 40 RISK FACTORS The following discussion presents what management currently believes could be the material risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition. Other risks and uncertainties, including those not currently known to Citi or its management, could also negatively impact Citi’s businesses, results of operations and financial condition. Thus, the following should not be considered a complete discussion of all of the risks and uncertainties that Citi may face. For additional information about risks and uncertainties that could impact Citi, see “Executive Summary” and each respective business’ results of operations above and “Managing Global Risk” below. The following risk factors are categorized to improve the readability and usefulness of the risk factor disclosure, and, while the headings and risk factors generally align with Citi’s risk categorization, in certain instances the risk factors may not directly correspond with how Citi categorizes or manages its risks. MARKET-RELATED RISKS Macroeconomic, Geopolitical and Other Challenges and Uncertainties Could Continue to Have a Negative Impact on Citi. Citi has experienced, and could experience in the future, negative impacts to its businesses, results of operations and financial condition as a result of various macroeconomic, geopolitical and other challenges, uncertainties and volatility. These include, among other things, significantly elevated levels of inflation, higher interest rates, global supply shocks and lower economic growth rates, as well as an increasing risk of recession in Europe, the U.S. and other countries. For example, in 2022, the U.S., the U.K., the EU and other economies experienced significantly higher levels of widespread inflation. As a result, the Federal Reserve Board (FRB) and other central banks have substantially raised interest rates, reduced the size of their balance sheets and taken other actions in an aggressive effort to curb inflation. These actions are expected to slow economic growth, increase the risk of recession and increase the unemployment rate in the U.S. and other countries, all of which would likely adversely affect Citi’s consumer and institutional clients, businesses and results of operations. Elevated levels of inflation are also expected to continue to result in higher labor and other costs, thus putting further pressure on Citi’s expenses. Interest rates on loans Citi makes are typically based off or set at a spread over a benchmark interest rate and would likely decline or rise as benchmark rates decline or rise, respectively. While Citi expects its overall net interest income would generally increase due to higher interest rates, higher rates could adversely affect its funding costs, levels of deposits in its consumer and institutional businesses and certain business or product revenues. Citi’s net interest income could be adversely affected due to a flattening (a lower spread between shorter-term versus longer-term interest rates) or longer lasting or more severe inversion (shorter-term interest rates exceeding longer-term interest rates) of the interest rate yield curve, as Citi, similar to other banks, typically pays 41 interest on deposits based on shorter-term interest rates and earns money on loans based on longer-term interest rates. For additional information on Citi’s interest rate risk, see “Managing Global Risk—Market Risk—Banking Book Interest Rate Risk” below. Additionally, Citi’s balance sheet includes interest-rate sensitive fixed-rate assets such as U.S. Treasuries, U.S. agency securities and residential mortgages, among others, whose valuation would be adversely impacted in a rising-rate environment and/or whose hedging costs may increase. Russia’s war in Ukraine has caused supply shocks in energy, food and other commodities markets, worsened inflation, increased cybersecurity risks, increased the risk of recession in Europe and heightened geopolitical tensions. Actions by Russia, and any further measures taken by the U.S. or its allies, could continue to have negative impacts on regional and global energy and other commodities and financial markets and macroeconomic conditions, adversely impacting jurisdictions where Citi operates and Citi’s customers, clients and employees. Citi’s ability to continue to reduce its operations and exposure in Russia, including completion of the wind-down of its consumer and local commercial banking operations and nearly all of its institutional banking services in the country, may be negatively impacted by macroeconomic challenges and uncertainties, local market conditions, and sanctions and other governmental regulations or actions. Moreover, Citi’s remaining operations in Russia subject Citi to various other risks, among which are foreign currency volatility, including appreciations or devaluations; restrictions arising from retaliatory Russian laws and regulations on the conduct of its business, including, without limitation, its provision to its customers of certain securities services; sanctions or asset freezes; and other deconsolidation events. Examples of triggers that may result in deconsolidation of Citi’s subsidiary bank in Russia, 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. In the event of a loss of control of AO Citibank, Citi would be required to write off its net investment in the entity, recognize a CTA loss through earnings and recognize a loss on intercompany liabilities owed by AO Citibank to other Citi entities outside of Russia. In the sole event of a substantial liquidation, as opposed to a loss of control, Citi would be required to recognize the CTA loss through earnings and would evaluate its remaining net investment as circumstances evolve. Additionally, Citi may incur reputational harm if its actions are perceived to be misaligned with Citi’s announced reductions of its operations and exposure in Russia. For additional information about these risks, see the operational processes and systems, cybersecurity and emerging markets risk factors and “Managing Global Risk—Other Risks— Country Risk—Russia” below. COVID-19 is expected to continue to adversely affect global health and could negatively impact macroeconomic conditions in 2023. The extent of the impact remains uncertain and will largely depend on future developments in China, the U.S. and other countries, such as the severity and duration of the public health consequences, including the course of variants; the public response; and government actions. COVID-19 could again disrupt supply chains, worsen inflation and reduce economic activity. These factors could adversely impact Citi’s businesses and results of operations and financial condition. Additional areas of uncertainty include, among others, economic and geopolitical challenges related to China, including related policy actions, distress in Chinese real estate finance and other credit markets, tensions or conflicts between China and Taiwan and/or between China and the U.S.; significant disruptions and volatility in financial markets, including foreign currency volatility and devaluations and continued strength in the U.S. dollar; other geopolitical tensions and conflicts; protracted or widespread trade tensions; financial market, other economic and political disruption driven by populist movements and governments; natural disasters; other pandemics; and election outcomes, including the effects of divided government in the U.S., such as with respect to raising of the federal debt limit. For example, Citi’s market-making businesses can suffer losses resulting from the widening of credit spreads due to unanticipated changes in financial markets. Moreover, adverse developments or downturns in one or more of the world’s larger economies would likely have a significant impact on the global economy or the economies of other countries because of global financial and economic linkages. STRATEGIC RISKS Citi’s Ability to Return Capital to Common Shareholders Substantially Depends on Regulatory Capital Requirements, Including the Results of the CCAR Process and Dodd-Frank Act Regulatory Stress Tests. Citi’s ability to return capital to its common shareholders consistent with its capital planning efforts and targets, whether through its common stock dividend or through a share repurchase program, substantially depends, among other things, on regulatory capital requirements, including the annual recalibration of the Stress Capital Buffer (SCB), which is based upon the results of the CCAR process required by the FRB, and recalibration of the GSIB surcharge. Citi’s ability to return capital also depends on its results of operations and financial condition, including the capital impact related to its remaining divestitures, such as, among other things, any temporary capital impact from CTA losses (net of hedges) between transaction signings and closings and achievement of the expected capital benefits from the divestitures (for additional information, see “Executive Summary” above and the continued investments risk factor below); Citi’s effectiveness in planning, managing and calculating its level of risk-weighted assets under both the Advanced Approaches and the Standardized Approach, Supplementary Leverage ratio (SLR) and GSIB surcharge; its implementation and maintenance of an effective capital planning process and management framework; forecasts of macroeconomic conditions; and deferred tax asset (DTA) utilization (see the ability to utilize DTA risk factor below). 42 Changes in regulatory capital rules, requirements or interpretations could continue to have a material impact on Citi’s regulatory capital. For example, on October 1, 2022, Citi’s required regulatory CET1 Capital ratio increased to 11.5% from 10.5% due to an increase in the SCB requirement (see below for information on calculation of the SCB). In addition, on January 1, 2023, Citi’s required regulatory CET1 Capital ratio further increased to 12% from 11.5% under the Standardized Approach, as the current GSIB surcharge increased to 3.5% from 3.0%. Due to these increases as well as macroeconomic uncertainty, Citi paused common share repurchases beginning as of the third quarter of 2022. In addition, the U.S. banking agencies are considering a number of changes to the U.S. regulatory capital framework in the future, including, but not limited to, revisions to the U.S. Basel III rules, and potential changes to the GSIB surcharge, SLR and discretionary Countercyclical Capital Buffer. All of these potential changes could negatively impact Citi’s regulatory capital position or increase Citi’s regulatory capital requirements. All firms subject to CCAR requirements, including Citi, will continue to be subject to a rigorous regulatory evaluation of capital planning practices, including, but not limited to, governance, risk management, data quality and internal controls. Citi’s ability to return capital may be adversely impacted if such an evaluation of Citi results in negative findings. The FRB has stated that it expects capital adequacy practices to continue to evolve and to likely be determined by its yearly cross-firm review of capital plan submissions. Similarly, the FRB has indicated that, as part of its stated goal to continually evolve its annual stress testing requirements, several parameters of the annual stress testing process may continue to be altered, including the severity of the stress test scenario, the FRB modeling of Citi’s balance sheet, pre- provision net revenue and stress losses, and the addition of components deemed important by the FRB. For information on limitations on Citi’s ability to return capital to common shareholders, as well as the CCAR process, supervisory stress test requirements and GSIB surcharge, see “Capital Resources —Overview” and “Capital Resources—Stress Testing Component of Capital Planning” above and the risk management risk factor below. Beginning January 1, 2022, Citi was required to phase into regulatory capital, at 25% per year, the changes in retained earnings, DTAs and ACL determined upon the January 1, 2020 CECL adoption date, as well as subsequent changes in the ACL through December 31, 2021. The FRB has stated that it plans to maintain its current framework for calculating allowances on loans in the supervisory stress test through the 2023 supervisory stress test cycle, while continuing to evaluate appropriate future enhancements to this framework. The impacts on Citi’s capital adequacy of the FRB’s incorporation of CECL into its supervisory stress tests on an ongoing basis, and of other potential regulatory changes in the FRB’s stress testing methodologies, remain unclear. For additional information regarding the CECL methodology, including the transition provisions related to the adverse regulatory capital effects resulting from adoption of the CECL methodology, see “Capital Resources—Current Regulatory Capital Standards—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” above and Note 1. In addition, the annual stress testing requirements are integrated into ongoing regulatory capital requirements. Citi’s SCB equals the maximum decline in its CET1 Capital ratio under the supervisory severely adverse scenario over a nine- quarter CCAR measurement period, plus four quarters of planned common stock dividends, subject to a minimum requirement of 2.5%. The SCB is calculated by the FRB using its proprietary data and modeling of each firm’s results. Accordingly, Citi’s SCB may change annually, based on the supervisory stress test results, thus potentially resulting in additional volatility in the calculation of Citi’s required regulatory CET1 Capital ratio under the Standardized Approach. Similar to the other regulatory capital buffers, a breach of the SCB may result in graduated limitations on capital distributions. For additional information on the SCB, see “Capital Resources—Regulatory Capital Buffers” above. Although various uncertainties exist regarding the extent of, and the ultimate impact to Citi from, these changes to the FRB’s regulatory capital, stress testing and CCAR regimes, these changes could increase the level of capital Citi is required or elects to hold, including as part of Citi’s management buffer, thus potentially impacting the extent to which Citi is able to return capital to shareholders. Citi Must Continually Review, Analyze and Successfully Adapt to Ongoing Regulatory and Legislative Uncertainties and Changes in the U.S. and Globally. Citi, its management and its businesses continue to face ongoing regulatory and legislative uncertainties and changes, both in the U.S. and globally. While the areas of ongoing regulatory and legislative uncertainties and changes facing Citi are too numerous to list completely, examples include, but are not limited to (i) potential fiscal, monetary, tax, sanctions and other changes promulgated by the U.S. federal government and other governments, including as a result of priority shifts depending on individuals, political parties and other groups in governmental positions; (ii) potential changes to various aspects of the regulatory capital framework and requirements applicable to Citi, including the Basel III rules (see the capital return risk factor and “Capital Resources—Regulatory Capital Standards Developments” above); and (iii) rapidly evolving legislative and regulatory requirements and other government initiatives in the U.S. and globally related to climate change and other ESG areas that vary, and may conflict, across jurisdictions, including any new disclosure requirements (see the climate change risk factor below). References to “regulatory” refer to both formal regulation and the views and expectations of Citi’s regulators in their supervisory roles. For example, in February 2023, the Consumer Financial Protection Bureau proposed significant changes to the maximum amounts on credit card late fees, which, if adopted as proposed, would reduce credit card fee revenues in Branded cards and Retail services in PBWM. In addition, U.S. and international regulatory and legislative initiatives have not always been undertaken or implemented on a coordinated basis, and areas of divergence have developed and continue to develop with respect to their scope, interpretation, timing, structure or approach, leading to inconsistent or even 43 conflicting requirements, including within a single jurisdiction. For example, in 2019, the European Commission adopted, as part of Capital Requirements Directive V (CRD V), a new requirement for major banking groups headquartered outside the EU (which would include Citi) to establish an intermediate EU holding company where the foreign bank has two or more institutions (broadly meaning banks, broker-dealers and similar financial firms) established in the EU. While in some respects the requirement mirrors an existing U.S. requirement for non-U.S. banking organizations to form U.S. intermediate holding companies, the implementation of the EU holding company requirement could lead to additional complexity with respect to Citi’s resolution planning, capital and liquidity allocation and efficiency in various jurisdictions. Further, ongoing regulatory and legislative uncertainties and changes make Citi’s and its management’s long-term business, balance sheet and strategic budget planning difficult, subject to change and potentially more costly and may impact its results of operations. U.S. and other regulators globally have implemented and continue to discuss various changes to certain regulatory requirements, which would require ongoing assessment by management as to the impact to Citi, its businesses and business planning. For example, while the Basel III regulatory reforms and revised market risk framework have been finalized at the international level, there remain significant uncertainties with respect to the integration of these revisions into the U.S. regulatory capital framework. Business planning is required to be based on possible or proposed rules or outcomes, which can change dramatically upon finalization, or upon implementation or interpretive guidance from numerous regulatory bodies worldwide, and such guidance can change. Regulatory and legislative changes have also significantly increased Citi’s compliance risks and costs (see the implementation and interpretation of regulatory changes risk factor below) and can adversely affect Citi’s businesses, results of operations and financial condition. Citi’s Continued Investment and Other Initiatives as Part of Its Transformation and Strategic Refresh May Not Be as Successful as It Projects or Expects. As part of its transformation and other strategic initiatives, Citi continues to make significant investments to improve its risk and control environment, modernize its data and technology infrastructure and further enhance safety and soundness (for additional information on these investments, see “Executive Summary” above and the legal and regulatory proceedings risk factor below). Citi also continues to make business-led investments, as part of the execution of its strategic refresh. For example, Citi has been making investments across the Company, including, for example, hiring front office colleagues and enhancing product capabilities and platforms to improve client digital experiences and add scalability and implementing new capabilities and partnerships. Citi has also been pursuing productivity improvements through various technology and digital initiatives, organizational simplification and location strategies. Citi’s multiyear transformation initiatives involve significant execution complexity, and there is inherent risk that these will not be as productive or effective as Citi expects, or at all. Conversely, failure to properly invest in and upgrade Citi’s technology and processes could result in Citi’s inability to meet regulatory expectations, be sufficiently competitive, serve clients effectively and avoid operational errors (for additional information, see the operational processes and systems and legal and regulatory proceedings risk factors below). Moreover, Citi’s ability to achieve expected returns on its investments and productivity improvements depends, in part, on factors that it cannot control, including, among others, macroeconomic challenges and uncertainties; customer, client and competitor actions; and ongoing regulatory requirements or changes. Citi’s strategic refresh also includes the divestiture of its remaining consumer banking businesses in Legacy Franchises, including Mexico Consumer/SBMM, in order to simplify the Company and enhance its allocation of resources. These divestitures involve significant uncertainty and execution complexity, and may result in additional CTA or other losses, charges or other negative financial or strategic impacts, which could be material (for information about risks related to Citi’s operations in Russia, see the macroeconomic challenges and uncertainties risk factor above and “Managing Global Risk—Other Risks—Country Risk—Russia” below). For additional information about CTA losses, see “Executive Summary” and the capital return risk factor above and the incorrect assumptions or estimates risk factor below. Citi’s investment and other initiatives may continue to evolve as its business strategies, the market environment and regulatory expectations change, which could make the initiatives more costly and more challenging to implement, and limit their effectiveness. Climate Change Presents Various Financial and Non- Financial Risks to Citi and its Customers and Clients. Climate change presents both immediate and long-term risks to Citi and its customers and clients, with the risks expected to increase over time. Climate risks can arise from both physical risks (those risks related to the physical effects of climate change) and transition risks (risks related to regulatory, market, technological, stakeholder and legal changes from a transition to a low-carbon economy). Physical and transition risks can manifest themselves differently across Citi’s risk categories in the short, medium and long terms. Physical risks from climate change include acute risks, such as hurricanes and floods, as well as consequences of chronic changes in climate, such as rising sea levels, prolonged droughts and systemic changes to geographies and any resulting population migration. Such physical risks could have adverse financial, operational and other impacts on Citi, both directly on its business and operations, and indirectly as a result of impacts to Citi’s clients, customers, vendors and other counterparties. These impacts can include destruction, damage or impairment of properties and other assets, disruptions to business operations and supply chains and reduced availability or increase in the cost of insurance. Physical risks can also impact Citi’s credit risk exposures, for example, in its mortgage and commercial real estate lending businesses. Transition risks may arise from changes in regulations or market preferences toward low-carbon industries or sectors, which in turn could have negative impacts on asset values, 44 results of operations or the reputations of Citi and its customers and clients. For example, Citi’s corporate credit exposures include oil and gas, power and other industries that may experience reduced demand for carbon-intensive products due to the transition to a low-carbon economy. Failure to adequately consider transition risk in developing and executing on its business strategy could lead to a loss of market share, lower revenues and higher credit costs. Additionally, if Citi’s response to climate change is perceived to be ineffective or insufficient or Citi is unable to achieve its objectives or commitments relating to climate change, its businesses, reputation, attractiveness to certain investors and efforts to recruit and retain employees may suffer. For example, the need to decarbonize in a gradual and orderly way, while promoting energy security, may lead to continued exposure to carbon-intensive activity that in turn may raise such reputational risks. Even as some regulators seek to mandate additional disclosure of climate-related information, Citi’s ability to comply with such requirements and conduct more robust climate-related risk analyses may be hampered by lack of information and reliable data. Data on climate-related risks is limited in availability, often based on estimated or unverified figures, collected and reported on a lag, and variable in quality. Modeling capabilities to analyze climate-related risks and interconnections are improving, but remain incomplete. Moreover, U.S. and non-U.S. banking regulators and others are increasingly focusing on the issue of climate risk at financial institutions, both directly and with respect to their clients. For example, in December 2022, the FRB requested comment on draft principles that would provide a high-level framework for the safe and sound management of exposures to climate-related financial risks for FRB-supervised financial institutions with more than $100 billion in assets. Legislative and regulatory changes and uncertainties regarding climate-related risk management and disclosures are likely to result in higher regulatory, compliance, credit, reputational and other risks and costs for Citi (for additional information, see the ongoing regulatory and legislative uncertainties and changes risk factor above). In addition, Citi could face increased regulatory, reputational and legal scrutiny as a result of its climate risk, sustainability and other ESG- related commitments and disclosures. Citi also faces potentially conflicting anti-ESG initiatives from certain U.S. state governments that may impact its ability to conduct certain business within those jurisdictions, as well as from Congress. For information on Citi’s climate and other sustainability initiatives, see “Sustainability and Other ESG Matters” below. For additional information on Citi’s management of climate risk, see “Managing Global Risk—Strategic Risks—Climate Risk” below. Citi’s Ability to Utilize Its DTAs, and Thus Reduce the Negative Impact of the DTAs on Citi’s Regulatory Capital, Will Be Driven by Its Ability to Generate U.S. Taxable Income. At December 31, 2022, Citi’s net DTAs were $27.7 billion, net of a valuation allowance of $2.4 billion, of which $10.9 billion was deducted from Citi’s CET1 Capital under the U.S. Basel III rules, primarily relating to net operating losses, foreign tax credit and general business credit carry-forwards. Of the net DTAs at December 31, 2022, $1.9 billion related to foreign tax credit (FTC) carry-forwards, net of a valuation allowance. The carry-forward utilization period for FTCs is 10 years and represents the most time-sensitive component of Citi’s DTAs. The FTC carry-forwards at December 31, 2022 expire over the period of 2025–2029. Citi must utilize any FTCs generated in the then-current-year tax return prior to utilizing any carry-forward FTCs. The accounting treatment for realization of DTAs, including FTCs, is complex and requires significant judgment and estimates regarding future taxable earnings in the jurisdictions in which the DTAs arise and available tax planning strategies. Forecasts of future taxable earnings will depend upon various factors, including, among others, macroeconomic conditions. In addition, any future increase in U.S. corporate tax rates could result in an increase in Citi’s DTA, which may subject more of Citi’s existing DTA to exclusion from regulatory capital while improving Citi’s ability to utilize its FTC carry-forwards. Citi’s overall ability to realize its DTAs will primarily be dependent upon its ability to generate U.S. taxable income in the relevant tax carry-forward periods. Although utilization of FTCs in any year is generally limited to 21% of foreign source taxable income in that year, overall domestic losses (ODL) that Citi has incurred in the past allow it to reclassify domestic source income as foreign source. Failure to realize any portion of the net DTAs would have a corresponding negative impact on Citi’s net income and financial returns. Citi has not been and does not expect to be subject to the Base Erosion Anti- Abuse Tax (BEAT), which, if applicable to Citi in any given year, would have a significantly adverse effect on both Citi’s net income and regulatory capital. For additional information on Citi’s DTAs, including FTCs, see “Significant Accounting Policies and Significant Estimates—Income Taxes” below and Notes 1 and 9. Citi’s Interpretation or Application of the Complex Tax Laws to Which It Is Subject Could Differ from Those of Governmental Authorities, Which Could Result in Litigation or Examinations and the Payment of Additional Taxes, Penalties or Interest. Citi is subject to various income-based tax laws of the U.S. and its states and municipalities, as well as the numerous non- U.S. jurisdictions in which it operates. These tax laws are inherently complex, and Citi must make judgments and interpretations about the application of these laws to its entities, operations and businesses. For example, the Organization for Economic Cooperation and Development (OECD) Pillar 2 initiative contemplates a 15% global minimum tax with respect to earnings in each separate country. EU member states are required to adopt the OECD Pillar 2 rules in 2023, and other non-U.S. countries are expected to follow suit. Under these rules, Citi will be required to pay a “top-up” tax to the extent that Citi’s effective tax rate in any given country is below 15%. The U.S. is not expected to pass Pillar 2 legislation in the near term, but the top-up tax can be collected by other countries. While many aspects of the 45 application of the rules remain uncertain, Citi does not expect a material effect to its earnings. In addition, Citi is subject to litigation or examinations with U.S. and non-U.S. tax authorities regarding non-income- based tax matters. While Citi has appropriately reserved for such matters where there is a probable loss, and has disclosed, as reasonably possible, matters that are more-likely-than-not, the outcome from the matters may be different than Citi’s expectations. Citi’s interpretations or application of the tax laws, including with respect to withholding, stamp, service and other non-income taxes, could differ from that of the relevant governmental taxing authority, which could result in the requirement to pay additional taxes, penalties or interest, which could be material. See Note 29 for additional information on litigation and examinations involving non-U.S. tax authorities. A Deterioration in or Failure to Maintain Citi’s Co- Branding or Private Label Credit Card Relationships Could Have a Negative Impact on Citi. Citi has co-branding and private label relationships through its Branded cards and Retail services credit card businesses with various retailers and merchants, whereby in the ordinary course of business Citi issues credit cards to customers of the retailers or merchants. The five largest relationships across both businesses in U.S. Personal Banking constituted an aggregate of approximately 10% of Citi’s revenues in 2022 (for additional information, see “Personal Banking and Wealth Management” above). Citi’s co-branding and private label agreements often provide for shared economics between the parties and generally have a fixed term. Competition among card issuers, including Citi, for these relationships is significant, and Citi may not be able to maintain such relationships on existing terms or at all. Citi’s co-branding and private label relationships could also be negatively impacted by, among other things, the general economic environment, including the impacts of significantly elevated levels of inflation, higher interest rates, global supply shocks and lower economic growth rates, as well as an increasing risk of recession; changes in consumer sentiment, spending patterns and credit card usage behaviors; a decline in sales and revenues, partner store closures, any reduction in air and business travel, or other operational difficulties of the retailer or merchant; early termination due to a contractual breach or exercise of other early termination right; or other factors, including bankruptcies, liquidations, restructurings, consolidations or other similar events, whether due to the challenging macroeconomic environment or otherwise. These events, particularly early termination and bankruptcies or liquidations, could negatively impact the results of operations or financial condition of Branded cards, Retail services or Citi as a whole, including as a result of loss of revenues, increased expenses, higher cost of credit, impairment of purchased credit card relationships and contract-related intangibles or other losses (see Note 16 for information on Citi’s credit card related intangibles generally). Citi’s Inability in Its Resolution Plan Submissions to Address Any Shortcomings or Deficiencies or Guidance Provided Could Subject Citi to More Stringent Capital, Leverage or Liquidity Requirements, or Restrictions on Its Growth, Activities or Operations, and Could Eventually Require Citi to Divest Assets or Operations. Title I of the Dodd-Frank Act requires Citi to prepare and submit a plan to the FRB and the FDIC for the orderly resolution of Citigroup (the bank holding company) and its significant legal entities under the U.S. Bankruptcy Code in the event of future material financial distress or failure. On November 22, 2022, the FRB and FDIC issued feedback on the resolution plans filed on July 1, 2021 by the eight U.S. GSIBs, including Citi. The FRB and FDIC identified one shortcoming, but no deficiencies, in Citi’s 2021 resolution plan. The shortcoming related to data integrity and data quality management issues, specifically, weaknesses in Citi’s processes and practices for producing certain data that could materially impact its resolution capabilities. If a shortcoming is not satisfactorily explained or addressed before, or in, the submission of the next resolution plan, the shortcoming may be found to be a deficiency in the next resolution plan. For additional information on Citi’s resolution plan submissions, see “Managing Global Risk—Liquidity Risk” below. Under Title I, if the FRB and the FDIC jointly determine that Citi’s resolution plan is not “credible” (which, although not defined, is generally believed to mean the regulators do not believe the plan is feasible or would otherwise allow Citi to be resolved in a way that protects systemically important functions without severe systemic disruption), or would not facilitate an orderly resolution of Citi under the U.S. Bankruptcy Code, and Citi fails to resubmit a resolution plan that remedies any identified deficiencies, Citi could be subjected to more stringent capital, leverage or liquidity requirements, or restrictions on its growth, activities or operations. If within two years from the imposition of any such requirements or restrictions Citi has still not remediated any identified deficiencies, then Citi could eventually be required to divest certain assets or operations. Any such restrictions or actions would negatively impact Citi’s reputation, market and investor perception, operations and strategy. Citi’s Performance and Its Ability to Effectively Execute Its Transformation and Other Strategic Initiatives Could Be Negatively Impacted if It Is Not Able to Compete for, Retain and Motivate Highly Qualified Colleagues. Recent employment conditions and inflationary pressures have made the competition to hire and retain qualified employees significantly more challenging and costly. Citi’s performance and the performance of its individual businesses largely depend on the talents and efforts of its diverse and highly qualified colleagues. Specifically, Citi’s continued ability to compete in each of its lines of business, to manage its businesses effectively and to execute its transformation and other strategic initiatives, including, for example, hiring front office colleagues to grow businesses or hiring colleagues to support transformation of its risk, controls, data and finance infrastructure and compliance, depends on its ability to attract new colleagues and to retain and motivate its existing 46 colleagues. If Citi is unable to continue to attract, retain and motivate the most highly qualified colleagues, Citi’s performance, including its competitive position, the execution of its transformation and other strategic initiatives and its results of operations could be negatively impacted. Citi’s ability to attract, retain and motivate colleagues depends on numerous factors, some of which are outside of its control. For example, the competition for talent recently has been particularly intense, and attrition rates have risen due to factors such as low unemployment, a strong job market with a large number of open positions, and changes in worker’s expectations, concerns and preferences, in part due to the pandemic, including an increased demand for remote work options and other job flexibility. Also, the banking industry generally is subject to more comprehensive regulation of employee compensation than other industries, including deferral and clawback requirements for incentive compensation, which can make it unusually challenging for Citi to compete in labor markets against businesses, including for example technology companies, that are not subject to such regulation. Other factors that could impact its ability to attract, retain and motivate colleagues include, among other things, Citi’s presence in a particular market or region, the professional and development opportunities and employee benefits it offers, its reputation and its diversity. For information on Citi’s colleagues and workforce management, see “Human Capital Resources and Management” below. Citi Faces Increased Competitive Challenges, Including from Financial Services and Other Companies and Emerging Technologies. Citi operates in an increasingly evolving and competitive business environment, which includes both financial and non- financial services firms, such as traditional banks, online banks, financial technology companies and others. These companies compete on the basis of, among other factors, size, reach, quality and type of products and services offered, price, technology and reputation. Certain competitors may be subject to different and, in some cases, less stringent legal and regulatory requirements, whether due to size, jurisdiction, entity type or other factors, placing Citi at a competitive disadvantage. For example, Citi competes with other financial services companies in the U.S. and globally that continue to develop and introduce new products and services. In recent years, non- traditional financial services firms, such as financial technology companies, have begun to offer services traditionally provided by financial institutions, such as Citi, and have sought bank charters to provide these services. These firms attempt to use technology and mobile platforms to enhance the ability of companies and individuals to borrow, save and invest money. Emerging technologies have the potential to intensify competition and accelerate disruption in the financial services industry. For example, despite recent turmoil in the digital asset market, there is sustained interest from clients and investors in digital assets. Financial services firms and other market participants have begun to offer services related to those assets. However, Citi may not be able to provide the same or similar services for legal or regulatory reasons and due to increased compliance and other risks. In addition, changes in the payments space (e.g., instant and 24x7 payments) are accelerating, and, as a result, certain of Citi’s products and services could become less competitive. Increased competition and emerging technologies have required and could require Citi to change or adapt its products and services to attract and retain customers or clients or to compete more effectively with competitors, including new market entrants. Simultaneously, as Citi develops new products and services leveraging emerging technologies, new risks may emerge that, if not designed and governed adequately, may result in control gaps and in Citi operating outside of its risk appetite. For example, instant and 24x7 payments products could be accompanied by challenges to forecasting and managing liquidity, as well as increased operational and compliance risks. Moreover, Citi relies on third parties to support certain of its product and service offerings, which may put Citi at a disadvantage to competitors who may directly offer a broader array of products and services. Also, Citi’s businesses, results of operations and reputation may suffer if any third party is unable to provide adequate support for such product and service offerings, whether due to operational incidents or otherwise (for additional information, see the operational processes and systems, cybersecurity and emerging markets risk factors below). To the extent that Citi is not able to compete effectively with financial technology companies and other firms, Citi could be placed at a competitive disadvantage, which could result in loss of customers and market share, and its businesses, results of operations and financial condition could suffer. For additional information on Citi’s competitors, see the co-brand and private label cards and qualified colleagues risk factors above and “Supervision, Regulation and Other— Competition” below. OPERATIONAL RISKS A Failure or Disruption of Citi’s Operational Processes or Systems Could Negatively Impact Its Reputation, Customers, Clients, Businesses or Results of Operations and Financial Condition. Citi’s global operations rely heavily on its technology, including the accurate, timely and secure processing, management, storage and transmission of confidential transactions, data and other information as well as the monitoring of a substantial amount of data and complex transactions in real time. Citi obtains and stores an extensive amount of personal and client-specific information for its consumer and institutional customers and clients, and must accurately record and reflect their extensive account transactions. Citi’s operations must also comply with complex and evolving laws and regulations in the countries in which it operates. With the evolving proliferation of new technologies and the increasing use of the internet, mobile devices and cloud technologies to conduct financial transactions and customers’ and clients’ increasing use of online banking and trading systems and other platforms, large global financial institutions such as Citi have been, and will continue to be, subject to an ever-increasing risk of operational loss, failure or disruption, including as a result of cyber or information 47 security incidents (for additional information, see the cybersecurity risk factor below). Although Citi has continued to upgrade its technology, including systems to automate processes and enhance efficiencies, operational incidents are unpredictable and can arise from numerous sources, not all of which are fully within Citi’s control. These include, among others, human error, such as manual transaction processing errors, which can be exacerbated by staffing challenges and processing backlogs; fraud or malice on the part of employees or third parties; operational or execution failures or deficiencies by third parties; insufficient (or limited) straight-through processing between legacy systems and any failure to design and effectively operate controls that mitigate operational risks associated with those legacy systems leading to potential risk of errors and operating losses; accidental system or technological failure; electrical or telecommunication outages; failures of or cyber incidents involving computer servers or infrastructure; or other similar losses or damage to Citi’s property or assets (see also the climate change risk factor above). For example, Citi has experienced and could experience further losses associated with manual transaction processing errors, including erroneous payments to lenders or manual errors by Citi traders that cause system and market disruptions and losses for Citi and its clients. Irrespective of the sophistication of the technology utilized by Citi, there will always be some room for human error. In view of the large transactions in which Citi engages, such errors could result in significant losses. While Citi has change management processes in place to appropriately upgrade its operational processes and systems to ensure that any changes introduced do not adversely impact security and operational continuity, such change management can fail or be ineffective. Operational incidents can also arise as a result of failures by third parties with which Citi does business, such as failures by internet, mobile technology and cloud service providers or other vendors to adequately follow procedures or processes, safeguard their systems or prevent system disruptions or cyberattacks. Incidents that impact information security and/or technology operations may cause disruptions and/or malfunctions within Citi’s businesses (e.g., the temporary loss of availability of Citi’s online banking system or mobile banking platform), as well as the operations of its clients, customers or other third parties. In addition, operational incidents could involve the failure or ineffectiveness of internal processes or controls. Given Citi’s global footprint and the high volume of transactions processed by Citi, certain failures, errors or actions may be repeated or compounded before they are discovered and rectified, which would further increase the consequences and costs. Operational incidents could result in financial losses as well as misappropriation, corruption or loss of confidential and other information or assets, which could significantly negatively impact Citi’s reputation, customers, clients, businesses or results of operations and financial condition. Cyber-related and other operational incidents can also result in legal and regulatory actions or proceedings, fines and other costs (see the legal and regulatory proceedings risk factor below). For information on Citi’s management of operational risk, see “Managing Global Risk—Operational Risk” below. Citi’s and Third Parties’ Computer Systems and Networks Will Continue to Be Susceptible to an Increasing Risk of Continually Evolving, Sophisticated Cybersecurity Incidents That Could Result in the Theft, Loss, Misuse or Disclosure of Confidential Client or Customer Information, Damage to Citi’s Reputation, Additional Costs to Citi, Regulatory Penalties, Legal Exposure and Financial Losses. Citi’s computer systems, software and networks are subject to ongoing cyber incidents, such as unauthorized access, loss or destruction of data (including confidential client information), account takeovers, disruptions of service, phishing, malware, ransomware, computer viruses or other malicious code, cyberattacks and other similar events. These threats can arise from external parties, including cyber criminals, cyber terrorists, hacktivists (individuals or groups using cyberattacks to promote a political or social agenda) and nation-state actors, as well as insiders who knowingly or unknowingly engage in or enable malicious cyber activities. The increasing use of mobile and other digital banking platforms and services, cloud technologies and connectivity solutions to facilitate remote working for Citi’s employees all increase Citi’s exposure to cybersecurity risks. Citi’s wind- down of its businesses in Russia could also increase its susceptibility to cyberattacks (for additional information about Citi’s exposures related to its Russia operations, see the macroeconomic and geopolitical risk factor above and “Managing Global Risk—Other Risks—Country Risk— Russia” below). Third parties with which Citi does business, as well as retailers and other third parties with which Citi’s customers do business, may also be sources of cybersecurity risks, particularly where activities of customers are beyond Citi’s security and control systems. For example, Citi outsources certain functions, such as processing customer credit card transactions, uploading content on customer-facing websites and developing software for new products and services. These relationships allow for the storage and processing of customer information by third-party hosting of, or access to, Citi websites, which could lead to compromise or the potential to introduce vulnerable or malicious code, resulting in security breaches impacting Citi customers. Furthermore, because financial institutions are becoming increasingly interconnected with central agents, exchanges and clearing houses, including as a result of derivatives reforms over the last few years, Citi has increased exposure to cyberattacks through third parties. While many of Citi’s agreements with third parties include indemnification provisions, Citi may not be able to recover sufficiently, or at all, under these provisions to adequately offset any losses Citi may incur from third-party cyber incidents. Citi and some of its third-party partners have been subject to attempted and sometimes successful cyberattacks from external sources over the last several years, including (i) denial of service attacks, which attempt to interrupt service to clients and customers; (ii) hacking and malicious software installations intended to gain unauthorized access to information systems or to disrupt those systems; (iii) data 48 breaches due to unauthorized access to customer account data; and (iv) malicious software attacks on client systems, in attempts to gain unauthorized access to Citi systems or client data under the guise of normal client transactions. While Citi’s monitoring and protection services were able to detect and respond to the incidents targeting its systems before they became significant, they still resulted in limited losses in some instances as well as increases in expenditures to monitor against the threat of similar future cyber incidents. There can be no assurance that such cyber incidents will not occur again, and they could occur more frequently, via novel tactics and on a more significant scale. Further, although Citi devotes significant resources to implement, maintain, monitor and regularly upgrade its systems and networks with measures such as intrusion detection and prevention and firewalls to safeguard critical business applications, there is no guarantee that these measures or any other measures can provide absolute security. Because the techniques used to initiate cyberattacks change frequently or, in some cases, are not recognized until launched or even later, Citi may be unable to implement effective preventive measures or otherwise proactively address these methods. In addition, given the evolving nature of cyber threat actors and the frequency and sophistication of the cyber activities they carry out, the determination of the severity and potential impact of a cyber incident may not become apparent for a substantial period of time following discovery of the incident. Also, while Citi engages in certain actions to reduce the exposure resulting from outsourcing, such as performing security control assessments of third-party vendors and limiting third-party access to the least privileged level necessary to perform job functions, these actions cannot prevent all third-party-related cyberattacks or data breaches. Cyber incidents can result in the disclosure of personal, confidential or proprietary customer, client or employee information, damage to Citi’s reputation with its clients and the market, customer dissatisfaction and additional costs to Citi, including expenses such as repairing systems, replacing customer payment cards, credit monitoring or adding new personnel or protection technologies. Cyber incidents can also result in regulatory penalties, loss of revenues, exposure to litigation and other financial losses, including loss of funds, to both Citi and its clients and customers and disruption to Citi’s operational systems (for additional information on the potential impact of operational disruptions, see the operational processes and systems risk factor above). Moreover, the increasing risk of cyber incidents has resulted in increased legislative and regulatory scrutiny of firms’ cybersecurity protection services and calls for additional laws and regulations to further enhance protection of consumers’ personal data. While Citi maintains insurance coverage that may, subject to policy terms and conditions including significant self- insured deductibles, cover certain aspects of cyber risks, such insurance coverage may be insufficient to cover all losses and may not take into account reputational harm, the costs of which are impossible to quantify. For additional information about Citi’s management of cybersecurity risk, see “Managing Global Risk—Operational Risk—Cybersecurity Risk” below. Changes or Errors in Accounting Assumptions, Judgments or Estimates, or the Application of Certain Accounting Principles, Could Result in Significant Losses or Other Adverse Impacts. U.S. GAAP requires Citi to use certain assumptions, judgments and estimates in preparing its financial statements, including, among other items, the estimate of the ACL; reserves related to litigation, regulatory and tax matters; valuation of DTAs; the fair values of certain assets and liabilities; and the assessment of goodwill and other assets for impairment. These assumptions, judgments and estimates are inherently limited because they involve techniques, including the use of historical data in many circumstances, that cannot anticipate every economic and financial outcome in the markets in which Citi operates, nor can they anticipate the specifics and timing of such outcomes. For example, many models used by Citi include assumptions about correlation or lack thereof among prices of various asset classes or other market indicators that may not hold in times of market stress, limited liquidity or other unforeseen circumstances. If Citi’s assumptions, judgments or estimates underlying its financial statements are incorrect or differ from actual or subsequent events, Citi could experience unexpected losses or other adverse impacts, some of which could be significant. Citi could also experience declines in its stock price, be subject to legal and regulatory proceedings and incur fines and other losses. For additional information on the key areas for which assumptions and estimates are used in preparing Citi’s financial statements, see “Significant Accounting Policies and Significant Estimates” below and Notes 1 and 15. For example, the CECL methodology requires that Citi provide reserves for a current estimate of lifetime expected credit losses for its loan portfolios and other financial assets, as applicable, at the time those assets are originated or acquired. This estimate is adjusted each period for changes in expected lifetime credit losses. Citi’s ACL estimate depends upon its CECL models and assumptions; forecasted macroeconomic conditions, including, among other things, the U.S. unemployment rate and U.S. inflation-adjusted gross domestic product (real GDP); and the credit indicators, composition and other characteristics of Citi’s loan portfolios and other applicable financial assets. These model assumptions and forecasted macroeconomic conditions will change over time, resulting in variability in Citi’s ACL, and, thus, impact its results of operations and financial condition, as well as regulatory capital due to the CECL phase-in (for additional information on the CECL phase-in, see the capital return risk factor above). Moreover, Citi has incurred losses related to its foreign operations that are reported in the CTA components of Accumulated other comprehensive income (loss) (AOCI). In accordance with U.S. GAAP, a sale, substantial liquidation or other deconsolidation event of any foreign operations, such as those related to Citi’s remaining divestitures or legacy businesses, would result in reclassification of any foreign CTA component of AOCI related to that foreign operation, including related hedges and taxes, into Citi’s earnings. For example, in the second quarter of 2022, Citi incurred a CTA loss (net of hedges) in AOCI released to earnings of approximately $400 million ($345 million after-tax) related to 49 the substantial liquidation of a legacy U.K. consumer operation (for additional information, see “Legacy Franchises” and “Corporate/Other” above and Note 2). For additional information on Citi’s accounting policy for foreign currency translation and its foreign CTA components of AOCI, see Notes 1 and 20. Changes to Financial Accounting and Reporting Standards or Interpretations Could Have a Material Impact on How Citi Records and Reports Its Financial Condition and Results of Operations. Periodically, the Financial Accounting Standards Board (FASB) issues financial accounting and reporting standards that govern key aspects of Citi’s financial statements or interpretations thereof when those standards become effective, including those areas where Citi is required to make assumptions or estimates. Changes to financial accounting or reporting standards or interpretations, whether promulgated or required by the FASB, the SEC, banking regulators or others, could present operational challenges and could also require Citi to change certain of the assumptions or estimates it previously used in preparing its financial statements, which could negatively impact how it records and reports its financial condition and results of operations generally and/or with respect to particular businesses. See Note 1 for additional information on Citi’s accounting policies and changes in accounting, including the expected impacts on Citi’s results of operations and financial condition. If Citi’s Risk Management Processes, Strategies or Models Are Deficient or Ineffective, Citi May Incur Significant Losses and Its Regulatory Capital and Capital Ratios Could Be Negatively Impacted. Citi utilizes a broad and diversified set of risk management and mitigation processes and strategies, including the use of models in enacting processes and strategies as well as in analyzing and monitoring the various risks Citi assumes in conducting its activities. For example, Citi uses models as part of its comprehensive stress testing initiatives across the Company. Citi also relies on data to aggregate, assess and manage various risk exposures. Management of these risks is made more challenging within a global financial institution such as Citi, particularly given the complex, diverse and rapidly changing financial markets and conditions in which Citi operates as well as that losses can occur unintentionally from untimely, inaccurate or incomplete processes and data. As discussed below, in October 2020, Citigroup and Citibank entered into consent orders with the FRB 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 (see “Citi’s Consent Order Compliance” above and the legal and regulatory proceedings risk factor below). Citi’s risk management processes, strategies and models are inherently limited because they involve techniques, including the use of historical data in many circumstances, assumptions and judgments that cannot anticipate every economic and financial outcome in the markets in which Citi operates, nor can they anticipate the specifics and timing of such outcomes. For example, many models used by Citi include assumptions about correlation or lack thereof among prices of various asset classes or other market indicators that may not necessarily hold in times of market stress, limited liquidity or other unforeseen circumstances. Citi could incur significant losses, and its regulatory capital and capital ratios could be negatively impacted, if Citi’s risk management processes, including its ability to manage and aggregate data in a timely and accurate manner, strategies or models are deficient or ineffective. Such deficiencies or ineffectiveness could also result in inaccurate financial, regulatory or risk reporting. Moreover, Citi’s Basel III regulatory capital models, including its credit, market and operational risk models, currently remain subject to ongoing regulatory review and approval, which may result in refinements, modifications or enhancements (required or otherwise) to these models. Citi is required to notify and obtain preapproval from both the OCC and FRB prior to implementing certain risk-weighted asset treatments, as well as certain model changes, resulting in a more challenging environment within which Citi must operate in managing its risk-weighted assets. Modifications or requirements resulting from these ongoing reviews, as well as any future changes or guidance provided by the U.S. banking agencies regarding the regulatory capital framework applicable to Citi, have resulted in, and could continue to result in, significant changes to Citi’s risk-weighted assets. These changes can negatively impact Citi’s capital ratios and its ability to achieve its regulatory capital requirements. CREDIT RISKS Credit Risk and Concentrations of Risk Can Increase the Potential for Citi to Incur Significant Losses. Citi has credit exposures to consumer, corporate and public sector borrowers and other counterparties in the U.S. and various countries and jurisdictions globally, including end-of- period consumer loans of $368 billion and end-of-period corporate loans of $289 billion at December 31, 2022. For additional information on Citi’s corporate and consumer loan portfolios, see “Managing Global Risk—Corporate Credit” and “—Consumer Credit” below. A default by a borrower or other counterparty, or a decline in the credit quality or value of any underlying collateral, exposes Citi to credit risk. Despite Citi’s target client strategy, various macroeconomic, geopolitical and other factors, among other things, can increase Citi’s credit risk and credit costs, particularly for certain sectors, industries or countries (for additional information, see the co-branding and private label credit card and macroeconomic challenges and uncertainties risk factors above and the emerging markets risk factor below). For example, a weakening of economic conditions can adversely affect borrowers’ ability to repay their obligations, as well as result in Citi being unable to liquidate the collateral it holds or forced to liquidate the collateral at prices that do not cover the full amount owed to Citi. Citi is also a member of various central clearing counterparties and could incur financial losses as a result of defaults by other clearing members due to the requirements of clearing members to share losses. Additionally, due to the interconnectedness among financial institutions, concerns about the creditworthiness of or defaults by a financial institution could spread to other financial market participants and result in market-wide losses. While Citi provides reserves for expected losses for its credit exposures, as applicable, such reserves are subject to judgments and estimates that could be incorrect or differ from actual future events. Under the CECL accounting standard, the ACL reflects expected losses, which has resulted in and could lead to additional volatility in the allowance and the provision for credit losses as forecasts of economic conditions change. For additional information, see the incorrect assumptions or estimates and changes to financial accounting and reporting standards risk factors above. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below and Notes 1 and 15. For additional information on Citi’s credit and country risk, see each respective business’s results of operations above and “Managing Global Risk—Credit Risk” and “Managing Global Risk—Other Risks—Country Risk” below and Notes 14 and 15. Concentrations of risk to clients or counterparties engaged in the same or related industries or doing business in a particular geography, especially credit and market risks, can also increase Citi’s risk of significant losses. For example, Citi routinely executes a high volume of securities, trading, derivative and foreign exchange transactions with non-U.S. sovereigns and with counterparties in the financial services industry, including banks, insurance companies, investment banks, governments, central banks and other financial institutions. Moreover, Citi has indemnification obligations in connection with various transactions that expose it to concentrations of risk, including credit risk from hedging or reinsurance arrangements related to those obligations (for additional information about these exposures, see Note 27). A rapid deterioration of a large borrower or other counterparty or within a sector or country in which Citi has large exposures or indemnifications or unexpected market dislocations could lead to concerns about the creditworthiness of other borrowers or counterparties in related or dependent industries, and such conditions could cause Citi to incur significant losses. LIQUIDITY RISKS Citi’s Businesses, Results of Operations and Financial Condition Could Be Negatively Impacted if It Does Not Effectively Manage Its Liquidity. As a large, global financial institution, adequate liquidity and sources of funding are essential to Citi’s businesses. Citi’s liquidity and sources of funding can be significantly and negatively impacted by factors it cannot control, such as 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 consequent inability to monetize available liquidity resources. Citi competes with other banks and financial institutions for both institutional and consumer deposits, which represent Citi’s most stable and lowest cost source of long-term funding. The competition for deposits has continued to increase in recent 50 years, including as a result of online banks and digital banking and fixed income alternatives for customer funds. Furthermore, it is expected that the market for deposits will become more competitive in the current higher interest rate environment. Citi’s costs to obtain and access wholesale funding are directly related to changes in interest and currency exchange rates and its credit spreads. For example, during 2022, interest rates in the U.S. increased significantly, thus, affecting Citi’s cost of funding. Changes in Citi’s credit spreads are driven by both external market factors and factors specific to Citi, such as negative views by investors of the financial services industry or Citi’s financial prospects, and can be highly volatile. For additional information on Citi’s primary sources of funding, see “Managing Global Risk—Liquidity Risk” below. Citi’s ability to obtain funding may be impaired and its cost of funding could also increase if other market participants are seeking to access the markets at the same time or to a greater extent than expected, or if market appetite for corporate debt securities declines, as is likely to occur in a liquidity stress event or other market crisis. Citi’s ability to sell assets may also be impaired if other market participants are seeking to sell similar assets at the same time or a liquid market does not exist for such assets. A sudden drop in market liquidity could also cause a temporary or protracted dislocation of underwriting and capital markets activity. In addition, clearing organizations, central banks, clients and financial institutions with which Citi interacts may exercise the right to require additional collateral during challenging market conditions, which could further impair Citi’s liquidity. If Citi fails to effectively manage its liquidity, its businesses, results of operations and financial condition could be negatively impacted. In addition, as a holding company, Citigroup Inc. relies on interest, dividends, distributions and other payments from its subsidiaries to fund dividends as well as to satisfy its debt and other obligations. Several of Citi’s U.S. and non-U.S. subsidiaries are or may be subject to capital adequacy or other liquidity, regulatory or contractual restrictions on their ability to provide such payments, including any local regulatory stress test requirements and inter-affiliate arrangements entered into in connection with Citigroup Inc.’s resolution plan. Citigroup Inc.’s broker-dealer and bank subsidiaries are subject to restrictions on their ability to lend or transact with affiliates, as well as restrictions on their ability to use funds deposited with them in brokerage or bank accounts to fund their businesses. Limitations on the payments that Citigroup Inc. receives from its subsidiaries could also impact its liquidity. A bank holding company is required by law to act as a source of financial and managerial strength for its subsidiary banks. As a result, the FRB may require Citigroup Inc. to commit resources to its subsidiary banks even if doing so is not otherwise in the interests of Citigroup Inc. or its shareholders or creditors, reducing the amount of funds available to meet its obligations. Credit Rating Agencies Continuously Review the Credit Ratings of Citi and Certain of Its Subsidiaries, and a Ratings Downgrade Could Adversely Impact Citi’s Funding and Liquidity. The credit rating agencies, such as Fitch Ratings, Moody’s Investors Services and S&P Global Ratings, continuously evaluate Citi and certain of its subsidiaries. Their ratings of Citi and its rated subsidiaries’ long-term debt and short-term obligations are based on several factors, including the financial strength of Citi and such subsidiaries, as well as factors that are not entirely within the control of Citi and its subsidiaries, such as the agencies’ proprietary rating methodologies and assumptions, and conditions affecting the financial services industry and markets generally. Citi and its subsidiaries may not be able to maintain their current respective ratings and outlooks. Rating downgrades could negatively impact Citi and its rated subsidiaries’ ability to access the capital markets and other sources of funds as well as the costs of those funds. A ratings downgrade could also have a negative impact on Citi and its rated subsidiaries’ ability to obtain funding and liquidity due to reduced funding capacity and the impact from derivative triggers, which could require Citi and its rated subsidiaries to meet cash obligations and collateral requirements. In addition, a ratings downgrade could have a negative impact on other funding sources such as secured financing and other margined transactions for which there may be no explicit triggers, and on contractual provisions and other credit requirements of Citi’s counterparties and clients that may contain minimum ratings thresholds in order for Citi to hold third-party funds. Furthermore, a credit ratings downgrade could have impacts that may not be currently known to Citi or are not possible to quantify. Some of Citi’s counterparties and clients could have ratings limitations on their permissible counterparties, of which Citi may or may not be aware. Certain of Citi’s corporate customers and trading counterparties, among other clients, could re-evaluate their business relationships with Citi and limit the trading of certain contracts or market instruments with Citi in response to ratings downgrades. Changes in customer and counterparty behavior could impact not only Citi’s funding and liquidity but also the results of operations of certain Citi businesses. For additional information on the potential impact of a reduction in Citi’s or Citibank’s credit ratings, see “Managing Global Risk— Liquidity Risk” below. COMPLIANCE RISKS Ongoing Interpretation and Implementation of Regulatory and Legislative Requirements and Changes and Heightened Regulatory Scrutiny and Expectations in the U.S. and Globally Have Increased Citi’s Compliance, Regulatory and Other Risks and Costs. Citi is continually required to interpret and implement extensive and frequently changing regulatory and legislative requirements in the U.S. and other jurisdictions in which it does business, which may overlap or conflict across jurisdictions, resulting in substantial compliance, regulatory and other risks and costs. In addition, there are heightened regulatory scrutiny and expectations in the U.S. and globally 51 for large financial institutions, as well as their employees and agents, with respect to governance, infrastructure, data, climate and risk management practices and controls. These requirements and expectations also include, among other things, those related to customer and client protection, market practices, anti-money laundering and increasingly complex sanctions and disclosure regimes. A failure to comply with these requirements and expectations, even if inadvertent, or resolve any identified deficiencies, could result in increased regulatory oversight and restrictions, enforcement proceedings, penalties and fines (for additional information on such regulatory consequences, see the legal and regulatory proceedings risk factor below). Over the past several years, Citi has been required to implement a significant number of regulatory and legislative changes, including new regulatory or legislative requirements or regimes, across its businesses and functions, and these changes continue. The changes themselves may be complex and subject to interpretation, and will require continued investments in Citi’s global operations and technology solutions. In some cases, Citi’s implementation of a regulatory or legislative requirement is occurring simultaneously with changing or conflicting regulatory guidance, legal challenges or legislative action to modify or repeal existing rules or enact new rules. Examples of regulatory or legislative changes that have resulted in increased compliance risks and costs include (i) various laws relating to the limitation of cross-border data movement and/or collection and use of customer information, including data localization and protection and privacy laws, which also can conflict with or increase compliance complexity with respect to other laws, including anti-money laundering laws; and (ii) the U.S. banking agencies’ regulatory capital rules and requirements, which have continued to evolve (for additional information, see the capital return risk factor and “Capital Resources” above). In addition, certain U.S. regulatory agencies and non-U.S. authorities have prioritized issues of social, economic and racial justice, and are in the process of considering ways in which these issues can be mitigated, including through rulemaking, supervision and other means, even while Congress is signaling, and certain U.S. state governments are pursuing potentially conflicting anti-ESG priorities. Citi Is Subject to Extensive Legal and Regulatory Proceedings, Examinations, Investigations, Consent Orders and Related Compliance Efforts and Other Inquiries That Could Result in Significant Monetary Penalties, Supervisory or Enforcement Orders, Business Restrictions, Limitations on Dividends, Changes to Directors and/or Officers and Collateral Consequences Arising from Such Outcomes. At any given time, Citi is a party to a significant number of legal and regulatory proceedings and is subject to numerous governmental and regulatory examinations. Additionally, Citi remains subject to governmental and regulatory investigations, consent orders and related compliance efforts, and other inquiries. Citi could also be subject to enforcement proceedings not only because of violations of laws and regulations, but also due to failures, as determined by its regulators, to have adequate policies and procedures, or to remedy deficiencies on a timely basis. 52 As previously disclosed, the October 2020 FRB and OCC consent orders require Citigroup and Citibank to implement targeted action plans and submit quarterly progress reports detailing the results and status of improvements relating principally to various aspects of enterprise-wide risk management, compliance, data quality management and governance and internal controls. These improvements will result in continued significant investments by Citi during 2023 and beyond, as an essential part of Citi’s broader transformation efforts to enhance its risk, controls, data and finance infrastructure and compliance. Although there are no restrictions on Citi’s ability to serve its clients, the OCC consent order requires Citibank to obtain prior approval of any significant new acquisition, including any portfolio or business acquisition, excluding ordinary course transactions. Moreover, the OCC consent order provides that the OCC has the right to assess future civil money penalties or take other supervisory and/or enforcement actions. Such actions by the OCC could include imposing business restrictions, including possible limitations on the declaration or payment of dividends and changes in directors and/or senior executive officers. More generally, the OCC and/or the FRB could take additional enforcement or other actions if the regulatory agency believes that Citi has not met regulatory expectations regarding compliance with the consent orders. For additional information regarding the consent orders, see “Citi’s Consent Order Compliance” above. The global judicial, regulatory and political environment has generally been challenging for large financial institutions, and financial institutions have been subject to continued regulatory scrutiny. The complexity of the federal and state regulatory and enforcement regimes in the U.S., coupled with the global scope of Citi’s operations, also means that a single event or issue may give rise to a large number of overlapping investigations and regulatory proceedings, either by multiple federal and state agencies and authorities in the U.S. or by multiple regulators and other governmental entities in foreign jurisdictions, as well as multiple civil litigation claims in multiple jurisdictions. Violations of law by other financial institutions may also result in regulatory scrutiny of Citi. Responding to regulatory inquiries and proceedings can be time consuming and costly. U.S. and non-U.S. regulators have been increasingly focused on the culture of financial services firms, including Citi, as well as “conduct risk,” a term used to describe the risks associated with behavior by employees and agents, including third parties, that could harm clients, customers, employees or the integrity of the markets, such as improperly creating, selling, marketing or managing products and services or improper incentive compensation programs with respect thereto, failures to safeguard a party’s personal information, or failures to identify and manage conflicts of interest. In addition to the greater focus on conduct risk, the general heightened scrutiny and expectations from regulators could lead to investigations and other inquiries, as well as remediation requirements, more regulatory or other enforcement proceedings, civil litigation and higher compliance and other risks and costs. Further, while Citi takes numerous steps to prevent and detect conduct by employees and agents that could potentially harm clients, customers, employees or the integrity of the markets, such behavior may not always be deterred or prevented. In addition to regulatory restrictions or structural changes that could result from perceived deficiencies in Citi’s culture, such focus could also lead to additional regulatory proceedings. Moreover, the severity of the remedies sought in legal and regulatory proceedings to which Citi is subject has remained elevated. U.S. and certain non-U.S. governmental entities have increasingly brought criminal actions against, or have sought criminal convictions from, financial institutions and individual employees, and criminal prosecutors in the U.S. have increasingly sought and obtained criminal guilty pleas or deferred prosecution agreements against financial entities and individuals and other criminal sanctions for those institutions and individuals. These types of actions by U.S. and international governmental entities may, in the future, have significant collateral consequences for a financial institution, including loss of customers and business, and the inability to offer certain products or services and/or operate certain businesses. Citi may be required to accept or be subject to similar types of criminal remedies, consent orders, sanctions, substantial fines and penalties, remediation and other financial costs or other requirements in the future, including for matters or practices not yet known to Citi, any of which could materially and negatively affect Citi’s businesses, business practices, financial condition or results of operations, require material changes in Citi’s operations or cause Citi reputational harm. Additionally, many large claims—both private civil and regulatory—asserted against Citi are highly complex, slow to develop and may involve novel or untested legal theories. The outcome of such proceedings is difficult to predict or estimate until late in the proceedings. Although Citi establishes accruals for its legal and regulatory matters according to accounting requirements, Citi’s estimates of, and changes to, these accruals involve significant judgment and may be subject to significant uncertainty, and the amount of loss ultimately incurred in relation to those matters may be substantially higher than the amounts accrued (see the incorrect assumptions or estimates risk factor above). In addition, certain settlements are subject to court approval and may not be approved. For further information on Citi’s legal and regulatory proceedings, see Note 29. OTHER RISKS Citi’s Emerging Markets Presence Subjects It to Various Risks as well as Increased Compliance and Regulatory Risks and Costs. During 2022, emerging markets revenues accounted for approximately 37% of Citi’s total revenues (Citi generally defines emerging markets as countries in Latin America, Asia (other than Japan, Australia and New Zealand), and central and Eastern Europe, the Middle East and Africa in EMEA). Citi’s presence in the emerging markets subjects it to various risks, such as limitations or unavailability of hedges on foreign investments; foreign currency volatility, including devaluations and continued strength in the U.S. dollar; sustained increases in interest rates; sovereign debt volatility; election outcomes, regulatory changes and political events; 53 foreign exchange controls, including inability to access indirect foreign exchange mechanisms; macroeconomic and geopolitical challenges and uncertainties and volatility, including with respect to Russia and China (see the macroeconomic and geopolitical risk factor above and “Managing Global Risk—Other Risks—Country Risk— Russia” and “—Ukraine” below); limitations on foreign investment; sociopolitical instability (including from hyperinflation); fraud; nationalization or loss of licenses; restrictions arising from retaliatory Russian laws and regulations on the conduct of its business; sanctions or asset freezes; potential criminal charges; closure of branches or subsidiaries; and confiscation of assets, and these risks can be exacerbated in the event of a deterioration in relationships between the U.S. and an emerging market country. For example, Citi operates in several countries that have, or have had in the past, strict capital controls, currency controls and/or sanctions, such as Argentina and Russia, that limit its ability to convert local currency into U.S. dollars and/ or transfer funds outside of those countries. For instance, due to currency controls in Argentina, Citi faces a risk of devaluation on its unhedged Argentine peso-denominated assets, which continue to increase (for additional information on Argentina-related risks, see “Managing Global Risk— Other Risks—Country Risk—Argentina” below). Moreover, if the economic situation in a country in which Citi operates were to deteriorate below a certain level, U.S. regulators through the Interagency Country Exposure Review Committee (ICERC) may impose mandatory loan loss or other reserve requirements on Citi, which would increase its credit costs and decrease its earnings. In addition, political turmoil and instability and geopolitical tensions and conflicts (such as the Russia– Ukraine war) have occurred in various regions and emerging market countries across the globe which have required, and may continue to require, management time and attention and other resources, such as monitoring the impact of sanctions on certain emerging market economies as well as impacting Citi’s businesses, results of operations and financial conditions in affected countries. The Transition Away from and Discontinuance of LIBOR or Any Other Interest Rate Benchmark Could Have Adverse Consequences for Citi. LIBOR and other rates or indices deemed to be benchmarks have been the subject of ongoing U.S. and non-U.S. regulatory scrutiny and reform. The LIBOR administrator ceased publication of non-USD LIBOR and one-week and two-month USD LIBOR on a permanent or representative basis on December 31, 2021, with plans for all other USD LIBOR tenors to permanently cease or become non-representative after June 30, 2023. As a result, Citi ceased entering into new contracts referencing USD LIBOR as of January 1, 2022, other than for limited circumstances where regulators recognized that it may be appropriate for banks to enter into new USD LIBOR contracts, including with respect to market- making, hedging or novations of USD transactions executed before January 1, 2022. Through a global effort by the financial services industry and regulators, alternative reference rates have been identified and/or developed and are being used to replace LIBOR and other benchmark rates. Alternative reference rates, such as the Secured Overnight Financing Rate (SOFR), are calculated using components different from those used in the calculation of LIBOR and may fluctuate differently than, and not be representative of, LIBOR. In order to compensate for these differences, certain of Citi’s financial instruments and commercial agreements allow for a benchmark replacement adjustment. However, there can be no assurance that any benchmark replacement adjustment will be sufficient to produce the economic equivalent of LIBOR, either at the benchmark replacement date or over the life of such instruments and agreements. Moreover, the transition presents challenges related to contractual mechanics of existing contracts that reference USD LIBOR and are governed by non-U.S. law or reference the USD LIBOR Ice Swap Rate. Certain of these legacy instruments and contracts are not covered by any legislative solution and do not provide for fallbacks to alternative reference rates, which makes it unclear what the applicable future replacement benchmark rates and associated payments might be after the current benchmark’s cessation. Citi may be unable to amend certain instruments and contracts due to an inability to obtain sufficient levels of consent from counterparties or security holders. Although this will depend on the precise contractual terms of the instrument, such consent requirements are often conditions of securities, such as floating rate notes. The Financial Conduct Authority (FCA), a U.K. regulator, has proposed that one-, three- and six-month USD LIBOR be published on a synthetic basis, which would only be available through September 2024. In addition, the transition away from and discontinuance of LIBOR and other benchmark rates have subjected financial institutions, including Citi, to heightened scrutiny from regulators. Failure to successfully transition away from LIBOR and other benchmark rates could result in adverse regulatory actions, disputes, including potential litigation involving holders of outstanding products and contracts that reference LIBOR and other benchmark rates, and reputational harm to Citi. See “Managing Global Risk—Other Risks— LIBOR Transition Risk” for Citi’s ongoing actions to prepare for the transition away from LIBOR. SUSTAINABILITY AND OTHER ESG MATTERS Introduction Citi has worked on Environmental, Social and Governance (ESG) issues for more than 20 years and has a demonstrated record of ESG progress, including participating in the creation and adoption of ESG-related principles and standards. This section summarizes some of Citi’s key ESG initiatives, including its Sustainable Progress Strategy, Net Zero, and Financial Inclusion and Racial Equity commitments. Citi’s ESG Report provides information on a broad set of ESG-related efforts. Citi’s Task Force on Climate-Related Financial Disclosures (TCFD) Report provides its stakeholders with information on Citi’s continued progress to manage climate risk and its Net Zero plan, including information on financed emissions and 2030 emissions targets. For information regarding Citi’s management of climate risk, see “Managing Global Risk—Strategic Risks—Climate Risk” below. ESG and Climate-Related Governance Citi’s Board of Directors (Board) provides oversight of Citi’s management activities (for additional information, see “Managing Global Risk—Risk Governance” below). For example, the Nomination, Governance and Public Affairs Committee of the Board oversees many of Citi’s ESG activities, including reviewing Citi’s policies and programs for environmental and social sustainability, climate change, human rights, diversity and other ESG issues, as well as overseeing engagement with external stakeholders. The Risk Management Committee of the Board provides oversight of Citi’s Independent Risk Management function and reviews Citi’s risk policies and frameworks, including receiving climate risk-related updates. The Audit Committee of the Board has recently been chartered to provide oversight of controls and procedures pertaining to the ESG-related metrics and related disclosures in Citi’s SEC filed reports and voluntary ESG reporting, as well as management’s evaluation of Citi’s disclosure controls and procedures for ESG reporting. Citi’s Global ESG Council consists of senior members of its management team and certain subject matter experts who provide oversight of Citi’s ESG goals and activities. In addition, a number of teams and senior managers contribute to the oversight and management of areas such as environmental sustainability; community investing; talent and diversity; ethics and business practices; and remuneration. Citi’s climate governance structure continues to evolve as Citi advances its understanding of its climate risk and its progress under the Net Zero plan. In addition to the expansion of the Board’s oversight of climate matters (see Risk Management Committee and Audit Committee descriptions above), Citi has: • • • Expanded and realigned its climate risk team to be part of the Enterprise Risk Management function within Risk; Further built out its Clean Energy Transition (CET) team (formed in 2021 and expanded in 2022 to include Corporate Banking), which focuses on providing advisory and capital-raising services to companies involved in energy transition; and Launched two climate training pilots for its BCMA (Banking, Capital Markets and Advisory), Risk Management and Global Functions teams involving in- person workshops focused on providing foundational knowledge of climate risks and client engagement. Key ESG Initiatives Sustainable Progress Strategy Citi’s Sustainable Progress Strategy is summarized in its Environmental and Social Policy Framework. The three pillars of the strategy each have climate-related elements and serve as the foundation for Citi’s climate commitments: 54 • • • The first pillar, “Low-Carbon Transition,” focuses on financing and facilitating environmental and social finance, including low-carbon solutions, and supporting Citi’s clients in their decarbonization and transition strategies. The second pillar, “Climate Risk,” focuses on Citi’s efforts to measure, manage and reduce the climate risk and impact of its client portfolio. Areas of activity include portfolio analysis and stakeholder engagement as well as enhancing TCFD implementation and disclosure. The third pillar, “Sustainable Operations,” focuses on Citi’s efforts to reduce the environmental footprint of its facilities and strengthen its sustainability culture. This includes minimizing the impact of its global operations through operational footprint goals and further integrates sustainable practices across the countries in which Citi operates. Net Zero Emissions by 2050 Citi is a member of several initiatives that enhance its understanding of climate-related issues, improve its access to data and promote a common understanding and terminology across various climate efforts. These initiatives include the Partnership for Carbon Accounting Financials, the Glasgow Financial Alliance for Net Zero and the Net Zero Banking Alliance. As previously disclosed, Citi has committed to achieving net zero greenhouse gas (GHG) emissions associated with its financing by 2050, and net zero GHG emissions for its own operations by 2030; both are significant targets given the size and breadth of Citi’s lending portfolios, businesses and operational footprint. Citi made this commitment as part of its ongoing work to reduce its climate risk and impact, grow its business in the clean energy transition and help address the challenges that climate change poses to the global economy and broader society. Citi’s net zero commitment demonstrates how identifying, assessing and managing climate-related risks and opportunities remains a top business priority for Citi. While many financial institutions, including Citi, face increasing public pressure to divest from carbon-intensive sectors, Citi believes it has an important role to play in advising and financing the transition to net zero, and it plans to work closely with clients in this effort. Citi recognizes that large-scale, rapid divestment could result in an abrupt and disorderly transition to a low-carbon economy, creating both economic and social upheaval. Citi believes that an orderly, responsible and equitable transition, which accounts for the immediate economic needs of communities and workers, continued access to energy, environmental justice considerations and broader economic development concerns, is essential for the retention of political and social support to move to a low-carbon economy. The 2050 net zero commitment includes the following framework, delineating the key areas required to achieve its targets: • • Calculate Emissions: Calculate baseline financed emissions for each carbon-intensive sector Transition Pathway: Identify the appropriate climate scenario transition pathway 55 • • • • • • • • • Target Setting: Establish emissions reduction targets for 2030 and beyond Implementation Strategy: Engage with and assess clients to determine transition opportunities External Engagement: Solicit feedback from clients, investors and other stakeholders, as the work continues to evolve and the parties collectively define net zero for the banking sector Citi’s Net Zero plan includes: Net Zero Metrics and Target Setting: Assess targets for carbon-intensive sectors and explore methodologies for calculating financed emissions beyond lending portfolios Client Engagement and Assessment: Seek to understand clients’ GHG emissions and work with them to develop their transition plans and advise on capacity building Risk Management: Assess climate risk exposure across Citi’s lending portfolios and review client carbon reduction progress, with ongoing review and refining of Citi’s risk appetite and thresholds and policies related to Climate Risk Management Clean Technology and Transition Finance: Support existing and, where possible, new technologies to accelerate commercialization and provide transition advisory and finance, via debt and equity underwriting Portfolio Management: Active portfolio management to align with net zero targets, including considerations of transition measures taken by clients Public Policy and Regulatory Engagement: Support enabling public policy and regulation in the U.S. and other countries where relevant In 2022, Citi took the following steps to operationalize its Net Zero plan: • • • In addition to the energy and power targets established last year, Citi has set 2030 emissions reduction targets for four additional loan portfolio sectors: automotive manufacturing, commercial real estate, steel and thermal coal mining. Citi has begun piloting a Net Zero Review Template for its energy and power clients to better understand their transition plans. Citi worked with RMI to help develop and launch the Sustainable STEEL Principles, a solution for measuring and disclosing the alignment of steel lending portfolios with 1.5°C climate targets. Financial Inclusion and Racial Equity Building on Citi’s longstanding focus on advancing financial inclusion and economic opportunity for communities of color, in September 2020, Citi and the Citi Foundation announced Action for Racial Equity (ARE), a set of strategic initiatives to help close the racial wealth gap and increase economic mobility in the U.S. As part of ARE, Citi and the Citi Foundation have invested more than $1 billion in strategic initiatives to provide greater access to banking and credit in communities of color, increase investment in Black-owned businesses, expand access to affordable housing and homeownership among Black Americans and advance anti- racist practices within Citi and across the financial services industry. Consistent with its commitment to transparently report on ARE, in December 2022 Citi released the results of a racial equity audit of ARE, which it had commissioned from the law firm Covington & Burling. The audit assessed ARE as an effort to help address various drivers of the racial wealth gap by evaluating ARE’s design, implementation and extent of integration into Citi’s business. The audit’s overall assessment was that ARE was a well-designed and credible effort to help address the racial wealth gap in the U.S., given the dimensions of Citi’s business. More specifically, it concluded that: • • • • ARE’s design effectively leveraged Citi’s expertise, network of business partners and resources to address some of the key factors contributing to the racial wealth gap. Citi has made progress toward many of the objectives committed to under ARE, although at the time of the audit (the end of the first two years of its three-year commitment) it had not yet accomplished every objective or commitment. There are opportunities to further institutionalize ARE efforts into Citi’s core business, building upon the creation of dedicated business units in both PBWM and ICG. There are opportunities for Citi to further support consumers from underrepresented communities to build and maintain healthy credit scores and access credit. In addition to Citi’s ongoing work and focus on ARE and in line with its continued commitment to expand access to banking products and services that can help advance economic progress—especially for underbanked and unbanked communities—Citi eliminated overdraft fees, returned item fees and overdraft protection fees beginning in June 2022. In addition to eliminating these fees, Citi will continue to offer a robust suite of free overdraft protection services for its customers. Additional Information For additional information on Citi’s environmental and social policies and priorities, click on “Our Impact” on Citi’s website at www.citigroup.com. For information on Citi’s ESG and Sustainability (including climate change) governance, see Citi’s 2023 Annual Meeting Proxy Statement to be filed with the SEC in March 2023, as well as its 2022 TCFD Report to be published and available on Citi’s investor relations website in March 2023. The 2022 TCFD Report and any other ESG-related reports and information included elsewhere on Citi’s investor relations website are not incorporated by reference into, and do not form any part of, this 2022 Annual Report on Form 10- K. 56 HUMAN CAPITAL RESOURCES AND MANAGEMENT Attracting and retaining a highly qualified and motivated workforce is a strategic priority for Citi. Citi seeks to enhance the competitive strength of its workforce through the following efforts: • • • • Continuously innovating the recruitment, training, compensation, promotion and engagement of colleagues Actively seeking and listening to diverse perspectives at all levels of the organization Optimizing transparency concerning workforce goals to promote accountability, credibility and effectiveness in achieving those goals Providing compensation programs that are competitive in the market and aligned to strategic objectives Workforce Size and Distribution As of December 31, 2022, Citi employed approximately 240,000 colleagues in over 90 countries. The Company’s workforce is constantly evolving and developing, benefiting from a strong mix of internal and external hiring into new and existing positions. In 2022, Citi welcomed nearly 60,000 new colleagues in addition to the roles filled by colleagues through internal mobility. The following table shows the geographic distribution of Citi’s employee population by segment, region and gender: Segment or component(1) Institutional Clients Group Personal Banking and Wealth Management Legacy Franchises Corporate/Other Total North America EMEA Latin America Asia Total(2) Women(3) Men(3) 19,162 19,635 7,569 27,882 74,248 44.1 % 55.9 % Unspecified(3) 0.03 % 39,952 2,227 452 58 21 35,776 27,690 10,894 7,281 14,084 14,392 12,828 56,715 50,247 58,693 56.8 55.1 46.8 43.2 44.9 53.2 0.02 — 0.02 86,862 32,777 51,078 69,186 239,903 50.1 % 49.9 % 0.02 % (1) Colleague distribution is based on assigned business and region, which may not reflect where the colleague physically resides. (2) Part-time colleagues represented less than 1.5% of Citi’s global workforce. (3) Information regarding gender is self-identified by colleagues. Driving a Culture of Excellence and Accountability Citi continues to embark on a talent and culture transformation to drive a culture of excellence and accountability that is supported by strong risk and controls management. Citi’s new Leadership Principles of “taking ownership, delivering with pride and succeeding together” have been reinforced through a behavioral science-led campaign, Citi’s New Way, that reinforces the key working habits that support Citi’s leadership culture. Citi’s performance management approach also emphasizes the Leadership Principles through a new four- pillar system, evaluating what colleagues deliver against financial performance, risk and controls, and client and franchise goals as well as how colleagues deliver from a leadership perspective. The performance management and incentive compensation processes and associated policies and frameworks have been redesigned to enhance accountability through increased rigor and consistency, in particular for risk and controls. The culture shift is also being supported by changes in the way Citi identifies, assesses, develops and promotes talent, particularly at the most senior levels of the organization. In 2022, the first Company-wide approach for promotions to the critical leadership role of Managing Director was launched, with common eligibility criteria across Citi, including risk and control performance. Further, all potential successors to Executive Management Team roles are evaluated by the Board and are now subject to a risk and controls assessment. Diversity, Equity and Inclusion Citigroup’s Board is committed to ensuring that the Board and Citi’s Executive Management Team are composed of individuals whose backgrounds reflect the diversity of Citi’s employees, customers and other stakeholders. In addition, Citi has increased its efforts to diversify its workforce, including, among other things, taking actions with respect to pay equity, setting representation goals and the use of diverse slates in recruiting. Pay Transparency and Pay Equity Citi values pay transparency and has taken significant action to ensure that both managers and employees have greater clarity around Citi’s compensation philosophy. Over the past two years, Citi introduced market-based salary structures and bonus opportunity guidelines in various countries worldwide. In addition, Citi recently began posting salary ranges on all 57 external U.S. job postings, which aligns with strategic objectives of pay equity and transparency. Citi also raised its U.S. minimum wage in 2022, the second broad-based increase in less than two years. Citi has focused on measuring and addressing pay equity within the organization: • • • • In 2018, Citi was the first major U.S. financial institution to publicly release the results of a pay equity review comparing its compensation of women to that of men, as well as U.S. minorities to U.S. non-minorities. Since 2018, Citi has continued to be transparent about pay equity, including disclosing its unadjusted or “raw” pay gap for both women and U.S. minorities. The raw gap measures the difference in median compensation. The existence of Citi’s raw pay gap reflects a need to increase representation of women and U.S. minorities in senior and higher-paying roles. Citi’s 2022 pay equity review determined that on an adjusted basis, women globally are paid on average more than 99% of what men are paid at Citi, and that there was not a statistically significant difference in adjusted compensation for U.S. minorities and non-minorities. Citi’s 2022 raw pay gap analysis showed that the median pay for women globally is 78% of the median for men, up from 74% in 2021 and 2020. The median pay for U.S. minorities is more than 97% of the median for non- minorities, which is up from just above 96% in 2021 and 94% in 2020. Representation Goals Citi’s management believes that a diverse workforce is key to the Company’s success in serving diverse clients and communities. In 2022, Citi announced that it exceeded its Company-wide, aspirational diversity representation goals for 2018–2021 to increase its percentages of women colleagues globally and Black talent in the U.S. Recognizing that this was just a starting point, Citi has set new goals for 2025. The new goals are more global, embrace more dimensions of diversity and include all levels of the Company. Citi’s 2025 aspirational representation goals are embedded in its business strategy. Citi has goals for hiring and promoting colleagues into roles at the Assistant Vice President to Managing Director levels across the organization, as well as goals for campus hiring from colleges and universities. Having aspirational goals across all levels—from early career through senior leadership roles—will help ensure Citi not only has diverse talent in leadership roles, but will also help the Company build a diverse talent pipeline for the future. Workforce Development Citi’s numerous programmatic offerings aim to reinforce its culture and values, foster understanding of compliance requirements and develop competencies required to deliver excellence to its clients. Citi encourages career growth and development by offering broad and diverse opportunities to colleagues, including the following: • Citi provides a range of internal development and rotational programs to colleagues at all levels, including 58 an extensive leadership curriculum, allowing the opportunity to build the skills needed to transition to supervisory and managerial roles. Citi’s tuition assistance program further enables colleagues in North America to pursue their educational goals. Citi has a focus on internal talent development and aims to provide colleagues with career growth opportunities, with more than 33,000 open positions filled internally in 2022. These opportunities are particularly important as Citi focuses on providing career paths for its internal talent base as part of its efforts to increase organic growth and promotions within the organization. Wellness and Benefits Citi is proud to provide a wide range of benefits that support its colleagues mentally, emotionally, physically and financially and through various life stages and events. The Company is focused on providing equitable benefits that are designed to attract, engage and retain colleagues. Citi has significantly enhanced mental well-being programs by offering free counseling sessions for colleagues and their family members and adding real-time text, video and message-based counseling in the U.S., as well as offering an online tool so that all colleagues around the globe can easily find their local Employee Assistance Programs and resources. Citi also continues to value the importance of physical well- being—providing employees in several office locations and countries access to onsite medical care clinics, fitness centers, subsidized gym memberships and virtual fitness programs. Citi continues expanding employee benefits to support colleagues and their families. In early 2020, Citi expanded its Paid Parental Leave Policy to include Citi colleagues around the world. Citi also began to offer additional leave opportunities to eligible colleagues, including the “Refresh, Recharge, Reenergize” program, whereby employees are able to take up to 12 weeks for a sabbatical to pursue a personal interest, and the “Giving Back” program, allowing employees to take up to four weeks to work with a charitable institution. In 2022, Citi implemented a global, flexible work approach to provide colleagues with the ability to balance the demands of their home lives with the work conditions that are necessary for success. The “How We Work” approach includes a new work model for Citi, defined by three role designations for colleagues globally: Resident, Hybrid or Remote. By embracing a flexible model of work, Citi has focused on keeping its approach consistent and aligned with its values and priorities. For additional information about Citi’s human capital management initiatives and goals, see Citi’s 2021 ESG report available at www.citigroup.com. The 2021 ESG report and other information included elsewhere on Citi’s investor relations website are not incorporated by reference into, and do not form any part of, this 2022 Annual Report on Form 10- K. Managing Global Risk Table of Contents MANAGING GLOBAL RISK Overview CREDIT RISK(1) Overview Corporate Credit Consumer Credit Additional Consumer and Corporate Credit Details Loans Outstanding Details of Credit Loss Experience Allowance for Credit Losses on Loans (ACLL) Non-Accrual Loans and Assets and Renegotiated Loans Forgone Interest Revenue on Loans LIQUIDITY RISK Overview Liquidity Monitoring and Measurement High-Quality Liquid Assets (HQLA) Loans Deposits Long-Term Debt Secured Funding Transactions and Short-Term Borrowings Credit Ratings MARKET RISK(1) Overview Market Risk of Non-Trading Portfolios Banking Book Interest Rate Risk Interest Rate Risk of Investment Portfolios—Impact on AOCI Changes in Foreign Exchange Rates—Impacts on AOCI and Capital Interest Revenue/Expense and Net Interest Margin (NIM) Additional Interest Rate Details Market Risk of Trading Portfolios Factor Sensitivities Value at Risk (VAR) Stress Testing OPERATIONAL RISK Overview Cybersecurity Risk COMPLIANCE RISK REPUTATION RISK STRATEGIC RISK Climate Risk OTHER RISKS LIBOR Transition Risk Country Risk Top 25 Country Exposures Russia Ukraine Argentina FFIEC—Cross-Border Claims on Third Parties and Local Country Assets 60 60 63 63 64 70 77 77 78 80 82 85 86 86 86 87 88 88 89 92 93 95 95 95 95 96 98 99 102 106 107 107 110 111 111 111 112 113 113 113 114 114 116 116 117 120 120 120 (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. 59 MANAGING GLOBAL RISK Overview For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi has established an Enterprise Risk Management (ERM) Framework to ensure that all of Citi’s risks are managed appropriately and consistently across the Company and at an aggregate, enterprise-wide level. Citi’s culture drives a strong risk and control environment, and is at the heart of the ERM Framework, underpinning the way Citi conducts business. The activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s Mission and Value Proposition and the key Leadership Principles that support it, as well as Citi’s risk appetite. As discussed above, Citi also continues its efforts to comply with the FRB and OCC consent orders, relating principally to various aspects of risk management, compliance, data quality management and governance, and internal controls (see “Citi’s Consent Order Compliance” and “Risk Factors—Compliance Risks” above). Under Citi’s Mission and Value Proposition, which was developed by its senior leadership and distributed throughout the Company, Citi strives to serve its clients as a trusted partner by responsibly providing financial services that enable growth and economic progress while earning and maintaining the public’s trust by constantly adhering to the highest ethical standards. As such, Citi asks all colleagues to ensure that their decisions pass three tests: they are in Citi’s clients’ best interests, create economic value and are always systemically responsible. As discussed in “Human Capital Resources and Management” above, Citi has designed Leadership Principles that represent the qualities, behaviors and expectations all employees must exhibit to deliver on Citi’s mission of enabling growth and economic progress. The Leadership Principles inform Citi’s ERM Framework and will contribute to creating a culture that drives client, control and operational excellence. Citi colleagues share a common responsibility to uphold these leadership principles and hold themselves to the highest standards of ethics and professional behavior in dealing with Citi’s clients, business colleagues, shareholders, communities and each other. Citi’s ERM Framework details the principles used to support effective enterprise-wide risk management across the end-to-end risk management lifecycle. The ERM Framework covers the risk management roles and responsibilities of the Citigroup Board of Directors (the Board), Citi’s Executive Management Team (see “Risk Governance—Executive Management Team” below) and employees across the lines of defense. The underlying pillars of the framework encompass: • • Culture—the core principles and behaviors that underpin a strong culture of risk awareness, in line with Citi’s Mission and Value Proposition, and Leadership Principles; Governance—the committee structure and reporting arrangements that support the appropriate oversight of risk management activities at the Board and Executive Management Team levels; 60 • • Risk Management—the end-to-end risk management cycle including the identification, measurement, monitoring, controlling and reporting of all risks including top, material, growing, idiosyncratic and emerging risks, and aggregated to an enterprise-wide level; and Enterprise Programs—the key risk management programs performed across the risk management lifecycle for all risk categories; these programs also outline the specific roles played by each of the lines of defense in these processes. Each of these pillars is underpinned by supporting capabilities, which are the infrastructure, people, technology and data, and modelling and analytical capabilities that are in place to enable the execution of the ERM Framework. Citi’s approach to risk management requires that its risk- taking be consistent with its risk appetite. The risk appetite is the aggregate level and types of risk Citi is willing to take or tolerate in order to meet its strategic objectives and business plan. Citi’s risk appetite framework is the overall firm-wide approach, including policies, processes, controls and systems through which the risk appetite is established, communicated and monitored. In addition, underlying risk limits and thresholds are designed to control concentrations and operationalize risk appetite. Citi’s risks are generally categorized and summarized as follows: • • Credit risk is the risk of loss resulting from the decline in credit quality (or downgrade risk) or failure of a borrower, counterparty, third party or issuer to honor its financial or contractual obligations. Liquidity risk is the risk that Citi will not be able to efficiently meet both expected and unexpected current and future cash flow and collateral needs without adversely affecting either daily operations or financial conditions of Citi. • • Market risk (Trading and Non-Trading): Market risk of trading portfolios is the risk of loss arising from changes in the value of Citi’s assets and liabilities resulting from changes in market variables, such as interest rates, exchange rates, equity and commodity prices or credit spreads. Market risk of non-trading portfolios is the risk to current or projected financial condition and resilience arising from movements in interest rates resulting from repricing risk, basis risk, yield curve risk and options risk. Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems, or from external events. It includes legal risk, which is the risk of loss (including litigation costs, settlements and regulatory fines) resulting from Citi’s failure to comply with laws, regulations, prudent ethical standards or contractual obligations in any aspect of Citi’s business, but excludes strategic and reputation risks (see below). Compliance risk is the risk to current or projected financial condition and resilience arising from violations of laws, rules or regulations, or from non-conformance • • • with prescribed practices, internal policies and procedures or ethical standards. Reputation risk is the risk to current or projected financial conditions and resilience from negative opinion held by stakeholders. Strategic risk is the risk of a sustained impact (not episodic impact) to Citi’s core strategic objectives as measured by impacts on anticipated earnings, market capitalization or capital, arising from the external factors affecting the Company’s operating environment; as well as the risks associated with defining the strategy and executing the strategy, which are identified, measured and managed as part of the Strategic Risk Framework at the Enterprise Level. Citi uses a lines of defense model as a key component of its ERM Framework to manage its risks. As discussed below, the lines of defense model brings together risk-taking, risk oversight and risk assurance under one umbrella and provides an avenue for risk accountability of first line of defense, a construct for effective challenge by the second line of defense (Independent Risk Management and Independent Compliance Risk Management), and empowers independent risk assurance by the third line of defense (Internal Audit). In addition, the lines of defense model includes organizational units tasked with supporting a strong control environment (“enterprise support functions”). The first, second and third lines of defense, along with enterprise support functions, have distinct roles and responsibilities and are empowered to perform relevant risk management processes and responsibilities in order to manage Citi’s risks in a consistent and effective manner. First Line of Defense: Front Line Units and Front Line Unit Activities Citi’s first line of defense owns the risks and associated controls inherent in, or arising from, the execution of its business activities and is responsible for identifying, measuring, monitoring, controlling and reporting those risks consistent with Citi’s strategy, Mission and Value Proposition, Leadership Principles and risk appetite. Front line units are responsible and held accountable for managing the risks associated with their activities within the boundaries set by independent risk management. They are also responsible for designing and implementing effective internal controls and maintaining processes for managing their risk profile, including through risk mitigation, so that it remains consistent with Citi’s established risk appetite. Front line unit activities are considered part of the first line of defense and are subject to the oversight and challenge of independent risk management. The first line of defense is composed of Citi’s Business Management, Regional Management, certain Corporate Functions (Enterprise Operations and Technology, Chief Administrative Office, Global Public Affairs, Office of the Citibank Chief Executive Officer (CEO) and Finance), as well as other front line unit activities. Front line units may also include enterprise support units and/or conduct enterprise support activities—see “Enterprise Support Functions” below. Second Line of Defense: Independent Risk Management Independent risk management units are independent of the first line of defense. They are responsible for overseeing the risk-taking activities of the first line of defense and challenging the first line of defense in the execution of its risk management responsibilities. They are also responsible for independently identifying, measuring, monitoring, controlling and reporting aggregate risks and for setting standards for the management and oversight of risk. Independent risk management is composed of Independent Risk Management (IRM) and Independent Compliance Risk Management (ICRM), which are led by the Group Chief Risk Officer (CRO) and Group Chief Compliance Officer (CCO) who have unrestricted access to the Board and its Risk Management Committee to facilitate the ability to execute their specific responsibilities pertaining to escalation to the Board. Independent Risk Management The IRM organization sets risk and control standards for the first line of defense and actively manages and oversees aggregate credit, market (trading and non-trading), liquidity, strategic, operational and reputation risks across Citi, including risks that span categories, such as concentration risk, country risk and climate risk. IRM is organized to align to risk categories, legal entities/ regions and Company-wide, cross-risk functions or processes. Each of these units reports to a member of the Risk Management Executive Council, who are all direct reports to the Citigroup CRO. Independent Compliance Risk Management The ICRM organization actively oversees compliance risk across Citi, sets compliance risk and control standards for the first line of defense to manage compliance risk and promotes business conduct and activity that is consistent with Citi’s Mission and Value Proposition and the compliance risk appetite. Citi’s objective is to embed an enterprise-wide compliance risk management framework and culture that identifies, measures, monitors, controls and escalates compliance risk across Citi. ICRM is aligned by product line, function and geography to provide compliance risk management advice and credible challenge on day-to-day matters and strategic decision-making for key initiatives. ICRM also has program-level Enterprise Compliance units responsible for setting standards and establishing priorities for program-related compliance efforts. These Compliance Risk Management heads report directly to the CCO. The CCO reports to Citi’s General Counsel and ICRM is organizationally part of the Global Legal Affairs & Compliance group. In addition, the CCO has matrix reporting into the CRO and is part of the Risk Management Executive Council. Third Line of Defense: Internal Audit Internal Audit is independent of the first line, second line and enterprise support functions. The role of Internal Audit is to provide independent, objective, reliable, valued and timely assurance to the Board, its Audit Committee, Citi senior management and regulators over the effectiveness of governance, risk management and controls that mitigate 61 current and evolving risks and enhance the control culture within Citi. The Citi Chief Auditor manages Internal Audit and reports functionally to the Chairman of the Citi Audit Committee and administratively to the Citi Chief Executive Officer. The Citi Chief Auditor has unrestricted access to the Board and the Board Audit Committee to address risks and issues identified through Internal Audit’s activities. Enterprise Support Functions Enterprise support functions engage in activities that support safety and soundness across Citi. These functions provide advisory services and/or design, implement, maintain and oversee Company-wide programs that support Citi in maintaining an effective control environment. Enterprise support functions are composed of Human Resources and Legal (including Citi Security and Investigative Services). Front line units may also include enterprise support units and/or conduct enterprise support activities (e.g., the Controllers Group within Finance). Enterprise support functions, units and activities are subject to the relevant Company-wide independent oversight processes specific to the risks for which they are accountable (e.g., operational risk, compliance risk, reputation risk). Risk Governance Citi’s ERM Framework encompasses risk management processes to address risks undertaken by Citi through identification, measurement, monitoring, controlling and reporting of all risks. The ERM Framework integrates these processes with appropriate governance to complement Citi’s commitment to maintaining strong and consistent risk management practices. Board Oversight The Board is responsible for oversight of Citi and holds the Executive Management Team accountable for implementing the ERM Framework, meeting strategic objectives within Citi’s risk appetite. Executive Management Team The Board delegates authority to an Executive Management Team for directing and overseeing day-to-day management of Citi. The Executive Management Team is led by the Citigroup CEO and provides oversight of group activities, both directly and through authority delegated to committees it has established to oversee the management of risk, to ensure continued alignment with Citi’s risk strategy. Board and Executive Management Committees The Board executes its responsibilities either directly or through its committees. The Board has delegated authority to the following Board standing committees to help fulfill its oversight and risk management responsibilities: • Risk Management Committee (RMC): assists the Board in fulfilling its responsibility with respect to (i) oversight of Citi’s risk management framework, including the significant policies and practices used in managing credit, market, liquidity, strategic, operational, compliance, reputation and certain other risks, including those pertaining to capital management, and (ii) performance 62 • • • • oversight of the Global Risk Review—credit, capital and collateral review functions. Audit Committee: provides oversight of Citi’s financial reporting and internal control risk, as well as Internal Audit and Citi’s external independent accountants. Compensation, Performance Management and Culture Committee: provides oversight of compensation of Citi’s employees and Citi management’s sustained focus on fostering a principled culture of sound ethics, responsible conduct and accountability within the organization. Nomination, Governance and Public Affairs Committee: provides oversight of reputational issues, Environmental, Social and Governance (ESG) and sustainability matters, and legal and regulatory compliance risks as they relate to corporate governance matters. Technology Committee: assists the Board in fulfilling its responsibility with respect to oversight of (i) Citigroup’s technology strategy and operating plan and the development of Citi’s target operating model and architecture, (ii) technology-based risk management, including Cyber Security, (iii) technology-related resource and talent planning and (iv) third-party management policies, practices and standards. In addition to the above, the Board has established the following ad hoc committee: • Transformation Oversight Committee: provides oversight of the actions of Citi’s management to develop and execute a transformation of Citi’s risk and control environment pursuant to the recent regulatory consent orders (for additional information see “Citi’s Consent Order Compliance” above). The Executive Management Team has established five standing committees that cover the primary risks to which Citi (i.e., Group) is exposed. These consist of: • • • • Group Strategic Risk Committee (GSRC): provides governance oversight of Citi’s management actions to adequately identify, monitor, report, manage and escalate all material strategic risks facing Citi. Citigroup Asset and Liability Committee (ALCO): responsible for governance over management’s Liquidity Risk and Market Risk (non-trading) management and for monitoring and influencing the balance sheet, investment securities and capital management activities of Citigroup. Group Risk Management Committee (GRMC): the primary senior executive level committee responsible for (i) overseeing the execution of Citigroup’s ERM Framework, (ii) monitoring Citi’s risk profile at an aggregate level inclusive of individual risk categories, (iii) ensuring that Citi’s risk profile remains consistent with its approved risk appetite and (iv) discussing material and emerging risk issues facing the Company. The Committee also provides comprehensive Group-wide coverage of all risk categories, including Credit Risk and Market Risk (trading). Group Business Risk and Control Committee (GBRCC): provides governance oversight of Citi’s Compliance and Operational Risks. • Group Reputation Risk Committee (GRRC): provides governance oversight for Reputation Risk management across Citi. In addition to the Executive Management committees listed above, management may establish ad-hoc committees in response to regulatory feedback or to manage additional activities when deemed necessary. The figure below illustrates the reporting lines between the Board and Executive Management committees: Credit exposures are generally reported in notional terms for accrual loans, reflecting the value at which the loans as well as other off-balance sheet commitments are carried on the Consolidated Balance Sheet. Credit exposure arising from capital markets activities is generally expressed as the current mark-to-market, net of margin, reflecting the net value owed to Citi by a given counterparty. The credit risk associated with Citi’s credit exposures is a function of the idiosyncratic creditworthiness of the obligor, as well as the terms and conditions of the specific obligation. Citi assesses the credit risk associated with its credit exposures on a regular basis through its allowance for credit losses (ACL) process (see “Significant Accounting Policies and Significant Estimates—Allowance for Credit Losses” below and Notes 1 and 15), as well as through regular stress testing at the company, business, geography and product levels. These stress-testing processes typically estimate potential incremental credit costs that would occur as a result of either downgrades in the credit quality or defaults of the obligors or counterparties. See Note 14 for additional information on Citi’s credit risk management. CREDIT RISK Overview Credit risk is the risk of loss resulting from the decline in credit quality of a client, customer or counterparty (or downgrade risk) or the failure of a borrower, counterparty, third party or issuer to honor its financial or contractual obligations. Credit risk is one of the most significant risks Citi faces as an institution. For additional information, see “Risk Factors—Credit Risk” above. Credit risk arises in many of Citigroup’s business activities, including: • • • • consumer, commercial and corporate lending; capital markets derivative transactions; structured finance; and securities financing transactions (repurchase and reverse repurchase agreements, and securities loaned and borrowed). Credit risk also arises from clearing and settlement activities, when Citi transfers an asset in advance of receiving its counter-value or advances funds to settle a transaction on behalf of a client. Concentration risk, within credit risk, is the risk associated with having credit exposure concentrated within a specific client, industry, region or other category. Citi has an established framework in place for managing credit risk across all businesses that includes a defined risk appetite, credit limits and credit policies. Citi’s credit risk management framework also includes policies and procedures to manage problem exposures. To manage concentration risk, Citi has in place a framework consisting of industry limits, single-name concentrations for each business and across Citigroup and a specialized product limit framework. 63 CORPORATE CREDIT Consistent with its overall strategy, Citi’s corporate clients are typically corporations that value the depth and breadth of Citi’s global network. Citi aims to establish relationships with these clients whose needs encompass multiple products, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory. Corporate Credit Portfolio 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: December 31, 2022 September 30, 2022 December 31, 2021 Greater than 1 year but within 5 years Due within 1 year 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 $ 134 $ 122 $ 27 $ 283 $ 143 $ 114 $ 27 $ 284 $ 145 $ 119 $ 20 $ 284 140 256 10 406 133 248 10 391 147 269 13 $ 274 $ 378 $ 37 $ 689 $ 276 $ 362 $ 37 $ 675 $ 292 $ 388 $ 33 $ 429 713 In billions of dollars Direct outstandings (on-balance sheet)(1) Unfunded lending commitments (off-balance sheet)(2) Total exposure (1) (2) Includes drawn loans, overdrafts, bankers’ acceptances and leases. 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: December 31, 2022 September 30, 2022 December 31, 2021 North America 56 % 56 % 56 % EMEA Asia Latin America Total 25 12 7 25 12 7 25 13 6 100 % 100 % 100 % The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty, and internal risk ratings are derived by leveraging validated statistical models and scorecards 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. 64 The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio: Total exposure December 31, 2022 September 30, 2022 December 31, 2021 AAA/AA/A 50 % 50 % 48 % BBB BB/B CCC or below Total 34 14 2 33 15 2 34 16 2 100 % 100 % 100 % Note: Total exposure includes direct outstandings and unfunded lending commitments. In addition to the obligor and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi’s interpretation of the U.S. banking regulators’ definition of criticized exposures, which may categorize exposures as special mention, substandard, doubtful or loss. Risk ratings and classifications are reviewed regularly and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment. This includes but is not limited to exposures in those sectors significantly impacted by the COVID-19 pandemic (including consumer retail, commercial real estate and transportation). Citi believes the corporate credit portfolio to be appropriately rated and classified as of December 31, 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 14 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 December 31, 2022 September 30, 2022 December 31, 2021 20 % 20 % 20 % 12 11 10 9 10 7 5 6 4 3 2 1 12 11 10 9 9 7 7 5 4 3 2 1 12 11 10 9 8 7 8 5 4 3 2 1 100 % 100 % 100 % Transportation and industrials Technology, media and telecom Consumer retail Real estate Power, chemicals, metals and mining Banks and finance companies(1) Energy and commodities Asset managers and funds Health Insurance Public sector Financial markets infrastructure Other industries Total (1) As of the periods in the table, Citi had less than 1% exposure to securities firms. See corporate credit portfolio by industry, below. 65 The following table details Citi’s corporate credit portfolio by industry as of December 31, 2022: Total credit exposure Funded(1) Unfunded(1) Investment grade Non- criticized Criticized performing Criticized non- performing(2) 30 days or more past due and accruing Net credit losses (recoveries) Credit derivative hedges(3) Non-investment grade Selected metrics $ 139,225 $ 57,271 $ 81,954 $ 109,197 $ 19,697 $ 9,850 $ 481 $ 403 $ — $ (8,459) In millions of dollars Transportation and industrials Autos(4) Transportation Industrials Technology, media and telecom Consumer retail Real estate Power, chemicals, metals and mining Power Chemicals Metals and mining Banks and finance companies 47,482 21,995 24,843 10,374 66,900 24,902 81,211 28,931 78,255 32,687 70,676 48,539 59,404 18,326 22,718 23,147 13,539 4,827 7,765 5,734 65,623 42,276 Energy and commodities(5) 46,309 13,069 Asset managers and funds 35,983 13,162 Health Insurance Public sector Financial markets infrastructure Securities firms Other industries 41,836 29,932 8,771 4,417 23,705 11,736 8,742 1,462 6,697 60 569 3,651 25,487 14,469 41,998 52,280 45,568 22,137 41,078 17,891 15,382 7,805 23,347 33,240 22,821 33,065 25,515 11,969 8,682 893 3,046 40,795 18,078 5,171 3,156 50,324 11,370 65,386 12,308 60,215 14,830 63,023 4,722 1,391 3,444 5,015 3,308 2,910 2,881 47,395 10,466 1,437 18,822 19,033 9,540 57,368 38,918 34,431 36,954 29,090 3,325 3,534 3,607 5,718 6,076 1,492 3,737 801 20,663 2,084 8,672 625 70 678 4,842 1,568 512 564 361 2,387 1,200 60 978 41 956 — 157 238 125 165 191 209 300 50 106 59 16 31 150 115 — 167 — 2 — 2 49 52 57 294 169 195 138 226 129 55 42 266 180 95 84 44 77 — 2 19 — (3,084) (30) (1,270) 30 11 28 2 34 (4,105) (6,050) (5,395) (739) (5,063) (3) (2,306) 30 7 65 11 — 7 — 4 — — 16 (2,098) (659) (1,113) (3,852) (759) (2,855) (3,884) (1,633) (18) (2) (8) Total $ 689,060 $ 283,465 $ 405,595 $ 576,779 $ 84,247 $ 26,403 $ 1,631 $ 1,898 $ 178 $ (39,830) (1) Excludes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2022, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balances also exclude loans carried at fair value of $5.1 billion at December 31, 2022. Includes non-accrual loan exposures and criticized unfunded exposures. (2) (3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $39.8 billion of purchased credit protection, $36.6 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.2 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $27.6 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 $17.4 billion ($10.3 billion in funded, with more than 99% rated investment grade) as of December 31, 2022. 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, 2022, Citi’s total exposure to these energy-related entities was approximately $4.7 billion, of which approximately $2.4 billion consisted of direct outstanding funded loans. (5) 66 The following table details Citi’s corporate credit portfolio by industry as of December 31, 2021: Total credit exposure Funded(1) Unfunded(1) Investment grade Non- criticized Criticized performing Criticized non- performing(2) 30 days or more past due and accruing Net credit losses (recoveries) Credit derivative hedges(3) Non-investment grade Selected metrics $ 143,445 $ 51,502 $ 91,943 $ 110,047 $ 19,051 $ 13,196 $ 1,151 $ 384 $ 127 $ (8,791) 48,210 26,897 68,338 84,333 78,994 69,808 65,641 26,199 25,550 13,892 18,662 12,085 20,755 28,542 32,894 46,220 20,224 5,610 8,525 6,089 29,548 14,812 47,583 55,791 46,100 23,588 45,417 20,589 17,025 7,803 39,824 19,233 50,990 64,676 60,686 58,089 53,575 22,860 20,788 9,927 5,365 2,344 11,342 15,873 13,590 6,761 2,906 4,447 5,843 3,587 4,311 4,923 10,708 1,241 2,832 4,224 3,652 420 528 293 58,252 36,804 21,448 49,465 4,892 3,890 48,973 13,485 35,488 38,972 7,517 2,220 55,517 33,393 28,495 23,842 14,341 1,472 6,591 26,879 8,826 3,162 12,464 109 613 2,803 28,638 24,567 25,333 11,378 54,119 27,600 27,447 21,035 14,232 14,323 859 3,788 605 4,151 1,019 4,702 987 1,527 18 816 1,890 377 942 61 1,275 — 51 489 115 873 163 197 407 35 117 87 10 20 5 264 2 149 — 5 — — 61 49 105 230 156 224 116 292 100 88 104 150 224 211 95 2 37 — 4 — 2 104 21 11 100 50 22 17 6 (3,228) (1,334) (4,229) (6,875) (5,115) (798) (5,808) (3,032) (2,141) (1) (635) (5) (680) 78 — — 1 (3,679) (869) (2,465) (2,711) (3) (1,282) — — 5 (22) (5) (169) In millions of dollars Transportation and industrials Autos(4) Transportation Industrials Technology, media and telecom Consumer retail Real estate Power, chemicals, metals and mining Power Chemicals Metals and mining Banks and finance companies Energy and commodities(5) Asset managers and funds Health Insurance Public sector Financial markets infrastructure Securities firms Other industries 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 balances also excludes loans carried at fair value of $6.1 billion at December 31, 2021. Includes non-accrual loan exposures and criticized unfunded exposures. (2) (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 (5) 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) at December 31, 2021. 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. 67 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 December 31, 2022, September 30, 2022 and December 31, 2021, ICG had economic hedges on the corporate credit portfolio of $39.8 billion, $36.5 billion and $39.3 billion, respectively. Citi’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 December 31, 2022 September 30, 2022 December 31, 2021 AAA/AA/A 39 % 38 % 35 % BBB BB/B CCC or below Total 45 12 4 45 13 4 49 13 3 100 % 100 % 100 % 68 Loan Maturities and Fixed/Variable Pricing of Corporate Loans $ $ $ $ $ In millions of dollars at December 31, 2022 Corporate loans In North America offices(1) Commercial and industrial loans Financial institutions Mortgage and real estate(2) Installment and other Lease financing Total In offices outside North America(1) Commercial and industrial loans Financial institutions Mortgage and real estate(2) Installment and other Lease financing Governments and official institutions Total Corporate loans, net of unearned income(3) Loans at fixed interest rates(4) Commercial and industrial loans Financial institutions Mortgage and real estate(2) Other(5) Lease financing Total Loans at floating or adjustable interest rates(4) Commercial and industrial loans Financial institutions Mortgage and real estate(2) Other(5) Lease financing Total Total fixed/variable pricing of corporate loans with maturities due after one year, net of unearned income(3) Due within 1 year Over 1 year but within 5 years Over 5 years but within 15 years Over 15 years Total 23,636 $ 21,619 7,028 9,605 86 31,116 $ 1,328 $ 21,600 5,074 12,747 188 168 4,348 1,287 34 96 $ 12 1,379 128 — 56,176 43,399 17,829 23,767 308 61,974 $ 70,725 $ 7,165 $ 1,615 $ 141,479 93,967 21,931 4,179 23,347 46 4,205 147,675 289,154 70,210 $ 19,376 $ 4,300 $ 15,888 1,946 12,386 6 2,535 5,201 1,592 7,109 40 428 102,971 $ 164,945 $ 33,746 $ 104,471 $ $ 3,885 $ 3,924 1,238 4,148 165 607 566 1,256 — 798 7,527 $ 14,692 $ 1,045 $ 61 3,643 261 — 81 $ 235 75 2,596 — 444 3,431 $ 5,046 $ 48 12 977 6 — $ $ $ $ 13,360 $ 5,010 $ 1,043 46,607 $ 4,583 $ 22,877 5,428 16,136 63 714 1,271 3,080 34 91,111 $ 9,682 $ 129 235 477 3,162 — 4,003 104,471 $ 14,692 $ 5,046 (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 differences between the domicile of the booking unit and the domicile of the managing unit are not material. (2) Loans secured primarily by real estate. (3) Corporate loans are net of unearned income of ($797) million. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis. (4) Based on contractual terms. Repricing characteristics may effectively be modified from time to time using derivative contracts. See Note 23. (5) Other includes installment and other and loans to government and official institutions. 69 CONSUMER CREDIT PBWM fulfills a broad spectrum of customer financial needs, with U.S. Personal Banking providing retail banking, credit card, personal loan, mortgage and small business banking, and Global Wealth offering wealth management lending and other products globally to affluent to ultra-high-net-worth customer segments through the Private bank, Wealth at Work and Citigold. PBWM’s retail banking products include a generally prime portfolio built through well-defined lending parameters within Citi’s risk appetite framework. Legacy Franchises also provides such activities in its remaining markets through Asia Consumer and Mexico Consumer. The Legacy Franchises consumer credit information discussed below reflects only those exit market portfolios that remained held-for-investment (versus held-for- sale) as of each period. The Philippines was reclassified to held-for-sale as of 4Q21, followed by Malaysia, Thailand, Indonesia, Vietnam, Taiwan, India and Bahrain in 1Q22. As a result, China, Korea, Russia and Poland were the only portfolios that remained held-for-investment and are reflected in the discussion below as of 4Q22. Consumer Credit Portfolio The following table shows Citi’s quarterly end-of-period consumer loans:(1) In billions of dollars Personal Banking and Wealth Management U.S. Personal Banking Cards Branded cards Retail services Retail banking Mortgages(5) Personal, small business and other Global Wealth(3)(4) Cards Mortgages(5) Personal, small business and other(6) Total Legacy Franchises Asia Consumer(7) Mexico Consumer (excludes Mexico SBMM) Legacy Holdings Assets(8) Total Total consumer loans 4Q’21(2) 1Q’22(2) 2Q’22(2) 3Q’22(2) 4Q’22(2) $ $ $ $ $ 87.9 $ 46.0 85.9 $ 44.1 91.6 $ 45.8 93.7 $ 46.7 30.2 2.8 4.0 74.6 72.7 30.5 2.8 3.8 75.4 71.0 32.3 3.1 4.0 77.8 67.0 32.3 3.5 4.0 82.0 65.1 318.2 $ 313.5 $ 321.6 $ 327.3 $ 41.1 $ 13.3 3.9 58.3 $ 376.5 $ 19.5 $ 13.6 3.7 36.8 $ 350.3 $ 17.3 $ 13.5 3.2 34.0 $ 355.6 $ 13.4 $ 13.7 3.2 30.3 $ 357.6 $ 100.2 50.5 33.4 3.7 4.6 84.0 60.6 337.0 13.3 14.8 3.0 31.1 368.1 (1) End-of-period loans include interest and fees on credit cards. (2) Legacy Franchises—4Q22 Asia Consumer loan balances exclude approximately $12 billion of loans ($9 billion of retail banking loans and $3 billion of credit card loan balances) reclassified to held-for-sale (HFS) (in Other assets on the Consolidated Balance Sheet) as a result of Citi’s signed agreements to sell its consumer banking businesses in four countries: Indonesia, Vietnam, Taiwan and India, which were reclassified to HFS starting 1Q22. (See Legacy Franchises above and Note 2 for additional information.) The Malaysia, Thailand and Bahrain sales closed during the fourth quarter of 2022 and were also reclassified to HFS starting 1Q22. 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 $98.2 billion, $99.3 billion, $94.6 billion, $94.1 billion and $92.7 billion of loans in North America as of December 31, 2022, September 30, 2022, June 30, 2022, March 31, 2022 and December 31, 2021, respectively. For additional information on the credit quality of the Global Wealth portfolio, see Note 14. (4) Consists of $51.0 billion, $51.8 billion, $54.2 billion, $56.1 billion and $58.6 billion of loans outside North America as of December 31, 2022, September 30, 2022, June 30, 2022, March 31, 2022 and December 31, 2021, respectively. (5) See Note 14 for details on loan-to-value ratios for the portfolios and FICO scores for the U.S. portfolio. (6) At December 31, 2022, includes approximately $49 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. 70 Consumer Credit Trends Personal Banking and Wealth Management (PBWM) Personal Banking and Wealth Management U.S. Personal Banking’s Branded cards portfolio includes proprietary and co-branded cards. As shown in the chart above, the fourth quarter of 2022 net credit loss rate in Branded cards increased quarter-over- quarter and year-over-year, driven by an increase in net flow rates, primarily reflecting 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. Retail Services As indicated above, PBWM consists of U.S. Personal Banking and Global Wealth Management (Global Wealth). U.S. Personal Banking provides card products through Branded cards and Retail services, and also includes mortgages and home equity, small business and personal consumer loans through Citi’s Retail banking network. The Retail bank is concentrated in six major U.S. metropolitan areas. Global Wealth provides investment services, cards, mortgages and personal, small business and other consumer loans through the Private bank, Wealth at Work and Citigold. As of December 31, 2022, approximately 45% 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 fourth quarter of 2022 net credit loss rate in PBWM increased quarter-over-quarter and 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 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 fourth 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, loan delinquency and other information for Citi’s cards portfolios, see each respective business’s results of operations above and Note 14. Retail Banking 71 and the 90+ days past due delinquency rate continued to reflect 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 (1) Asia Consumer includes Legacy Franchises activities in certain EMEA countries for all periods presented. As shown in the chart above, the fourth quarter of 2022 net credit loss rate in Asia Consumer for the remaining portfolios held-for-investment (China, Korea, Russia and Poland) increased quarter-over-quarter, primarily driven by lower average loans due to the ongoing wind-down of the businesses, particularly in Korea (decline of $1.5 billion) and the sale of the personal loan portfolio in Russia in the fourth quarter of 2022. The net credit loss rate increased year-over- year, primarily driven by lower average loans due to the ongoing wind-down of the businesses, particularly in Korea (decline of $7.8 billion) and the sale of the personal loan portfolio in Russia, partially offset by the reclassification of loans to held-for-sale during 2022. The 90+ days past due delinquency rate was largely unchanged quarter-over-quarter and decreased year-over-year, mainly driven by the impact of the Asia Consumer held-for- sale reclassifications, partially offset by the effect of declining loans due to the ongoing wind-down of the businesses, including the sale of the personal loan portfolio in Russia. The performance of Asia Consumer’s portfolios continues to reflect the strong credit profiles in the region’s target customer segments. Mexico Consumer U.S. Personal Banking’s Retail banking portfolio consists primarily of consumer mortgages (including home equity) and 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 or equal to 80% on first and second mortgages. For additional information, see “Loan- to-Value (LTV) Ratios” in Note 14. As shown in the chart above, the net credit loss rate in Retail banking for the fourth quarter of 2022 increased slightly quarter-over-quarter and year-over-year, primarily driven by the continued impact of industry-wide episodic overdraft 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 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, Wealth at Work and Citigold. These customer segments represent a target market that is characterized by historically low default rates and delinquencies. As of December 31, 2022, approximately $49 billion, or 33%, 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 were broadly stable quarter-over-quarter and year-over-year, reflecting the strong credit profiles of the portfolios. The net credit loss rate increased slightly quarter-over-quarter, due to a classifiably managed loan charge-off. The low levels of net credit losses 72 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 fourth quarter of 2022 net credit loss rate in Mexico Consumer decreased quarter- over-quarter and 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 was largely unchanged quarter-over-quarter and decreased 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 each respective business’s results of operations above and Note 14. 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) Dec. 31, 2022 Sept. 30, 2022 Dec. 31, 2021 > 760 680–760 < 680 Total Retail Services 48 % 48 % 49 % 38 14 38 14 38 13 100 % 100 % 100 % FICO distribution(1) Dec. 31, 2022 Sept. 30, 2022 Dec. 31, 2021 > 760 680–760 < 680 Total 27 % 27 % 28 % 42 31 43 30 44 28 100 % 100 % 100 % (1) The FICO bands in the tables are consistent with general industry peer presentations. The FICO distribution of both cards portfolios shifted slightly lower across the credit bands from the prior quarter and the prior year consistent with the ongoing normalization in net credit loss and delinquency rates in the portfolios. 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. See Note 14 for additional information on FICO scores. 73 Additional Consumer Credit Details Consumer Loan Delinquencies Amounts and Ratios In millions of dollars, except EOP loan amounts in billions Personal Banking and Wealth Management(3)(4)(5) Total Ratio U.S. Personal Banking Total Ratio Cards(4) Total Ratio Branded cards Ratio Retail services Ratio Retail banking(3) Ratio EOP loans(1) December 31, 90+ days past due(2) 30–89 days past due(2) December 31, December 31, 2022 2022 2021 2020 2022 2021 2020 $ 337.0 $ 1,764 $ 1,350 $ 1,879 $ 2,037 $ 1,453 $ 1,794 0.61 % 0.52 % 0.74 % 0.71 % 0.56 % 0.71 % $ 187.8 $ 1,578 $ 1,069 $ 1,588 $ 1,720 $ 1,130 $ 1,513 0.84 % 0.64 % 0.95 % 0.92 % 0.68 % 0.90 % $ 150.7 $ 1,415 $ 871 $ 1,330 $ 1,511 $ 947 $ 1,228 0.94 % 100.2 629 0.63 % 50.5 786 1.56 % 37.1 163 0.45 % 0.65 % 389 0.44 % 482 1.05 % 198 0.62 % 1.02 % 686 0.82 % 644 1.39 % 258 0.70 % 1.00 % 693 0.69 % 818 1.62 % 209 0.57 % 0.71 % 408 0.46 % 539 1.17 % 183 0.57 % 0.94 % 589 0.70 % 639 1.38 % 285 0.77 % $ $ $ Global Wealth delinquency-managed loans(5) Ratio Global Wealth classifiably managed loans(6) Legacy Franchises Total Ratio Asia Consumer(7)(8) Ratio Mexico Consumer Ratio Legacy Holdings Assets (consumer)(9) Ratio 100.0 $ 186 $ 281 $ 291 $ 317 $ 323 $ 281 0.19 % 0.31 % 0.34 % 0.32 % 0.35 % 0.33 % 49.2 N/A N/A N/A N/A N/A N/A 31.1 $ 389 $ 613 $ 1,131 $ 335 $ 546 $ 1,083 1.26 % 13.3 49 0.37 % 14.8 190 1.28 % 3.0 150 5.56 % 1.06 % 209 0.51 % 183 1.38 % 221 6.31 % 1.47 % 456 0.81 % 363 2.49 % 312 5.03 % 1.09 % 70 0.53 % 186 1.26 % 79 2.93 % 0.94 % 285 0.69 % 173 1.30 % 88 2.51 % 1.41 % 514 0.92 % 390 2.67 % 179 2.89 % Total Citigroup consumer $ 368.1 $ 2,153 $ 1,963 $ 3,010 $ 2,372 $ 1,999 $ 2,877 Ratio 0.68 % 0.62 % 0.91 % 0.75 % 0.63 % 0.87 % (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 $89 million ($0.6 billion), $185 million ($1.1 billion) and $171 million ($0.7 billion) at December 31, 2022, 2021 and 2020, 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 $70 million, $74 million and $98 million at December 31, 2022, 2021 and 2020, 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 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 December 31, 2022, 2021 and 2020, 96%, 94% and 92% 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. 74 (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) (Bahrain, Malaysia and Thailand closed in 4Q22). 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 $90 million ($0.3 billion), $138 million ($0.4 billion) and $183 million ($0.5 billion) at December 31, 2022, 2021 and 2020, 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 $37 million, $35 million and $73 million at December 31, 2022, 2021 and 2020, respectively. The EOP loans in the table include the guaranteed loans. N/A Not applicable Consumer Loan Net Credit Losses and Ratios In millions of dollars, except average loan amounts in billions Personal Banking and Wealth Management(2) Total Ratio U.S. Personal Banking Total Ratio Cards Total Ratio Branded cards Ratio Retail services Ratio Retail banking Ratio Global Wealth Ratio Legacy Franchises Total Ratio Asia Consumer(3)(4) Ratio Mexico Consumer Ratio Legacy Holdings Assets (consumer) Ratio Total Citigroup Ratio Average loans(1) 2022 Net credit losses(2) 2021 2020 2022 $ 321.0 $ 3,021 $ 3,061 $ 5,229 0.94 % 1.00 % 1.72 % $ 170.7 $ 2,918 $ 2,939 $ 4,990 1.71 % 1.85 % 2.95 % 135.6 2,640 2,828 4,858 1.95 % 2.28 % 3.71 % 89.8 1,384 1,659 2,708 1.54 % 2.05 % 3.20 % 45.8 1,256 1,169 2,150 2.74 % 2.71 % 4.62 % 35.1 278 111 132 0.79 % 0.32 % 0.35 % $ 150.3 $ 103 $ 122 $ 239 0.07 % 0.08 % 0.18 % $ 34.4 $ 590 $ 1,448 $ 1,482 1.72 % 2.12 % 1.96 % 17.4 160 610 640 0.92 % 1.23 % 1.22 % 13.6 476 3.50 % 3.4 (46) 920 6.87 % (82) 866 5.97 % (24) (1.35) % (1.53) % (0.27) % $ 355.4 $ 3,611 $ 4,509 $ 6,711 1.02 % 1.20 % 1.77 % (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 $155 million and $6 million in related net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) in 2022 and 2021, 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) (Bahrain, Malaysia and Thailand closed in 4Q22). See Note 2 for additional information. 75 Loan Maturities and Fixed/Variable Pricing of Consumer Loans Loan Maturities In millions of dollars at December 31, 2022 In North America offices Residential first mortgages Home equity loans Credit cards(1) Personal, small business and other Total In offices outside North America Residential mortgages Credit cards(1) Personal, small business and other Total Due within 1 year Greater than 1 year but within 5 years Greater than 5 years but within 15 years Greater than 15 years Total $ $ $ $ 4 $ 551 149,822 33,271 183,648 $ 2,994 $ 12,885 29,637 45,516 $ 181 $ 42 821 3,945 4,989 $ 372 $ 70 7,179 7,621 $ 3,513 $ 1,669 — 340 92,341 $ 2,318 — 196 5,522 $ 94,855 $ 4,374 $ 20,374 $ — 588 — 580 4,962 $ 20,954 $ 96,039 4,580 150,643 37,752 289,014 28,114 12,955 37,984 79,053 (1) Credit card loans with maturities greater than one year represent TDRs and are at fixed interest rates. Fixed/Variable Pricing Due within 1 year Greater than 1 year but within 5 years Greater than 5 years but within 15 years Greater than 15 years Total 263 $ 39 891 5,380 6,573 $ 290 $ 3 — 5,744 6,037 $ 2,691 $ 59,918 $ 298 — 343 147 — 192 64,922 489 42,804 15,663 3,332 $ 60,257 $ 123,878 5,196 $ 1,371 — 585 52,797 $ 2,171 — 584 7,152 $ 55,552 $ 59,231 4,091 120,794 60,073 244,189 In millions of dollars at December 31, 2022 Loans at fixed interest rates Residential first mortgages Home equity loans Credit cards(1) Personal, small business and other Total Loans at floating or adjustable interest rates Residential first mortgages Home equity loans Credit cards(1) Personal, small business and other $ $ $ 2,050 $ 5 41,913 9,748 53,716 $ 948 $ 546 120,794 53,160 Total $ 175,448 $ (1) Credit card loans with maturities greater than one year represent TDRs and are at fixed interest rates. 76 ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS Loans Outstanding In millions of dollars Consumer loans In North America offices(1) Residential first mortgages(2) Home equity loans(2) Credit cards Personal, small business and other Total In offices outside North America(1) Residential mortgages(2) Credit cards Personal, small business and other Total Consumer loans, net of unearned income(3) Corporate loans In North America offices(1) Commercial and industrial Financial institutions Mortgage and real estate(2) Installment and other Lease financing Total In offices outside North America(1) Commercial and industrial Financial institutions Mortgage and real estate(2) Installment and other Lease financing Governments and official institutions Total Corporate loans, net of unearned income(4) Total loans—net of unearned income 2022 2021 December 31, 2020 2019 2018 $ 96,039 $ 83,361 $ 83,956 $ 78,664 $ 75,074 4,580 150,643 37,752 5,745 133,868 40,713 7,890 130,385 39,259 10,174 149,163 36,548 12,675 144,542 35,733 $ 289,014 $ 263,687 $ 261,490 $ 274,549 $ 268,024 $ 28,114 $ 37,889 $ 42,817 $ 40,467 $ 39,314 12,955 37,984 79,053 368,067 $ $ 17,808 57,150 22,692 59,475 25,909 60,013 24,951 52,052 $ $ 112,847 376,534 $ $ 124,984 386,474 $ $ 126,389 400,938 $ $ 116,317 384,341 $ 56,176 $ 48,364 $ 53,930 $ 52,229 $ 56,957 43,399 17,829 23,767 308 49,804 15,965 20,143 415 39,390 16,522 17,362 673 38,782 13,696 22,219 1,290 34,906 14,490 23,759 1,429 $ 141,479 $ 134,691 $ 127,877 $ 128,216 $ 131,541 $ 93,967 $ 102,735 $ 103,234 $ 112,332 $ 113,662 21,931 4,179 23,347 46 4,205 22,158 4,374 22,812 40 4,423 25,111 5,277 24,034 65 3,811 28,176 4,325 21,273 95 4,128 26,602 2,920 20,458 152 4,520 $ $ $ 147,675 289,154 657,221 $ $ $ 156,542 291,233 667,767 $ $ $ 161,532 289,409 675,883 $ $ $ 170,329 298,545 699,483 $ $ $ 168,314 299,855 684,196 Allowance for credit losses on loans (ACLL) (16,974) (16,455) (24,956) (12,783) (12,315) Total loans—net of unearned income and ACLL $ 640,247 $ 651,312 $ 650,927 $ 686,700 $ 671,881 ACLL as a percentage of total loans— net of unearned income(5) ACLL for consumer loan losses as a percentage of total consumer loans—net of unearned income(5) ACLL for corporate loan losses as a percentage of total corporate loans—net of unearned income(5) 2.60 % 2.49 % 3.73 % 1.84 % 1.81 % 3.84 % 3.73 % 5.22 % 2.51 % 2.52 % 1.01 % 0.85 % 1.69 % 0.93 % 0.89 % (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 $712 million, $629 million, $692 million, $732 million and $703 million at December 31, 2022, 2021, 2020, 2019 and 2018, 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 $(797) million, $(770) million, $(787) million, $(763) million and $(817) million at December 31, 2022, 2021, 2020, 2019 and 2018, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis. (5) Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation. 77 Details of Credit Loss Experience In millions of dollars 2022 2021 2020 2019 2018 Allowance for credit losses on loans (ACLL) at beginning of year $ 16,455 $ 24,956 $ 12,783 $ 12,315 $ 12,355 Adjustments to opening balance: Financial instruments—credit losses (CECL)(1) Variable post-charge-off third-party collection costs(2) — — — — 4,201 (443) — — — — Adjusted ACLL at beginning of year $ 16,455 $ 24,956 $ 16,541 $ 12,315 $ 12,355 Provision for credit losses on loans (PCLL) Consumer(2) Corporate Total Gross credit losses on loans Consumer In U.S. offices In offices outside the U.S. Corporate Commercial and industrial, and other In U.S. offices In offices outside the U.S. Loans to financial institutions In U.S. offices In offices outside the U.S. Mortgage and real estate In U.S. offices In offices outside the U.S. Total Gross recoveries on loans(2) Consumer In U.S. offices In offices outside the U.S. Corporate Commercial and industrial, and other In U.S. offices In offices outside the U.S. Loans to financial institutions In U.S. offices In offices outside the U.S. Mortgage and real estate In U.S. offices In offices outside the U.S. Total Net credit losses on loans (NCLs) In U.S. offices In offices outside the U.S. Total Other—net(3)(4)(5)(6)(7)(8) Allowance for credit losses on loans (ACLL) at end of year ACLL as a percentage of EOP loans(9) Allowance for credit losses on unfunded lending commitments (ACLUC)(10)(11) 4,128 617 (1,159) (1,944) 12,222 3,700 7,788 430 7,261 93 $ 4,745 $ (3,103) $ 15,922 $ 8,218 $ 7,354 $ 3,944 $ 4,076 $ 6,141 $ 6,590 $ 934 2,144 2,146 2,316 110 81 — 80 — 7 228 259 1 1 10 1 466 409 14 12 71 4 213 196 — 3 23 — 5,974 2,352 119 206 3 7 2 2 $ 5,156 $ 6,720 $ 9,263 $ 9,341 $ 8,665 $ 1,045 $ 1,215 $ 1,094 $ 222 496 482 $ 988 504 918 502 44 46 6 3 — 1 57 54 2 1 — — 34 27 — 14 — 1 15 58 — — 8 — 39 79 — 6 7 1 $ 1,367 $ 1,825 $ 1,652 $ 1,573 $ 1,552 $ 2,959 $ 3,041 $ 5,564 $ 5,815 $ 830 3,789 (437) 16,974 $ $ $ 1,854 4,895 $ (503) $ 2,047 7,611 104 16,455 $ 24,956 $ $ $ $ $ $ 1,953 7,768 18 12,783 $ $ $ 5,134 1,979 7,113 (281) 12,315 2.60 % 2.49 % 3.73 % 1.84 % 1.81 % $ 2,151 $ 1,871 $ 2,655 $ 1,456 $ 1,367 78 Total ACLL and ACLUC Net consumer credit losses on loans As a percentage of average consumer loans Net corporate credit losses on loans As a percentage of average corporate loans ACLL by type at end of year(12) Consumer Corporate Total $ $ $ 19,125 3,611 $ $ 18,326 4,509 $ $ 27,611 6,711 $ $ 14,239 7,414 $ $ 13,682 6,906 1.02 % 1.20 % 1.77 % 1.94 % 1.84 % 178 $ 386 $ 900 $ 354 $ 207 0.06 % 0.13 % 0.29 % 0.12 % 0.07 % $ 14,119 $ 14,040 $ 20,180 $ 10,056 $ 2,855 2,415 4,776 2,727 9,670 2,645 $ 16,974 $ 16,455 $ 24,956 $ 12,783 $ 12,315 (1) On January 1, 2020, Citi adopted Accounting Standards Codification (ASC) 326, Financial Instruments—Credit Losses (CECL). The ASC introduces a new credit loss methodology requiring earlier recognition of credit losses while also providing additional disclosure about credit risk. On January 1, 2020, Citi recorded a $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the consumer ACL due to longer estimated tenors than under the incurred loss methodology under prior U.S. GAAP, net of recoveries, and (ii) a $0.8 billion decrease to the corporate ACL due to shorter remaining tenors, incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies. See Note 1 for further discussion on the impact of Citi’s adoption of CECL. (2) Citi had a change in accounting related to its variable post-charge-off third-party collection costs that was recorded as an adjustment to its January 1, 2020 opening (3) (4) (5) (6) (7) (8) allowance for credit losses on loans of $443 million. See Note 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. 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. Also includes a decrease of approximately $100 million related to FX translation. 2021 includes an approximate $280 million reclass related to Citi’s agreement to sell its Australia consumer banking business and an approximate $90 million reclass related to Citi’s agreement to sell its Philippines consumer banking business. Those ACLL were reclassified to Other assets during 2021. 2021 also includes a decrease of approximately $134 million related to FX translation. 2020 includes reductions of approximately $4 million related to the transfer to HFS of various real estate loan portfolios. In addition, 2020 includes an increase of approximately $97 million related to FX translation. 2019 includes reductions of approximately $42 million related to the sale or transfer to HFS of various loan portfolios. In addition, 2019 includes a reduction of approximately $60 million related to FX translation. 2018 includes reductions of approximately $201 million related to the sale or transfer to HFS of various loan portfolios, which include approximately $106 million related to the transfer of various real estate loan portfolios to HFS. (9) December 31, 2022, 2021, 2020, 2019 and 2018 exclude $5.4 billion, $6.1 billion, $6.9 billion, $4.1 billion and $3.2 billion, respectively, of loans that are carried at fair value. (10) 2020 corporate ACLUC includes a non-provision transfer of $68 million, representing reserves on performance guarantees. The reserves on these contracts were reclassified out of the ACL on unfunded lending commitments and into other liabilities. (11) Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet. (12) Beginning in 2020, under CECL, the ACLL represents management’s estimate of expected credit losses in the portfolio and troubled debt restructurings. See “Significant Accounting Policies and Significant Estimates” and Note 1 below. Attribution of the ACLL is made for analytical purposes only and the entire ACLL is available to absorb credit losses in the overall portfolio. Prior to 2020, the ACLL represented management’s estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and TDRs. 79 Allowance for Credit Losses on Loans (ACLL) The following tables detail information on Citi’s ACLL, loans and coverage ratios: In billions of dollars Consumer North America cards(2) North America mortgages(3) North America other(3) International cards International other(3) Total(1) Corporate Commercial and industrial Financial institutions Mortgage and real estate Installment and other Total(1) Loans at fair value(1) Total Citigroup In billions of dollars Consumer North America cards(2) North America mortgages(3) North America other(3) International cards International other(3) Total(1) Corporate Commercial and industrial Financial institutions Mortgage and real estate Installment and other Total(1) Loans at fair value(1) Total Citigroup December 31, 2022 ACLL EOP loans, net of unearned income ACLL as a percentage of EOP loans(1) $ $ $ $ $ $ $ $ $ $ 11.4 $ 0.5 0.6 0.8 0.8 14.1 $ 1.9 $ 0.4 0.4 0.2 2.9 $ N/A $ 17.0 $ 150.6 100.4 37.8 13.0 66.0 367.8 147.8 64.9 21.9 49.4 284.0 5.4 657.2 7.6 % 0.5 1.6 6.2 1.2 3.8 % 1.3 % 0.6 1.8 0.4 1.0 % N/A 2.6 % December 31, 2021 ACLL EOP loans, net of unearned income ACLL as a percentage of EOP loans(1) 10.8 $ 0.5 0.4 1.2 1.2 14.1 $ 1.6 $ 0.3 0.3 0.2 2.4 $ N/A $ 16.5 $ 133.9 89.1 40.7 17.8 95.0 376.5 147.0 71.8 20.3 46.1 285.2 6.1 667.8 8.1 % 0.6 1.0 6.7 1.3 3.7 % 1.1 % 0.4 1.5 0.4 0.8 % N/A 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 December 31, 2022, the $11.4 billion of ACLL represented approximately 43 months of coincident net credit loss coverage (based on 4Q22 NCLs). As of December 31, 2022, Branded cards ACLL as a percentage of EOP loans was 6.2% and Retail services ACLL as a percentage of EOP loans was 10.3%. As of December 31, 2021, the $10.8 billion of ACLL represented approximately 63 months of coincident net credit loss coverage (based on 4Q21 NCLs). The decrease in the coincident coverage ratio at December 31, 2022 was primarily due to the relatively higher levels of NCLs in 4Q22 versus 4Q21. 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%. Includes residential mortgages, retail loans and personal, small business and other loans, including those extended through the Private bank network. (3) N/A Not applicable 80 The following table details Citi’s corporate credit ACLL by industry exposure: In millions of dollars, except percentages Transportation and industrials Technology, media and telecom Consumer retail Real estate Power, chemicals, metals and mining Banks and finance companies Energy and commodities Asset managers and funds Health Insurance Public sector Financial markets infrastructure Securities firms Other industries Total classifiably managed loans(2) Loans managed on a delinquency basis(3) Total December 31, 2022 Funded exposure(1) ACLL ACLL as a % of funded exposure $ $ $ $ 57,271 $ 28,931 32,687 48,539 18,326 42,276 13,069 13,162 8,771 4,417 11,736 60 569 3,651 283,465 $ 566 $ 284,031 $ 699 330 358 500 288 225 188 38 81 11 58 — 11 59 2,846 9 2,855 1.2 % 1.1 1.1 1.0 1.6 0.5 1.4 0.3 0.9 0.2 0.5 — 1.9 1.6 1.0 % 1.6 % 1.0 % (1) Funded exposure excludes loans carried at fair value of $5.1 billion that are not subject to ACLL under the CECL standard. (2) As of December 31, 2022, the ACLL shown above reflects coverage of 0.4% of funded investment-grade exposure and 3.0% 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, 2022. The following table details Citi’s corporate credit ACLL by industry exposure: In millions of dollars, except percentages Transportation and industrials Technology, media and telecom Consumer retail Real estate Power, chemicals, metals and mining Banks and finance companies Energy and commodities Asset managers and funds Health Insurance Public sector Financial markets infrastructure Securities firms Other industries Total classifiably managed loans(2) Loans managed on a delinquency basis(3) Total December 31, 2021 Funded exposure(1) ACLL ACLL as a % of funded exposure $ $ $ $ 51,502 $ 28,542 32,894 46,220 20,224 36,804 13,485 26,879 8,826 3,162 12,464 109 613 2,803 284,527 $ 636 $ 285,163 $ 597 170 288 509 151 197 268 34 73 8 74 — 10 28 2,407 8 2,415 1.2 % 0.6 0.9 1.1 0.7 0.5 2.0 0.5 0.8 0.3 0.6 — 1.6 1.0 0.8 % 1.3 % 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. 81 Non-Accrual Loans and Assets and Renegotiated Loans There is a certain amount of overlap among non-accrual loans and assets and renegotiated loans. The following summary provides a general description of each category. Non-Accrual Loans and Assets: • • • • • Corporate and consumer (including commercial banking) non-accrual status is based on the determination that payment of interest or principal is doubtful. A corporate loan may be classified as non-accrual and still be performing under the terms of the loan structure. Non- accrual loans may still be current on interest payments. Citi’s corporate non-accrual loans were $1.1 billion, $1.5 billion and $1.6 billion as of December 31, 2022, September 30, 2022 and December 31, 2021, respectively. Of these, approximately 50%, 68% and 56% were performing at December 31, 2022, September 30, 2022 and December 31, 2021, respectively. Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments. Consumer mortgage loans, other than Federal Housing Administration (FHA) insured loans, are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy. In addition, home equity loans are classified as non-accrual if the related residential first mortgage loan is 90 days or more past due. North America Branded cards and Retail services are not included because, under industry standards, credit card loans accrue interest until such loans are charged off, which typically occurs at 180 days of contractual delinquency. Renegotiated Loans: • • Includes both corporate and consumer loans whose terms have been modified in a troubled debt restructuring (TDR). Includes both accrual and non-accrual TDRs. 82 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. In millions of dollars Corporate non-accrual loans by region(1)(2) North America EMEA Latin America Asia Total Corporate non-accrual loans(1)(2) Banking Services Markets Mexico SBMM Total Consumer non-accrual loans(1) U.S. Personal Banking and Global Wealth Asia Consumer(3) Mexico Consumer Legacy Holdings Assets—Consumer Total Total non-accrual loans 2022 2021 2020 2019 2018 December 31, $ 138 $ 510 $ 1,486 $ 1,082 $ 502 429 53 367 568 108 629 719 212 398 473 71 416 344 307 243 $ $ $ $ $ $ 1,122 $ 1,553 $ 3,046 $ 2,024 $ 1,310 767 $ 1,239 $ 2,767 $ 1,742 $ 1,097 153 3 199 70 12 232 79 21 179 113 2 167 137 1 75 1,122 $ 1,553 $ 3,046 $ 2,024 $ 1,310 541 $ 680 $ 950 $ 443 $ 30 457 289 1,317 $ 2,439 $ 209 524 413 1,826 $ 3,379 $ 296 774 602 2,622 $ 5,668 $ 267 632 638 1,980 $ 4,004 $ 455 242 638 892 2,227 3,537 (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) The December 31, 2022 total corporate non-accrual loans represented 0.39% of total corporate loans. (3) Asia Consumer includes balances in certain EMEA countries for all periods presented. The changes in Citigroup’s non-accrual loans were as follows: In millions of dollars Corporate Consumer Total Corporate Consumer Total Year ended December 31, 2022 Year ended December 31, 2021 Non-accrual loans at beginning of year $ Additions Sales and transfers to HFS Returned to performing Paydowns/settlements Charge-offs Other Ending balance 1,553 $ 2,123 (21) (378) (1,814) (260) (81) 1,826 $ 1,374 (240) (408) (585) (598) (52) 3,379 $ 3,497 (261) (786) 3,046 $ 1,466 (524) (219) (2,399) (1,721) (858) (133) (472) (23) 2,622 $ 2,260 (310) (723) (780) (1,202) (41) $ 1,122 $ 1,317 $ 2,439 $ 1,553 $ 1,826 $ 83 5,668 3,726 (834) (942) (2,501) (1,674) (64) 3,379 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: In millions of dollars OREO North America EMEA Latin America Asia Total OREO Non-accrual assets Corporate non-accrual loans Consumer non-accrual loans Non-accrual loans (NAL) OREO Non-accrual assets (NAA) NAL as a percentage of total loans NAA as a percentage of total assets ACLL as a percentage of NAL(1) 2022 2021 2020 2019 2018 December 31, $ $ $ $ $ $ $ 10 — 4 1 $ 15 — 8 4 15 $ 27 $ 19 — 7 17 43 $ $ 39 1 14 7 61 $ $ 1,122 $ 1,553 $ 3,046 $ 2,024 $ 1,317 2,439 15 2,454 $ $ $ 1,826 3,379 27 3,406 $ $ $ 2,622 5,668 43 5,711 $ $ $ 1,980 4,004 61 4,065 $ $ $ 64 1 12 22 99 1,310 2,227 3,537 99 3,636 0.37 % 0.51 % 0.84 % 0.57 % 0.52 % 0.10 696 0.15 487 0.25 440 0.21 319 0.19 348 (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) and, prior to 2020, include purchased credit-deteriorated loans as these continue to accrue interest until charge-off. 84 Renegotiated Loans The following table presents Citi’s loans modified in TDRs: Forgone Interest Revenue on Loans(1) In millions of dollars Interest revenue that would have been accrued at original contractual rates(2) Amount recognized as interest revenue(2) Forgone interest revenue In U.S. offices In non- U.S. offices 2022 total $ 331 $ 189 $ 520 158 121 279 $ 173 $ 68 $ 241 (1) Relates to corporate non-accrual loans, renegotiated loans and consumer (2) loans on which accrual of interest has been suspended. Interest revenue in offices outside the U.S. may reflect prevailing local interest rates, including the effects of inflation and monetary correction in certain countries. In millions of dollars Corporate renegotiated loans(1) In U.S. offices Commercial and industrial(2) Mortgage and real estate Financial institutions Other Total In offices outside the U.S. Commercial and industrial(2) Mortgage and real estate Financial institutions Other Total Total corporate renegotiated loans Consumer renegotiated loans(3) In U.S. offices Mortgage and real estate Cards Personal, small business and other Total In offices outside the U.S. Mortgage and real estate Cards Personal, small business and other Total Total consumer renegotiated loans Dec. 31, 2022 Dec. 31, 2021 $ $ $ $ $ 35 $ 2 — 11 48 $ 50 $ 11 — 1 62 $ 110 $ 103 2 — 20 125 133 18 — 8 159 284 $ 1,407 $ 1,485 1,269 1,180 19 26 $ 2,606 $ 2,780 $ 227 152 $ 313 75 428 88 $ 968 315 $ $ 2,921 $ 3,748 (1) (2) (3) Includes $108 million and $284 million of non-accrual loans included in the non-accrual loans table above at December 31, 2022 and 2021, respectively. The remaining loans were accruing interest. In addition to modifications reflected as TDRs at December 31, 2022 and 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. Includes $566 million and $664 million of non-accrual loans included in the non-accrual loans table above at December 31, 2022 and 2021, respectively. The remaining loans were accruing interest. 85 LIQUIDITY RISK Overview Adequate and diverse sources of funding and liquidity are essential to Citi’s businesses. Funding and liquidity risks arise from several factors, many of which are mostly or entirely outside Citi’s control, such as disruptions in the financial markets, changes in key funding sources, credit spreads, changes in Citi’s credit ratings and macroeconomic, geopolitical and other conditions. For additional information, see “Risk Factors—Liquidity Risks” above. Citi’s funding and liquidity management objectives are aimed at (i) funding its existing asset base, (ii) growing its core businesses, (iii) maintaining sufficient liquidity, structured appropriately, so that Citi can operate under a variety of adverse circumstances, including potential Company-specific and/or market liquidity events in varying durations and severity, and (iv) satisfying regulatory requirements, including, but not limited to, those related to resolution planning (for additional information, see “Resolution Plan” and “Total Loss-Absorbing Capacity (TLAC)” below). Citigroup’s primary liquidity objectives are established by entity, and in aggregate, across two major categories: • • Citibank (including Citibank Europe plc, Citibank Singapore Ltd. and Citibank (Hong Kong) Ltd.); and Citi’s non-bank and other entities, including the parent holding company (Citigroup Inc.), Citi’s primary intermediate holding company (Citicorp LLC), Citi’s broker-dealer subsidiaries (including Citigroup Global Markets Inc., Citigroup Global Markets Limited and Citigroup Global Markets Japan Inc.) and other bank and non-bank subsidiaries that are consolidated into Citigroup (including Citibanamex). At an aggregate Citigroup level, Citi’s goal is to maintain sufficient funding in amount and tenor to fully fund customer assets and to provide an appropriate amount of cash and high- quality liquid assets (as discussed below), even in times of stress, in order to meet its payment obligations as they come due. The liquidity risk management framework provides that in addition to the aggregate requirements, certain entities be self-sufficient or net providers of liquidity, including in conditions established under their designated stress tests. Citi’s primary funding sources include (i) corporate and consumer deposits via Citi’s bank subsidiaries, including Citibank, N.A. (Citibank), (ii) long-term debt (primarily senior and subordinated debt) mainly issued by Citigroup Inc., as the parent, and Citibank, and (iii) stockholders’ equity. These sources may be supplemented by short-term borrowings, primarily in the form of secured funding transactions. Citi’s funding and liquidity framework, working in concert with overall asset/liability management, ensures that there is sufficient liquidity and tenor in the overall liability structure (including funding products) of the Company relative to the liquidity requirements of Citi’s assets. This reduces the risk that liabilities will become due before assets mature or are monetized. The Company holds excess liquidity, primarily in the form of high-quality liquid assets (HQLA), as presented in the table below. Citi’s liquidity is managed centrally by Corporate Treasury, in conjunction with regional and in-country treasurers with oversight provided by Independent Risk Management and various Asset & Liability Committees (ALCOs) at the individual entity, region, country and business levels. Pursuant to this approach, Citi’s HQLA are managed with emphasis on asset/liability management and entity-level liquidity adequacy throughout Citi. Citi’s CRO and CFO co-chair Citigroup’s ALCO, which includes Citi’s Treasurer and other senior executives. The ALCO sets the strategy of the liquidity portfolio and monitors portfolio performance (for additional information about the ALCO, see “Risk Governance—Board and Executive Management Committees” above). Significant changes to portfolio asset allocations are approved by the ALCO. Citi also has other ALCOs, which are established at various organizational levels to ensure appropriate oversight for individual entities, countries, franchise businesses and regions, serving as the primary governance committees for managing Citi’s balance sheet and liquidity. As a supplement to ALCO, Citi’s Funding and Liquidity Risk Committee (FLRC) is focused on funding and liquidity risk matters. The FLRC reviews and discusses the funding and liquidity risk profile of, as well as risk management practices for, Citigroup and Citibank and reports its findings and recommendations to each relevant ALCO as appropriate. Liquidity Monitoring and Measurement Stress Testing Liquidity stress testing is performed for each of Citi’s major entities, operating subsidiaries and countries. Stress testing and scenario analyses are intended to quantify the potential impact of an adverse liquidity event on the balance sheet and liquidity position, in order to have sufficient liquidity on hand to manage through such an event. These scenarios include assumptions about significant changes in key funding sources, market triggers (such as credit ratings), potential uses of funding and macroeconomic, geopolitical and other conditions. These conditions include expected and stressed market conditions as well as Company-specific events. Liquidity stress tests are performed to ascertain potential mismatches between liquidity sources and uses over a variety of time horizons and over different stressed conditions. To monitor the liquidity of an entity, these stress tests and potential mismatches are calculated on a daily basis. Given the range of potential stresses, Citi maintains contingency funding plans on a consolidated basis and for individual entities. These plans specify a wide range of readily available actions for a variety of adverse market conditions or idiosyncratic stresses. 86 High-Quality Liquid Assets (HQLA) In billions of dollars Available cash U.S. sovereign U.S. agency/agency MBS Foreign government debt(1) Other investment grade Dec. 31, 2022 Citibank Sept. 30, 2022 Citi non-bank and other entities Total Dec. 31, 2021 Dec. 31, 2022 Sept. 30, 2022 Dec. 31, 2021 Dec. 31, 2022 Sept. 30, 2022 Dec. 31, 2021 $ 241.2 $ 202.2 $ 253.6 $ 4.3 $ 2.1 $ 2.6 $ 245.5 $ 204.3 $ 130.0 144.6 119.6 46.3 59.1 1.7 52.5 63.3 2.0 45.0 48.9 1.6 68.7 4.0 19.4 0.5 69.4 4.7 15.7 0.6 63.1 5.7 13.6 0.8 198.7 214.0 50.3 78.5 2.2 57.2 79.0 2.6 256.2 182.7 50.7 62.5 2.4 Total HQLA (AVG) $ 478.3 $ 464.6 $ 468.7 $ 96.9 $ 92.5 $ 85.8 $ 575.2 $ 557.1 $ 554.5 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, Korea, Mexico, Singapore 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 increased quarter-over-quarter as of the fourth quarter of 2022, primarily driven by wholesale unsecured debt issuances. As of December 31, 2022, Citigroup had approximately $1,045 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; available assets not already accounted for within Citi’s HQLA to support the 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 LCR is calculated by dividing HQLA by estimated net outflows assuming a stressed 30-day period, with the net outflows determined by standardized stress outflow and inflow rates prescribed in the LCR rule. The outflows are partially offset by contractual inflows from assets maturing within 30 days. Similar to outflows, the inflows are calculated based on prescribed factors to various asset categories, such as retail loans as well as unsecured and secured wholesale lending. The minimum LCR requirement is 100%. The table below details the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated: In billions of dollars HQLA Net outflows Dec. 31, 2022 Sept. 30, 2022 Dec. 31, 2021 $ 575.2 $ 557.1 $ 554.5 489.0 477.0 482.9 LCR HQLA in excess of net outflows 118 % 117 % 115 % $ 86.2 $ 80.1 $ 71.6 Note: The amounts are presented on an average basis. As of December 31, 2022, Citigroup’s average LCR increased, primarily driven by wholesale unsecured debt issuances. 87 Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR) As previously disclosed, the U.S. banking agencies adopted a rule to assess the availability of a bank’s stable funding against a required level. In general, a bank’s available stable funding includes portions of equity, deposits and long-term debt, while its required stable funding will be based on the liquidity characteristics of its assets, derivatives and commitments. Standardized weightings are required to be applied to the various asset and liability classes. The ratio of available stable funding to required stable funding is required to be greater than 100%. The rule became effective beginning 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 rule as of December 31, 2022. Loans As part of its funding and liquidity objectives, Citi seeks to fund its existing asset base appropriately as well as maintain sufficient liquidity to grow its PBWM and ICG businesses, including its loan portfolio. Citi maintains a diversified portfolio of loans to its consumer and institutional clients. 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 dollars 4Q22 3Q22 4Q21 Personal Banking and Wealth Management U.S. Retail banking U.S. Cards Global Wealth Total Institutional Clients Group Services Banking Markets $ 37 $ 143 36 $ 138 150 151 $ 330 $ 325 $ $ 79 $ 82 $ 194 197 12 12 34 128 150 312 77 195 17 Total Total Legacy Franchises(1) Total Citigroup loans (AVG) Total Citigroup loans (EOP) $ $ $ $ 285 $ 291 $ 289 38 $ 39 $ 653 $ 655 $ 657 $ 646 $ 66 667 668 (1) See footnote 2 to the table in “Credit Risk—Consumer Credit— Consumer Credit Portfolio” above. End-of-period loans decreased 2% year-over-year, largely driven by lower balances in Legacy Franchises and the impact of foreign exchange translation. End-of-period loans increased 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 PBWM. The decline in Legacy Franchises primarily reflected the reclassification of loans to Other assets to reflect held-for-sale accounting as a result of 88 the signing of sale agreements for consumer franchises, as well as the impact of the ongoing Korea and Russia wind- downs. Average PBWM loans as of the fourth quarter of 2022 increased 6% year-over-year, primarily driven by Branded cards and Retail services. Average ICG loans as of the fourth quarter of 2022 decreased 1% year-over-year, primarily driven by RWA optimization efforts within Banking, which more than offset growth in Services from 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 dollars 4Q22 3Q22 4Q21 Personal Banking and Wealth Management U.S. Personal Banking $ 111 $ 115 $ Global Wealth Total Institutional Clients Group TTS Securities services Markets and Banking Total Legacy Franchises(1) Corporate/Other 320 313 $ 431 $ 428 $ $ 694 $ 664 $ 129 25 131 22 114 323 437 689 140 23 $ $ $ 848 $ 817 $ 852 50 $ 32 $ 50 $ 21 $ 74 7 Total Citigroup deposits (AVG) $ 1,361 $ 1,316 $ 1,370 Total Citigroup deposits (EOP) $ 1,366 $ 1,306 $ 1,317 (1) See footnote 2 to the table in “Credit Risk—Consumer Credit— Consumer Credit Portfolio” above. End-of-period deposits increased 4% year-over-year, largely driven by Treasury and trade solutions in ICG, partially offset by the impact of foreign exchange translation. End-of-period deposits increased 5% sequentially. On an average basis, deposits declined 1% year-over-year and increased 3% 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, as well as the ongoing Korea and Russia wind-downs. ICG average deposits were largely unchanged year-over-year. PBWM average deposits decreased 1% year-over-year, driven by modest decreases in both U.S. Personal Banking and Global Wealth. Corporate/Other average deposits increased $25 billion year-over-year, due to the issuance of institutional certificates of deposit as Citi continues to diversify its funding profile. Long-Term Debt Long-term debt (generally defined as debt with original maturities of one year or more) represents the most significant component of Citi’s funding for the Citigroup parent company and Citi’s non-bank subsidiaries and is a supplementary source of funding for the bank entities. Long-term debt is an important funding source due in part to its multiyear contractual maturity structure. 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 7.6 years as of December 31, 2022, compared to 8.6 years as of the prior year and 7.8 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 dollars Non-bank(1) Benchmark debt: Senior debt Subordinated debt Trust preferred Customer-related debt Local country and other(2) Total non-bank Bank Dec. 31, 2022 Sept. 30, 2022 Dec. 31, 2021 $ 117.5 $ 112.7 $ 117.8 22.5 22.4 1.6 1.6 101.1 86.9 7.8 7.0 25.7 1.7 78.3 7.3 $ 250.5 $ 230.6 $ 230.8 FHLB borrowings Securitizations(3) Citibank benchmark senior debt Local country and other(2) Total bank $ 7.3 $ 7.3 $ 7.6 2.6 3.6 8.4 2.5 4.3 5.3 9.6 3.6 5.1 $ 21.1 $ 22.5 $ 23.6 Total long-term debt $ 271.6 $ 253.1 $ 254.4 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 December 31, 2022, non-bank included $84.2 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 increased 7% year- over-year, primarily driven by an increase in customer-related debt at the non-bank entities. Sequentially, long-term debt outstanding also increased 7%, largely driven by an increase in customer-related debt and benchmark senior debt at the non- bank entities. 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 2022, Citi redeemed or repurchased an aggregate of approximately $20.8 billion of its outstanding long-term debt. 89 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: In billions of dollars Non-bank Benchmark debt: Senior debt Subordinated debt Trust preferred Customer-related debt Local country and other Total non-bank Bank FHLB borrowings Securitizations Citibank benchmark senior debt Local country and other Total bank Total 2022 2021 2020 Maturities Issuances Maturities Issuances Maturities Issuances $ 15.4 $ 27.3 $ 17.6 $ 15.4 $ 6.5 $ 20.4 0.9 0.1 27.0 2.8 — — 65.1 3.5 — — 31.2 3.3 — — 48.7 3.6 — — 27.7 2.4 46.2 $ 95.9 $ 52.1 $ 67.7 $ 36.6 $ — — 36.8 1.4 58.6 5.3 $ 7.3 $ 5.7 $ — $ 7.5 $ 12.9 2.1 0.9 2.6 0.2 — 1.3 10.9 $ 57.1 $ 8.8 $ 104.7 $ 6.1 9.8 1.2 22.8 $ 74.9 $ — — 2.9 2.9 $ 70.6 $ 4.6 9.8 4.9 26.8 $ 63.4 $ 0.3 — 4.6 17.8 76.4 $ $ $ $ The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) in 2022, as well as its aggregate expected remaining long-term debt maturities by year as of December 31, 2022: In billions of dollars Non-bank Benchmark debt: Senior debt Subordinated debt Trust preferred Customer-related debt Local country and other Total non-bank Bank FHLB borrowings Securitizations Citibank benchmark senior debt Local country and other Total bank Total long-term debt 2022 2023 2024 2025 2026 2027 Thereafter Total Maturities $ 15.4 $ 4.9 $ 10.5 $ 11.8 $ 23.4 $ 6.9 $ 60.0 $ 117.5 0.9 0.1 1.2 — 0.9 — 4.8 — 27.0 16.4 20.6 14.0 2.8 2.9 0.4 0.3 2.3 — 6.2 0.7 3.6 — 9.3 0.2 9.7 1.6 22.5 1.6 34.6 101.1 3.1 7.8 46.2 $ 25.4 $ 32.4 $ 30.9 $ 32.6 $ 20.0 $ 109.0 $ 250.5 5.3 $ 4.3 $ 3.0 $ — $ — $ — $ — $ 2.1 0.9 2.6 2.2 — 0.6 1.3 2.6 1.2 1.6 — 0.2 — — 0.2 0.8 — — 1.7 — 1.4 7.3 7.6 2.6 3.6 10.9 $ 7.1 $ 8.1 $ 1.8 $ 0.2 $ 0.8 $ 3.1 $ 21.1 57.1 $ 32.5 $ 40.5 $ 32.7 $ 32.8 $ 20.8 $ 112.1 $ 271.6 $ $ $ $ 90 • • • Citigroup made an initial contribution of assets, including certain high-quality liquid assets and inter-affiliate loans (Contributable Assets), to Citicorp, and Citicorp became the business-as- usual funding vehicle for Citigroup’s operating material legal entities; Citigroup will be obligated to continue to transfer Contributable Assets to Citicorp over time, subject to certain amounts retained by Citigroup to, among other things, meet Citigroup’s near-term cash needs; in the event of a Citigroup bankruptcy, Citigroup will be required to contribute most of its remaining assets to Citicorp; and (iv) the obligations of both Citigroup and Citicorp under the Citi Support Agreement, as well as the Contributable Assets, are secured pursuant to a security agreement. The Citi Support Agreement provides two mechanisms, besides Citicorp’s issuing of dividends to Citigroup, pursuant to which Citicorp will be required to transfer cash to Citigroup during business as usual so that Citigroup can fund its debt service as well as other operating needs: (i) one or more funding notes issued by Citicorp to Citigroup and (ii) a committed line of credit under which Citicorp may make loans to Citigroup. Total Loss-Absorbing Capacity (TLAC) U.S. GSIBs are required to maintain minimum levels of TLAC and eligible LTD, each set by reference to the GSIB’s consolidated risk-weighted assets (RWA) and total leverage exposure. The intended purpose of the requirements is to facilitate the orderly resolution of U.S. GSIBs under the U.S. Bankruptcy Code and Title II of the Dodd-Frank Act. For additional information, including Citi’s TLAC and LTD amounts and ratios, see “Capital Resources—Current Regulatory Capital Standards” above. Resolution Plan Citigroup is required under Title I of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd- Frank Act) and the rules promulgated by the FDIC and Federal Reserve Board (FRB) to periodically submit a plan for Citi’s rapid and orderly resolution under the U.S. Bankruptcy Code in the event of material financial distress or failure. Citigroup will alternate between submitting a full resolution plan and a targeted resolution plan on a biennial cycle. On November 22, 2022, the FRB and FDIC issued feedback on the resolution plans filed on July 1, 2021 by the eight U.S. global systemically important banks (GSIBs), including Citigroup. The FRB and FDIC identified one shortcoming, but no deficiencies, in Citigroup’s 2021 resolution plan regarding data integrity and data quality management issues. For additional information on Citi’s resolution plan submissions, see “Risk Factors—Strategic Risks” above. Under Citi’s preferred “single point of entry” resolution plan strategy, only Citigroup, the parent holding company, would enter into bankruptcy, while Citigroup’s material legal entities (as defined in the public section of its 2021 resolution plan, which can be found on the FRB’s and FDIC’s websites) would remain operational outside of any resolution or insolvency proceedings. Citigroup’s resolution plan has been designed to minimize the risk of systemic impact to the U.S. and global financial systems, while maximizing the value of the bankruptcy estate for the benefit of Citigroup’s creditors, including its unsecured long-term debt holders. In addition, in line with the FRB’s final total loss- absorbing capacity (TLAC) rule, Citigroup believes it has developed the resolution plan so that Citigroup’s shareholders and unsecured creditors—including its unsecured long-term debt holders—bear any losses resulting from Citigroup’s bankruptcy. Accordingly, any value realized by holders of its unsecured long-term debt may not be sufficient to repay the amounts owed to such debt holders in the event of a bankruptcy or other resolution proceeding of Citigroup. The FDIC has also indicated that it was developing a single point of entry strategy to implement the Orderly Liquidation Authority under Title II of the Dodd-Frank Act, which provides the FDIC with the ability to resolve a firm when it is determined that bankruptcy would have serious adverse effects on financial stability in the U.S. As previously disclosed, in response to feedback received from the FRB and FDIC, Citigroup took the following actions: (i) (ii) (iii) Citicorp LLC (Citicorp), an existing wholly owned subsidiary of Citigroup, was established as an intermediate holding company (an IHC) for certain of Citigroup’s operating material legal entities; Citigroup executed an inter-affiliate agreement with Citicorp, Citigroup’s operating material legal entities and certain other affiliated entities pursuant to which Citicorp is required to provide liquidity and capital support to Citigroup’s operating material legal entities in the event Citigroup were to enter bankruptcy proceedings (Citi Support Agreement); pursuant to the Citi Support Agreement: 91 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 December 31, 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 as of the fourth quarter of 2022 increased 68% year-over-year, reflecting an increase in FHLB advances and commercial paper issuance, as Citi continues to diversify its funding profile, and decreased 1% sequentially, driven by normal business activity (see Note 18 for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings). 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 $202 billion as of December 31, 2022 increased 6% from the prior year and was unchanged sequentially, driven by normal business activity. The average balance for secured funding was approximately $205 billion for the quarter ended December 31, 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. 92 CREDIT RATINGS Citigroup’s funding and liquidity, funding capacity, ability to access capital markets and other sources of funds, the cost of these funds and its ability to maintain certain deposits are partially dependent on its credit ratings. The table below shows the ratings for Citigroup and Citibank as of December 31, 2022. While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Holding Inc. (CGMHI) were A+/F1 at Fitch Ratings, A2/P-1 at Moody’s Investors Service and A/A-1 at S&P Global Ratings as of December 31, 2022. Ratings as of December 31, 2022 Fitch Ratings (Fitch) Moody’s Investors Service (Moody’s) S&P Global Ratings (S&P) Potential Impacts of Ratings Downgrades Ratings downgrades by Fitch, Moody’s or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including derivative triggers, which could take the form of cash obligations and collateral requirements. The following information is provided for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank of a hypothetical simultaneous ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, judgments and uncertainties. Uncertainties include potential ratings limitations that certain entities may have with respect to permissible counterparties, as well as general subjective counterparty behavior. For example, certain corporate customers and markets counterparties could re- evaluate their business relationships with Citi and limit transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi’s funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors— Liquidity Risks” above. Citigroup Inc. and Citibank—Potential Derivative Triggers As of December 31, 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 $0.5 billion, compared to $0.6 billion as of September 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. 93 Citigroup Inc. Citibank, N.A. Long- term Short- term A A3 BBB+ F1 P-2 A-2 Outlook Stable Stable Stable Long- term Short- term A+ Aa3 A+ F1 P-1 A-1 Outlook Stable Stable Stable As of December 31, 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 $0.4 billion, compared to $0.8 billion as of September 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. In total, as of December 31, 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 $0.9 billion, compared to $1.4 billion as of September 30, 2022 (see also Note 23). 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. In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings at certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above. 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. Citibank has provided liquidity commitments to consolidated asset-backed commercial paper conduits, primarily in the form of asset purchase agreements. As of December 31, 2022, Citibank had liquidity commitments of approximately $11.0 billion to consolidated asset-backed commercial paper conduits, compared to $9.1 billion as of December 31, 2021 (see Note 22 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. 94 MARKET RISK OVERVIEW Market risk is the potential for losses arising from changes in the value of Citi’s assets and liabilities resulting from changes in market variables such as interest rates, foreign exchange rates, equity prices, commodity prices and credit spreads, as well as their implied volatilities. 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 “Risk Factors” above. Each business is required to establish, with approval from Citi’s market risk management, a market risk limit framework for identified risk factors that clearly defines approved risk profiles and is within the parameters of Citi’s overall risk appetite. These limits are monitored by the Risk organization, including various regional, legal entity and business Risk Management committees, Citi’s country and business Asset & Liability Committees and the Citigroup Risk Management and Asset & Liability Committees. In all cases, the businesses are ultimately responsible for the market risks taken and for remaining within their defined limits. 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 95 • 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 modeling and other factors. Since the third quarter of 2022, Citi has employed enhanced IRE 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. 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 that are included in total trading and credit portfolio VAR. Interest Rate Risk of Investment Portfolios—Impact on AOCI 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 CET1 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 CET1 Capital ratio) relative to Citi’s capital generation capacity. The following table presents the 12-month estimated impact to Citi’s net interest income, AOCI and the CET1 Capital ratio, each assuming an unanticipated parallel instantaneous 100 basis point (bps) increase in interest rates: In millions of dollars, except as otherwise noted Parallel interest rate shock +100 bps Interest rate exposure(1)(2) U.S. dollar All other currencies Total As a percentage of average interest-earning assets Estimated initial negative impact to AOCI (after-tax)(3) Estimated initial impact on CET1 Capital ratio (bps) Dec. 31, 2022 Sept. 30, 2022 Dec. 31, 2021 $ $ $ 186 $ 677 $ 1,650 1,483 1,836 $ 2,160 $ 781 2,025 2,806 0.08 % 0.10 % 0.12 % (1,102) $ (969) $ (4,609) (10) (9) (30) (1) Excludes trading book and fair value option banking book portfolios and replaces them with the associated transfer pricing. (2) IRE as of December 31, 2021 excludes certain IRE methodology enhancements implemented in September 2022, most notably the banking book revisions to the treatment of certain business. Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments. (3) 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 December 31, 2022 decreased quarter-over-quarter and 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 approximate $1.1 billion 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 four months. 96 Scenario Analysis The following table presents the estimated impact to Citi’s net interest income, AOCI and the CET1 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 December 31, 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 noted Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Overnight rate change (bps) 10-year rate change (bps) Interest rate exposure U.S. dollar All other currencies Total Estimated initial impact to AOCI (after-tax)(1) Estimated initial impact to CET1 Capital ratio (bps) 100 100 100 — 186 $ 98 $ 1,650 1,426 1,836 $ 1,524 $ — 100 105 $ 229 334 $ — (100) (100) (100) (121) $ (236) (357) $ (322) (1,434) (1,756) (1,102) $ (931) $ (159) $ 46 $ 1,014 (10) (8) (2) 1 10 $ $ $ Note: Each scenario assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated. (1) Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments. 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. 97 Changes in Foreign Exchange Rates—Impacts on AOCI and Capital As of December 31, 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 $1.7 billion, or 1.0%, as a result of changes to Citi’s CTA 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 CET1 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 CET1 Capital ratio, are shown in the table below. See Note 20 for additional information on the changes in AOCI. In millions of dollars, except as otherwise noted Change in FX spot rate(1) Change in TCE due to FX translation, net of hedges As a percentage of TCE Estimated impact to CET1 Capital ratio (on a fully implemented basis) due to changes in FX translation, net of hedges (bps) For the quarter ended Dec. 31, 2022 Sept. 30, 2022 Dec. 31, 2021 4.0 % (4.5) % $ 1,193 $ (2,121) $ 0.8 % (1.4) % (0.6) % (438) (0.3) % (3) (2) (1) (1) FX spot rate change is a weighted average based on Citi’s quarterly average GAAP capital exposure to foreign countries. 98 Interest Revenue/Expense and Net Interest Margin (NIM) In millions of dollars, except as otherwise noted Interest revenue(1) Interest expense(2) Net interest income, taxable equivalent basis(1) Interest revenue—average rate(3) Interest expense—average rate Net interest margin(3)(4) Interest rate benchmarks Two-year U.S. Treasury note—average rate 10-year U.S. Treasury note—average rate 2022 $ 74,573 25,740 $ 48,833 2021 $ 50,667 7,981 $ 42,686 2020 $ 58,285 13,338 $ 44,947 3.43 % 1.48 2.25 2.99 % 2.95 2.36 % 0.46 1.99 0.27 % 1.45 2.88 % 0.81 2.22 0.39 % 0.89 10-year vs. two-year spread (4) bps 118 bps 50 bps Change 2022 vs. 2021 Change 2021 vs. 2020 47 % 223 14 % 107 102 bps bps 26 bps 272 150 bps bps (13) % (40) (5) % (52) bps (35) bps (23) bps (12) bps 56 bps (1) (2) 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 $165 million, $192 million and $196 million for 2022, 2021 and 2020, respectively. 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. 99 Non-ICG Markets Net Interest Income In millions of dollars Net interest income—taxable equivalent basis(1) per above ICG Markets net interest income—taxable equivalent basis(1) Non-ICG Markets net interest income—taxable equivalent basis(1) 2022 2021 2020 $ $ 48,833 $ 42,686 $ 5,173 5,167 43,660 $ 37,519 $ 44,947 5,208 39,739 (1) Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above. Citi’s net interest income in the fourth quarter of 2022 was $13.3 billion (also $13.3 billion on a taxable equivalent basis), an increase of $2.5 billion versus the prior year, primarily driven by non-ICG Markets (approximately $2.2 billion), as ICG Markets was largely unchanged (up approximately $0.3 billion across fixed income markets and equity markets). The increase in net interest income in non-ICG Markets was primarily driven by higher interest rates. Citi’s net interest margin was 2.39% on a taxable equivalent basis in the fourth quarter of 2022, an increase of eight basis points from the prior quarter, also largely driven by higher interest rates. Citi’s net interest income for 2022 increased 15%, or approximately $6.2 billion, to $48.7 billion ($48.8 billion on a taxable equivalent basis) versus the prior year. The increase was primarily due to an increase in non-ICG Markets net interest income, largely reflecting higher interest rates and higher loan balances in PBWM. In 2022, Citi’s net interest margin increased to 2.25% on a taxable equivalent basis, compared to 1.99% in 2021, primarily driven by higher interest rates and a mix-shift in balances. 100 This page intentionally left blank. 101 Additional Interest Rate Details Average Balances and Interest Rates—Assets(1)(2)(3) Taxable Equivalent Basis In millions of dollars, except rates 2022 2021 2020 2022 2021 2020 2022 2021 2020 Average balance Interest revenue % Average rate Assets Deposits with banks(4) Securities borrowed and purchased under agreements to resell(5) In U.S. offices In offices outside the U.S.(4) Total Trading account assets(6)(7) In U.S. offices In offices outside the U.S.(4) Total Investments In U.S. offices Taxable $ 262,504 $ 298,319 $ 288,629 $ 4,515 $ 577 $ 928 1.72 % 0.19 % 0.32 % $ 188,672 $ 172,716 $ 149,076 $ 3,933 $ 385 $ 1,202 2.08 % 0.22 % 0.81 % 164,675 149,944 138,074 3,221 667 1,081 1.96 0.44 0.78 $ 353,347 $ 322,660 $ 287,150 $ 7,154 $ 1,052 $ 2,283 2.02 % 0.33 % 0.80 % $ 142,146 $ 140,215 $ 144,130 $ 4,005 $ 2,653 $ 3,624 2.82 % 1.89 % 2.51 % 132,046 151,722 134,078 3,422 2,718 2,509 2.59 1.79 1.87 $ 274,192 $ 291,937 $ 278,208 $ 7,427 $ 5,371 $ 6,133 2.71 % 1.84 % 2.20 % $ 355,012 $ 322,884 $ 265,833 $ 5,642 $ 3,547 $ 3,860 1.59 % 1.10 % 1.45 % Exempt from U.S. income tax 11,742 12,296 14,084 424 437 452 In offices outside the U.S.(4) Total Consumer loans(8) In U.S. offices In offices outside the U.S.(4) Total Corporate loans(8) In U.S. offices In offices outside the U.S.(4) Total Total loans(8) In U.S. offices In offices outside the U.S.(4) Total Other interest-earning assets(9) Total interest-earning assets Non-interest-earning assets(6) Total assets 3.61 3.45 3.55 2.29 3.21 2.71 150,968 152,940 139,400 5,210 3,498 3,781 $ 517,722 $ 488,120 $ 419,317 $ 11,276 $ 7,482 $ 8,093 2.18 % 1.53 % 1.93 % $ 268,910 $ 253,184 $ 258,614 $ 23,127 $ 19,810 $ 20,436 8.60 % 7.82 % 7.90 % 86,497 121,794 120,974 5,264 6,598 7,327 6.09 5.42 6.06 $ 355,407 $ 374,978 $ 379,588 $ 28,391 $ 26,408 $ 27,763 7.99 % 7.04 % 7.31 % $ 139,906 $ 132,957 $ 138,232 $ 5,417 $ 4,213 $ 6,264 3.87 % 3.17 % 4.53 % 158,008 160,101 167,405 7,528 4,911 6,242 4.76 3.07 3.73 $ 297,914 $ 293,058 $ 305,637 $ 12,945 $ 9,124 $ 12,506 4.35 % 3.11 % 4.09 % $ 408,816 $ 386,141 $ 396,846 $ 28,544 $ 24,023 $ 26,700 6.98 % 6.22 % 6.73 % 244,505 281,895 288,379 12,792 11,509 13,569 5.23 4.08 4.71 $ $ 653,321 $ 668,036 $ 685,225 $ 41,336 $ 35,532 $ 40,269 6.33 % 5.32 % 5.88 % 112,549 $ 75,876 $ 67,547 $ 2,865 $ 653 $ 579 2.55 % 0.86 % 0.86 % $ 2,173,635 $ 2,144,948 $ 2,026,076 $ 74,573 $ 50,667 $ 58,285 3.43 % 2.36 % 2.88 % $ 222,388 $ 202,761 $ 200,378 $ 2,396,023 $ 2,347,709 $ 2,226,454 (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 $165 million, $192 million and $196 million for 2022, 2021 and 2020, respectively. Interest rates and amounts include the effects of risk management activities associated with the respective asset categories. (2) (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- (7) bearing liabilities. 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. 102 Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Income(1)(2)(3) Taxable Equivalent Basis In millions of dollars, except rates 2022 2021 2020 2022 2021 2020 2022 2021 2020 Average balance Interest expense % Average rate Liabilities Deposits In U.S. offices(4) In offices outside the U.S.(5) Total Securities loaned and sold under agreements to repurchase(6) In U.S. offices In offices outside the U.S.(5) Total Trading account liabilities(7)(8) In U.S. offices In offices outside the U.S.(5) Total Short-term borrowings and other interest-bearing liabilities(9) In U.S. offices In offices outside the U.S.(5) Total Long-term debt(10) In U.S. offices In offices outside the U.S.(5) Total $ 572,394 $ 532,466 $ 485,848 $ 5,986 $ 1,084 $ 2,524 1.05 % 0.20 % 0.52 % 516,329 557,207 541,301 5,573 1,812 2,810 1.08 0.33 0.52 $ 1,088,723 $ 1,089,673 $ 1,027,149 $ 11,559 $ 2,896 $ 5,334 1.06 % 0.27 % 0.52 % $ 112,771 $ 136,955 $ 137,348 $ 2,816 $ 676 $ 1,292 2.50 % 0.49 % 0.94 % 94,936 93,744 79,426 1,639 336 785 1.73 0.36 0.99 $ 207,707 $ 230,699 $ 216,774 $ 4,455 $ 1,012 $ 2,077 2.14 % 0.44 % 0.96 % $ 52,166 $ 47,871 $ 38,308 $ 697 $ 109 $ 70,102 67,739 52,051 740 373 $ 122,268 $ 115,610 $ 90,359 $ 1,437 $ 482 $ $ 95,054 $ 69,683 $ 82,363 $ 2,161 $ (27) $ 55,133 26,133 20,053 327 148 $ 150,187 $ 95,816 $ 102,416 $ 2,488 $ 121 $ 283 345 628 493 137 630 1.34 % 0.23 % 0.74 % 1.06 0.55 0.66 1.18 % 0.42 % 0.70 % 2.27 % (0.04) % 0.60 % 0.59 0.57 0.68 1.66 % 0.13 % 0.62 % $ 166,063 $ 186,522 $ 213,809 $ 5,625 $ 3,384 $ 4,656 3.39 % 1.81 % 2.18 % 3,592 4,282 3,918 176 86 13 4.90 2.01 0.33 $ 169,655 $ 190,804 $ 217,727 $ 5,801 $ 3,470 $ 4,669 3.42 % 1.82 % 2.14 % Total interest-bearing liabilities $ 1,738,540 $ 1,722,602 $ 1,654,425 $ 25,740 $ 7,981 $ 13,338 1.48 % 0.46 % 0.81 % Demand deposits in U.S. offices $ 135,725 $ 98,414 $ 30,876 Other non-interest-bearing liabilities(7) Total liabilities 322,151 324,643 346,736 $ 2,196,416 $ 2,145,659 $ 2,032,037 Citigroup stockholders’ equity $ 199,088 $ 201,360 $ 193,769 Noncontrolling interests 519 690 648 Total equity $ 199,607 $ 202,050 $ 194,417 Total liabilities and stockholders’ equity Net interest income as a percentage of average interest- earning assets(11) In U.S. offices In offices outside the U.S.(6) Total $ 2,396,023 $ 2,347,709 $ 2,226,454 $ 1,272,222 $ 1,244,182 $ 1,187,077 $ 28,802 $ 26,404 $ 27,520 2.26 % 2.12 % 2.32 % 901,412 900,766 838,999 20,031 16,282 17,427 2.22 1.81 2.08 $ 2,173,634 $ 2,144,948 $ 2,026,076 $ 48,833 $ 42,686 $ 44,947 2.25 % 1.99 % 2.22 % Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above. Interest rates and amounts include the effects of risk management activities associated with the respective liability categories. (1) (2) (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- (8) bearing liabilities. 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. 103 Includes Brokerage payables. (9) (10) Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as the changes in fair value for these obligations are recorded in Principal transactions. (11) Includes allocations for capital and funding costs based on the location of the asset. Analysis of Changes in Interest Revenue(1)(2)(3) In millions of dollars Deposits with banks(3) Securities borrowed and purchased under agreements to resell In U.S. offices In offices outside the U.S.(3) Total Trading account assets(4) In U.S. offices In offices outside the U.S.(3) Total Investments(1) In U.S. offices In offices outside the U.S.(3) Total Consumer loans (net of unearned income)(5) In U.S. offices In offices outside the U.S.(3) Total Corporate loans (net of unearned income)(5) In U.S. offices In offices outside the U.S.(3) Total Loans (net of unearned income)(5) In U.S. offices In offices outside the U.S.(3) Total Other interest-earning assets(6) Total interest revenue 2022 vs. 2021 Increase (decrease) due to change in: 2021 vs. 2020 Increase (decrease) due to change in: Average balance Average rate Net change Average balance Average rate Net change $ $ $ $ (77) $ 4,015 $ 3,938 $ 30 $ (381) $ (351) 39 $ 3,509 $ 3,548 $ 166 $ (983) $ (817) 72 2,482 2,554 86 (500) (414) 111 $ 5,991 $ 6,102 $ 252 $ (1,483) $ (1,231) 37 $ 1,315 $ 1,352 $ (96) $ (875) $ (971) (388) 1,092 704 320 (111) 209 $ (351) $ 2,407 $ 2,056 $ 224 $ (986) $ (762) $ $ 404 $ 1,678 $ 2,082 $ 761 $ (1,089) $ (328) (46) 1,758 1,712 345 (628) (283) 358 $ 3,436 $ 3,794 $ 1,106 $ (1,717) $ (611) $ 1,277 $ 2,040 $ 3,317 $ (426) $ (200) $ (626) (2,078) 744 (1,334) 49 (778) (729) $ (801) $ 2,784 $ 1,983 $ (377) $ (978) $ (1,355) $ $ 230 $ 974 $ 1,204 $ (231) $ (1,820) $ (2,051) (65) 2,682 2,617 (263) (1,068) (1,331) 165 $ 3,656 $ 3,821 $ (494) $ (2,888) $ (3,382) $ 1,507 $ 3,014 $ 4,521 $ (706) $ (1,971) $ (2,677) (2,143) 3,426 1,283 (299) (1,761) (2,060) $ $ $ (636) $ 6,440 $ 5,804 $ (1,005) $ (3,732) $ (4,737) 438 $ 1,774 $ 2,212 $ 72 $ 2 $ 74 (157) $ 24,063 $ 23,906 $ 679 $ (8,297) $ (7,618) Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above. (1) (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. Includes cash-basis loans. Includes Brokerage receivables. (5) (6) 104 Analysis of Changes in Interest Expense and Net Interest Income(1)(2)(3) In millions of dollars Deposits In U.S. offices In offices outside the U.S.(3) Total Securities loaned and sold under agreements to repurchase In U.S. offices In offices outside the U.S.(3) Total Trading account liabilities(4) In U.S. offices In offices outside the U.S.(3) Total Short-term borrowings and other interest-bearing liabilities(5) In U.S. offices In offices outside the U.S.(3) Total Long-term debt In U.S. offices In offices outside the U.S.(3) Total Total interest expense Net interest income 2022 vs. 2021 Increase (decrease) due to change in: 2021 vs. 2020 Increase (decrease) due to change in: Average balance Average rate Net change Average balance Average rate Net change $ $ 87 $ 4,815 $ 4,902 $ 222 $ (1,661) $ (1,439) (142) 3,903 3,761 80 (1,078) (998) (55) $ 8,718 $ 8,663 $ 302 $ (2,739) $ (2,437) $ (140) $ 2,280 $ 2,140 $ (4) $ (612) $ (616) 4 1,299 1,303 122 (571) (449) $ (136) $ 3,579 $ 3,443 $ 118 $ (1,183) $ (1,065) $ $ $ 11 $ 577 $ 588 $ 58 $ (232) $ (174) 13 354 367 93 (65) 28 24 $ 931 $ 955 $ 151 $ (297) $ (146) (6) $ 2,194 $ 2,188 $ (66) $ (454) $ (520) 172 7 179 37 (26) 11 $ 166 $ 2,201 $ 2,367 $ (29) $ (480) $ (509) $ (407) $ 2,648 $ 2,241 $ (551) $ (721) $ (1,272) (16) 106 90 1 71 72 $ $ $ (423) $ 2,754 $ 2,331 $ (550) $ (650) $ (1,200) (424) $ 18,183 $ 17,759 $ (8) $ (5,349) $ (5,357) 267 $ 5,880 $ 6,147 $ 687 $ (2,948) $ (2,261) Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above. (1) (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. Includes Brokerage payables. (5) 105 Market Risk of Trading Portfolios Trading portfolios include positions resulting from market- making activities, hedges of certain available-for-sale (AFS) debt securities, the CVA relating to derivative counterparties and all associated hedges, fair value option loans and hedges of the loan portfolio within capital markets origination in ICG. The market risk of Citi’s trading portfolios is monitored using a combination of quantitative and qualitative measures, including, but not limited to, factor sensitivities, value at risk (VAR) and stress testing. Each trading portfolio across Citi’s businesses has its own market risk limit framework encompassing these measures and other controls, including trading mandates, new product approval, permitted product lists and pre-trade approval for larger, more complex and less liquid transactions. The following chart of total daily trading-related revenue (loss) captures trading volatility and shows the number of days in which revenues for Citi’s trading businesses fell within particular ranges. Trading-related revenue includes trading, net interest and other revenue associated with Citi’s trading businesses. It excludes DVA, FVA and CVA adjustments incurred due to changes in the credit quality of counterparties, as well as any associated hedges of that CVA. In addition, it excludes fees and other revenue associated with capital markets origination activities. Trading-related revenues are driven by both customer flows and the changes in valuation of the trading inventory. As shown in the chart below, positive trading-related revenue was achieved for 95.4% of the trading days in 2022. Daily Trading-Related Revenue (Loss)(1)—12 Months Ended December 31, 2022 In millions of dollars (1) Reflects the effects of asymmetrical accounting for economic hedges of certain AFS debt securities. Specifically, the change in the fair value of hedging derivatives is included in trading-related revenue, while the offsetting change in the fair value of hedged AFS debt securities is included in AOCI and not reflected above. 106 Factor Sensitivities Factor sensitivities are expressed as the change in the value of a position for a defined change in a market risk factor, such as a change in the value of a U.S. Treasury Bond for a one-basis- point change in interest rates. Citi’s Global Market Risk function, within the Independent Risk Management organization, works to ensure that factor sensitivities are calculated, monitored and limited for all material risks taken in the trading portfolios. Value at Risk (VAR) VAR estimates, at a 99% confidence level, the potential decline in the value of a position or a portfolio under normal market conditions assuming a one-day holding period. VAR statistics, which are based on historical data, can be materially different across firms due to differences in portfolio composition, VAR methodologies and model parameters. As a result, Citi believes VAR statistics can be used more effectively as indicators of trends in risk-taking within a firm, rather than as a basis for inferring differences in risk-taking across firms. Citi uses a single, independently approved Monte Carlo simulation VAR model (see “VAR Model Review and Validation” below), which has been designed to capture material risk sensitivities (such as first- and second-order sensitivities of positions to changes in market prices) of various asset classes/risk types (such as interest rate, credit spread, foreign exchange, equity and commodity risks). Citi’s VAR includes positions that are measured at fair value; it does not include investment securities classified as AFS or HTM. See Note 13 for information on these securities. 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 (18 months for commodities and three years for others) market volatility. The Monte Carlo simulation involves approximately 550,000 market factors, making use of approximately 480,000 time series, with sensitivities updated daily, volatility parameters updated intra-monthly and correlation parameters updated monthly. The conservative features of the VAR calibration contribute an approximate 46% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets. As presented in the table below, Citi’s average trading VAR increased $22 million from 2021 to 2022, mainly due to increased market volatility. Citi’s average trading and credit portfolio VAR increased $23 million from 2021 to 2022 in line with trading VAR. Year-end and Average Trading VAR and Trading and Credit Portfolio VAR In millions of dollars Interest rate Credit spread Covariance adjustment(1) Fully diversified interest rate and credit spread(2) Foreign exchange Equity Commodity Covariance adjustment(1) Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2) Specific risk-only component(3) Total trading VAR—general market risk factors only (excluding credit portfolios) Incremental impact of the credit portfolio(4) Total trading and credit portfolio VAR December 31, 2022 2022 Average December 31, 2021 2021 Average $ $ $ $ $ $ $ 130 $ 100 $ 78 (45) 74 (49) 163 $ 125 $ 20 27 32 31 27 41 50 $ 59 (35) 74 $ 36 29 28 65 71 (42) 94 42 33 34 (94) (101) (88) (102) 148 $ 123 $ (4) $ 152 $ 30 $ 178 $ (2) $ 125 $ 31 $ 154 $ 79 $ 3 $ 76 $ 45 $ 124 $ 101 1 100 30 131 (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. 107 The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk: In millions of dollars Interest rate Credit spread Fully diversified interest rate and credit spread Foreign exchange Equity Commodity Total trading Total trading and credit portfolio 2022 2021 Low High Low High $ $ $ 45 $ 59 72 $ 12 12 27 78 $ 110 165 $ 108 183 $ 98 44 104 168 $ 226 47 $ 54 74 $ 33 21 19 79 $ 108 96 96 123 49 50 55 130 166 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. The following table provides the VAR for ICG, excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio: In millions of dollars Dec. 31, 2022 Total—all market risk factors, including general and specific risk Average—during year High—during year Low—during year $ $ 150 124 166 81 VAR Model Review and Validation Generally, Citi’s VAR review and model validation process entails reviewing the model framework, major assumptions and implementation of the mathematical algorithm. In addition, product-specific back-testing on portfolios is periodically completed as part of the ongoing model performance monitoring process and reviewed with Citi’s U.S. banking regulators. Furthermore, Regulatory VAR back- testing (as described below) is performed against buy-and- hold profit and loss on a monthly basis for multiple sub- portfolios across the organization (trading desk level, ICG operating segment and Citigroup) and the results are shared with U.S. banking regulators. Material VAR model and assumption changes must be independently validated within Citi’s Independent Risk Management organization. All model changes, including those for the VAR model, are validated by the model validation group within Citi’s Model Risk Management. In the event of significant model changes, parallel model runs are undertaken prior to implementation. In addition, significant model and assumption changes are subject to the periodic reviews and approval by Citi’s U.S. banking regulators. Citi uses the same independently validated VAR model for both Regulatory VAR and Risk Management VAR (i.e., total trading and total trading and credit portfolios VARs) and, as such, the model review and validation process for both purposes is as described above. Regulatory VAR, which is calculated in accordance with Basel III, differs from Risk Management VAR due to the fact that certain positions included in Risk Management VAR are not eligible for market risk treatment in Regulatory VAR. The 108 composition of Risk Management VAR is discussed under “Value at Risk” above. The applicability of the VAR model for positions eligible for market risk treatment under U.S. regulatory capital rules is periodically reviewed and approved by Citi’s U.S. banking regulators. In accordance with Basel III, Regulatory VAR includes all trading book-covered positions and all foreign exchange and commodity exposures. Pursuant to Basel III, Regulatory VAR excludes positions that fail to meet the intent and ability to trade requirements and are therefore classified as non- trading book and categories of exposures that are specifically excluded as covered positions. Regulatory VAR excludes CVA on derivative instruments and DVA on Citi’s own fair value option liabilities. CVA hedges are excluded from Regulatory VAR and included in credit risk-weighted assets as computed under the Advanced Approaches for determining risk-weighted assets. 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. The following graph shows the daily buy-and-hold profit and loss associated with Citi’s covered positions compared to Citi’s one-day Regulatory VAR during 2022. During 2022, one back-testing exception was observed at the Citigroup level. The difference between the 48.3% of days with buy-and- hold gains for Regulatory VAR back-testing and the 95.4% of days with trading, net interest and other revenue associated with Citi’s trading businesses, shown in the histogram of daily trading-related revenue below, reflects, among other things, that a significant portion of Citi’s trading-related revenue is not generated from daily price movements on these positions and exposures, as well as differences in the portfolio composition of Regulatory VAR and Risk Management VAR. Regulatory Trading VAR and Associated Buy-and-Hold Profit and Loss(1)—12 Months Ended December 31, 2022 In millions of dollars ☐ Total Regulatory VAR Buy-and-Hold P&L ☐ Regulatory VAR T-1 (1) Buy-and-hold profit and loss, as defined by the banking regulators under Basel III, represents the daily mark-to-market revenue movement attributable to the trading position from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue and net interest intra-day trading profit and loss on new and terminated trades, as well as changes in reserves. Therefore, it is not comparable to the trading-related revenue presented in the chart of daily trading-related revenue above. 109 Stress Testing Citi performs market risk stress testing on a regular basis to estimate the impact of extreme market movements. It is performed on individual positions and trading portfolios, as well as in aggregate, inclusive of multiple trading portfolios. Citi’s market risk management, after consultations with the businesses, develops both systemic and specific stress scenarios, reviews the output of periodic stress testing exercises and uses the information to assess the ongoing appropriateness of exposure levels and limits. Citi uses two complementary approaches to market risk stress testing across all major risk factors (i.e., equity, foreign exchange, commodity, interest rate and credit spreads): top-down systemic stresses and bottom-up business-specific stresses. Systemic stresses are designed to quantify the potential impact of extreme market movements on an institution-wide basis, and are constructed using both historical periods of market stress and projections of adverse economic scenarios. Business-specific stresses are designed to probe the risks of particular portfolios and market segments, especially those risks that are not fully captured in VAR and systemic stresses. The systemic stress scenarios and business-specific stress scenarios at Citi are used in several reports reviewed by senior management and also to calculate internal risk capital for trading market risk. In general, changes in market values are defined over a one-year horizon. For the most liquid positions and market factors, changes in market values are defined over a shorter two-month horizon. The limited set of positions and market factors whose market value changes are defined over a two-month horizon are those that in management’s judgment have historically remained very liquid during financial crises, even as the trading liquidity of most other positions and market factors materially declined. 110 OPERATIONAL RISK Overview Operational risk is the risk of loss resulting from inadequate or failed internal processes or systems, including human error or misjudgment, or from external events. This includes legal risk, which is the risk of loss (including litigation costs, settlements and regulatory fines) resulting from the failure of Citi to comply with laws, regulations, prudent ethical standards and contractual obligations in any aspect of its businesses, but excludes strategic and reputation risks. Citi also recognizes the impact of operational risk on the reputation risk associated with Citi’s business activities. Operational risk is inherent in Citi’s global business activities, as well as related support functions, and can result in losses. Citi maintains a comprehensive Company-wide risk taxonomy to classify operational risks that it faces using standardized definitions across Citi’s Operational Risk Management Framework (see discussion below). This taxonomy also supports regulatory requirements and expectations inclusive of those related to U.S. Basel III, Comprehensive Capital Analysis and Review (CCAR), Heightened Standards for Large Financial Institutions and Dodd-Frank Act Stress Testing (DFAST). Citi manages operational risk consistent with the overall framework described in “Managing Global Risk—Overview” above. Citi’s goal is to keep operational risk at appropriate levels relative to the characteristics of its businesses, the markets in which it operates, its capital and liquidity and the competitive, economic and regulatory environment. This includes effectively managing operational risk and maintaining or reducing operational risk exposures within Citi’s operational risk appetite. Citi’s Independent Operational Risk Management group has established a global Operational Risk Management Framework with policies and practices for identification, measurement, monitoring, managing and reporting operational risks and the overall operating effectiveness of the internal control environment. As part of this framework, Citi has defined its operational risk appetite and established a manager’s control assessment (MCA) process for self- identification of significant operational risks, assessment of the performance of key controls and mitigation of residual risk above acceptable levels. Each Citi operating segment must implement operational risk processes consistent with the requirements of this framework. This includes: understanding the operational risks they are exposed to; designing controls to mitigate identified risks; establishing key indicators; • • • • monitoring and reporting whether the operational risk • • • exposures are in or out of their operational risk appetite; having processes in place to bring operational risk exposures within acceptable levels; periodically estimating and aggregating the operational risks they are exposed to; and ensuring that sufficient resources are available to actively improve the operational risk environment and mitigate emerging risks. 111 Citi considers operational risks that result from the introduction of new or changes to existing products, or result from significant changes in its organizational structures, systems, processes and personnel. Citi has a governance structure for the oversight of operational risk exposures through Business Risk and Controls Committees (BRCCs), which include a Citigroup Global BRCC as well as business, functions, regional and country BRCCs. BRCCs provide escalation channels for senior management to review operational risk exposures including breaches of operational risk appetite, key indicators, operational risk events and control issues. Membership includes senior business and functions leadership as well as members of the second line of defense. In addition, Independent Risk Management, including the Operational Risk Management group, works proactively with Citi’s businesses and functions to drive a strong and embedded operational risk management culture and framework across Citi. The Operational Risk Management group actively challenges business and functions implementation of the Operational Risk Management Framework requirements and the quality of operational risk management practices and outcomes. Information about businesses’ key operational risks, historical operational risk losses and the control environment is reported by each major business segment and functional area. Citi’s operational risk profile and related information is summarized and reported to senior management, as well as to the Audit and Risk Committees of Citi’s Board of Directors by the Head of Operational Risk Management. Operational risk is measured through Operational Risk Capital and Operational Risk Regulatory Capital for the Advanced Approaches under Basel III. Projected operational risk losses under stress scenarios are estimated as a required part of the FRB’s CCAR process. For additional information on Citi’s operational risks, see “Risk Factors—Operational Risk” above. Cybersecurity Risk Overview Cybersecurity risk is the business risk associated with the threat posed by a cyberattack, cyber breach or the failure to protect Citi’s most vital business information assets or operations, resulting in a financial or reputational loss (for additional information, see the operational processes and systems and cybersecurity risk factors in “Risk Factors— Operational Risks” above). With an evolving threat landscape, ever-increasing sophistication of threat actor tactics, techniques and procedures, and use of new technologies to conduct financial transactions, Citi and its clients, customers and third parties are and will continue to be at risk from cyberattacks and information security incidents. Citi recognizes the significance of these risks and, therefore, leverages a threat-focused strategy to protect against, detect and respond to, and recover from cyberattacks. Further, Citi actively participates in financial industry, government and cross-sector knowledge-sharing groups to enhance individual and collective cybersecurity preparedness and resilience. Risk Management Citi’s technology and cybersecurity risk management program is built on three lines of defense. Citi’s first line of defense under the Office of the Chief Information Security Officer provides frontline business, operational and technical controls and capabilities to protect against cybersecurity risks, and to respond to cyber incidents and data breaches. Citi manages these threats through state-of-the-art Fusion Centers, which serve as central commands for monitoring and coordinating responses to cyber threats. The enterprise information security team is responsible for infrastructure defense and security controls, performing vulnerability assessments and third-party information security assessments, employee awareness and training programs and security incident management. In each case the team works in coordination with a network of information security officers who are embedded within the businesses and functions globally. Citi’s Operational Risk Management-Technology and Cyber (ORM-T/C) and Independent Compliance Risk Management-Technology and Information Security (ICRM-T) groups serve as the second line of defense, and actively evaluate, anticipate and challenge Citi’s risk mitigation practices and capabilities. Citi seeks to proactively identify and remediate technology and cybersecurity risks before they materialize as incidents that negatively affect business operations. Accordingly, the ORM-T/C team independently challenges and monitors capabilities in accordance with Citi’s defined Technology and Cyber Risk Appetite statements. To address evolving cybersecurity risks and corresponding regulations, ORM-T/C and ICRM-T teams collectively also monitor cyber legal and regulatory requirements, identify and define emerging risks, execute strategic cyber threat assessments, perform new products and initiative reviews, perform data management risk oversight and conduct cyber risk assurance reviews (inclusive of third-party assessments). In addition, ORM-T/C employs tools and oversees and challenges metrics that are both tailored to cybersecurity and technology and aligned with Citi’s overall operational risk management framework to effectively track, identify and manage risk. Internal audit serves as the third line of defense and independently provides assurance on how effectively the organization as a whole manages cybersecurity risk. Citi also has multiple senior committees such as the Information Security Risk Committee (ISRC), which governs enterprise- level risk tolerance inclusive of cybersecurity risk. Board Oversight Citi’s Board of Directors and/or one or more Board Committees provides oversight of management’s efforts to mitigate cybersecurity risk and respond to cyber incidents. The Board and/or one or more Board Committees receives regular reports on cybersecurity and engages in discussions throughout the year with management and subject-matter experts on the effectiveness of Citi’s overall cybersecurity program. The Board and/or one or more Board Committees also obtains updates on Citi’s inherent cybersecurity risks and Citi’s road map and progress for addressing these risks. Moreover, Citi’s Board and its committee members receive contemporaneous reporting on significant cyber events including response, legal obligations, and outreach and notification to regulators, and customers when needed, as well as guidance to management as appropriate. On an annual basis, the Board’s Risk Management Committee approved a standalone Cybersecurity Risk Appetite Statement against which Citi’s performance is measured quarterly. For additional information on the Board’s oversight of cybersecurity risk management, see Citi’s upcoming 2023 Proxy Statement to be filed with the SEC in March 2023. COMPLIANCE RISK Compliance risk is the risk to current or projected financial condition and resilience arising from violations of laws, rules, or regulations, or from non-conformance with prescribed practices, internal policies and procedures or ethical standards. Compliance risk exposes Citi to fines, civil money penalties, payment of damages and the voiding of contracts. Compliance risk can result in diminished reputation, harm to Citi’s customers, limited business opportunities and lessened expansion potential. It encompasses the risk of noncompliance with all laws and regulations, as well as prudent ethical standards and some contractual obligations. It could also include exposure to litigation (known as legal risk) from all aspects of traditional and non-traditional banking. Citi seeks to operate with integrity, maintain strong ethical standards and adhere to applicable policies and regulatory and legal requirements. Citi must maintain and execute a proactive Compliance Risk Management (CRM) Framework (as set forth in the CRM Policy) that is designed to manage compliance risk effectively across Citi, with a view to fundamentally strengthen the compliance risk management culture across the lines of defense taking into account Citi’s risk governance framework and regulatory requirements. Independent Compliance Risk Management’s (ICRM) primary objectives are to: • Drive and embed a culture of compliance and control throughout Citi; • Maintain and oversee an integrated CRM Framework that facilitates enterprise-wide compliance with local, national or cross-border laws, rules or regulations, Citi’s internal policies, standards and procedures and relevant standards of conduct; Assess compliance risks and issues across product lines, functions and geographies, supported by globally consistent systems and compliance risk management processes; and Provide compliance risk data aggregation and reporting capabilities. • • Citi carries out its objectives and fulfills its responsibilities through the CRM Framework, which is composed of the following integrated key activities, to holistically manage compliance risk: • Management of Citi’s compliance with laws, rules and regulations by identifying and analyzing changes, assessing the impact, and implementing appropriate policies, processes and controls; 112 • Developing and providing compliance training to ensure colleagues are aware of and understand the key laws, rules and regulations; • Monitoring the Compliance Risk Appetite, which is • • articulated through qualitative compliance risk statements describing Citi’s appetite for certain types of risk and quantitative measures to monitor the Company’s compliance risk exposure; Executing Compliance Risk Assessments, the results of which inform Compliance Risk Monitoring and testing of compliance risks and controls in assessing conformance with laws, rules, regulations and internal policies; and Issue identification, escalation and remediation to drive accountability, including measurement and reporting of compliance risk metrics against established thresholds in support of the CRM Policy and Compliance Risk Appetite. To anticipate, control and mitigate compliance risk, Citi has established the CRM Policy to achieve standardization and centralization of methodologies and processes, and to enable more consistent and comprehensive execution of compliance risk management. Citi has a commitment, as well as an obligation, to identify, assess and mitigate compliance risks associated with its businesses and functions. ICRM is responsible for oversight of Citi’s CRM Policy, while all businesses and global control functions are responsible for managing their compliance risks and operating within the Compliance Risk Appetite. As discussed above, Citi is working to address the FRB and OCC consent orders, which include improvements to Citi’s CRM Framework and its enterprise-wide application (for additional information regarding the consent orders, see “Citi’s Consent Order Compliance” above). REPUTATION RISK Citi’s reputation is a vital asset in building trust and Citi is diligent in enhancing and protecting its reputation with its key stakeholders. To support this, Citi has developed a reputation risk framework. Under this framework, Citigroup and Citibank, N.A. have implemented a risk appetite statement and related key indicators to monitor corporate activities and operations relative to Citi’s risk appetite. The framework also requires that business segments and regions escalate potential material reputation risks that require review or mitigation through a Reputation Risk Committee or equivalent. The Reputation Risk Committees, which are composed of Citi’s senior executives, govern the process by which material reputation risks are identified, measured, monitored, controlled and reported. The Reputation Risk Committees determine the appropriate actions to be taken in line with risk appetite and regulatory expectations, while promoting a culture of risk awareness and high standards of integrity and ethical behavior across the Company, consistent with Citi’s Mission and Value Proposition. The Citigroup Reputation Risk Committee may escalate reputation risks to the Nomination, Governance and Public Affairs Committee or other appropriate committee of the Citigroup Board of Directors. 113 Every Citi employee is responsible for safeguarding Citi’s reputation, guided by Citi’s Code of Conduct. Colleagues are expected to exercise sound judgment and common sense in decisions and actions. They are also expected to promptly escalate all issues that present material reputation risk in line with policy. STRATEGIC RISK As discussed above, strategic risk is the risk of a sustained impact (not episodic impact) to Citi’s core strategic objectives as measured by impacts on anticipated earnings, market capitalization, or capital, arising from external factors affecting the Company’s operating environment, as well as the risks associated with defining the strategy and executing the strategy, which are identified, measured and managed as part of the Strategic Risk Framework at the Enterprise Level. In this context, external factors affecting Citi’s operating environment are the economic environment, geopolitical/ political landscape, industry/competitive landscape, societal trends, customer/client behavior, regulatory/legislative environment and trends related to investors/shareholders. Citi’s Executive Management Team is responsible for the development and execution of Citi’s strategy. This strategy is translated into forward-looking plans (collectively Citi’s Strategic Plan) that are then cascaded across the organization. Citi’s Strategic Plan is presented to the Board on an annual basis, and is aligned with risk appetite thresholds and includes a risk assessment as required by internal frameworks. It is also aligned with limit requirements for capital allocation. Governance and oversight of strategic risk is facilitated by internal committees on a group-wide basis as well as strategic committees at the operating segment and regional levels. Citi works to ensure that strategic risks are adequately considered and addressed across its various risk management activities, and that strategic risks are assessed in the context of Citi’s risk appetite. Citi conducts a top-down, bottom-up risk identification process to identify risks, including strategic risks. Business segments undertake a quarterly risk identification process to systematically identify and document all material risks faced by Citi. Independent Risk Management oversees the risk identification process through regular reviews and coordinates identification and monitoring of top risks. In addition, Citi performs a quarterly Risk Assessment of the Plan (RAOP) and continuously monitors risks associated with its execution of strategy. Independent Risk Management also manages strategic risk by monitoring risk appetite thresholds in conjunction with various strategic risk committees, which are part of the governance structure that Citi has in place to manage its strategic risks. For additional information on Citi’s strategic risks, see “Risk Factors—Strategic Risks” above. Climate Risk Climate change presents immediate and long-term risks to Citi and its clients and customers, with the risks expected to increase over time. Climate risk refers to the risk of loss arising from climate change and comprises both physical risk and transition risk. Physical risk considers how chronic and acute climate change (e.g., increased storms, drought, fires, floods) can directly damage physical assets (e.g., real estate, crops) or otherwise impact their value or productivity. Transition risk considers how changes in policy, technology, business practices and market preferences to address climate change (e.g., carbon pricing policies, power generation shifts from fossil fuels to renewable energy) can lead to changes in the value of assets, commodities and companies. sustainable finance and actively engage with regulators on these topics. For additional information about sustainability and other ESG matters at Citi, see “Sustainability and Other ESG Matters” above. Climate risk is an overarching risk that can act as a driver OTHER RISKS of other categories of risk, such as credit risk from obligors exposed to high climate risk, strategic risks if Citi fails to consider transition risk in client selection, reputational risk from increased stakeholder concerns about financing high- carbon industries and operational risk from physical risks to Citi’s facilities and personnel. Citi’s focus on climate risk continues to increase, driven by materiality of strategic, reputational and financial risk considerations. Citi continues to make progress toward embedding these considerations into its overarching risk management approach. For additional information on climate risk, see “Risk Factors—Strategic Risks” above. Citi reviews factors related to climate risk under its Environmental and Social Risk Management (ESRM) Policy, which includes a focus on climate risk related to financed projects and clients in high-carbon sectors. Considering the credit risk of stranded assets, as well as the reputational risks associated with the coal sector due to its high-carbon emissions, Citi’s ESRM Policy includes a prohibition on all project-related financing of new coal-fired power plants and new or expanding thermal coal mines, as well as timetables to reduce financing of companies with high exposure to coal- fired power and coal mining that do not pursue low-carbon transition in the coming years. These sector approaches set clear expectations for clients and help address certain climate risk-driven credit risk concerns while reducing reputation risk. Citi continues to explore and test methodologies for quantifying how climate risks could impact the individual credit profiles of its clients across various sectors. To assist in embedding climate risk assessments in its credit assessment process, Citi has developed sector-specific climate risk assessments. Such climate risk assessments are designed to supplement publicly available client disclosures and data provided from third-party vendors and facilitate conversations with clients on their most material climate risks and management plans for adaptation and mitigation. Citi’s assessments consider sectors that have been identified as higher climate risk by its risk identification process. This will help Citi better understand its clients’ businesses and climate- related risks. Citi’s Net Zero plan is leading to the further integration of climate risk discussions into client engagement and client selection. Citi continues to develop globally consistent principles and approaches for managing climate risk across the Company through the implementation of its Climate Risk Management Framework. Through this implementation, climate risk is being embedded into relevant policies and processes over time. Furthermore, Citi continues to participate in financial industry initiatives and develop and pilot new methodologies and approaches for measuring and assessing the potential financial risks of climate change. Citi also continues to monitor regulatory developments on climate risk and 114 LIBOR Transition Risk As previously disclosed, the LIBOR administrator ceased publication of non-USD LIBOR and one-week and two-month USD LIBOR on a permanent or representative basis on December 31, 2021, with plans for all other USD LIBOR tenors to permanently cease or become non-representative after June 30, 2023. As a result, Citi ceased entering into new contracts referencing USD LIBOR as of January 1, 2022, other than for limited circumstances where regulators recognized that it may be appropriate for banks to enter into new USD LIBOR contracts, including with respect to market- making, hedging or novations of USD transactions executed before January 1, 2022. (For information about risks to Citi from a transition away from and discontinuation of LIBOR or any other benchmark rates, see “Risk Factors—Other Risks” above.) During 2022, Citi continued its efforts to manage its LIBOR transition risks. Citi has been focused on further reducing its LIBOR exposure and remediating its remaining outstanding LIBOR-linked contracts. In addition, Citi has continued to monitor and engage on legislative, regulatory and other initiatives and developments related to LIBOR transition matters. As of December 31, 2022, Citi had a USD LIBOR-linked gross notional exposure of approximately $7.1 trillion that matures after the LIBOR cessation date of June 30, 2023, of which approximately $7 trillion relates to derivatives. This derivatives exposure includes (i) bilateral derivatives with a gross notional of approximately $2.5 trillion of which 96% is already remediated through inclusion of ISDA fallbacks and (ii) cleared derivatives with a gross notional of approximately $4.5 trillion that will be covered by the Central Counterparty Clearing House (CCP) conversions planned for the second quarter of 2023. The remaining gross notional of approximately $0.15 trillion relates to cash products (e.g., loans, debt securities, preferred stock and securitizations), which Citi continues to address through active conversion or insertion of robust contract fallback language or is covered by legislative solutions such as the Adjustable Interest Rate (LIBOR) Act (see the discussion below). Due to rounding, USD LIBOR- linked derivatives and cash products exposure may not sum to total USD LIBOR-linked gross notional exposure. In the U.S., the LIBOR Act 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. As required by the LIBOR Act, each proposed replacement rate, which differs depending on product type, is based on the Secured Overnight Financing Rate (SOFR). Citi’s USD LIBOR-linked securities and contracts that do not have adequate fallbacks as described in the LIBOR Act and that are governed by U.S. law will fall within the application of the LIBOR Act. As a result, USD LIBOR in these contracts will be replaced with SOFR plus the applicable spread adjustment. Citi is focused on remediating contracts that reference the USD LIBOR Ice Swap Rate and non-U.S. law contracts, which are not covered by the LIBOR Act. As of December 31, 2022, Citi had a USD LIBOR Ice Swap Rate gross notional exposure of approximately $0.17 trillion. This includes approximately $0.16 trillion of bilateral derivatives, of which 79% has already been remediated through inclusion of ISDA fallbacks, and approximately $0.01 trillion of debt securities that Citi is addressing through its remediation action plans. The USD LIBOR Ice Swap Rate is a separate rate from USD LIBOR and is not included in the USD LIBOR-linked gross notional exposure. On November 23, 2022, the FCA proposed the publication of one-, three- and six-month USD LIBOR on a synthetic basis through September 2024, which would provide additional time for non-U.S.-law-governed contracts and any contracts that reference the USD LIBOR Ice Swap Rate to be remediated or mature. Further, Citi continued to engage with regulators, financial accounting bodies and others on LIBOR transition matters. This included participating in a number of working groups, including the Alternative Reference Rates Committee (ARRC) convened by the FRB, to promote and advance development of SOFR and seek to identify and address potential challenges from LIBOR transition. Citi has also continued to use alternative reference rates in certain newly issued financial instruments. Citi has issued floating rate benchmark and customer-related debt linked to SOFR and originated and arranged loans linked to SOFR. Citi’s derivatives contracts are predominantly linked to SOFR and other global alternative reference rates. Citi also provides term SOFR-linked products to clients in accordance with industry best practices and recommendations. 115 Country Risk Top 25 Country Exposures The following table presents Citi’s top 25 exposures by country (excluding the U.S.) as of December 31, 2022. (Including the U.S., the total exposure as of December 31, 2022 to the top 25 countries would represent approximately 98% 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 90% of the total U.K. funded loans and 89% of the total U.K. unfunded commitments were investment grade as of December 31, 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 dollars ICG 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 4Q22 Total as of 3Q22 Total as of 4Q21 Total as a % of Citi as of 4Q22 United Kingdom $ 34.1 $ 4.9 $ — $ — $ 1.1 $ 38.7 $ 11.2 $ (6.3) $ 4.9 $ (0.1) $ 88.5 $ 93.0 $ 95.9 5.1 % Mexico 8.4 0.1 21.9 Hong Kong 9.0 19.7 Ireland 14.6 — Singapore 9.1 18.7 Brazil India 12.2 — 6.3 — South Korea 3.7 — Germany 0.5 — China Japan 5.2 — 1.5 — United Arab Emirates Jersey Poland 7.2 2.4 1.5 3.3 3.1 — Canada Australia(8) 1.5 8.7 1.5 0.4 Taiwan 4.0 — Indonesia 1.8 — Malaysia Philippines(9) 1.4 — 0.8 — Luxembourg 0.1 0.9 South Africa 1.5 — Thailand 1.2 — Czech Republic Chile 0.7 — 1.0 — — — — — — 8.7 — 2.9 — — — 1.4 — — — — — — — — — — — Total as a % of Citi’s total exposure Total as a % of Citi’s non-U.S. total exposure — — — — — 3.4 — — — 0.3 0.4 0.5 0.2 0.1 0.8 0.1 0.2 0.8 — — — 1.0 — — — — — 0.1 — — 7.9 0.1 0.5 — — — 0.2 0.1 — — — — — — — — — 2.2 8.4 6.7 2.0 (2.1) 19.3 2.9 61.2 56.3 59.6 3.5 1.7 (1.2) 10.8 1.2 48.3 50.2 50.4 2.8 31.6 0.2 (0.2) — 0.7 47.4 50.3 44.5 2.7 6.2 3.3 4.4 2.1 6.6 1.7 4.0 5.8 10.3 2.8 6.2 5.4 1.2 1.2 0.7 0.2 — 0.5 0.3 0.9 0.1 0.9 (0.5) 9.3 1.3 45.2 44.5 45.7 2.6 7.0 (1.0) 7.0 0.1 28.7 29.8 27.3 1.6 1.6 (0.6) 8.6 0.8 25.3 25.6 29.8 1.5 1.5 (0.9) 8.1 0.4 23.7 22.8 32.0 1.4 7.7 (4.1) 9.1 2.6 22.6 20.4 19.4 1.3 1.0 (1.2) 9.1 1.2 20.7 19.1 23.4 1.2 3.1 (2.3) 5.1 7.6 19.0 17.9 15.9 1.1 0.2 (0.4) 2.1 — 17.4 15.8 14.9 1.0 — (0.1) — — 15.9 16.1 17.7 0.9 0.6 1.7 0.8 0.4 1.5 0.1 2.4 (0.1) (1.9) (1.0) (0.1) (0.2) — — 0.2 (0.3) — (0.2) 0.1 — 2.0 0.1 — — 7.3 3.7 0.5 15.6 12.5 13.1 0.9 2.4 15.2 15.8 14.7 0.9 0.8 (0.7) 14.4 14.5 16.4 0.8 0.2 1.0 3.1 0.1 13.8 14.4 15.3 0.8 0.1 5.9 5.6 (0.1) 5.4 8.0 5.5 7.8 0.3 0.3 1.8 (0.3) 5.0 5.3 2.3 0.3 3.7 2.5 2.4 0.1 4.7 4.4 4.0 0.3 0.1 4.4 4.3 3.8 0.3 0.2 4.2 7.4 7.9 0.2 0.4 — 4.0 3.2 3.5 0.2 — — 3.4 3.2 2.5 0.2 32.2 % 93.9 % (1) PBWM loans reflect funded loans, including those related to the Private bank, net of unearned income. As of December 31, 2022, Private bank loans in the table above totaled $19.8 billion, concentrated in Singapore ($5.2 billion), the U.K. ($4.8 billion) and Hong Kong ($4.1 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. 116 (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. Investment securities include debt securities available-for-sale, recorded at fair market value, and debt securities held-to-maturity, recorded at amortized cost. (5) (6) Trading account assets are shown on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country. (7) December 31, 2022, September 30, 2022 and December 31, 2021 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) December 31, 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) December 31, 2021 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. Russia Introduction In Russia, Citi has operated through both its ICG and Legacy Franchises segments. Citi continues to closely 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 Operations” below. For additional information about Citi’s risks related to its Russia exposures, see “Risk Factors—Market-Related Risk,” “—Operational Risks” and “—Other Risks” above. 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 Loans Investment securities(1) Net MTM on derivatives/repos(2) Total hedges (on loans and CVA) Unfunded(3) Trading accounts assets Country risk exposure Cash on deposit and placements(4) National Settlements Depository(5) Reverse repurchase agreements(2) Total third-party exposure(6) Additional exposures to Russian counterparties that are not held by the Russian subsidiary Total Russia exposure(7) December 31, 2022 September 30, 2022 December 31, 2021 Change 4Q22 vs. 3Q22 $ 0.6 $ 1.6 $ 2.9 $ 1.1 1.4 (0.1) 0.1 — 3.1 $ 2.4 1.8 — 7.3 $ 0.2 7.5 $ 1.4 1.4 (0.1) 0.2 0.1 4.6 $ 3.0 — — 7.6 $ 0.3 7.9 $ 1.5 0.4 (0.1) 0.7 — 5.4 $ 1.0 — 1.8 8.2 $ 1.6 9.8 $ $ $ $ (1.0) (0.3) — — (0.1) (0.1) (1.5) (0.6) 1.8 — (0.3) (0.1) (0.4) (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 third and fourth 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. (5) Represents dividends received by Citi in its role as custodian for investor clients in Russia. Citi is unable to remit these funds to clients due to restrictions imposed by the Russian government. (6) The majority of AO Citibank’s third-party exposures was funded with domestic deposit liabilities from both corporate and personal banking clients. (7) Citigroup’s CTA loss included in its 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. 117 During the fourth 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 $0.4 billion, shown in the table above, as well as a change in the composition of its exposure as mitigation efforts have reduced Citi’s third-party credit risk. The sequential decline in exposure was driven by a $1.3 billion decrease due to depreciation of the ruble against the U.S. dollar and a $0.9 billion decrease due to loan repayments and sales, partially offset by a $1.8 billion increase in local currency terms, driven by dividends received by Citi as custodian for investor clients in Russia that Citi is unable to remit due to restrictions imposed by the Russian government. 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 $1.2 billion as of December 31, 2022 (compared to $1.3 billion as of September 30, 2022). The decrease was primarily driven by a $0.2 billion decrease due to depreciation of the ruble against the U.S. dollar, partially offset by an increase of $0.1 billion in retained earnings. A portion of Citi’s net investment was hedged for foreign currency depreciation as of December 31, 2022, using forward foreign exchange contracts executed with international peer banks. Earnings and Other Impacts on Citi’s Businesses Citi’s ICG, PBWM and Legacy Franchises segments and Corporate/Other have been impacted by various macroeconomic factors and volatilities, including Russia’s invasion of Ukraine and its direct and indirect impact on the European and global economies. 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 December 31, 2022, Citigroup’s ACL included a $0.3 billion remaining credit reserve for Citi’s direct and indirect Russian counterparties (down from $0.5 billion at September 30, 2022). 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 incurred $22 million (excluding the impact from any portfolio sales) of costs in 2022. In October 2022, Citi announced 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 $240 million in outstanding loan 118 balances as of the fourth quarter of 2022, to Uralsib, a Russian commercial bank. Citi closed the sale in December 2022 and incurred a pretax net loss of approximately $12 million as a result. In connection with the portfolio sale, Citi also entered into a referral agreement to settle to Uralsib a portfolio of ruble-denominated credit card loans, subject to customer consents. The outstanding card loans balance was approximately $219 million as of the fourth 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. At this time, Citi expects to incur estimated costs of approximately $190 million in connection with its consumer and institutional wind-down plans in Russia, primarily through 2024 ($80 million in ICG and $110 million in Legacy Franchises). For additional information, see “Institutional Clients Group” and “Legacy Franchises” above. Deconsolidation Risk Citi’s operations in Russia subject it to various risks, including, among others, foreign currency volatility, including appreciations or devaluations; restrictions arising from retaliatory Russian laws and regulations on the conduct of its business; sanctions or asset freezes; or other deconsolidation events (for additional information, see “Risk Factors—Other Risks” above). 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 December 31, 2022, Citi continued to consolidate AO Citibank because none of the deconsolidation factors were triggered. In the event of a loss of control of AO Citibank, Citi would be required to (i) write off the net investment of approximately $1.2 billion (compared to $1.3 billion as of September 30, 2022), (ii) recognize a CTA loss of approximately $1.3 billion through earnings (compared to $1.0 billion as of September 30, 2022) and (iii) recognize a loss of $0.5 billion (compared to $0.3 billion as of September 30, 2022) on intercompany liabilities owed by AO Citibank to other Citi entities outside Russia. In the sole event of a substantial liquidation, as opposed to a loss of control, Citi would be required to recognize the CTA loss of approximately $1.3 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 this role, 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/ 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” above. 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. 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 119 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 December 31, 2022, these exposures amounted to $1.0 billion, unchanged from September 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 December 31, 2022, Citi’s net investment in its Argentine operations was approximately $1.7 billion. Under U.S. GAAP, Citi uses the U.S. dollar as the functional currency for its operations in countries that are deemed highly inflationary. Citi uses Argentina’s official market exchange rate to remeasure its net Argentine peso-denominated assets into the U.S. dollar. As of December 31, 2022, the official Argentine peso exchange rate against the U.S. dollar was 177.15. 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 December 31, 2022, the international NDF market had very limited liquidity, resulting in Citi’s inability 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. 120 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 an 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 December 31, 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 Citi’s emerging markets risks, including those related to its Argentine exposures, see “Risk Factors” above. FFIEC—Cross-Border Claims on Third Parties and Local Country Assets Citi’s cross-border disclosures are presented below, based on the country exposure bank regulatory reporting guidelines of the Federal Financial Institutions Examination Council (FFIEC). The following summarizes some of the key FFIEC reporting guidelines: • • • • • Amounts are based on the domicile of the ultimate obligor, counterparty, collateral (only including qualifying liquid collateral), issuer or guarantor, as applicable (e.g., a security recorded by a Citi U.S. entity but issued by the U.K. government is considered U.K. exposure; a loan recorded by a Citi Mexico entity to a customer domiciled in Mexico where the underlying collateral is held in Germany is considered German exposure). Amounts do not consider the benefit of collateral received for secured financing transactions (i.e., repurchase agreements, reverse repurchase agreements and securities loaned and borrowed) and are reported based on notional amounts. Netting of derivative receivables and payables, reported at fair value, is permitted, but only under a legally binding netting agreement with the same specific counterparty, and does not include the benefit of margin received or hedges. Credit default swaps (CDS) are included based on the gross notional amount sold and purchased and do not include any offsetting CDS on the same underlying entity. Loans are reported without the benefit of hedges. Given the requirements noted above, Citi’s FFIEC cross- border exposures and total outstandings tend to fluctuate, in some cases significantly, from period to period. As an example, because total outstandings under FFIEC guidelines do not include the benefit of margin or hedges, market volatility in interest rates, foreign exchange rates and credit spreads may cause significant fluctuations in the level of total outstandings, all else being equal. The tables below show each country whose total outstandings exceeded 0.75% of total Citigroup assets: December 31, 2022 Banks (a) Public (a) NBFIs(1) (a) In billions of dollars United Kingdom $ 4.9 $ 31.7 $ — — Cayman Islands 35.4 40.0 Japan 4.9 48.3 Germany 2.9 31.1 Mexico 9.9 10.9 France 2.1 22.6 Singapore 4.6 17.7 South Korea 0.7 14.9 Hong Kong 3.1 18.8 China 2.4 14.5 Brazil 1.4 13.5 India 6.6 13.3 Canada 3.0 13.2 Australia 3.9 10.6 Netherlands 2.1 13.7 Switzerland 3.6 0.1 Ireland 5.6 0.6 Taiwan Cross-border claims on third parties and local country assets Short-term Other claims(2) (corporate (included in and households) (a)) (a) Total outstanding(3) (sum of (a)) Trading assets(2) (included in (a)) Commitments and guarantees(4) Credit derivatives purchased(5) Credit derivatives sold(5) 59.9 $ 99.8 17.2 39.6 11.4 35.6 6.5 6.4 3.5 1.9 2.8 6.7 7.4 8.7 5.8 1.1 13.0 1.4 16.2 $ 9.8 6.9 6.7 29.0 7.7 16.2 15.3 20.6 13.2 14.4 12.7 4.0 3.4 4.6 4.7 4.3 12.7 11.4 $ 6.1 17.0 8.3 3.9 10.3 2.3 4.2 4.1 8.3 5.8 2.6 4.0 5.7 4.0 2.0 2.7 2.2 82.4 $ 70.3 71.4 55.9 40.8 52.4 40.5 34.8 33.7 31.2 25.1 24.2 23.4 24.2 19.1 18.5 19.8 16.4 112.7 $ 109.6 99.5 99.5 74.4 64.1 47.4 44.0 39.7 37.0 34.1 34.3 31.3 28.3 24.9 21.6 21.0 20.3 24.3 $ 18.4 15.6 24.1 22.0 68.8 15.7 11.2 13.7 5.8 3.4 8.8 11.6 5.0 9.2 8.8 6.8 12.9 79.3 $ 0.2 13.6 50.8 6.4 66.2 1.2 6.4 1.5 8.9 5.5 1.4 6.8 3.5 31.8 19.4 2.7 — 77.8 0.2 11.9 48.8 5.2 62.8 1.0 5.6 1.3 8.6 5.1 1.2 6.8 3.1 31.0 19.2 2.6 — December 31, 2021 Cross-border claims on third parties and local country assets Other (corporate and households) (a) Trading assets(2) (included in (a)) Short-term claims(2) (included in (a)) Total outstanding(3) (sum of (a)) Commitments and guarantees(4) Credit derivatives purchased(5) Credit derivatives sold(5) NBFIs(1) (a) Banks (a) Public (a) In billions of dollars United Kingdom $ 7.0 $ 31.1 $ 55.6 $ 78.8 Cayman Islands 12.8 Japan 47.7 Germany 9.3 Mexico 27.0 France 12.1 Singapore 3.2 South Korea 3.9 Hong Kong 5.7 Australia 3.7 China 4.4 India 1.7 Taiwan 3.3 Netherlands 2.2 Brazil 0.9 Italy 0.9 Switzerland 4.7 Canada — — 31.0 30.1 4.5 48.9 2.8 28.4 9.7 9.6 1.9 18.3 3.6 17.9 1.3 12.3 3.9 14.2 4.2 12.9 1.2 15.0 7.0 0.5 5.9 8.8 2.0 12.9 2.8 10.9 1.4 13.7 6.5 12.2 19.2 $ 13.2 8.7 9.6 25.8 9.8 17.4 21.9 21.8 12.8 14.7 13.1 15.8 5.7 12.5 1.8 6.0 4.1 16.5 $ 7.4 15.6 18.5 2.7 14.0 2.7 2.0 4.2 7.3 8.0 2.6 4.8 5.2 3.9 8.1 3.1 3.8 70.8 $ 56.3 54.8 78.3 33.4 41.6 39.1 37.7 30.2 22.9 26.3 23.4 21.1 16.2 20.3 2.4 20.0 21.0 112.9 $ 92.0 82.6 110.7 66.3 56.1 49.7 46.6 39.3 36.6 35.5 33.7 25.0 23.7 29.6 16.4 22.0 27.5 23.0 $ 9.9 8.4 23.2 19.7 85.3 16.3 12.7 13.6 13.6 4.4 10.2 14.6 9.8 3.2 1.6 9.7 12.9 76.3 $ 0.4 13.4 48.6 6.7 62.6 1.4 9.0 1.7 4.0 9.6 1.8 — 30.8 6.2 38.8 18.9 5.7 70.8 0.3 12.1 44.7 6.1 55.7 1.3 8.1 1.5 3.9 9.0 1.4 0.1 27.6 5.6 37.0 17.6 5.3 (1) Non-bank financial institutions. (2) (3) Total outstanding includes cross-border claims on third parties, as well as local country assets. Cross-border claims on third parties include cross-border loans, Included in total outstanding. securities, deposits with banks and other monetary assets, as well as net revaluation gains on foreign exchange and derivative products. (4) Commitments (not included in total outstanding) include legally binding cross-border letters of credit and other commitments and contingencies as defined by the FFIEC guidelines. The FFIEC definition of commitments includes commitments to local residents to be funded with local currency liabilities originated within the country. (5) Credit default swaps (CDS) are not included in total outstanding. 121 SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES 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). Assessing if the fair value impairment is temporary 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 1, 6, 25 and 26. This section contains a summary of Citi’s most significant accounting policies. Note 1 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” above). 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 on 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 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. 122 Citi’s Allowance for Credit Losses (ACL) The table below shows Citi’s allowance for credit losses on loans (ACLL) and total ACL as of the fourth quarter of 2022. For information on the drivers of Citi’s ACL build in the fourth quarter of 2022, see 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. Also 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). In millions of dollars ICG Allowance for credit losses (ACL) Balance Dec. 31, 2021 Build (release) 1Q22 2Q22 3Q22 4Q22 2022 2022 FX/ Other(1) Balance Dec. 31, 2022 ACLL/EOP loans Dec. 31, 2022(2) $ 2,241 $ 596 $ (76) $ 75 $ (117) $ 478 $ (4) $ 2,715 Legacy Franchises corporate (Mexico SBMM) 174 5 (3) (34) (7) (39) 5 140 Total corporate ACLL $ 2,415 $ 601 $ (79) $ 41 $ (124) $ 439 $ 1 $ 2,855 U.S. Cards(2) Retail banking and Global Wealth Management $ 10,840 $ (1,009) $ 447 $ 303 $ 814 $ 555 $ (2) $ 11,393 1,181 (53) 191 57 (43) 152 (3) 1,330 Total PBWM Legacy Franchises consumer Total consumer ACLL Total ACLL $ 12,021 $ (1,062) $ 638 $ 360 $ 771 $ 707 $ (5) $ 12,723 2,019 (151) (25) 40 (54) (190) (433) 1,396 $ 14,040 $ (1,213) $ 613 $ 400 $ 717 $ 517 $ (438) $ 14,119 $ 16,455 $ (612) $ 534 $ 441 $ 593 $ 956 $ (437) $ 16,974 Allowance for credit losses on unfunded lending commitments (ACLUC) Other(3) Total ACL 1,871 474 (159) (71) 148 (6) 27 83 47 5 291 109 (11) 2,151 (14) 243 $ 18,474 $ (144) $ 402 $ 453 $ 645 $ 1,356 $ (462) $ 19,368 1.01 % 7.56 % 3.84 % 2.60 % (1) Includes reclassifications to Other assets related to Citi’s agreements to sell certain of its consumer banking businesses. See Notes 2 and 15. (2) As of December 31, 2022, in U.S. Personal Banking, Branded cards ACLL/EOP loans was 6.2% and Retail services ACLL/EOP loans was 10.3%. (3) 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 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 risks 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) R&S 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, including housing prices, unemployment and real GDP, 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, 123 risk ratings and loss recovery rates, as well as other credit trends. Qualitative Component The qualitative management adjustment component includes risks not fully captured in the quantitative component, as required by banking supervisory guidance for the ACL, including, but not limited to: • • • Concentrations and collateral valuation risk with obligors in the global portfolio Emerging macroeconomic risks due to uncertainties related to the war in Ukraine, potential global recession, inflation, interest rates, commodity prices and potential impacts on vulnerable industries and regions Normalization of portfolio performance and consumer behavior from record low losses as a result of government stimulus and market liquidity Citi’s qualitative component declined year-over-year, primarily driven by the incorporation of multiple macroeconomic scenarios in the quantitative component and releases of COVID-19–related uncertainty reserves as the portfolio continues to normalize toward pre-pandemic levels and as these risks are captured in the quantitative component of the ACL. Macroeconomic Variables Citi considers a multitude of global macroeconomic variables for the base, upside and downside probability-weighted macroeconomic scenario forecasts it uses to estimate the ACL. 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 4Q21 to 4Q22: Quarterly average U.S. unemployment 1Q23 3Q23 1Q24 8-quarter average(1) Citi forecast at 4Q21 3.7 % 3.7 % 3.7 % 3.8 % Citi forecast at 1Q22 Citi forecast at 2Q22 Citi forecast at 3Q22 Citi forecast at 4Q22 3.5 3.6 3.8 3.9 3.5 3.8 4.2 4.5 3.6 3.9 4.0 4.6 3.6 3.7 4.0 4.4 (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 GDP 2022 2023 2024 Citi forecast at 4Q21 Citi forecast at 1Q22 Citi forecast at 2Q22 Citi forecast at 3Q22 Citi forecast at 4Q22 4.0 % 2.2 % 1.8 % 3.3 2.6 1.6 1.9 2.4 1.8 0.6 0.3 2.1 2.0 1.9 1.5 (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 4Q22, U.S. real GDP growth is expected to decline during 2023, and the unemployment rate is expected to increase modestly over the forecast horizon, broadly returning to pre-pandemic levels. Scenario Weighting Citi’s ACL is estimated using three probability-weighted macroeconomic scenarios—base, upside and downside. The macroeconomic scenario weights are estimated 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. Citi’s downside scenario incorporates more adverse macroeconomic assumptions than the base scenario. For example, compared to the base scenario, Citi’s downside scenario reflects a more severe recession, including an elevated average U.S. unemployment rate of 6.9% over the eight-quarter R&S period, with a peak difference of 2.9% in the second quarter of 2024. The downside scenario also reflects a year-over-year U.S. real GDP contraction in 2023 of 2.4%, with a peak quarter-over-quarter difference of 3.3% in the second quarter of 2023. Citi’s ACL is sensitive to the various macroeconomic scenarios that drive the quantitative component of expected credit losses due to changes in the length and severity of forecasted economic variables or events in the respective scenarios. To demonstrate this sensitivity, Citi applied 100% weight to the downside scenario as of December 31, 2022 to reflect the most severe economic deterioration forecast in the multiple macroeconomic scenarios. Citi’s downside scenario incorporates more adverse macroeconomic assumptions than the weighted scenario assumptions; therefore, applying a 100% downside scenario weight would result in a hypothetical increase in the ACL of approximately $4.2 billion related to lending exposures, except for loans individually evaluated for credit losses. This analysis does not incorporate any impacts or changes to the qualitative component of the ACL. These factors could decrease the outcome of the sensitivity analysis based on historical experience and current conditions at the time of the assessment. Given the uncertainty inherent in macroeconomic forecasting, Citi continues to believe that its ACL estimate based on a three probability-weighted macroeconomic scenario approach combined with the qualitative component remains appropriate as of December 31, 2022. 124 4Q22 Changes in the ACL As further discussed below, in the fourth quarter of 2022, Citi had an ACL build of $0.7 billion for its consumer portfolios and a release of $0.1 billion for its corporate portfolios, for a net ACL build of $0.6 billion. The build was primarily driven by cards loan growth in consumer portfolios and a deterioration in macroeconomic assumptions (see “Macroeconomic Variables” above), partially offset by reductions in Russia exposures (see “Managing Global Risk— Other Risks—Russia” above). Based on its latest macroeconomic forecast, Citi believes its analysis of the ACL reflects the forward view of the economic environment as of December 31, 2022. See Note 15 for additional information. Consumer Citi’s consumer ACLL is largely driven by U.S. Cards in U.S. Personal Banking. As discussed above, Citi’s total consumer ACLL build was $0.7 billion in the fourth quarter of 2022, primarily driven by U.S. Cards loan growth and a deterioration in macroeconomic assumptions, which increased the ACLL balance to $14.1 billion, or 3.84% of total funded consumer loans. For U.S. Cards, the level of reserves relative to total funded loans increased to 7.56% as of December 31, 2022, compared to 7.53% at September 30, 2022. For the remaining consumer exposures, the level of reserves relative to total funded loans was 1.3% at December 31, 2022, unchanged from September 30, 2022. Corporate Citi had a corporate ACLL release of $0.1 billion in the fourth quarter of 2022. The release was primarily driven by the reduction of direct exposures in Russia, partially offset by the deterioration of macroeconomic assumptions. Including FX/ Other, the ACLL reserve balance decreased $93 million to $2.9 billion, or 1.01% of total funded corporate loans. ACLUC Citi had an ACLUC build of $47 million in the fourth quarter of 2022, which increased the ACLUC reserve balance, included in Other liabilities, to $2.2 billion. The build was primarily driven by a deterioration in macroeconomic assumptions. ACL on Other Financial Assets Citi had an ACL build on other financial assets carried at amortized cost of $5 million in the fourth quarter of 2022. Including FX/Other, the ACL reserve balance decreased $13 million to $0.2 billion, included in Other assets. See Note 15 for additional information. ACLL and Non-accrual Ratios At December 31, 2022, the ratio of the ACLL to total funded loans was 2.60% (3.84% for consumer loans and 1.01% for corporate loans) compared to 2.54% at September 30, 2022 (3.74% for consumer loans and 1.04% for corporate loans). Citi’s total non-accrual loans were $2.4 billion at December 31, 2022, down $447 million from September 30, 2022. Consumer non-accrual loans decreased $84 million to $1.3 billion at December 31, 2022, from $1.4 billion at 125 September 30, 2022, while corporate non-accrual loans decreased $363 million to $1.1 billion at December 31, 2022, from $1.5 billion at September 30, 2022. In addition, the ratio of non-accrual loans to total loans was 0.39% and 0.36% for corporate and consumer loans, respectively, at December 31, 2022 (for additional information on non-accrual loans, see “Additional Consumer and Corporate Credit Details—Non- Accrual Loans and Assets and Renegotiated Loans” above). Regulatory Capital Impact Citi elected the modified CECL transition provision for regulatory capital purposes provided by the U.S. banking agencies’ final rule. Accordingly, the Day One regulatory capital effects resulting from the adoption of CECL, as well as the ongoing adjustments for 25% of the change in CECL- based allowances in each quarter between January 1, 2020 and December 31, 2021, started to be phased in on January 1, 2022 and will be fully reflected in Citi’s regulatory capital as of January 1, 2025. See Notes 1 and 15 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 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 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 delay, acceleration or avoidance of an impairment charge. During the fourth quarter of 2022, the annual test was performed, which resulted in no goodwill impairment as described in Note 16. As of December 31, 2022, Citigroup’s activities were conducted through the Institutional Clients Group, Personal Banking and Wealth Management and Legacy Franchises operating segments and Corporate/Other. Goodwill impairment testing is performed at the level below the business segment (referred to as a reporting unit). Citi utilizes allocated equity as a proxy for the carrying value of its reporting units for purposes of goodwill impairment testing. The allocated equity in the reporting units is determined based on the capital the business would require if it were operating as a standalone entity, incorporating sufficient capital to be in compliance with both current and expected regulatory capital requirements, including capital for specifically identified goodwill and intangible assets. The capital allocated to the reporting units is incorporated into the annual budget process, which is approved by Citi’s Board of Directors. Goodwill impairment testing involves management judgment, requiring an assessment of whether the carrying value of a reporting unit can be supported by its fair value, using widely accepted valuation techniques, such as the market approach (earnings multiples and/or transaction multiples) and/or the income approach (discounted cash flow (DCF) method). In applying these methodologies, Citi utilizes a number of factors, including actual operating results, future business plans, economic projections and market data. Where applicable, bids from buyers are also utilized to determine fair value. Similar to 2021, Citi engaged an independent valuation specialist in 2022 to assist in Citi’s valuation of all the reporting units, primarily employing both the income and market approach to determine the fair value of the reporting units. Bids from buyers were also used, where available. The resulting fair values were relatively consistent and appropriate weighting was given to outputs from the income and market approach valuations. The income approach utilized discount rates that Citi believes adequately reflected the risk and uncertainty in the financial markets in the internally generated cash flow projections. The income approach employs a capital asset pricing model in estimating the discount rate. Since none of the Company’s reporting units are publicly traded, individual reporting unit fair value determinations cannot be directly correlated to Citigroup’s common stock price. The sum of the fair values of the reporting units exceeded the overall market capitalization of Citi as of October 1, 2022. However, Citi believes that it is not meaningful to reconcile the sum of the fair values of the Company’s reporting units to its market capitalization due to several factors. The market capitalization of Citigroup reflects the execution risk in a transaction involving Citigroup due to its size. However, the individual reporting units’ fair values are not subject to the same level of execution risk nor a business model that is as international. In addition, the market capitalization of Citigroup does not include consideration of the individual reporting unit’s control premium. 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, manages the Company, including allocating resources and measuring 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 management structure and the announced sales of businesses within the Legacy Franchises operating segment 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 certain of the Asia consumer banking businesses. This impairment was recorded in the first quarter of 2022 as an operating expense. 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. 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. 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. 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. During the fourth quarter of 2022, Citi performed its annual goodwill impairment test as of October 1, 2022, which resulted in no impairment. The result of the impairment test showed that the fair value of Citi’s reporting units exceeded their carrying value for all reporting units. The fair value of two reporting units (Banking and Mexico Consumer/SBMM) ranged from 102% to 106% of their carrying values. The carrying values of the Banking and Mexico Consumer/SBMM reporting units included approximately $1.5 billion and $1 billion of goodwill, respectively. The fair values of Citi’s other reporting units as a percentage of their carrying values ranged from approximately 111% to 277%. 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 126 charges in the future. See Notes 1 and 16 for additional information on goodwill, including the changes in the goodwill balance year-over-year and the segments’ goodwill balances as of December 31, 2022. Litigation Accruals See the discussion in Note 29 for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies. Income Taxes Overview Citi is subject to the income tax laws of the U.S., its states and local municipalities and the non-U.S. jurisdictions in which Citi operates. These tax laws are complex and are subject to differing interpretations by the taxpayer and the relevant governmental taxing authorities. Disputes over interpretations of the tax laws may be subject to review and adjudication by the court systems of the various tax jurisdictions or may be settled with the taxing authority upon audit. In establishing a provision for income tax expense, Citi must make judgments and interpretations about the application of these inherently complex tax laws. Citi must also make estimates about when in the future certain items will affect taxable income in the various tax jurisdictions, both domestic and foreign. Deferred taxes are recorded for the future consequences of events that have been recognized in the financial statements or tax returns, based upon enacted tax laws and rates. Deferred tax assets (DTAs) are recognized subject to management’s judgment that realization is more- likely-than-not. For example, if it is more-likely-than-not that a carry-forward would expire unused, Citi would set up a valuation allowance (VA) against that DTA. Citi has established valuation allowances as described below. As a result of the Tax Cuts and Jobs Act (Tax Reform), beginning in 2018, Citi is taxed on income generated by its U.S. operations at a federal tax rate of 21%. The effect on Citi’s state tax rate is dependent upon how and when the individual states that have not yet addressed the federal tax law changes choose to adopt the various new provisions of the U.S. Internal Revenue Code. Citi’s non-U.S. branches and subsidiaries are subject to tax at their local tax rates. Non-U.S. branches also continue to be subject to U.S. taxation. The impact of this on Citi’s earnings depends on the level of branch pretax income, the local branch tax rate and allocations of overall domestic loss (ODL) and expenses for U.S. tax purposes to branch earnings. Citi expects no residual U.S. tax on such earnings. With respect to non-U.S. subsidiaries, dividends from these subsidiaries are excluded from U.S. taxation. While the majority of Citi’s non-U.S. subsidiary earnings are classified as Global Intangible Low Taxed Income (GILTI), Citi expects no material residual U.S. tax on such earnings based on its non-U.S. subsidiaries’ local tax rates, which exceed, on average, the GILTI tax rate. Finally, Citi does not expect the Base Erosion Anti-Abuse Tax (BEAT) to affect its tax provision. On January 4, 2022, final foreign tax credit (FTC) regulations were published in the Federal Register. These 127 regulations eliminate the creditability of foreign taxes paid in certain situations. These include countries that do not align with U.S. tax principles in significant part and for services performed outside the recipient country. The impact on Citi’s 2022 effective tax rate was not material. The Inflation Reduction Act, signed into law on August 16, 2022, had no impact on Citi’s 2022 results. The Act includes a new corporate alternative minimum tax (AMT) and a 1% excise tax on stock buybacks, both effective January 1, 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, and is accounted for in equity. Deferred Tax Assets and Valuation Allowances (VA) At December 31, 2022, Citi had net DTAs of $27.7 billion. In the fourth quarter of 2022, Citi’s DTAs increased by $0.6 billion, primarily as a result of losses in Other comprehensive income. On a full-year basis, Citi’s DTAs increased by $2.9 billion from $24.8 billion at December 31, 2021. Of Citi’s total net DTAs of $27.7 billion as of December 31, 2022, $10.9 billion, primarily related to tax carry- forwards, was deducted in calculating Citi’s regulatory capital. Net DTAs arising from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” above). For the quarter and year ended December 31, 2022, Citi had $0.3 billion of disallowed temporary difference DTAs (included in the $10.9 billion above). The remaining $16.8 billion of net DTAs as of December 31, 2022 was not deducted in calculating regulatory capital pursuant to Basel III standards, and was appropriately risk weighted under those rules. Citi’s total VA at December 31, 2022 was $2.4 billion, a decrease of $1.8 billion from $4.2 billion at December 31, 2021. The decrease was primarily driven by a release of the remaining general basket FTC VA and expirations in the FTC branch basket. Citi’s VA of $2.4 billion is composed of $0.9 billion on its FTC branch basket carry-forwards, $1.0 billion on its U.S. residual DTA related to its non-U.S. branches, $0.4 billion on local non-U.S. DTAs and $0.1 billion on state net operating loss carry-forwards. As stated above with regard to the impact of non-U.S. branches on Citi’s earnings, the level of branch pretax income, the local branch tax rate and the allocations of ODL and expenses for U.S. tax purposes to the branch basket are the main factors in determining the branch VA. The allocated ODL was enhanced by significant taxable income generated in the current year. Citi’s VA against FTC carry-forwards in its general basket was fully reversed in 2022 from $0.8 billion in 2021, primarily as a result of the effect of higher interest rates on the projections of future interest income. See Note 9. Recognized FTCs comprised approximately $1.9 billion of Citi’s DTAs as of December 31, 2022, compared to approximately $2.8 billion as of December 31, 2021. The decrease in FTCs year-over-year was primarily due to current- year usage, net of the VA release. The FTC carry-forward period represents the most time-sensitive component of Citi’s DTAs. Citi had an ODL of approximately $8 billion at December 31, 2022, which allows it to elect a percentage between 50% and 100% of future years’ domestic source income to be reclassified as foreign source income. (See Note 9 for a description of the ODL.) The majority of Citi’s U.S. federal net operating loss carry-forward and all of its New York State and New York City net operating loss carry-forwards are subject to a carry- forward period of 20 years. This provides enough time to fully utilize the net DTAs pertaining to these existing net operating loss carry-forwards. This is due to Citi’s forecast of sufficient U.S. taxable income and the continued taxation of Citi’s non- U.S. income by New York State and the City of New York. Although realization is not assured, Citi believes that the realization of its recognized net DTAs of $27.7 billion at December 31, 2022 is more-likely-than-not, based upon management’s expectations of future taxable income in the jurisdictions in which the DTAs arise, as well as available tax planning strategies (as defined in ASC Topic 740, Income Taxes). Citi has concluded that it has the necessary positive evidence to support the realization of its net DTAs after taking its VAs into consideration. See Note 9 for additional information on Citi’s income taxes, including its income tax provision, tax assets and liabilities and a tabular summary of Citi’s net DTAs balance as of December 31, 2022 (including the FTCs and applicable expiration dates of the FTCs). For information on Citi’s ability to use its DTAs, see “Risk Factors—Strategic Risks” above and Note 9. Accounting Changes See Note 1 for a discussion of changes in accounting standards. 128 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 December 31, 2022. Based on that evaluation, the CEO and CFO have concluded that at that date Citigroup’s disclosure controls and procedures were effective. 129 MANAGEMENT’S ANNUAL REPORT ON INTERNAL CONTROL OVER FINANCIAL REPORTING Citi’s management is responsible for establishing and maintaining adequate internal control over financial reporting. Citi’s internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of its financial reporting and the preparation of financial statements for external reporting purposes in accordance with U.S. generally accepted accounting principles. Citi’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of Citi’s assets, (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles and that Citi’s receipts and expenditures are made only in accordance with authorizations of Citi’s management and directors and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of Citi’s assets that could have a material effect on its financial statements. Because of its inherent limitations, internal control over financial reporting may not prevent or detect all misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions or that the degree of compliance with the policies or procedures may deteriorate. Citi’s management assessed the effectiveness of Citigroup’s internal control over financial reporting as of December 31, 2022 based on the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control—Integrated Framework (2013). Based on this assessment, management believes that, as of December 31, 2022, Citi’s internal control over financial reporting was effective. In addition, there were no changes in Citi’s internal control over financial reporting during the fiscal quarter ended December 31, 2022 that materially affected, or are reasonably likely to materially affect, Citi’s internal control over financial reporting. The effectiveness of Citi’s internal control over financial reporting as of December 31, 2022 has been audited by KPMG LLP, Citi’s independent registered public accounting firm, as stated in their report below, which expressed an unqualified opinion on the effectiveness of Citi’s internal control over financial reporting as of December 31, 2022. 130 FORWARD-LOOKING STATEMENTS Certain statements in this report, 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 with or furnished to 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, may, 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 and (ii) the factors listed and described under “Risk Factors” above. 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. 131 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Stockholders and Board of Directors Citigroup Inc.: Opinions on the Consolidated Financial Statements and Internal Control Over Financial Reporting We have audited the accompanying consolidated balance sheets of Citigroup Inc. and subsidiaries (the Company) as of December 31, 2022 and 2021, the related consolidated statements of income, comprehensive income, changes in stockholders’ equity, and cash flows for each of the years in the three-year period ended December 31, 2022, and the related notes (collectively, the consolidated financial statements). We also have audited the Company’s internal control over financial reporting as of December 31, 2022, based on criteria established in Internal Control – Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission. In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of the Company as of December 31, 2022 and 2021, and the results of its operations and its cash flows for each of the years in the three-year period ended December 31, 2022, in conformity with U.S. generally accepted accounting principles. Also in our opinion, the Company maintained, in all material respects, effective internal control over financial reporting as of December 31, 2022 based on criteria established in Internal Control – Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission. Basis for Opinions The Company’s management is responsible for these consolidated financial statements, for maintaining effective internal control over financial reporting, and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying management’s annual report on internal controls over financial reporting. Our responsibility is to express an opinion on the Company’s consolidated financial statements and an opinion on the Company’s internal control over financial reporting based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud, and whether effective internal control over financial reporting was maintained in all material respects. Our audits of the consolidated financial statements included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audits also included performing such other procedures as we considered necessary in the circumstances. We believe that our audits provide a reasonable basis for our opinions. Definition and Limitations of Internal Control Over Financial Reporting A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements. Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. Critical Audit Matters The critical audit matters communicated below are matters arising from the current period audit of the consolidated financial statements that were communicated or required to be communicated to the audit committee and that: (1) relate to accounts or disclosures that are material to the consolidated financial statements and (2) involved our especially 132 challenging, subjective, or complex judgments. The communication of critical audit matters does not alter in any way our opinion on the consolidated financial statements, taken as a whole, and we are not, by communicating the critical audit matters below, providing separate opinions on the critical audit matters or on the accounts or disclosures to which they relate. Assessment of the fair value of certain Level 3 assets and liabilities measured on a recurring basis As described in Notes 1, 6, 25 and 26 to the consolidated financial statements, the Company’s net assets and liabilities recorded at fair value on a recurring basis were $840.9 billion and $360.1 billion, respectively at December 31, 2022. The Company estimated the fair value of Level 3 assets and liabilities measured on a recurring basis ($15.8 billion and $46.5 billion, respectively at December 31, 2022) utilizing various valuation techniques with one or more significant inputs or significant value drivers being unobservable including, but not limited to, complex internal valuation models, alternative pricing procedures or comparables analysis and discounted cash flows. We identified the assessment of the measurement of fair value for certain Level 3 assets and liabilities recorded at fair value on a recurring basis as a critical audit matter. A high degree of effort, including specialized skills and knowledge, and subjective and complex auditor judgment was involved in the assessment of the Level 3 fair values due to measurement uncertainty. Specifically, the assessment encompassed the evaluation of the fair value methodology, including methods, models and significant assumptions and inputs used to estimate fair value. Significant assumptions include proxy data, forecast data, the extrapolation and interpolation of proxy data, forecast data, and historic data as well as certain model assumptions. The assessment also included an evaluation of the conceptual soundness and performance of the valuation models. The following are the primary procedures we performed to address this critical audit matter. We involved valuation professionals with specialized skills and knowledge who assisted in evaluating the design and testing the operating effectiveness of certain internal controls related to the Company’s Level 3 fair value measurements including controls over: • • • • • valuation methodologies, including significant inputs and assumptions independent price verification evaluating that significant model assumptions and inputs reflected those which a market participant would use to determine an exit price in the current market environment the valuation models used were mathematically accurate and appropriate to value the financial instruments and relevant information used within the Company’s models that was reasonably available was considered in the fair value determination. 133 Assessment of the allowance for credit losses collectively evaluated for impairment As described in Notes 1 and 15 to the consolidated financial statements, the Company’s allowance for credit losses was $19.1 billion as of December 31, 2022, which includes the allowance related to loans and unfunded lending commitments collectively evaluated for impairment (the collective ACLL). The expected credit losses for the quantitative component of the collective ACLL is the product of multiplying the probability of default (PD), loss given default (LGD), and exposure at default (EAD) for consumer and corporate loans. For consumer U.S. credit cards, the Company uses the payment rate approach over the life of the loan, which leverages payment rate curves, to determine the payments that should be applied to liquidate the end-of-period balance in the estimation of EAD. For unconditionally cancelable accounts, reserves are based on the expected life of the balance as of the evaluation date and do not include any undrawn commitments that are unconditionally cancelable. The credit loss factors applied are determined based on three macroeconomic scenarios (base, downside and upside) multiplied by their respective scenario probability weights, that take into consideration both internal and external forecasted macroeconomic variables, the most significant of which are U.S. unemployment and U.S. real gross domestic product (GDP). Additionally, for consumer U.S. credit card loans, these models consider leading credit indicators including loan delinquencies, as well as economic factors. For corporate loans, these models consider the credit quality as measured by risk ratings and economic factors. The qualitative component considers idiosyncratic events and the uncertainty of forward-looking economic scenarios. We identified the assessment of the collective ACLL, specifically for consumer U.S. credit cards and corporate portfolios as a critical audit matter. Auditing the assessment involved significant measurement uncertainty requiring complex auditor judgment, and specialized skills and knowledge as well as experience in the industry. Our assessment encompassed the evaluation of the various components of the collective ACLL methodology, including the methods and models used to estimate the PD, LGD, and EAD and certain key assumptions and inputs for the Company’s quantitative and qualitative components. Key assumptions and inputs for consumer loans included loan delinquencies, certain credit indicators, reasonable and supportable forecasts, expected life as well as economic factors, including unemployment rates, GDP, and housing prices which are considered in the model. For corporate loans, key assumptions and inputs included risk ratings, reasonable and supportable forecast, credit conversion factor for unfunded lending commitments, and economic factors, including GDP and unemployment rate considered in the model. Key assumptions and inputs for the qualitative component for consumer U.S. credit card loans include the expected normalization in portfolio performance and consumer behavior, after lower losses observed as a result of government stimulus and market liquidity. Key assumptions and inputs for the qualitative component for corporate loan portfolios include uncertainty around the war in Ukraine and global recession, considering macroeconomic and market factors, including inflation, interest rates and commodity prices and their impacts on industries and sectors that are considered more vulnerable. The assessment also included an evaluation of the conceptual soundness and performance of the PD, LGD, and EAD models. In addition, auditor judgment was required to evaluate the sufficiency of audit evidence obtained. The following are the primary procedures we performed to address this critical audit matter. We evaluated the design and tested the operating effectiveness of certain internal controls related to the Company’s measurement of the collective ACLL estimate, including controls over the: • • • approval of the collective ACLL methodologies determination of the key assumptions and inputs used to estimate the quantitative and qualitative components of the collective ACLL performance monitoring of the PD, LGD, and EAD models. We evaluated the Company’s process to develop the collective ACLL estimate by testing certain sources of data and assumptions that the Company used and considered the relevance and reliability of such data and assumptions. In addition, we involved credit risk professionals with specialized skills and knowledge, who assisted in: • • • • • • • • reviewing the Company’s collective ACLL methodologies and key assumptions for compliance with U.S. generally accepted accounting principles assessing the conceptual soundness and performance testing of the PD, LGD, and EAD models by inspecting the model documentation to determine whether the models are suitable for their intended use evaluating judgments made by the Company relative to the development and performance monitoring testing of the PD, LGD, and EAD models by comparing them to relevant Company-specific metrics assessing the conceptual soundness and performance testing of the macroeconomic scenario weights model by inspecting the model documentation to determine whether the model is suitable for its intended use assessing the economic forecast scenarios through comparison to publicly available forecasts evaluating the methodologies used to develop certain economic forecast scenarios by comparing it to relevant industry practices testing corporate loan risk ratings for a selection of borrowers by evaluating the financial performance of the borrower, sources of repayment, and any relevant guarantees or underlying collateral evaluating the methodologies used in determining the qualitative components and the effect of that component on the collective ACLL compared with 134 relevant credit risk factors and consistency with credit trends. We also assessed the sufficiency of the audit evidence obtained related to the collective ACLL by evaluating the: • • • cumulative results of the audit procedures qualitative aspects of the Company’s accounting practices potential bias in the accounting estimates. Evaluation of goodwill in the ICG Banking and PBWM US PB reporting units As discussed in Notes 1 and 16 to the consolidated financial statements, the goodwill balance as of December 31, 2022 was $19.7 billion, of which $9.7 billion related to reporting units within the Personal Banking and Wealth Management (PBWM) segment, $9.0 billion related to reporting units within the Institutional Clients Group (ICG) segment, and $1.0 billion related to reporting units within the Legacy Franchises segment. The Company performs goodwill impairment testing on an annual basis and whenever events or changes in circumstances indicate that the carrying value of a reporting unit likely exceeds its fair value. This involves estimating the fair value of the reporting units using both discounted cash flow analyses and a market multiples approach. We identified the evaluation of the goodwill impairment analysis for the ICG Banking and PBWM United States Personal Banking reporting units, one of the three reporting units within the ICG segment and one of the two reporting units in the PBWM segment, as a critical audit matter. The estimated fair value of the ICG Banking and PBWM United States Personal Banking reporting units marginally exceeded their carrying values, indicating a higher risk due to measurement uncertainty that the goodwill may be impaired and, therefore, involved a high degree of subjective auditor judgment. Specifically, the assessment encompassed the evaluation of the key assumptions used in estimating the fair value of the ICG Banking and PBWM United States Personal Banking reporting units, which include the long-term growth rate, discount rate, exit multiple assumptions, certain forecasted macroeconomic assumptions used to inform the forecasted income by reporting unit, and forecasted revenues and operating expenses by reporting unit used in the discounted cash flow analyses. The following are the primary procedures we performed to address this critical audit matter. We evaluated the design and tested the operating effectiveness of certain internal controls related to the Company’s determination of the estimated fair value of the ICG Banking and PBWM United States Personal Banking reporting units, including controls related to management’s process for assessing the appropriateness of: • certain assumptions including the long-term growth rate, discount rate and exit multiple assumptions used in the discounted cash flow analyses • • certain forecasted macroeconomic assumptions used to inform the forecasted income by reporting unit forecasted revenues and operating expenses by reporting unit. We compared the Company’s historical forecasts to actual results at a consolidated level to assess the Company’s ability to accurately forecast key metrics such as revenues and operating expenses. We also compared prior year actuals to the expected trends for revenues and operating expenses at the reporting unit level to assess the Company’s ability to achieve their forecasts. We compared the Company’s fourth quarter 2022 forecasts to actual fourth quarter 2022 results at the reporting unit level to assess the Company’s ability to accurately forecast. We evaluated the reasonableness of the Company’s forecasts by comparing to analyst reports. In addition, we involved a valuation professional with specialized skills and knowledge, who assisted in: • • • • • developing an independent range of long-term growth rate assumptions by reviewing publicly available data and comparable industries and comparing it to the Company’s assumption evaluating the discount rate by assessing the methodology used by management and developing an independent assumption for the discount rate developing an independent range of the exit multiple assumptions using publicly available data for comparable entities and comparing it to the Company’s assumption utilized in the discounted cash flow analysis developing an independent estimate of the fair value of ICG Banking and PBWM United States Personal Banking reporting units using the income and market multiple approaches and comparing the results to the Company’s fair value estimate assessing the reasonableness of the market capitalization reconciliation. /s/ KPMG LLP We have served as the Company’s auditor since 1969. New York, New York February 24, 2023 135 This page intentionally left blank. 136 FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS CONSOLIDATED FINANCIAL STATEMENTS Consolidated Statement of Income— For the Years Ended December 31, 2022, 2021 and 2020 138 Consolidated Statement of Comprehensive Income— For the Years Ended December 31, 2022, 2021 and 2020 Consolidated Balance Sheet—December 31, 2022 and 2021 139 140 Consolidated Statement of Changes in Stockholders’ Equity —For the Years Ended December 31, 2022, 2021 and 2020 142 Consolidated Statement of Cash Flows— For the Years Ended December 31, 2022, 2021 and 2020 144 NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Note 1—Summary of Significant Accounting Policies Note 2—Discontinued Operations, Significant Disposals and Other Business Exits Note 3—Operating Segments Note 4—Interest Revenue and Expense Note 5—Commissions and Fees; Administration and Other Fiduciary Fees Note 6—Principal Transactions Note 7—Incentive Plans Note 8—Retirement Benefits Note 9—Income Taxes Note 10—Earnings per Share Note 11—Securities Borrowed, Loaned and Subject to Repurchase Agreements Note 12—Brokerage Receivables and Brokerage Payables Note 13—Investments Note 14—Loans Note 15—Allowance for Credit Losses 146 160 163 165 166 169 170 173 185 189 190 194 195 205 222 Note 16—Goodwill and Intangible Assets Note 17—Deposits Note 18—Debt Note 19—Regulatory Capital Note 20—Changes in Accumulated Other Comprehensive Income (Loss) (AOCI) Note 21—Preferred Stock Note 22—Securitizations and Variable Interest Entities Note 23—Derivatives Note 24—Concentrations of Credit Risk Note 25—Fair Value Measurement Note 26—Fair Value Elections Note 27—Pledged Assets, Restricted Cash, Collateral, Guarantees and Commitments Note 28—Leases Note 29—Contingencies Note 30—Condensed Consolidating Financial Statements 227 230 231 233 234 237 238 251 266 267 286 290 297 298 305 137 CONSOLIDATED FINANCIAL STATEMENTS CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries In millions of dollars, except per share amounts Revenues Interest revenue Interest expense Net interest income Commissions and fees Principal transactions Administration and other fiduciary fees Realized gains on sales of investments, net Impairment losses on investments: Impairment losses on investments and other assets Provision for credit losses on AFS debt securities(1) Net impairment losses recognized in earnings Other revenue Total non-interest revenues Total revenues, net of interest expense Provisions for credit losses and for benefits and claims Provision for credit losses on loans Provision for credit losses on held-to-maturity (HTM) debt securities Provision for credit losses on other assets Policyholder benefits and claims Provision for credit losses on unfunded lending commitments Total provisions for credit losses and for benefits and claims(2) Operating expenses Compensation and benefits Premises and equipment Technology/communication Advertising and marketing Other operating Total operating expenses Income from continuing operations before income taxes Provision for income taxes Income from continuing operations Discontinued operations Income (loss) from discontinued operations Benefit for income taxes Income (loss) from discontinued operations, net of taxes Net income before attribution of noncontrolling interests Noncontrolling interests Citigroup’s net income Basic earnings per share(3) Income from continuing operations Loss from discontinued operations, net of taxes Net income Weighted average common shares outstanding (in millions) Diluted earnings per share(3) Income from continuing operations Loss from discontinued operations, net of taxes Net income Adjusted weighted average diluted common shares outstanding (in millions) $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ 138 Years ended December 31, 2022 2021 2020 74,408 $ 25,740 48,668 $ 9,175 $ 14,159 3,784 67 (499) 5 (494) $ (21) $ 26,670 $ 75,338 $ 4,745 $ 33 76 94 291 5,239 $ 26,655 $ 2,320 8,587 1,556 12,174 51,292 $ 18,807 $ 3,642 15,165 $ (272) $ (41) (231) $ 14,934 $ 89 14,845 $ 7.16 $ (0.12) 7.04 $ 1,946.7 7.11 $ (0.12) 7.00 $ 50,475 $ 7,981 42,494 $ 13,672 $ 10,154 3,943 665 (206) (3) (209) $ 1,165 $ 29,390 $ 71,884 $ (3,103) $ (3) — 116 (788) (3,778) $ 25,134 $ 2,314 7,828 1,490 11,427 48,193 $ 27,469 $ 5,451 22,018 $ 7 $ — 7 $ 22,025 $ 73 21,952 $ 10.21 $ — 10.21 $ 2,033.0 10.14 $ — 10.14 $ 58,089 13,338 44,751 11,385 13,885 3,472 1,756 (165) (3) (168) 420 30,750 75,501 15,922 7 7 113 1,446 17,495 22,214 2,333 7,383 1,217 11,227 44,374 13,632 2,525 11,107 (20) — (20) 11,087 40 11,047 4.75 (0.01) 4.74 2,085.8 4.73 (0.01) 4.72 1,964.3 2,049.4 2,099.0 In accordance with ASC 326, which requires the provision for credit losses on AFS securities to be included in revenue. (1) (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 INCOME Citigroup Inc. and Subsidiaries In millions of dollars Citigroup’s net income Add: Citigroup’s other comprehensive income (loss)(1) Net change in unrealized gains and losses on debt securities, net of taxes(2) Net change in debt valuation adjustment (DVA), net of taxes(3) Net change in cash flow hedges, net of taxes Benefit plans liability adjustment, net of taxes(4) Net change in CTA, net of taxes and hedges Net change in excluded component of fair value hedges, net of taxes Citigroup’s total other comprehensive income (loss) Citigroup’s total comprehensive income Add: Other comprehensive income (loss) attributable to noncontrolling interests Add: Net income attributable to noncontrolling interests Total comprehensive income (1) See Note 20. (2) See Note 1. (3) See Note 25. (4) See Note 8. Years ended December 31, 2022 2021 2020 14,845 $ 21,952 $ 11,047 (5,384) $ (3,934) $ 2,029 (2,623) 97 (2,471) 55 (8,297) $ 6,548 $ (58) $ 89 232 (1,492) 1,012 (2,525) — (6,707) $ 15,245 $ (99) $ 73 3,585 (475) 1,470 (55) (250) (15) 4,260 15,307 26 40 6,579 $ 15,219 $ 15,373 $ $ $ $ $ $ The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. 139 CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries In millions of dollars Assets Cash and due from banks (including segregated cash and other deposits) $ Deposits with banks, net of allowance Securities borrowed and purchased under agreements to resell (including $239,527 and $216,466 as of December 31, 2022 and 2021, respectively, at fair value), net of allowance Brokerage receivables, net of allowance Trading account assets (including $133,535 and $133,828 pledged to creditors at December 31, 2022 and 2021, respectively) Investments: Available-for-sale debt securities (including $10,933 and $9,226 pledged to creditors as of December 31, 2022 and 2021, respectively), net of allowance Held-to-maturity debt securities (fair value of which is $243,648 and $216,038 as of December 31, 2022 and 2021, respectively) (includes $— and $1,460 pledged to creditors as of December 31, 2022 and 2021, respectively), net of allowance Equity securities (including $895 and $1,032 as of December 31, 2022 and 2021, respectively, at fair December 31, 2022 2021 30,577 $ 311,448 365,401 54,192 27,515 234,518 327,288 54,340 334,114 331,945 249,679 288,522 268,863 216,963 value) Total investments Loans: Consumer (including $237 and $12 as of December 31, 2022 and 2021, respectively, at fair value) Corporate (including $5,123 and $6,070 as of December 31, 2022 and 2021, respectively, at fair value) Loans, net of unearned income Allowance for credit losses on loans (ACLL) Total loans, net Goodwill Intangible assets (including MSRs of $665 and $404 as of December 31, 2022 and 2021, respectively, at fair value) Premises and equipment, net of depreciation and amortization Other assets (including $10,658 and $12,342 as of December 31, 2022 and 2021, respectively, at fair value), net of allowance Total assets 8,040 $ 526,582 $ $ $ 368,067 289,154 657,221 $ (16,974) 640,247 $ 19,691 4,428 26,253 7,337 512,822 376,534 291,233 667,767 (16,455) 651,312 21,299 4,495 24,328 103,743 101,551 $ 2,416,676 $ 2,291,413 Statement continues on the next page. 140 CONSOLIDATED BALANCE SHEET (Continued) In millions of dollars, except shares and per share amounts Liabilities Citigroup Inc. and Subsidiaries December 31, 2022 2021 Deposits (including $1,875 and $1,666 as of December 31, 2022 and 2021, respectively, at fair value) $ 1,365,954 $ 1,317,230 Securities loaned and sold under agreements to repurchase (including $70,886 and $56,694 as of December 31, 2022 and 2021, respectively, at fair value) Brokerage payables (including $4,439 and $3,575 as of December 31, 2022 and 2021, respectively, at fair value) Trading account liabilities Short-term borrowings (including $6,222 and $7,358 as of December 31, 2022 and 2021, respectively, at fair value) Long-term debt (including $105,995 and $82,609 as of December 31, 2022 and 2021, respectively, at fair value) Other liabilities Total liabilities Stockholders’ equity Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 759,800 as of December 31, 2022 and 759,800 as of December 31, 2021, at aggregate liquidation value Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,669,424 as of December 31, 2022 and 3,099,651,835 as of December 31, 2021 Additional paid-in capital Retained earnings Treasury stock, at cost: 1,162,682,999 shares as of December 31, 2022 and 1,115,296,641 shares as of December 31, 2021 Accumulated other comprehensive income (loss) (AOCI) Total Citigroup stockholders’ equity Noncontrolling interests Total equity Total liabilities and equity The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. 202,444 191,285 69,218 170,647 61,430 161,529 47,096 27,973 271,606 87,873 254,374 74,920 2,214,838 $ 2,088,741 18,995 $ 18,995 31 108,458 194,734 (73,967) (47,062) 201,189 $ 649 31 108,003 184,948 (71,240) (38,765) 201,972 700 201,838 $ 202,672 2,416,676 $ 2,291,413 $ $ $ $ $ 141 CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY Citigroup Inc. and Subsidiaries In millions of dollars, except shares in thousands 2022 2021 2020 2022 Years ended December 31, Amounts Shares 2021 2020 Preferred stock at aggregate liquidation value Balance, beginning of year Issuance of new preferred stock Redemption of preferred stock Balance, end of year Common stock and additional paid-in capital (APIC) Balance, beginning of year Employee benefit plans Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions) Other Balance, end of year Retained earnings Balance, beginning of year Adjustments to opening balance, net of taxes(1) Financial instruments—credit losses (CECL adoption) Variable post-charge-off third-party collection costs Adjusted balance, beginning of year Citigroup’s net income Common dividends(2) Preferred dividends Other (primarily reclassifications from APIC for preferred issuance costs on redemptions) Balance, end of year Treasury stock, at cost Balance, beginning of year Employee benefit plans(3) Treasury stock acquired(4) Balance, end of year Citigroup’s accumulated other comprehensive income (loss) Balance, beginning of year Citigroup’s total other comprehensive income (loss) Balance, end of year $ $ 18,995 $ — — 18,995 $ 19,480 $ 3,300 (3,785) 18,995 $ 17,980 3,000 (1,500) 19,480 760 — — 760 779 132 (151) 760 719 120 (60) 779 $ 108,034 $ 107,877 $ 107,871 3,099,652 3,099,633 3,099,603 30 455 85 19 17 5 — — — — $ 108,489 $ 108,034 $ 107,877 3,099,669 3,099,652 3,099,633 25 47 — — — — (4) 5 $ 184,948 $ 168,272 $ 165,369 — — — — (3,076) 330 $ 184,948 $ 168,272 $ 162,623 11,047 (4,299) (1,095) 21,952 (4,196) (1,040) 14,845 (4,028) (1,032) 1 (4) $ 194,734 $ 184,948 $ 168,272 (40) $ $ $ $ (71,240) $ 523 (3,250) (73,967) $ (64,129) $ 489 (7,600) (71,240) $ (61,660) (1,115,297) (1,017,544) 7,745 8,190 (105,498) (55,576) (985,480) 8,676 456 (2,925) (40,740) (64,129) (1,162,683) (1,115,297) (1,017,544) (38,765) $ (8,297) (47,062) $ (32,058) $ (6,707) (38,765) $ (36,318) 4,260 (32,058) Total Citigroup common stockholders’ equity $ 182,194 $ 182,977 $ 179,962 1,936,986 1,984,355 2,082,089 Total Citigroup stockholders’ equity $ 201,189 $ 201,972 $ 199,442 Noncontrolling interests Balance, beginning of year Transactions between Citigroup and the noncontrolling-interest shareholders Net income attributable to noncontrolling-interest shareholders Distributions paid to noncontrolling-interest shareholders Other comprehensive income (loss) attributable to noncontrolling-interest shareholders Other Net change in noncontrolling interests Balance, end of year Total equity $ 700 $ 758 $ 704 (34) 89 (51) (58) 3 (10) 73 (10) (99) (12) $ $ (51) $ 649 $ (58) $ 700 $ (4) 40 (2) 26 (6) 54 758 $ 201,838 $ 202,672 $ 200,200 (1) See Note 1 for additional details. (2) Common dividends declared were $0.51 per share in the first, second, third and fourth quarters of 2022, 2021 and 2020. 142 (3) Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements. (4) Primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program. The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. 143 CONSOLIDATED STATEMENT OF CASH FLOWS Citigroup Inc. and Subsidiaries In millions of dollars Cash flows from operating activities of continuing operations Net income before attribution of noncontrolling interests Net income attributable to noncontrolling interests Citigroup’s net income Income (loss) from discontinued operations, net of taxes Income from continuing operations—excluding noncontrolling interests 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) Depreciation and amortization Deferred income taxes Provisions for credit losses on loans and unfunded lending commitments Realized gains from sales of investments Impairment losses on investments and other assets Goodwill impairment Change in trading account assets Change in trading account liabilities Change in brokerage receivables net of brokerage payables Change in loans held-for-sale (HFS) Change in other assets Change in other liabilities Other, net(2) Total adjustments Net cash provided by (used in) operating activities of continuing operations(2) Cash flows from investing activities of continuing operations Change in securities borrowed and purchased under agreements to resell Change in loans Proceeds from sales and securitizations of loans Proceeds from divestitures(1) Available-for-sale (AFS) debt securities(3) Purchases of investments(2) Proceeds from sales of investments Proceeds from maturities of investments Held-to-maturity (HTM) debt securities(3) Purchases of investments Proceeds from maturities of investments Capital expenditures on premises and equipment and capitalized software Proceeds from sales of premises and equipment, subsidiaries and affiliates and repossessed assets Other, net(2) Net cash used in investing activities of continuing operations(2) Cash flows from financing activities of continuing operations Dividends paid Issuance of preferred stock Redemption of preferred stock Treasury stock acquired Stock tendered for payment of withholding taxes 144 Years ended December 31, 2022 2021 2020 $ $ $ 14,934 $ 22,025 $ 11,087 89 73 40 14,845 $ 21,952 $ 11,047 (231) 7 (20) 15,076 $ 21,945 $ 11,067 (762) 4,262 (1,141) 5,036 (67) 499 535 700 3,964 1,413 (3,891) (665) 206 — — 3,937 (2,333) 17,368 (1,756) 165 — (2,273) 43,059 (98,997) 9,118 7,936 4,421 (4,992) 5,343 (6,498) 1,412 (3,809) (2,139) 6,839 (17,922) (15,446) 48,133 (3,066) 1,202 (1,012) 558 1,246 9,993 $ 25,145 $ (34,555) 25,069 $ 47,090 $ (23,488) (38,113) $ (32,576) $ (43,390) (16,591) 4,709 5,741 (1,173) 2,918 — 14,249 1,495 — (218,747) (205,980) (306,801) 79,687 125,895 140,934 120,936 144,035 110,941 (42,903) (136,450) (25,586) 12,188 (5,632) 21,164 (4,119) 15,215 (3,446) 63 190 50 (791) (79,455) $ (1,551) (110,746) $ 793 (92,445) (5,003) $ (5,198) $ (5,352) — — (3,250) (344) 3,300 (3,785) (7,601) (337) 2,995 (1,500) (2,925) (411) $ $ $ $ $ CONSOLIDATED STATEMENT OF CASH FLOWS (Continued) In millions of dollars Change in securities loaned and sold under agreements to repurchase Issuance of long-term debt Payments and redemptions of long-term debt Change in deposits Change in short-term borrowings Net cash provided by financing activities of continuing operations Effect of exchange rate changes on cash and due from banks Change in cash, due from banks and deposits with banks Cash, due from banks and deposits with banks at beginning of year Cash, due from banks and deposits with banks at end of year Cash and due from banks (including segregated cash and other deposits) Deposits with banks, net of allowance Cash, due from banks and deposits with banks at end of year Supplemental disclosure of cash flow information for continuing operations Cash paid during the year for income taxes Cash paid during the year for interest Non-cash investing activities(1)(4) Transfer of investment securities from AFS to HTM Decrease in net loans associated with divestitures reclassified to HFS Decrease in goodwill associated with divestitures reclassified to HFS Transfers to loans HFS (Other assets) from loans Non-cash financing activities(1) Decrease in long-term debt associated with divestitures reclassified to HFS Decrease in deposits associated with divestitures reclassified to HFS Citigroup Inc. and Subsidiaries Years ended December 31, 2022 2021 2020 $ 11,159 $ (8,240) $ 104,748 70,658 33,186 76,458 (57,085) (74,950) (63,402) 68,415 19,123 44,966 (1,541) 210,081 (15,535) 137,763 $ 17,272 $ 233,595 (3,385) $ (1,198) $ (1,966) 79,992 (47,582) 262,033 309,615 115,696 193,919 342,025 $ 262,033 $ 309,615 30,577 $ 27,515 $ 26,349 311,448 234,518 283,266 342,025 $ 262,033 $ 309,615 3,733 $ 4,028 $ 22,615 7,143 4,797 12,094 $ $ $ $ $ $ $ 21,688 $ — $ 16,956 876 5,582 9,945 — 7,414 $ — $ 479 $ 19,691 8,407 — — — 2,614 — — (1) See Note 2 for further information on significant disposals. (2) See “Statement of Cash Flows” in Note 1. (3) 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 AFS debt securities and HTM debt securities. Citi had no sales of HTM debt securities during the periods presented. (4) 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 28 for more information and balances as of December 31, 2022 and 2021, respectively. The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. 145 NOTES TO CONSOLIDATED FINANCIAL STATEMENTS 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES 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. Principles of Consolidation The Consolidated Financial Statements include the accounts of Citigroup and its subsidiaries prepared in accordance with U.S. generally accepted accounting principles (GAAP). The Company consolidates subsidiaries in which it holds, directly or indirectly, more than 50% of the voting rights or where it exercises control. Entities in which the Company holds 20% to 50% of the voting rights and/or has the ability to exercise significant influence, other than investments of designated venture capital subsidiaries or investments accounted for at fair value under the fair value option, are accounted for under the equity method, and the pro rata share of their income (loss) is included in Other revenue. Income from investments in less- than-20%-owned companies is recognized when dividends are received. As discussed in more detail in Note 22, Citigroup also consolidates entities deemed to be variable interest entities when Citigroup is determined to be the primary beneficiary. Gains and losses on the disposition of branches, subsidiaries, affiliates, buildings and other investments are included in Other revenue. Citibank Citibank, N.A. (Citibank) is a commercial bank and indirect wholly owned subsidiary of Citigroup. Citibank’s principal offerings include investment banking, commercial banking, cash management, trade finance and e-commerce; private banking products and services; consumer finance, credit cards, and mortgage lending; and retail banking products and services. Variable Interest Entities (VIEs) An entity is a variable interest entity (VIE) if it meets either of the criteria outlined in Accounting Standards Codification (ASC) Topic 810, Consolidation, which are (i) the entity has equity that is insufficient to permit the entity to finance its activities without additional subordinated financial support from other parties, or (ii) the entity has equity investors that cannot make significant decisions about the entity’s operations or that do not absorb their proportionate share of the entity’s expected losses or expected returns. The Company consolidates a VIE when it has both the power to direct the activities that most significantly impact the VIE’s economic performance and a right to receive benefits or the obligation to absorb losses of the entity that could be potentially significant to the VIE (that is, Citi is the primary beneficiary). In addition to variable interests held in consolidated VIEs, the Company has variable interests in other 146 VIEs that are not consolidated because the Company is not the primary beneficiary. All unconsolidated VIEs are monitored by the Company to assess whether any events have occurred to cause its primary beneficiary status to change. All entities not deemed to be VIEs with which the Company has involvement are evaluated for consolidation under other subtopics of ASC 810. See Note 22 for more detailed information. Foreign Currency Translation Assets and liabilities of Citi’s foreign operations are translated from their respective functional currencies into U.S. dollars using period-end spot foreign exchange rates. The effects of those translation adjustments are reported in Accumulated other comprehensive income (loss) (AOCI), a component of stockholders’ equity, net of any related hedge and tax effects, until realized upon sale or substantial liquidation of the foreign entity, at which point such amounts are reclassified into earnings. Revenues and expenses of Citi’s foreign operations are translated monthly from their respective functional currencies into U.S. dollars at amounts that approximate weighted average exchange rates. For transactions that are denominated in a currency other than the functional currency, including transactions denominated in the local currencies of foreign operations that use the U.S. dollar as their functional currency, the effects of changes in exchange rates are primarily included in Principal transactions, along with the related effects of any economic hedges. Instruments used to hedge foreign currency exposures include foreign currency forward, option and swap contracts and, in certain instances, designated issues of non-U.S.-dollar debt. Foreign operations in countries with highly inflationary economies designate the U.S. dollar as their functional currency, with the effects of changes in exchange rates primarily included in Other revenue. Investment Securities Investments include debt and equity securities. Debt securities include bonds, notes and redeemable preferred stocks, as well as certain loan-backed and structured securities that are subject to prepayment risk. Equity securities include common and nonredeemable preferred stock. Debt Securities • • Debt securities classified as “held-to-maturity” (HTM) are securities that the Company has both the ability and the intent to hold until maturity and are carried at amortized cost. Interest income on such securities is included in Interest revenue. Debt securities classified as “available-for-sale” (AFS) are carried at fair value with changes in fair value reported in Accumulated other comprehensive income (loss), a component of stockholders’ equity, net of applicable income taxes and hedges. Interest income on such securities is included in Interest revenue. For investments in debt securities classified as HTM or AFS, the accrual of interest income is suspended for investments that are in default or for which it is likely that future interest payments will not be made as scheduled. Investment securities not measured at fair value through earnings include (i) debt securities held in HTM or AFS, (ii) equity securities accounted for under the Measurement Alternative or equity method, (iii) Federal Reserve Bank and Federal Home Loan Bank stock and (iv) certain exchange memberships. These securities are subject to evaluation for impairment as described in Note 15 for HTM securities and in Note 13 for AFS, Measurement Alternative and equity method investments. Realized gains and losses on sales of investments are included in earnings, primarily on a specific identification basis. The Company uses a number of valuation techniques for investments carried at fair value, which are described in Note 25. Equity Securities • • Marketable equity securities are measured at fair value with changes in fair value recognized in earnings. Non-marketable equity securities are 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. Non-marketable equity securities under the measurement alternative are carried at cost less impairment (if any), plus or minus changes resulting from observed prices for orderly transactions for the identical or a similar investment of the same issuer. Certain investments that would otherwise have been accounted for using the equity method are carried at fair value with changes in fair value recognized in earnings, since the Company elected to apply fair value accounting. • Trading Account Assets and Liabilities Trading account assets include debt and marketable equity securities, derivatives in a receivable position, residual interests in securitizations and physical commodities inventory. In addition, as described in Note 26, certain assets that Citigroup has elected to carry at fair value under the fair value option, such as loans and purchased guarantees, are also included in Trading account assets. Trading account liabilities include securities sold, not yet purchased (short positions) and derivatives in a net payable position, as well as certain liabilities that Citigroup has elected to carry at fair value (as described in Note 26). Other than physical commodities inventory, all trading account assets and liabilities are carried at fair value. Revenues generated from trading assets and trading liabilities are generally reported in Principal transactions and include realized gains and losses as well as unrealized gains and losses resulting from changes in the fair value of such instruments. Interest income on trading assets is recorded in Interest revenue reduced by interest expense on trading liabilities. Physical commodities inventory is carried at the lower of cost or market with related losses reported in Principal 147 transactions, except when included in a hedging relationship. Realized gains and losses on sales of commodities inventory are included in Principal transactions. Investments in unallocated precious metals accounts (gold, silver, platinum and palladium) are accounted for as hybrid instruments containing a debt host contract and an embedded non-financial derivative instrument indexed to the price of the relevant precious metal. The embedded derivative instrument and debt host contract are carried at fair value under the fair value option, as described in Note 26. Derivatives used for trading purposes include interest rate, currency, equity, credit and commodity swap agreements, options, caps and floors, warrants, and financial and commodity futures and forward contracts. Derivative asset and liability positions are presented net by counterparty on the Consolidated Balance Sheet when a valid master netting agreement exists and the other conditions set out in ASC Topic 210-20, Balance Sheet—Offsetting, are met. See Note 23. The Company uses a number of techniques to determine the fair value of trading assets and liabilities, which are described in Note 25. Securities Borrowed and Securities Loaned Securities borrowing and lending transactions do not constitute a sale of the underlying securities for accounting purposes and are treated as collateralized financing transactions. Such transactions are recorded at the amount of proceeds advanced or received plus accrued interest. As described in Note 26, the Company has elected to apply fair value accounting to a number of securities borrowing and lending transactions. Fees received or paid for all securities borrowing and lending transactions are recorded in Interest revenue or Interest expense at the contractually specified rate. Where the conditions of ASC 210-20-45-1, Balance Sheet—Offsetting: Right of Setoff Conditions, are met, securities borrowing and lending transactions are presented net on the Consolidated Balance Sheet. The Company monitors the fair value of securities borrowed or loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection. As described in Note 25, the Company uses a discounted cash flow technique to determine the fair value of securities lending and borrowing transactions. Repurchase and Resale Agreements Securities sold under agreements to repurchase (repos) and securities purchased under agreements to resell (reverse repos) do not constitute a sale (or purchase) of the underlying securities for accounting purposes and are treated as collateralized financing transactions. As described in Note 26, the Company has elected to apply fair value accounting to certain portions of such transactions, with changes in fair value reported in earnings. Any transactions for which fair value accounting has not been elected are recorded at the amount of cash advanced or received plus accrued interest. Irrespective of whether the Company has elected fair value accounting, interest paid or received on all repo and reverse repo transactions is recorded in Interest expense or Interest revenue at the contractually specified rate. Where the conditions of ASC 210-20-45-11, Balance Sheet—Offsetting: Repurchase and Reverse Repurchase Agreements, are met, repos and reverse repos are presented net on the Consolidated Balance Sheet. The Company’s policy is to take possession of securities purchased under reverse repurchase agreements. The Company monitors the fair value of securities subject to repurchase or resale on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection. As described in Note 25, the Company uses a discounted cash flow technique to determine the fair value of repo and reverse repo transactions. Loans Loans are reported at their outstanding principal balances net of any unearned income and unamortized deferred fees and costs, except for credit card receivable balances, which include accrued interest and fees. Loan origination fees and certain direct origination costs are generally deferred and recognized as adjustments to income over the lives of the related loans. As described in Note 26, Citi has elected fair value accounting for certain loans. Such loans are carried at fair value with changes in fair value reported in earnings. Interest income on such loans is recorded in Interest revenue at the contractually specified rate. Loans that are held-for-investment are classified as Loans, net of unearned income on the Consolidated Balance Sheet, and the related cash flows are included within the cash flows from the investing activities category in the Consolidated Statement of Cash Flows on the line Change in loans. However, when the initial intent for holding a loan has changed from held-for-investment to held-for-sale (HFS), the loan is reclassified to HFS, but the related cash flows continue to be reported in cash flows from investing activities in the Consolidated Statement of Cash Flows on the line Proceeds from sales and securitizations of loans. Consumer Loans Consumer loans represent loans and leases managed primarily by the Personal Banking and Wealth Management and Legacy Franchises businesses (except Mexico SBMM loans). Consumer Non-accrual and Re-aging Policies As a general rule, interest accrual ceases for installment and real estate (both open- and closed-end) loans when payments are 90 days contractually past due. For credit cards and other unsecured revolving loans, however, Citi generally accrues interest until payments are 180 days past due. As a result of OCC guidance, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage is 90 days or more past due. Also as a result of OCC guidance, mortgage loans in regulated bank entities are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy, with the exception of Federal Housing Administration (FHA)-insured loans. Loans that have been modified to grant a concession to a borrower in financial difficulty may not be accruing interest at 148 the time of the modification. The policy for returning such modified loans to accrual status varies by product and/or region. In most cases, a minimum number of payments (ranging from one to six) is required, while in other cases the loan is never returned to accrual status. For regulated bank entities, such modified loans are returned to accrual status if a credit evaluation at the time of, or subsequent to, the modification indicates the borrower is able to meet the restructured terms, and the borrower is current and has demonstrated a reasonable period of sustained payment performance (minimum six months of consecutive payments). For U.S. consumer loans, generally one of the conditions to qualify for modification (other than for loan modifications made through the CARES Act relief provisions or banking agency guidance for pandemic-related issues) is that a minimum number of payments (typically ranging from one to three) must be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open- ended consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended consumer loans subject to FFIEC guidelines, one of the conditions for the loan to be re-aged to current status is that at least three consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years). Furthermore, FHA and Department of Veterans Affairs (VA) loans may only be modified under those respective agencies’ guidelines, and payments are not always required in order to re-age a modified loan to current. Consumer Charge-Off Policies Citi’s charge-off policies follow the general guidelines below: • • • • • • • Unsecured installment loans are charged off at 120 days contractually past due. Unsecured revolving loans and credit card loans are charged off at 180 days contractually past due. Loans secured with non-real estate collateral are written down to the estimated value of the collateral, less costs to sell, at 120 days contractually past due. Real estate-secured loans are written down to the estimated value of the property, less costs to sell, at 180 days contractually past due. Real estate-secured loans are charged off no later than 180 days contractually past due if a decision has been made not to foreclose on the loans. Unsecured loans in bankruptcy are charged off within 60 days of notification of filing by the bankruptcy court or in accordance with Citi’s charge-off policy, whichever occurs earlier. Real estate-secured loans in bankruptcy, other than FHA- insured loans, are written down to the estimated value of the property, less costs to sell, within 60 days of notification that the borrower has filed for bankruptcy or in accordance with Citi’s charge-off policy, whichever is earlier. period through Provisions for credit losses in the Consolidated Statement of Income to reflect changes in history, current conditions and forecasts as well as changes in asset positions and portfolios. ASC 326 defines the ACL as a valuation account that is deducted from the amortized cost of a financial asset to present the net amount that management expects to collect on the financial asset over its expected life. All financial assets carried at amortized cost are in the scope of ASC 326, while assets measured at fair value are excluded. See Note 13 for a discussion of impairment on available-for- sale (AFS) securities. Increases and decreases to the allowances are recorded in Provisions for credit losses. The CECL methodology utilizes a lifetime expected credit loss (ECL) measurement objective for the recognition of credit losses for held-for-investment (HFI) loans, held-to-maturity (HTM) debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. Within the life of a loan or other financial asset, the methodology generally results in the earlier recognition of the provision for credit losses and the related ACL than under the prior probable incurred loss model. Estimation of ECLs requires Citi to make assumptions regarding the likelihood and severity of credit loss events and their impact on expected cash flows, which drive the probability of default (PD), loss given default (LGD) and exposure at default (EAD) models and, where Citi discounts the ECL, using discounting techniques for certain products. Citi considers a multitude of global macroeconomic variables for the base, upside and downside probability- weighted macroeconomic scenario forecasts it uses to estimate the ACL. 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. Under the base macroeconomic forecast as of 4Q22, U.S. real GDP growth is expected to decline during 2023, and the unemployment rate is expected to increase modestly over the forecast horizon, broadly returning to pre-pandemic levels. The macroeconomic scenario weights are estimated 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. Citi’s downside scenario incorporates more adverse macroeconomic assumptions than the base scenario. For example, compared to the base scenario, Citi’s downside scenario reflects a more severe recession, including an elevated average U.S. unemployment rate of 6.9% over the eight-quarter R&S period, with a peak difference of 2.9% in the second quarter of 2024. The downside scenario also reflects a year-over-year U.S. real GDP contraction in 2023 of 2.4%, with a peak quarter-over-quarter difference of 3.3% in the second quarter of 2023. Corporate Loans Corporate loans represent loans and leases managed by Institutional Clients Group (ICG) and the Mexico SBMM component of Legacy Franchises. Corporate loans are identified as impaired and placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due, except when the loan is well collateralized and in the process of collection. Any interest accrued on impaired corporate loans and leases is reversed at 90 days past due and charged against current earnings, and interest is thereafter included in earnings only to the extent actually received in cash. When there is doubt regarding the ultimate collectability of principal, all cash receipts are thereafter applied to reduce the recorded investment in the loan. Impaired corporate loans and leases are written down to the extent that principal is deemed to be uncollectible. Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying collateral and there are no other available and reliable sources of repayment, are carried at the lower of amortized cost or collateral value. Cash-basis loans are returned to accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance in accordance with the contractual terms. Loans Held-for-Sale Corporate and consumer loans that have been identified for sale are classified as loans HFS and included in Other assets. The practice of Citi’s U.S. prime mortgage business has been to sell substantially all of its conforming loans. As such, U.S. prime mortgage conforming loans are classified as HFS and the fair value option is elected at origination, with changes in fair value recorded in Other revenue. With the exception of those loans for which the fair value option has been elected, HFS loans are accounted for at the lower of cost or market value, with any write-downs or subsequent recoveries charged to Other revenue. The related cash flows are classified in the Consolidated Statement of Cash Flows in the cash flows from operating activities category on the line Change in loans HFS. Gains and losses on loans HFS are generally presented in Other revenue. Gains on sales of fully or partially charged-off loans are presented as gross credit recoveries in the Provision for credit losses up to the amount of prior charge-offs. Allowances for Credit Losses (ACL) Commencing January 1, 2020, Citi adopted ASC 326, Financial Instruments—Credit Losses, using the methodologies described below. The current expected credit losses (CECL) methodology is based on relevant information about past events, including historical experience, current conditions and reasonable and supportable (R&S) forecasts that affect the collectability of the reported financial asset balances. If the asset’s life extends beyond the R&S forecast period, then historical experience is considered over the remaining life of the assets in the ACL. The resulting ACL is adjusted in each subsequent reporting 149 The following are the main factors and interpretations that Citi considers when estimating the ACL under the CECL methodology: • • • • • CECL reserves are estimated over the contractual term of the financial asset, which is adjusted for expected prepayments. Expected extensions are generally not considered unless the option to extend the loan cannot be canceled unilaterally by Citi. Modifications are also not considered, unless Citi has a reasonable expectation that it will execute a troubled debt restructuring (TDR). Credit enhancements that are not freestanding (such as those that are included in the original terms of the contract or those executed in conjunction with the lending transaction) are considered loss mitigants for purposes of CECL reserve estimation. For unconditionally cancelable accounts (generally credit cards), reserves are based on the expected life of the balance as of the evaluation date (assuming no further charges) and do not include any undrawn commitments that are unconditionally cancelable. Reserves are included for undrawn commitments for accounts that are not unconditionally cancelable (such as letters of credit and corporate loan commitments, home equity lines of credit (HELOCs), undrawn mortgage loan commitments and financial guarantees). CECL models are designed to be economically sensitive. They utilize the macroeconomic forecasts provided by Citi’s enterprise scenario group that are approved by senior management. Analysis is performed and documented to determine the necessary qualitative management adjustment (QMA) to capture idiosyncratic events and model uncertainty. The portion of the forecast that reflects the enterprise scenario group’s R&S period indicates the maximum length of time its models can produce a R&S macroeconomic forecast, after which mean reversion reflecting historical loss experience is used for the remaining life of the loan to estimate expected credit losses. For the loss forecast, businesses consume the macroeconomic forecast as determined to be appropriate and justifiable. Citi’s ability to forecast credit losses over the R&S period is based on the ability to forecast economic activity over a reasonable and supportable time window. The R&S period reflects the overall ability to have a reasonable and supportable forecast of credit loss based on economic forecasts. • • • The loss models consume all or a portion of the R&S economic forecast and then revert to historical loss experience. The R&S forecast period for consumer and corporate loans is eight quarters. The ACL incorporates provisions for accrued interest on products that are not subject to a non-accrual and timely write-off policy (e.g., credit cards, etc.). The reserves for TDRs are calculated using a method that considers discounted cash flows and appropriate macroeconomic forecast data for the exposure type. For 150 • • TDR loans that are collateral dependent, the ACL is based on the fair value of the collateral. Citi uses the most recent available information to inform its macroeconomic forecasts, allowing sufficient time for analysis of the results and corresponding approvals. Key variables are reviewed for significant changes through year end and changes to portfolio positions are reflected in the ACL. Reserves are calculated at an appropriately granular level and on a pooled basis where financial assets share risk characteristics. At a minimum, reserves are calculated at a portfolio level (product and country). Where a financial asset does not share risk characteristics with any of the pools, it is evaluated for credit losses individually. Quantitative and Qualitative Components of the ACL The loss likelihood and severity models use both internal and external information and are sensitive to forecasts of different macroeconomic conditions. For the quantitative component, Citi uses multiple macroeconomic scenarios and associated probabilities to estimate the ECL. Estimates of these ECLs are based upon (i) Citigroup’s internal system of credit risk ratings, (ii) historical default and loss data, including comprehensive internal history and rating agency information regarding default rates and internal data on the severity of losses in the event of default, and (iii) a R&S forecast of future macroeconomic conditions. ECL is determined primarily by utilizing models for the borrowers’ PD, LGD and EAD. Adjustments may be made to this data, including (i) statistically calculated estimates to cover the historical fluctuation of the default rates over the credit cycle, the historical variability of loss severity among defaulted loans and the degree to which there are large obligor concentrations in the global portfolio, and (ii) adjustments made for specifically known items, such as current environmental factors and credit trends. Any adjustments needed to the modeled expected losses in the quantitative calculations are addressed through a qualitative adjustment. The qualitative adjustment considers, among other things: certain portfolio characteristics and concentrations; collateral coverage; model limitations; idiosyncratic events; and other relevant criteria under banking supervisory guidance for the ACL. The qualitative adjustment also reflects the estimated impact of the pandemic on the economic forecasts and the impact on credit loss estimates. The total ACL is composed of the quantitative and qualitative components. Citi's qualitative component declined year-over- year, primarily driven by the incorporation of multiple macroeconomic scenarios in the quantitative component and releases of COVID-19–related uncertainty reserves as the portfolio continues to normalize toward pre-pandemic levels and as these risks are captured in the quantitative component of the ACL. See “Accounting Changes” below for information about how the calculation of the quantitative component of the ACL changed in 2022. Consumer Loans For consumer loans, most portfolios including North America cards, mortgages and personal installment loans (PILs) are covered by the PD, LGD and EAD loss forecasting models. Some smaller international portfolios are covered by econometric models where the gross credit loss (GCL) rate is forecasted. The modeling of all retail products is performed by examining risk drivers for a given portfolio; these drivers relate to exposures with similar credit risk characteristics and consider past events, current conditions and R&S forecasts. Under the PD x LGD x EAD approach, GCLs and recoveries are captured on an undiscounted basis. Citi incorporates expected recoveries on loans into its reserve estimate, including expected recoveries on assets previously written off. CECL defines the exposure’s expected life as the remaining contractual maturity including any expected prepayments. Subsequent changes to the contractual terms that are the result of a re-underwriting are not included in the loan’s expected CECL life. Citi does not establish reserves for the uncollectible accrued interest on non-revolving consumer products, such as mortgages and installment loans, which are subject to a non- accrual and timely write-off policy at 90 days past due. As such, only the principal balance is subject to the CECL reserve methodology and interest does not attract a further reserve. Deferred origination costs and fees related to new credit card account originations are amortized within a 12-month period, and an ACL is provided for components in the scope of the ASC. Separate valuation allowances are determined for impaired smaller-balance homogeneous loans whose terms have been modified in a TDR. Long-term modification programs, and short-term (less than 12 months) modifications that provide concessions (such as interest rate reductions) to borrowers in financial difficulty, are reported as TDRs. In addition, loan modifications that involve a trial period are reported as TDRs at the start of the trial period. The ACL for TDRs is determined using a discounted cash flow (DCF) approach. When a DCF approach is used, the initial allowance for ECLs is calculated as the expected contractual cash flows discounted at the loan’s original effective interest rate. DCF techniques are applied for consumer loans only if they are classified as TDR loan exposures. For credit cards, Citi uses the payment rate approach, which leverages payment rate curves, to determine the payments that should be applied to liquidate the end-of-period balance (CECL balance) in the estimation of EAD. The payment rate approach uses customer payment behavior (payment rate) to establish the portion of the CECL balance that will be paid each month. These payment rates are defined as the percentage of principal payments received in the respective month divided by the prior month’s billed principal balance. The liquidation (CECL payment) amount for each forecast period is determined by multiplying the CECL balance by that period’s forecasted payment rate. The cumulative sum of these payments less the CECL balance produces the balance liquidation curve. Citi does not apply a non-accrual policy to credit card receivables; rather, they are subject to full charge-off at 180 days past due or bankruptcy. As such, the entire customer balance up until write-off, 151 including accrued interest and fees, is subject to the CECL reserve methodology. Corporate Loans, HTM Securities and Other assets Citi records allowances for credit losses on all financial assets carried at amortized cost that are in the scope of CECL, including corporate loans classified as HFI, HTM debt securities and Other assets. Discounting techniques are applied for corporate loans classified as HFI and HTM securities and non-accrual/TDR loan exposures. All cash flows are fully discounted to the reporting date. The ACL includes Citi’s estimate of all credit losses expected to be incurred over the estimated full contractual life of the financial asset. The contractual life of the financial asset does not include expected extensions, renewals or modifications, except for instances where the Company reasonably expects to extend the tenor of the financial asset pursuant to a future TDR. Where Citi has an unconditional option to extend the contractual term, Citi does not consider the potential extension in determining the contractual term; however, where the borrower has the sole right to exercise the extension option without Citi’s approval, Citi does consider the potential extension in determining the contractual term. The decrease in credit losses under CECL at the date of adoption on January 1, 2020, compared with the prior incurred loss methodology, was largely due to more precise contractual maturities that resulted in shorter remaining tenors, the incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies. The Company primarily bases its ACL on models that assess the likelihood and severity of credit events and their impact on cash flows under R&S forecasted economic scenarios. Allowances consider the probability of the borrower’s default, the loss the Company would incur upon default and the borrower’s exposure at default. Such models discount the present value of all future cash flows, using the asset’s effective interest rate (EIR). Citi applies a more simplified approach based on historical loss rates to certain exposures recorded in Other assets and certain loan exposures in the private bank within Consumer loans. The Company considers the risk of nonpayment to be zero for U.S. Treasuries and U.S. government-sponsored agency guaranteed mortgage-backed securities (MBS) and, as such, Citi does not have an ACL for these securities. For all other HTM debt securities, ECLs are estimated using PD models and discounting techniques, which incorporate assumptions regarding the likelihood and severity of credit losses. For structured securities, specific models use relevant assumptions for the underlying collateral type. A discounting approach is applied to HTM direct obligations of a single issuer, similar to that used for corporate HFI loans. Other Financial Assets with Zero Expected Credit Losses For certain financial assets, zero expected credit losses will be recognized where the expectation of nonpayment of the amortized cost basis is zero, based on there being no history of loss and the nature of the receivables. Secured Financing Transactions Most of Citi’s reverse repurchase agreements, securities borrowing arrangements and margin loans require that the borrower continually adjust the amount of the collateral securing Citi’s interest, primarily resulting from changes in the fair value of such collateral. In such arrangements, ACLs are recorded based only on the amount by which the asset’s amortized cost basis exceeds the fair value of the collateral. No ACLs are recorded where the fair value of the collateral is equal to or exceeds the asset’s amortized cost basis, as Citi does not expect to incur credit losses on such well- collateralized exposures. For certain margin loans presented in Loans on the Consolidated Balance Sheet, ACLL is estimated using the same approach as corporate loans. Accrued Interest CECL permits entities to make an accounting policy election not to reserve for interest, if the entity has a policy in place that will result in timely reversal or write-off of interest. However, when a non-accrual or timely charge-off policy is not applied, an ACL is recognized on accrued interest at 90 days past due. For HTM debt securities, Citi established a non- accrual policy that results in timely write-off of accrued interest. For corporate loans, where a timely charge-off policy is used, Citi has elected to recognize an ACL on accrued interest receivable. The LGD models for corporate loans include an adjustment for estimated accrued interest. Reasonably Expected TDRs For corporate loans, the reasonable expectation of the TDR concept requires that the contractual life over which ECLs are estimated be extended when a TDR that results in a tenor extension is reasonably expected. Reasonably expected TDRs are included in the life of the asset. A discounting technique or collateral-dependent practical expedient is used for non- accrual and TDR loan exposures that do not share risk characteristics with other loans and are individually assessed. Loans modified in accordance with the CARES Act and bank regulatory guidance are not classified as TDRs. Purchased Credit-Deteriorated (PCD) Assets ASC 326 requires entities that have acquired financial assets (such as loans and HTM securities) with an intent to hold, to evaluate whether those assets have experienced a more-than- insignificant deterioration in credit quality since origination. These assets are subject to specialized accounting at initial recognition under CECL. Subsequent measurement of PCD assets will remain consistent with other purchased or originated assets, i.e., non-PCD assets. CECL introduces the notion of PCD assets, which replaces purchased credit impaired (PCI) accounting under prior U.S. GAAP. CECL requires the estimation of credit losses to be performed on a pool basis unless a PCD asset does not share characteristics with any pool. If certain PCD assets do not meet the conditions for aggregation, those PCD assets should be accounted for separately. This determination must be made at the date the PCD asset is purchased. In estimating ECLs from day 2 onward, pools can potentially be reassembled based upon similar risk characteristics. When PCD assets are pooled, Citi determines the amount of the initial ACL at the 152 pool level. The amount of the initial ACL for a PCD asset represents the portion of the total discount at acquisition that relates to credit and is recognized as a “gross-up” of the purchase price to arrive at the PCD asset’s (or pool’s) amortized cost. Any difference between the unpaid principal balance and the amortized cost is considered to be related to non-credit factors and results in a discount or premium, which is amortized to interest income over the life of the individual asset (or pool). Direct expenses incurred related to the acquisition of PCD assets and other assets and liabilities in a business combination are expensed as incurred. Subsequent accounting for acquired PCD assets is the same as the accounting for originated assets; changes in the allowance are recorded in Provisions for credit losses. Consumer Citi does not purchase whole portfolios of PCD assets in its retail businesses. However, there may be a small portion of a purchased portfolio that is identified as PCD at the purchase date. Interest income recognition does not vary between PCD and non-PCD assets. A consumer financial asset is considered to be more-than-insignificantly credit deteriorated if it is more than 30 days past due at the purchase date. Corporate Citi generally classifies wholesale loans and debt securities classified as HTM or AFS as PCD when both of the following criteria are met: (i) the purchase price discount is at least 10% of par and (ii) the purchase date is more than 90 days after the origination or issuance date. Citi classifies HTM beneficial interests rated AA- and lower obtained at origination from certain securitization transactions as PCD when there is a significant difference (i.e., 10% or greater) between contractual cash flows, adjusted for prepayments, and expected cash flows at the date of recognition. Reserve Estimates and Policies Management provides reserves for an estimate of lifetime ECLs in the funded loan portfolio on the Consolidated Balance Sheet in the form of an ACL. These reserves are established in accordance with Citigroup’s credit reserve policies, as approved by the Audit Committee of the Citigroup Board of Directors. Citi’s Chief Risk Officer and Chief Financial Officer review the adequacy of the credit loss reserves each quarter with risk management and finance representatives for each applicable business area. Applicable business areas include those having classifiably managed portfolios, where internal credit risk ratings are assigned (primarily ICG) and delinquency-managed portfolios (primarily PBWM) or modified consumer loans, where concessions were granted due to the borrowers’ financial difficulties. The aforementioned representatives for these business areas present recommended reserve balances for their funded and unfunded lending portfolios along with supporting quantitative and qualitative data discussed below. Estimated Credit Losses for Portfolios of Performing Exposures Risk management and finance representatives who cover business areas with delinquency-managed portfolios containing smaller-balance homogeneous loans present their recommended reserve balances based on leading credit indicators, including loan delinquencies and changes in portfolio size as well as economic trends, including current and future housing prices, unemployment, length of time in foreclosure, costs to sell and GDP. This methodology is applied separately for each product within each geographic region in which these portfolios exist. This evaluation process is subject to numerous estimates and judgments. Risk management and finance representatives who cover business areas with classifiably managed portfolios present their recommended reserve balances based on the frequency of default, risk ratings, loss recovery rates, size and diversity of individual large credits, and ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing. Changes in these estimates could have a direct impact on the credit costs in any period and could result in a change in the allowance. Allowance for Unfunded Lending Commitments Credit loss reserves are recognized on all off-balance sheet commitments that are not unconditionally cancelable. Corporate loan EAD models include an incremental usage factor (or credit conversion factor) to estimate ECLs on amounts undrawn at the reporting date. Off-balance sheet commitments include unfunded exposures, revolving facilities, securities underwriting commitments, letters of credit, HELOCs and financial guarantees (excluding performance guarantees). This reserve is classified on the Consolidated Balance Sheet in Other liabilities. Changes to the allowance for unfunded lending commitments are recorded in Provision for credit losses on unfunded lending commitments. Mortgage Servicing Rights (MSRs) Mortgage servicing rights (MSRs) are recognized as intangible assets when purchased or when the Company sells or securitizes loans acquired through purchase or origination and retains the right to service the loans. Mortgage servicing rights are accounted for at fair value, with changes in value recorded in Other revenue in the Company’s Consolidated Statement of Income. For additional information on the Company’s MSRs, see Notes 16 and 21. Goodwill Goodwill represents the excess of acquisition cost over the fair value of net tangible and intangible assets acquired in a business combination. Goodwill is subject to annual impairment testing and 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. Under ASC Topic 350, Intangibles—Goodwill and Other and upon the adoption of ASU No. 2017-04 on January 1, 2020, the Company has an option to assess qualitative factors to determine if it is necessary to perform the goodwill impairment test. If, after assessing the totality of events or circumstances, the Company determines that it is not more- likely-than-not that the fair value of a reporting unit is less than its carrying amount, no further testing is necessary. If, 153 however, the Company determines that it is more-likely-than- not that the fair value of a reporting unit is less than its carrying amount, then the Company must perform the quantitative test. The Company has an unconditional option to bypass the qualitative assessment for any reporting unit in any reporting period and proceed directly to the quantitative test. The quantitative test requires a comparison of the fair value of the individual reporting unit to its carrying value, including goodwill. If the fair value of the reporting unit is in excess of the carrying value, the related goodwill is considered not impaired and no further analysis is necessary. If the carrying value of the reporting unit exceeds the fair value, an impairment loss is recognized in an amount equal to that excess, limited to the total amount of goodwill allocated to that reporting unit. Upon any business disposition, goodwill is allocated to, and derecognized with, the disposed business based on the ratio of the fair value of the disposed business to the fair value of the reporting unit. Additional information on Citi’s goodwill impairment testing can be found in Note 16. Intangible Assets Intangible assets—including core deposit intangibles, present value of future profits, purchased credit card relationships, credit card contract-related intangibles, other customer relationships and other intangible assets, but excluding MSRs —are amortized over their estimated useful lives. Credit card contract-related intangibles include fixed and unconditional costs incurred to renew or extend the contract with a card partner. In estimating the useful life of a credit card contract- related intangible, the Company considers the probability of contract renewal or extension to determine the period that the asset is expected to contribute future cash flows. Intangible assets that are deemed to have indefinite useful lives, primarily trade names, are not amortized and are subject to annual impairment tests. An impairment exists if the carrying value of the indefinite-lived intangible asset exceeds its fair value. For other intangible assets subject to amortization, an impairment is recognized if the carrying amount is not recoverable and exceeds the fair value of the intangible asset. Premises and Equipment Premises and equipment includes lease right-of-use assets, property and equipment (including purchased and developed software), net of depreciation and amortization. Substantially all lease right-of-use assets are amortized on a straight-line basis over the lease term, and substantially all property and equipment is depreciated or amortized on a straight-line basis over the useful life of the asset. Other Assets and Other Liabilities Other assets include, among other items, loans HFS, deferred tax assets, equity method investments, interest and fees receivable, repossessed assets, other receivables, and assets from businesses classified as HFS that are reclassified from other balance sheet line items. Other liabilities include, among other items, accrued expenses, lease liabilities, deferred tax liabilities, reserves for legal claims and legal fee accruals, taxes, unfunded lending commitments, repositioning reserves, other payables, and liabilities from businesses classified as HFS that are reclassified from other balance sheet line items. Legal fee accruals are recognized as incurred. Other Real Estate Owned and Repossessed Assets Real estate or other assets received through foreclosure or repossession are generally reported in Other assets, net of a valuation allowance for selling costs and subsequent declines in fair value. Securitizations There are two key accounting determinations that must be made relating to securitizations. Citi first makes a determination as to whether the securitization entity must be consolidated. Second, it determines whether the transfer of financial assets to the entity is considered a sale under GAAP. If the securitization entity is a VIE, the Company consolidates the VIE if it is the primary beneficiary (as discussed in “Variable Interest Entities” above). For all other securitization entities determined not to be VIEs in which Citigroup participates, consolidation is based on which party has voting control of the entity, giving consideration to removal and liquidation rights in certain partnership structures. Only securitization entities controlled by Citigroup are consolidated. Interests in the securitized and sold assets may be retained in the form of subordinated or senior interest-only strips, subordinated tranches, spread accounts and servicing rights. In credit card securitizations, the Company retains a seller’s interest in the credit card receivables transferred to the trusts, which is not in securitized form. In the case of consolidated securitization entities, including the credit card trusts, these retained interests are not reported on Citi’s Consolidated Balance Sheet. The securitized loans remain on the balance sheet. Substantially all of the consumer loans sold or securitized through non-consolidated trusts by Citigroup are U.S. prime residential mortgage loans. Retained interests in non-consolidated mortgage securitization trusts are classified as Trading account assets, except for MSRs, which are included in Intangible assets on Citigroup’s Consolidated Balance Sheet. Debt Short-term borrowings and Long-term debt are accounted for at amortized cost, except where the Company has elected to report the debt instruments (including certain structured notes) at fair value, or debt that is in a fair value hedging relationship. Premiums, discounts and issuance costs on long-term debt accounted for at amortized cost are amortized over the contractual term using the effective interest method. Transfers of Financial Assets For a transfer of financial assets to be considered a sale, (i) the assets must be legally isolated from the Company, even in bankruptcy or other receivership, (ii) the purchaser must have the right to pledge or sell the assets transferred (or, if the purchaser is an entity whose sole purpose is to engage in securitization and asset-backed financing activities through the issuance of beneficial interests and that entity is constrained from pledging the assets it receives, each beneficial interest 154 holder must have the right to sell or pledge their beneficial interests) and (iii) the Company may not have an option or obligation to reacquire the assets. If these sale requirements are met, the assets are removed from the Company’s Consolidated Balance Sheet. If the conditions for sale are not met, the transfer is considered to be a secured borrowing, the assets remain on the Consolidated Balance Sheet and the sale proceeds are recognized as the Company’s liability. A legal opinion on a sale generally is obtained for complex transactions or where the Company has continuing involvement with assets transferred or with the securitization entity. For a transfer to be eligible for sale accounting, that opinion must state that the asset transfer would be considered a sale and that the assets transferred would not be consolidated with the Company’s other assets in the event of the Company’s insolvency. For a transfer of a portion of a financial asset to be considered a sale, the portion transferred must meet the definition of a participating interest. A participating interest must represent a pro rata ownership in an entire financial asset; all cash flows must be divided proportionately, with the same priority of payment; no participating interest in the transferred asset may be subordinated to the interest of another participating interest holder; and no party may have the right to pledge or exchange the entire financial asset unless all participating interest holders agree. Otherwise, the transfer is accounted for as a secured borrowing. See Note 22 for further discussion. Risk Management Activities—Derivatives Used for Hedging Purposes The Company manages its exposures to market movements outside of its trading activities by modifying the asset and liability mix, either directly or through the use of derivative financial products, including interest rate swaps, futures, forwards, purchased options and commodities, as well as foreign-exchange contracts. These end-user derivatives are carried at fair value in Trading account assets and Trading account liabilities. See Note 23 for a further discussion of the Company’s hedging and derivative activities. Instrument-Specific Credit Risk Citi presents separately in AOCI the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk, when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. Accordingly, the change in fair value of liabilities for which the fair value option was elected, related to changes in Citigroup’s own credit spreads, is presented in AOCI. Employee Benefits Expense Employee benefits expense includes current service costs of pension and other postretirement benefit plans (which are accrued on a current basis), contributions and unrestricted awards under other employee plans, the amortization of restricted stock awards and costs of other employee benefits. For its most significant pension and postretirement benefit plans (Significant Plans), Citigroup measures and discloses plan obligations, plan assets and periodic plan expense quarterly, instead of annually. The effect of remeasuring the Significant Plan obligations and assets by updating plan actuarial assumptions on a quarterly basis is reflected in Accumulated other comprehensive income (loss) and periodic plan expense. All other plans (All Other Plans) are remeasured annually. Benefits earned during the year are reported in Compensation and benefits expenses and all other components of the net annual benefit cost are reported in Other operating expenses in the Consolidated Statement of Income. See Note 8. Stock-Based Compensation The Company recognizes compensation expense related to stock awards over the requisite service period, generally based on the instruments’ grant-date fair value, reduced by actual forfeitures as they occur. Compensation cost related to awards granted to employees who meet certain age plus years-of- service requirements (retirement-eligible employees) is accrued in the year prior to the grant date, in the same manner as the accrual for cash incentive compensation. Certain stock awards with performance conditions or certain clawback provisions are subject to variable accounting, pursuant to which the associated compensation expense fluctuates with changes in Citigroup’s common stock price. See Note 7. Income Taxes The Company is subject to the income tax laws of the U.S. and its states and municipalities, as well as the non-U.S. jurisdictions in which it operates. These tax laws are complex and may be subject to different interpretations by the taxpayer and the relevant governmental taxing authorities. In establishing a provision for income tax expense, the Company must make judgments and interpretations about these tax laws. The Company must also make estimates about when in the future certain items will affect taxable income in the various tax jurisdictions, both domestic and foreign. Disputes over interpretations of the tax laws may be subject to review and adjudication by the court systems of the various tax jurisdictions or, may be settled with the taxing authority upon examination or audit. The Company treats interest and penalties on income taxes as a component of Income tax expense. Deferred taxes are recorded for the future consequences of events that have been recognized in financial statements or tax returns, based upon enacted tax laws and rates. Deferred tax assets are recognized subject to management’s judgment about whether realization is more-likely-than-not. ASC 740, Income Taxes, sets out a consistent framework to determine the appropriate level of tax reserves to maintain for uncertain tax positions. This interpretation uses a two-step approach wherein a tax benefit is recognized if a position is more-likely- than-not to be sustained. The amount of the benefit is then measured to be the highest tax benefit that is more than 50% likely to be realized. ASC 740 also sets out disclosure requirements to enhance transparency of an entity’s tax reserves. See Note 9 for a further description of the Company’s tax provision and related income tax assets and liabilities. 155 Commissions, Underwriting and Principal Transactions Commissions and fees revenues are recognized in income when earned. Underwriting revenues are recognized in income typically at the closing of the transaction. Principal transactions revenues are recognized in income on a trade- date basis. See Note 5 for a description of the Company’s revenue recognition policies for Commissions and fees, and Note 6 for details of Principal transactions revenue. Earnings per Share Earnings per share (EPS) is calculated using the two-class method. Under the two-class method, all earnings (distributed and undistributed) are allocated to common stock and participating securities. Undistributed earnings are calculated after deducting preferred stock dividends, any issuance cost incurred at the time of issuance of redeemed preferred stock and dividends paid and accrued to common stocks and RSU/ DSA share awards. Citi grants restricted and deferred share awards under its shares-based compensation programs, which entitle recipients to receive nonforfeitable dividends during the vesting period on a basis equivalent to dividends paid to holders of the Company’s common stock. These unvested awards meet the definition of participating securities based on their respective rights to receive nonforfeitable dividends, and they are treated as a separate class of securities and are not included in computing basic EPS. Diluted EPS incorporates the potential impact of contingently issuable shares, stock options and awards which require future service as a condition of delivery of the underlying common stock. Anti-dilutive options and warrants are disregarded in the EPS calculations. Diluted EPS is calculated under both the two-class and treasury stock methods, and the more dilutive amount is reported. Participating securities are not included as incremental shares in computing diluted EPS. Use of Estimates Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related Notes. Such estimates are used in connection with certain fair value measurements. See Note 25 for further discussions on estimates used in the determination of fair value. Moreover, estimates are significant in determining the amounts of other- than-temporary impairments, impairments of goodwill and other intangible assets, provisions for probable losses that may arise from credit-related exposures, probable and estimable losses related to litigation and regulatory proceedings, and income taxes. While management makes its best judgment, actual amounts or results could differ from those estimates. Cash Equivalents and Restricted Cash Flows Cash equivalents are defined as those amounts included in Cash and due from banks and Deposits with banks. Certain cash balances are restricted by regulatory or contractual requirements. See Note 27 for additional information on restricted cash. Related Party Transactions The Company has related party transactions with certain of its subsidiaries and affiliates. These transactions, which are primarily short-term in nature, include cash accounts, collateralized financing transactions, margin accounts, derivative transactions, charges for operational support and the borrowing and lending of funds, and are entered into in the ordinary course of business. ACCOUNTING CHANGES Reference Rate Reform On December 21, 2022, the Financial Accounting Standards Board (FASB) issued ASU No. 2022-06, Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848, which extends the period of time preparers can utilize the reference rate reform relief guidance. In 2020, the FASB issued ASU No. 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. In 2021, the U.K. Financial Conduct Authority (FCA) delayed the intended cessation date of certain tenors of USD LIBOR to June 30, 2023. To ensure the relief in Topic 848 covers the period of time during which a significant number of modifications may take place, the ASU defers the sunset date of Topic 848 from December 31, 2022 to December 31, 2024. The extension allows Citi to transition its remaining contracts and maintain hedge accounting. The ASU was adopted by Citi upon issuance and did not impact financial results in 2022. Voluntary Change in Goodwill Impairment Assessment Date During 2022, the Company voluntarily changed its annual goodwill impairment assessment date from July 1 to October 1. See Note 16 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 component of its qualitative management adjustment that reflects 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, while still retaining certain of its qualitative management adjustments. 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. 156 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 $1,207 million, $1,203 million and $781 million of deposit insurance expenses from Interest expense to Other operating expenses, for the years ended December 31, 2021, 2020 and 2019, respectively. This change had no impact on Citi’s net income or the total deposit insurance expense incurred by Citi. Accounting for Financial Instruments—Credit Losses Overview In June 2016, the FASB issued ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU introduced a new credit loss methodology, the CECL methodology, which requires earlier recognition of credit losses while also providing additional disclosure about credit risk. Citi adopted the ASU as of January 1, 2020, which, as discussed below, resulted in an increase in Citi’s Allowance for credit losses and a decrease to opening Retained earnings, net of deferred income taxes, at January 1, 2020. The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, HTM debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. The ACL is adjusted each period for changes in lifetime expected credit losses. The CECL methodology represents a significant change from prior U.S. GAAP and replaced the prior multiple existing impairment methods, which generally required that a loss be incurred before it was recognized. Within the life cycle of a loan or other financial asset, the methodology generally results in the earlier recognition of the provision for credit losses and the related ACL than prior U.S. GAAP. For available-for-sale debt securities where fair value is less than cost that Citi intends to hold or more-likely-than-not will not be required to sell, credit-related impairment, if any, is recognized through an ACL and adjusted each period for changes in credit risk. January 1, 2020 CECL Transition (Day 1) Impact The CECL methodology’s impact on expected credit losses, among other things, reflects Citi’s view of the current state of the economy, forecasted macroeconomic conditions and quality of Citi’s portfolios. At the January 1, 2020 date of adoption, based on forecasts of macroeconomic conditions and exposures at that time, the aggregate impact to Citi was an approximate $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the Allowance for credit losses for Citi’s consumer exposures, primarily driven by the impact on credit card receivables of longer estimated tenors under the CECL lifetime expected credit loss methodology (loss coverage of approximately 23 months) compared to shorter estimated tenors under the probable loss methodology under prior U.S. GAAP (loss coverage of approximately 14 months), net of recoveries, and (ii) a release of $0.8 billion of reserves primarily related to Citi’s corporate net loan loss exposures, largely due to more precise contractual maturities that result in shorter remaining tenors, incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies. Accounting for Variable Post-Charge-Off Third-Party Collection Costs During the second quarter of 2020, Citi changed its accounting for variable post-charge-off third-party collection costs, whereby these costs were accounted for as an increase in expenses as incurred rather than a reduction in expected credit recoveries. Citi concluded that such a change in the method of accounting is preferable in Citi’s circumstances as it better reflects the nature of these collection costs. That is, these costs do not represent reduced payments from borrowers and are similar to Citi’s other executory third-party vendor contracts that are accounted for as operating expenses as incurred. As a result of this change, Citi had a consumer ACL release of $426 million in the second quarter of 2020 for its U.S. cards portfolios and $122 million in the third quarter of 2020 for its international portfolios. In the fourth quarter of 2020, Citi revised the second quarter of 2020 accounting conclusion from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to opening retained earnings rather than net income, with retrospective application to the earliest period presented. Citi considered the guidance in ASC Topic 250, Accounting Changes and Error Corrections; ASC Topic 270, Interim Reporting; ASC Topic 250-S99-1, Assessing Materiality; and ASC Topic 250-S99-23, Accounting Changes Not Retroactively Applied Due to Immateriality, Considering the Effects of Prior Year Misstatements when Quantifying Misstatements in Current Year Financial Statements. Citi believes that the effects of the revisions were not material to any previously reported quarterly or annual period. As a result, Citi’s full-year and quarterly results were revised to reflect this change as if it were effective as of January 1, 2020 (impacts to 2018 and 2019 were de minimis). Accordingly, Citi recorded an increase to its beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million to its ACL. Further, Citi recorded a decrease of $18 million to its provisions for credit losses on loans in the first quarter of 2020 and an increase of $339 million and $122 million to its provisions for credit losses on loans in the second and third quarters of 2020, respectively. In addition, Citi’s operating expenses increased by $49 million and $45 million, with a corresponding decrease in net credit losses, in the first and second quarters of 2020, respectively. As a result of these changes, Citi’s net income for the year ended December 31, 2020 was $330 million lower, or $0.16 per share lower, than under the previous presentation as a change in accounting estimate effected by a change in accounting principle. 157 Statement of Cash Flows In the fourth quarter of 2022, Citi identified that certain 2021 and 2020 cash flows related to purchases of short-term negotiable certificates of deposit (NCD) and maturities of long-term NCDs were misclassified between purchases and maturities of AFS securities within investing activities and cash flows from operating activities, based on its accounting policy during those periods. As such, Citi revised its 2021 and 2020 cash flows within its 2022 Consolidated Statement of Cash Flows, as follows: In millions of dollars Other, net 2021 2020 As reported Revision As revised As reported Revision As revised $ (1,287) $ (16,115) $ (17,402) $ 4,113 $ (2,897) $ 1,216 Impact to cash from (used in) operating activities (16,115) (2,897) AFS purchases AFS maturities (222,095) 16,115 (205,980) (307,771) 970 (306,801) 120,936 — 120,936 109,014 1,927 110,941 Impact to cash from (used in) investing activities 16,115 2,897 After the revision, there were ($2) billion and ($30) million of net NCD cash flows presented within operating activities for 2021 and 2020, respectively. Citi evaluated the effect of the revision, both qualitatively and quantitatively, and concluded that the impact of the revision was not material. Subsequently, in the fourth quarter of 2022, Citi voluntarily changed its policy to instead present all short-term NCD cash flows in cash flows from investing activities within Other, net. Although immaterial, Citi has adjusted both 2021 and 2020 cash flows within the 2022 Consolidated Statement of Cash Flows in accordance with this change in presentation. After considering the impact of the revision described above, the impact of the change in presentation resulted in immaterial increases in cash flows from operating activities and corresponding decreases in cash flows from investing activities of $2 billion and $30 million in 2021 and 2020, respectively. 158 FUTURE ACCOUNTING CHANGES TDRs 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 adopted the ASU on January 1, 2023. The ASU eliminates the accounting and disclosure requirements for TDRs, including the requirement to measure the ACLL for TDRs using a discounted cash flow (DCF) approach. Citi adopted the guidance on the recognition and measurement of TDRs under the modified retrospective approach. Upon adoption, Citi discontinued the use of a DCF approach for consumer loans formerly considered TDRs. Beginning January 1, 2023, Citi measured the ACLL for all consumer loans under approaches that do not incorporate discounting, primarily utilizing models that consider the borrowers’ probability of default, loss given default and exposure at default. This change resulted in a decrease to the ACLL and deferred tax assets of approximately $350 million and $100 million, respectively, and an increase to retained earnings and other assets of approximately $300 million and $50 million, respectively, on January 1, 2023. The ACLL for corporate loans was unaffected because the measurement approach used for corporate loans is not in the scope of this ASU. The ASU also requires disclosure of modifications of loans to borrowers experiencing financial difficulty if the modification involves principal forgiveness, an interest rate reduction, an other-than-insignificant payment delay, a term extension or a combination of those types of modifications. In addition, the ASU requires the disclosure of current-period gross write-offs by year of loan origination (vintage). The amendments related to disclosures are required to be applied prospectively beginning as of the date of adoption. Citi will present the new disclosures for periods beginning on and after January 1, 2023. Fair Value Hedging—Portfolio Layer Method In March 2022, the FASB issued ASU No. 2022-01, Derivatives and Hedging (Topic 815): Fair Value Hedging— Portfolio Layer Method, intended to better align hedge accounting with an organization’s risk management strategies. Specifically, the guidance expands the current single-layer method to allow multiple hedge layers of a single closed portfolio of qualifying assets, which include both prepayable and non-prepayable assets. Upon the adoption of the guidance, entities may elect to reclassify securities held-to-maturity to the available-for-sale category provided that the reclassified securities are designated in a portfolio hedge. Coincident with the adoption of this ASU, on January 1, 2023, Citi transferred HTM mortgage-backed securities with an amortized cost and fair value of approximately $3.3 billion and $3.4 billion, respectively, into AFS as permitted under the guidance, and hedged them under the portfolio layer method. Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions In June 2022, the FASB issued ASU No. 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 Citi 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. 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 are impacted by the requirements of ASU 2018-12. The effective date of ASU 2018-12 was deferred for all insurance entities by ASU 2019-09, Finance Services— Insurance: Effective Date (issued in October 2019) and by ASU 2020-11, Financial Services—Insurance: Effective Date and Early Application (issued in November 2020). Citi adopted the targeted improvements in ASU 2018-12 on January 1, 2023. There was no material impact to Citi’s financial position upon adoption, and Citi expects no material impact to its results of operations as a result of adopting the amendments. 159 2. DISCONTINUED OPERATIONS, SIGNIFICANT DISPOSALS AND OTHER BUSINESS EXITS Summary of Discontinued Operations The Company’s results from Discontinued operations consisted of residual activities related to the sales of the Egg Banking plc credit card business in 2011 and the German retail banking business in 2008. All Discontinued operations results are recorded within Corporate/Other. The following table summarizes financial information for all Discontinued operations: In millions of dollars 2022 2021 2020 Total revenues, net of interest expense $ (260) $ — $ — Income (loss) from discontinued operations Benefit for income taxes Income (loss) from discontinued operations, net of taxes $ (272) $ 7 $ (20) (41) — — $ (231) $ 7 $ (20) During 2022, the Company settled 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 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 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 2022, triggering the release of the CTA loss to earnings. Cash flows from Discontinued operations were not material for any period presented. 160 Significant Disposals As of December 31, 2022, Citi had entered into sale agreements for nine consumer banking businesses within Legacy Franchises. Australia closed in the second quarter of 2022, the Philippines closed in the third quarter of 2022, and Bahrain, Malaysia and Thailand each closed in the fourth quarter of 2022. Entry of sale agreements for the other four consumer banking businesses has resulted in the reclassification to HFS on the Consolidated Balance Sheet of approximately $20 billion in assets within Other assets, including approximately $12 billion of loans (net of allowance of $164 million), and approximately $17 billion in liabilities within Other liabilities, including approximately $16 billion in deposits. Of the nine sale agreements, the five below were identified as significant disposals as of December 31, 2022. The Taiwan and India sales have yet to close and are subject to regulatory approvals and other closing conditions, as are the potential sales of the Poland and Mexico consumer banking businesses. In millions of dollars Assets Liabilities December 31, 2022 Consumer banking business in Sale agreement date Cash and deposits with banks Loans(1) Goodwill Other assets, advances to/from subsidiaries Expected close closed Other assets Total assets Deposits Long- term debt Other liabilities Total liabilities Australia(2) 8/9/21 6/1/2022 $ — $ — $ — $ — $ — $ — $ — $ — $ — $ Philippines(3) 12/23/21 closed 8/1/2022 closed — — — — — — — — — Thailand(4) 1/14/22 11/1/2022 $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — — — Taiwan(5) 1/28/22 India(5) 3/30/22 second half 2023 first half 2023 123 7,865 202 4,758 198 13,146 10,049 — 237 10,286 25 3,423 329 1,924 114 5,815 5,266 — 204 5,470 In millions of dollars Australia(2) Philippines(3) Thailand(4) Taiwan India Income (loss) before taxes(6) 2021 2020 2022 $ 193 $ 306 $ 72 122 140 194 145 139 282 213 181 42 93 311 117 (1) Loans, net of allowance as of December 31, 2022 includes $64 million and $37 million for Taiwan and India, respectively. (2) On June 1, 2022, Citi completed the sale of its Australia consumer banking business, which was part of Legacy Franchises. The 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 $760 million ($640 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 CTA loss (net of hedges) ($470 million after-tax) already reflected in the AOCI component of equity. The sale closed on June 1, 2022, and the CTA-related balance was removed from AOCI, resulting in a neutral CTA impact to Citi’s CET1 Capital. The income before taxes shown in the above table for Australia reflects Citi’s ownership through June 1, 2022. (3) On August 1, 2022, Citi completed the sale of its Philippines consumer banking business, which was part of Legacy Franchises. The 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 $618 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. (4) On November 1, 2022, Citi completed the sale of its Thailand consumer banking business, which was part of Legacy Franchises. The business had approximately $2.7 billion in assets, including $2.4 billion of loans (net of allowance of $67 million) and excluding goodwill. The total amount of liabilities was $1.0 billion, including $0.8 billion in deposits. The sale resulted in a pretax gain on sale of approximately $209 million ($115 million after-tax), subject to closing adjustments, recorded in Other revenue. The income before taxes shown in the above table for Thailand reflects Citi’s ownership through November 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 and Thailand, excludes the pretax gain on sale. Citi did not have any other significant disposals as of December 31, 2022. 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. 161 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 dollars Total Citigroup (pretax) Original charges in fourth quarter 2021 $ Utilization Foreign exchange Balance at December 31, 2021 Additional charges in first quarter 2022 Utilization Foreign exchange Balance at March 31, 2022 Additional charges (releases) Utilization Foreign exchange Balance at June 30, 2022 Additional charges (releases) Utilization Foreign exchange Balance at September 30, 2022 $ $ $ $ $ $ $ Employee termination costs 1,052 (1) 3 1,054 31 (347) (24) 714 (3) (670) (41) — — — — — 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 announced 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. 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 December 12, 2022, Citi completed the sale of a portfolio of ruble-denominated personal installment loans, totaling approximately $240 million in outstanding loan balances, to Uralsib, a Russian commercial bank, resulting in a pretax net loss of approximately $12 million. The net loss on sale of the loan portfolio included a $32 million adjustment to record the loans at lower of cost or fair value recognized in Other revenue. In addition, the sale of the loans resulted in a release in the allowance for credit losses on loans of approximately $20 million recognized in the Provision for credit losses on loans. 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 $219 million as of the fourth 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. During 2022, Citi recorded a pretax charge of approximately $28 million as Compensation and benefits composed of severance costs reported in the Legacy Franchises operating segment and Institutional Clients Group. In connection with the wind-down plans of the Russia consumer and institutional banking businesses, Citi expects to incur approximately $190 million in costs, primarily through 2024, largely driven by restructuring, vendor termination fees and other related charges. These costs do not include the impact of any potential portfolio sales. 162 Revenues and expenses directly associated with each respective business segment or component are included in determining respective operating results. Other revenues and expenses that are not directly attributable to a particular business segment or component are generally allocated from Corporate/Other based on respective net revenues, non- interest expenses or other relevant measures. As a result of revenues and expenses from transactions with other operating segments or component being treated as transactions with external parties for purposes of segment disclosures, the Company includes intersegment eliminations within Corporate/Other to reconcile the business segment results to Citi’s consolidated results. The accounting policies of these operating segments are the same as those disclosed in Note 1. 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, manages the Company, including allocating resources and measuring 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. 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 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. 163 The following table presents certain information regarding the Company’s continuing operations by operating segment and Corporate/ Other: In millions of dollars, except identifiable assets, average loans and average deposits in billions Net interest income Non-interest revenue Total revenues, net of interest expense(1) ICG PBWM Legacy Franchises Corporate/Other Total Citi 2022 2021 2020 2022 2021 2020 2022 2021 2020 2022 2021 2020 2022 2021 2020 $ 17,911 $ 14,999 $ 15,750 $ 22,656 $ 20,646 $ 22,326 $ 5,691 $ 6,250 $ 6,973 $ 2,410 $ 599 $ (298) $ 48,668 $ 42,494 $ 44,751 23,295 24,837 25,343 1,561 2,681 2,814 2,781 2,001 2,481 (967) (129) 112 26,670 29,390 30,750 $ 41,206 $ 39,836 $ 41,093 $ 24,217 $ 23,327 $ 25,140 $ 8,472 $ 8,251 $ 9,454 $ 1,443 $ 470 $ (186) $ 75,338 $ 71,884 $ 75,501 Operating expense 26,299 23,949 22,336 16,258 14,610 13,599 7,782 8,259 6,890 953 1,375 1,549 51,292 48,193 44,374 Provisions for credit losses Income (loss) from continuing operations before taxes Provision (benefits) for income taxes Income (loss) from continuing operations Identifiable assets at December 31(2) 911 (2,490) 4,869 3,754 (1,224) 9,885 571 (62) 2,739 3 (2) 2 5,239 (3,778) 17,495 $ 13,996 $ 18,377 $ 13,888 $ 4,205 $ 9,941 $ 1,656 $ 119 $ 54 $ (175) $ 487 $ (903) $ (1,737) $ 18,807 $ 27,469 $ 13,632 3,258 4,069 3,077 886 2,207 334 128 63 (33) (630) (888) (853) 3,642 5,451 2,525 $ 10,738 $ 14,308 $ 10,811 $ 3,319 $ 7,734 $ 1,322 $ (9) $ (9) $ (142) $ 1,117 $ (15) $ (884) $ 15,165 $ 22,018 $ 11,107 $ 1,730 $ 1,613 $ 1,592 $ 494 $ 464 $ 453 $ 97 $ 125 $ 131 $ 96 $ 89 $ 84 $ 2,417 $ 2,291 $ 2,260 Average loans 291 287 298 321 307 304 Average deposits 830 828 780 435 417 358 41 52 74 82 83 — — — 653 668 685 81 16 8 11 1,333 1,335 1,230 (1) (2) Includes total Citi revenues, net of interest expense (excluding Corporate/Other), in North America of $34.4 billion, $34.4 billion and $37.1 billion; in EMEA of $14.9 billion, $13.4 billion and $13.4 billion; in Latin America of $9.9 billion, $9.2 billion and $9.4 billion; and in Asia of $14.7 billion, $14.4 billion and $15.8 billion in 2022, 2021 and 2020, respectively. These regional numbers exclude Corporate/Other, which largely reflects U.S. activities. Includes total Citi identifiable assets (excluding Corporate/Other), in North America of $776 billion, $709 billion and $741 billion; in EMEA of $773 billion, $742 billion and $684 billion; in Latin America of $184 billion, $179 billion and $180 billion; and in Asia of $588 billion, $572 billion and $572 billion in 2022, 2021 and 2020, respectively. These regional numbers exclude Corporate/Other, which largely reflects U.S. activities. The Company’s long-lived assets for the periods presented are not considered to be significant in relation to its total assets. The majority of Citi’s long-lived assets are located in the U.S. 164 4. INTEREST REVENUE AND EXPENSE Interest revenue and Interest expense consisted of the following: In millions of dollars Interest revenue Consumer loans Corporate loans Loan interest, including fees Deposits with banks Securities borrowed and purchased under agreements to resell Investments, including dividends Trading account assets(1) Other interest-bearing assets(2) Total interest revenue Interest expense Deposits Securities loaned and sold under agreements to repurchase Trading account liabilities(1) Short-term borrowings and other interest-bearing liabilities(3) Long-term debt Total interest expense Net interest income Provision (benefit) for credit losses on loans Net interest income after provision for credit losses on loans 2022 2021 2020 28,391 $ 26,408 $ 12,851 9,032 41,242 $ 35,440 $ 4,515 7,154 11,214 7,418 2,865 577 1,052 7,388 5,365 653 27,763 12,422 40,185 928 2,283 7,989 6,125 579 74,408 $ 50,475 $ 58,089 11,559 $ 4,455 1,437 2,488 5,801 25,740 $ 48,668 $ 4,745 2,896 $ 1,012 482 121 3,470 7,981 $ 42,494 $ (3,103) 43,923 $ 45,597 $ 5,334 2,077 628 630 4,669 13,338 44,751 15,922 28,829 $ $ $ $ $ $ $ (1) (2) (3) 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. Includes assets from businesses held-for-sale (see Note 2) and Brokerage receivables. Includes liabilities from businesses held-for-sale (see Note 2) and Brokerage payables. 165 less predefined program expenses. In most of Citi’s partner sharing agreements, program expenses include net credit losses, which, to the extent that the increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions. Interchange revenues are recognized as earned on a daily basis when Citi’s performance obligation to transmit funds to the payment networks has been satisfied. Annual card fees, net of origination costs, are deferred and amortized on a straight-line basis over a 12- month period. Costs related to card reward programs are recognized when the rewards are earned by the cardholders. Payments to partners are recognized when incurred. Deposit-related fees consist of service charges on deposit accounts and fees earned from performing cash management activities and other deposit account services. Such fees are recognized in the period in which the related service is provided. Transactional service fees primarily consist of fees charged for processing services such as cash management, global payments, clearing, international funds transfer and other trade services. Such fees are recognized as/when the associated service is satisfied, which normally occurs at the point in time the service is requested by the customer and provided by Citi. Insurance distribution revenue consists of commissions earned from third-party insurance companies for marketing and selling insurance policies on behalf of such entities. Such commissions are recognized in Commissions and fees at the point in time the associated service is fulfilled, generally when the insurance policy is sold to the policyholder. Sales of certain insurance products include a portion of variable consideration associated with the underlying product. In these instances, a portion of the revenue associated with the sale of the policy is not recognized until the variable consideration becomes fixed and determinable. The Company recognized $201 million, $260 million and $290 million of revenue related to such variable consideration for the years ended December 31, 2022, 2021 and 2020, respectively. These amounts primarily relate to performance obligations satisfied in prior periods. Insurance premiums consist of premium income from insurance policies that Citi has underwritten and sold to policyholders. 5. COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES Commissions and Fees The primary components of Commissions and fees revenue are investment banking fees, brokerage commissions, credit card and bank card income and deposit-related fees. Investment banking fees are substantially composed of underwriting and advisory revenues. Such fees are recognized at the point in time when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the closing of a transaction. Reimbursed expenses related to these transactions are recorded as revenue and are included within investment banking fees. In certain instances for advisory contracts, Citi will receive amounts in advance of the deal’s closing. In these instances, the amounts received will be recognized as a liability and not recognized in revenue until the transaction closes. For the periods presented, the contract liability amount was negligible. Out-of-pocket expenses associated with underwriting activity are deferred and recognized at the time the related revenue is recognized, while out-of-pocket expenses associated with advisory arrangements are expensed as incurred. In general, expenses incurred related to investment banking transactions, whether consummated or not, are recorded in Other operating expenses. The Company has determined that it acts as principal in the majority of these transactions and therefore presents expenses gross within Other operating expenses. Brokerage commissions primarily include commissions and fees from the following: executing transactions for clients on exchanges and over-the-counter markets; sales of mutual funds and other annuity products; and assisting clients in clearing transactions, providing brokerage services and other such activities. Brokerage commissions are recognized in Commissions and fees at the point in time the associated service is fulfilled, generally on the trade execution date. Sales of certain investment products include a portion of variable consideration associated with the underlying product. In these instances, a portion of the revenue associated with the sale of the product is not recognized until the variable consideration becomes fixed and determinable. The Company recognized $538 million, $639 million and $495 million of revenue related to such variable consideration for the years ended December 31, 2022, 2021 and 2020, respectively. These amounts primarily relate to performance obligations satisfied in prior periods. Credit card and bank card income is primarily composed of interchange fees, which are earned by card issuers based on purchase sales, and certain card fees, including annual fees. Costs related to customer reward programs and certain payments to partners (primarily based on program sales, profitability and customer acquisitions) are recorded as a reduction of credit card and bank card income. Citi’s credit card programs have certain partner sharing agreements that vary by partner. These partner sharing 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 166 The following table presents Commissions and fees revenue: In millions of dollars Investment banking Brokerage commissions Credit and bank card income Interchange fees Card-related loan fees Card rewards and partner payments(1) Deposit-related fees(2) Transactional service fees Corporate finance(3) Insurance distribution revenue Insurance premiums Loan servicing Other Total commissions and fees(4) 2022 2021 2020 ICG PBWM LF Total ICG PBWM LF Total ICG PBWM LF Total $ 3,084 $ — $ — $ 3,084 $ 6,007 $ — $ — $ 6,007 $ 4,483 $ — $ — $ 4,483 1,570 767 209 2,546 1,770 1,035 431 3,236 1,700 874 386 2,960 1,207 9,452 846 11,505 817 8,119 885 9,821 704 6,526 774 8,004 44 256 289 589 27 292 376 695 22 241 386 649 (625) (11,133) (578) (12,336) (405) (9,296) (534) (10,235) (380) (7,688) (605) (8,673) 1,061 157 56 1,274 1,034 196 101 1,331 936 255 143 1,334 1,057 17 95 1,169 968 22 108 1,098 857 20 97 974 454 4 — 458 705 4 — 709 453 4 — 457 — 217 129 346 — 309 164 473 — 318 185 503 — 39 20 4 48 87 16 185 141 91 103 346 — 43 20 10 38 84 17 94 98 186 139 345 — 80 15 6 28 300 119 29 117 125 137 432 $ 7,911 $ (26) $ 1,290 $ 9,175 $ 10,986 $ 915 $ 1,771 $ 13,672 $ 8,870 $ 884 $ 1,631 $ 11,385 (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 an increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions. Includes overdraft fees of $59 million (prior to the elimination of overdraft fees in June 2022), $107 million and $100 million for the years ended December 31, 2022, 2021 and 2020, respectively. Overdraft fees are accounted for under ASC 310. Citi eliminated overdraft fees, returned item fees and overdraft protection fees beginning in June 2022. (2) (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 $(11,008) million, $(8,516) million and $(7,160) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the years ended December 31, 2022, 2021 and 2020, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees. LF Legacy Franchises 167 Administration and Other Fiduciary Fees Administration and other fiduciary fees revenue is primarily composed of custody fees and fiduciary fees. The custody product is composed of numerous services related to the administration, safekeeping and reporting for both U.S. and non-U.S. denominated securities. The services offered to clients include trade settlement, safekeeping, income collection, corporate action notification, record- keeping and reporting, tax reporting and cash management. These services are provided for a wide range of securities, including but not limited to equities, municipal and corporate bonds, mortgage- and asset-backed securities, money market instruments, U.S. Treasuries and agencies, derivative instruments, mutual funds, alternative investments and precious metals. Custody fees are recognized as or when the associated promised service is satisfied, which normally occurs at the point in time the service is requested by the customer and provided by Citi. Fiduciary fees consist of trust services and investment management services. As an escrow agent, Citi receives, safekeeps, services and manages clients’ escrowed assets, such as cash, securities, property (including intellectual property), contracts or other collateral. Citi performs its escrow agent duties by safekeeping the assets during the specified time period agreed upon by all parties and therefore earns its revenue evenly during the contract duration. Investment management services consist of managing assets on behalf of Citi’s retail and institutional clients. Revenue from these services primarily consists of asset-based fees for advisory accounts, which are based on the market value of the client’s assets and recognized monthly, when the market value is fixed. In some instances, the Company contracts with third-party advisors and with third-party custodians. The Company has determined that it acts as principal in the majority of these transactions and therefore presents the amounts paid to third parties gross within Other operating expenses. The following table presents Administration and other fiduciary fees revenue: In millions of dollars Custody fees(1) Fiduciary fees Guarantee fees Total administration and other fiduciary fees(2) 2022 2021 2020 ICG PBWM LF Total ICG PBWM LF Total ICG PBWM LF Total $ 1,781 $ 87 $ 9 $ 1,877 $ 1,793 $ 91 $ 14 $ 1,898 $ 1,557 $ 80 $ 20 $ 1,657 284 508 752 314 1,350 250 778 436 1,464 234 623 417 1,274 43 6 557 528 45 8 581 495 38 8 541 $ 2,573 $ 882 $ 329 $ 3,784 $ 2,571 $ 914 $ 458 $ 3,943 $ 2,286 $ 741 $ 445 $ 3,472 ICG in 2020 includes $38 million related to Corporate/Other. (1) (2) Administration and other fiduciary fees include $557 million, $581 million and $541 million for the years ended December 31, 2022, 2021 and 2020, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These generally include guarantee fees. LF Legacy Franchises 168 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 (as such, the trading desks can be periodically reorganized and thus the risk categories). 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 25. In certain transactions, Citi incurs fees and presents these fees paid to third parties in operating expenses. The following table presents Principal transactions revenue: In millions of dollars Interest rate risks(1) Foreign exchange risks(2) Equity risks(3) Commodity and other risks(4) Credit products and risks(5) Total 2022 2021 2020 $ 3,940 $ 1,993 $ 6,593 1,858 1,801 (33) 4,668 2,197 1,123 173 4,668 4,923 1,431 1,140 1,723 $ 14,159 $ 10,154 $ 13,885 (1) (2) (3) 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. Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses. 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. 169 7. INCENTIVE PLANS Discretionary Annual Incentive Awards Citigroup grants immediate cash bonus payments and various forms of immediate and deferred awards as part of its discretionary annual incentive award program involving a large segment of Citigroup’s employees worldwide. Discretionary annual incentive awards are generally awarded in the first quarter of the year based on the previous year’s performance. Awards valued at less than U.S. $75,000 (or the local currency equivalent) are generally paid entirely in the form of an immediate cash bonus. Pursuant to Citigroup policy and/or regulatory requirements, certain employees are subject to mandatory deferrals of incentive pay and generally receive 15%–60% of their awards in the form of deferred stock or deferred cash stock units. Discretionary annual incentive awards to certain employees in the EU are subject to deferral requirements regardless of the total award value, with at least 50% of the immediate incentive delivered in the form of a stock payment award subject to a restriction on sale or transfer (generally, for 12 months). For incentive awards granted in 2022, Citigroup changed the annual deferred compensation structure from granting deferred cash awards for certain regulated employees to deferred stock awards. Certain employees located in countries that have regulations or tax advantages for offering deferred cash or deferred cash stock units received those types of awards as a part of their annual incentive compensation rather than deferred stock. Subject to certain exceptions (principally, for retirement- eligible employees), continuous employment within Citigroup is required to vest in deferred annual incentive awards. Post employment vesting by retirement-eligible employees and participants who meet other conditions is generally conditioned upon their compliance with certain restrictions during the remaining vesting period. Generally, the deferred awards vest in equal annual installments over three- or four-year periods. Vested stock awards are delivered in shares of common stock. Deferred cash awards are payable in cash and, except as prohibited by applicable regulatory guidance, earn a fixed notional rate of interest that is paid only if and when the underlying principal award amount vests. Deferred cash stock unit awards are payable in cash at the vesting value of the underlying stock. Generally, in the EU, vested shares are subject to a restriction on sale or transfer after vesting, and vested deferred cash awards and deferred cash stock units are subject to hold back (generally, for 6 or 12 months based on the award type). Stock awards, deferred cash stock units and deferred cash awards are subject to one or more cancellation and clawback provisions that apply in certain circumstances, including gross misconduct. Outstanding (Unvested) Stock Awards A summary of the status of unvested stock awards granted as discretionary annual incentive or sign-on and replacement awards is presented below: Unvested stock awards Shares Weighted- average grant date fair value per share Unvested at December 31, 2021 Granted(1) Canceled Vested(2) Unvested at December 31, 2022 31,644,684 $ 25,729,643 (2,007,260) (13,458,860) 41,908,207 $ 66.22 65.07 65.94 67.17 65.23 (1) The weighted-average fair value of the shares granted during 2021 and 2020 was $62.10 and $76.68, respectively. (2) The weighted-average fair value of the shares vesting during 2022 was approximately $64.13 per share on the vesting date, compared to $67.17 on the grant date. Total unrecognized compensation cost related to unvested stock awards was $862 million at December 31, 2022. The cost is expected to be recognized over a weighted-average period of 1.7 years. Performance Share Units Executive officers were awarded performance share units (PSUs) every February from 2019 to 2022, for performance in the year prior to the award date based on two performance metrics. For PSUs awarded in 2019 and 2020, those metrics were return on tangible common equity and earnings per share. For PSUs awards in 2021 and 2022, the metrics were return on tangible common equity and tangible book value per share. In each year, the metrics were equally weighted. For all award years, if the total shareholder return is negative over the three-year performance period, executives may earn no more than 100% of the target PSUs, regardless of the extent to which Citigroup outperforms against performance goals and/or peer firms. The number of PSUs ultimately earned could vary from zero, if performance goals are not met, to as much as 150% of target, if performance goals are meaningfully exceeded. The reported financial metrics during the performance period are adjusted to reflect an equitable adjustment as required under the applicable award agreements for unusual and non-recurring items, including divestitures, as well as accounting rule and tax law changes. For all award years, the value of each PSU is equal to the value of one share of Citi common stock. Dividend equivalents are accrued and paid on the number of earned PSUs after the end of the performance period. 170 PSUs are subject to variable accounting, pursuant to which the associated value of the award will fluctuate with changes in Citigroup’s stock price and the attainment of the specified performance goals for each award. The award is settled solely in cash after the end of each performance period. The value of the award, subject to the performance goals and taking into account any mandatory equitable adjustments as per the terms of the award agreement, is estimated using a simulation model that incorporates multiple valuation assumptions, including the probability of achieving the specified performance goals of each award. The risk-free rate used in the model is based on the applicable U.S. Treasury yield curve. Other significant assumptions for the awards are as follows: Valuation assumptions 2022 2021 2020 Expected volatility 37.01 % 40.88 % 22.26 % Expected dividend yield 2.96 4.21 2.82 A summary of the performance share unit activity for 2022 is presented below: Performance share units Units Weighted- average grant date fair value per unit Outstanding, beginning of year Granted(1) Canceled Payments(2) Outstanding, end of year 1,274,273 $ 531,824 (62,875) (461,087) 1,282,135 $ 77.67 71.04 72.83 72.83 76.90 (1) The weighted-average grant date fair value per unit awarded in 2021 and 2020 was $78.55 and $83.45, respectively. (2) The value of the payments was approximately $32 million. Transformation Program In order to provide an incentive for select employees to effectively execute Citi’s transformation program, in August 2021 the Personnel and Compensation (P&C) Committee of Citigroup’s Board of Directors, the predecessor of the Compensation, Performance Management and Culture (CPC) Committee of Citigroup’s Board of Directors, approved a program for them to earn additional compensation based on the achievement of Citi’s transformation goals from August 2021 through December 2024 and satisfaction of other conditions. Performance under the program is divided into three consecutive periods, ending on December 31, 2022, 2023 and 2024. The awards are subject to variable accounting, pursuant to which the associated value of the award will fluctuate with the attainment of the performance conditions for each tranche and changes to Citigroup’s stock price for the third tranche. Payment for each period will be in cash, in a lump sum, with the third payment indexed to changes in the value of Citi’s common stock from the service inception date through the payment date. Earnings generally will be based on collective performance with respect to Citi’s transformation goals and will be evaluated and approved by the CPC Committee on an annual basis. 171 Payments in the event of any category of employment termination or change in job title or employment status are subject to Citi’s discretion. Cancellation and clawback are provided for in the event of misconduct and certain other circumstances. The program applies to senior leaders, other than the CEO, critical to helping deliver a successful transformation with the value varying based on individual compensation levels. Stock Option Program All outstanding options were fully vested at December 31, 2020 and exercised during 2021, with none outstanding at December 31, 2022 and 2021. Other Variable Incentive Compensation Citigroup has various incentive plans globally that are used to motivate and reward performance primarily in the areas of sales, operational excellence and customer satisfaction. Participation in these plans is generally limited to employees who are not eligible for discretionary annual incentive awards. Other forms of variable compensation include commissions paid to financial advisors and mortgage loan officers. Summary Except for awards subject to variable accounting, the total expense recognized for stock awards represents the grant date fair value of such awards, which is generally recognized as a charge to income ratably over the vesting period, other than for awards to retirement-eligible employees and immediately vested awards. Whenever awards are granted or are expected to be granted to retirement-eligible employees, the charge to income is accelerated based on when the applicable conditions for retirement eligibility were or will be met. If the employee is retirement eligible on the grant date, or the award is vested at the grant date, Citi recognizes the expense each year equal to the grant date fair value of the awards that it estimates will be granted in the following year. Recipients of Citigroup stock awards generally do not have any stockholder rights until shares are delivered upon vesting or exercise. Recipients of deferred stock awards and deferred cash stock unit awards, however, may, except as prohibited by applicable regulatory guidance, be entitled to receive or accrue dividend-equivalent payments during the vesting period. Recipients of stock payment awards and other stock awards subject to a sale-restriction period are generally entitled to vote the shares in their award and receive dividends on such shares during the sale-restriction period. Once a stock award vests, the shares delivered to the participant are freely transferable, unless they are subject to a restriction on sale or transfer for a specified period. All equity awards granted since April 19, 2005 have been made pursuant to stockholder-approved stock incentive plans that are administered by the CPC Committee (or its predecessor), which is composed entirely of independent non- employee directors. On December 31, 2022, approximately 48.0 million shares of Citigroup common stock were authorized and available for grant under Citigroup’s 2019 Stock Incentive Plan, the only plan from which equity awards are currently granted. The 2019 Stock Incentive Plan and predecessor plans permit the use of treasury stock or newly issued shares in connection with awards granted under the plans. Treasury shares were used to settle vestings from 2018 to 2021, and for the first quarter of 2022, except where local laws favor newly issued shares. The use of treasury stock or newly issued shares to settle stock awards does not affect the compensation expense recorded in the Consolidated Statement of Income for equity awards. Incentive Compensation Cost The following table shows components of compensation expense, relating to certain of the incentive compensation programs described above: In millions of dollars 2022 2021 2020 Charges for estimated awards to retirement-eligible employees Amortization of deferred cash awards, deferred cash stock units and performance stock units Immediately vested stock award expense(1) Amortization of restricted and deferred stock awards(2) Other variable incentive compensation Total $ 742 $ 807 $ 748 463 384 201 101 99 95 533 395 420 304 435 627 $ 2,143 $ 2,120 $ 2,091 (1) Represents expense for immediately vested stock awards that generally were stock payments in lieu of cash compensation. The expense is generally accrued as cash incentive compensation in the year prior to grant. (2) All periods include amortization expense for all unvested awards to non- retirement-eligible employees. 172 8. RETIREMENT BENEFITS Pension and Postretirement Plans The Company has several non-contributory defined benefit pension plans covering certain U.S. employees and has various defined benefit pension and termination indemnity plans covering employees outside the U.S. The U.S. qualified defined benefit plan was frozen effective January 1, 2008 for most employees. Accordingly, no additional compensation-based contributions have been credited to the cash balance portion of the plan for existing plan participants after 2007. However, certain employees covered under the prior final pay plan formula continue to accrue benefits. The Company also offers postretirement health care and life insurance benefits to certain eligible U.S. retired employees, as well as to certain eligible employees outside the U.S. The Company also sponsors a number of non- contributory, nonqualified pension plans. These plans, which are unfunded, provide supplemental defined pension benefits to certain U.S. employees. With the exception of certain employees covered under the prior final pay plan formula, the benefits under these plans were frozen in prior years. The plan obligations, plan assets and periodic plan expense for the Company’s most significant pension and postretirement benefit plans (Significant Plans) are measured and disclosed quarterly, instead of annually. The Significant Plans captured approximately 90% of the Company’s global pension and postretirement plan obligations as of December 31, 2022. All other plans (All Other Plans) are measured annually with a December 31 measurement date. Net (Benefit) Expense The following table summarizes the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement plans for Significant Plans and All Other Plans. Benefits earned during the year are reported in Compensation and benefits expenses and all other components of the net annual benefit cost are reported in Other operating expenses in the Consolidated Statement of Income: In millions of dollars Service cost Pension plans Postretirement benefit plans U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans 2022 2021 2020 2022 2021 2020 2022 2021 2020 2022 2021 2020 $ — $ — $ — $ 116 $ 149 $ 147 $ — $ — $ — $ 2 $ 6 $ 7 93 Interest cost on benefit obligation 442 351 378 329 268 246 16 13 17 90 96 Expected return on assets (612) (683) (824) (263) (253) (245) (11) (13) (17) (69) (84) (77) Amortization of unrecognized: Prior service cost (benefit) Net actuarial loss (gain) Curtailment loss (gain)(1) Settlement loss (gain)(1) Total net (benefit) expense 2 2 2 162 228 233 — — — — — — (7) 58 (22) (15) (6) 62 1 10 5 70 (9) (9) (9) (2) (3) — (8) 6 (9) 13 (9) 20 (8) — — — — — — (1) — — — — — — $ (6) $ (102) $ (211) $ 196 $ 231 $ 214 $ (13) $ (12) $ (2) $ 21 $ 22 $ 34 (1) 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. Contributions The Company’s funding practice for U.S. and non-U.S. pension and postretirement plans is generally to fund to minimum funding requirements in accordance with applicable local laws and regulations. The Company may increase its contributions above the minimum required contribution, if appropriate. In addition, management has the ability to change its funding practices. For the U.S. pension plans, there were no required minimum cash contributions for 2022 or 2021. The following table summarizes the Company’s actual contributions for the years ended December 31, 2022 and 2021, as well as expected Company contributions for 2023. Expected contributions are subject to change, since contribution decisions are affected by various factors, such as market performance, tax considerations and regulatory requirements. Pension plans(1) Postretirement benefit plans(1) In millions of dollars Contributions made by the Company Benefits paid directly by (reimbursements to) the Company(3) U.S. plans(2) 2022 2021 2023 Non-U.S. plans U.S. plans Non-U.S. plans 2023 2022 2021 2023 2022 2021 2023 2022 2021 $ — $ — $ — $ 71 $ 158 $ 104 $ — $ — $ — $ 4 $ 4 $ 57 55 56 39 336 51 5 14 22 5 5 3 5 (1) Amounts reported for 2023 are expected amounts. (2) The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans. (3) 2022 benefit payments have increased due to the wind-down of Citi’s consumer banking business in Korea. See Note 2 for additional information. 173 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 pension and postretirement plans: In millions of dollars Change in benefit obligation Pension plans Postretirement benefit plans U.S. plans 2022 2021 Non-U.S. plans 2021 2022 U.S. plans 2022 2021 Non-U.S. plans 2021 2022 Benefit obligation at beginning of year $ 12,766 $ 13,815 $ 8,001 $ 8,629 $ 501 $ 559 $ 1,169 $ 1,390 Service cost Interest cost on benefit obligation Plan amendments Actuarial (gain)(2) Benefits paid, net of participants’ contributions — 442 — — 351 — 116 329 — (2,522) (447) (1,168) (945) (953) (397) 149 268 6 (344) (345) — — 16 — (95) (47) — — — — 13 — (28) (43) — — — 2 90 — 6 96 — (100) (72) (110) (78) — — — — — — — — — — — — (22) (364) (124) (35) (30) Divestitures Settlement(4) Curtailment(4) Foreign exchange impact and other Benefit obligation at year end Change in plan assets Plan assets at fair value at beginning of year Actual return on assets(2) Company contributions, net of reimbursements — — 9,741 $ 12,766 $ (85) 6,375 $ (208) 8,001 $ $ — 375 $ — 501 $ (76) 1,013 $ (135) 1,169 $ 12,977 $ 13,309 $ 7,614 $ 7,831 $ 319 $ 331 $ 1,043 $ 1,146 (1,942) 565 (1,212) 55 56 495 217 155 (33) 14 (47) — — — 9 22 (43) — — — (75) 9 (72) — — 97 8 (78) — — (50) (130) Benefits paid, net of participants’ contributions (945) (953) (397) (345) Divestitures Settlement(4) Foreign exchange impact and other — — — — — — (11) (364) (39) — (124) (120) Plan assets at fair value at year end $ 10,145 $ 12,977 $ 6,086 $ 7,614 $ 253 $ 319 $ 855 $ 1,043 Funded status of the plans Qualified plans(5) Nonqualified plans(3) Funded status of the plans at year end Net amount recognized at year end Qualified plans Benefit asset Benefit liability Qualified plans Nonqualified plans Net amount recognized on the balance sheet Amounts recognized in AOCI at year end(1) Net transition obligation Prior service (cost) benefit Net actuarial (loss) gain Net amount recognized in equity (pretax) Accumulated benefit obligation at year end $ $ $ $ $ $ $ $ 949 $ 894 $ (289) $ (387) $ (122) $ (182) $ (158) $ (126) (545) (683) — — — — — — 404 $ 211 $ (289) $ (387) $ (122) $ (182) $ (158) $ (126) 949 $ 894 $ 799 $ 963 $ — $ — $ 28 $ 165 — — (1,088) (1,350) (122) (182) (186) 949 $ 894 $ (289) $ (387) $ (122) $ (182) $ (158) $ (545) (683) — — — — — (291) (126) — 404 $ 211 $ (289) $ (387) $ (122) $ (182) $ (158) $ (126) — $ (6) — $ (8) — $ — $ 7 5 (6,445) (6,575) (1,671) (1,400) (6,451) $ (6,583) $ (1,664) $ (1,395) $ 9,740 $ 12,765 $ 6,051 $ 7,559 $ — $ 82 120 202 $ 375 $ — $ 92 77 — $ 36 (206) 169 $ (170) $ — 47 (182) (135) 501 $ 1,013 $ 1,169 (1) 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. (2) Actuarial gain was primarily due to the increase in global discount rates partially offset by lower than expected asset returns. (3) The nonqualified plans of the Company are unfunded. (4) Curtailment and settlement relate to divestiture activities. (5) The U.S. qualified plan was fully funded as of January 1, 2022 and no minimum funding was required for 2022. The plan is also expected to be fully funded as of January 1, 2023 with no expected minimum funding requirement for 2023. 174 The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans: In millions of dollars Beginning of year balance, net of tax(1)(2) Actuarial assumptions changes and plan experience Net asset gain (loss) due to difference between actual and expected returns Net amortization Prior service credit (cost) Curtailment/settlement gain (loss)(3) Foreign exchange impact and other Change in deferred taxes, net Change, net of tax End of year balance, net of tax(1)(2) (1) See Note 20 for further discussion of net AOCI balance. (2) (3) Curtailment and settlement relate to divestiture activities. Includes net-of-tax amounts for certain profit-sharing plans outside the U.S. 2022 2021 2020 (5,852) $ 3,923 (4,225) 198 — (37) 172 66 (6,864) $ 963 (148) 280 (7) 11 153 (240) 97 $ (5,755) $ 1,012 $ (5,852) $ (6,809) (1,464) 1,076 318 108 (8) (108) 23 (55) (6,864) $ $ $ At December 31, 2022 and 2021, the aggregate projected benefit obligation (PBO), the aggregate accumulated benefit obligation (ABO) and the aggregate fair value of plan assets are presented for all defined benefit pension plans with a PBO in excess of plan assets and for all defined benefit pension plans with an ABO in excess of plan assets as follows: PBO exceeds fair value of plan assets U.S. plans(1) Non-U.S. plans ABO exceeds fair value of plan assets U.S. plans(1) Non-U.S. plans In millions of dollars 2022 2021 2022 2021 2022 2021 2022 2021 Projected benefit obligation $ 545 $ 683 $ 3,463 $ 3,966 $ 545 $ 683 $ 3,315 $ Accumulated benefit obligation Fair value of plan assets 545 — 683 — 3,179 2,374 3,574 2,616 545 — 682 — 3,088 2,252 3,809 3,477 2,486 (1) As of December 31, 2022 and 2021, only the nonqualified plans’ PBO and ABO exceeded plan assets. Plan Assumptions The Company utilizes a number of assumptions to determine plan obligations and expenses. Changes in one or a combination of these assumptions will have an impact on the Company’s pension and postretirement PBO, funded status and (benefit) expense. Changes in the plans’ funded status resulting from changes in the PBO and fair value of plan assets will have a corresponding impact on Accumulated other comprehensive income (loss). The actuarial assumptions at the respective years ended December 31 in the table below are used to measure the year- end PBO and the net periodic (benefit) expense for the subsequent year (period). Since Citi’s Significant Plans are measured on a quarterly basis, the year-end rates for those plans are used to calculate the net periodic (benefit) expense for the subsequent year’s first quarter. As a result of the quarterly measurement process, the net periodic (benefit) expense for the Significant Plans is calculated at each respective quarter end based on the preceding quarter-end rates (as shown below for the U.S. and non-U.S. pension and postretirement plans). The actuarial assumptions for All Other Plans are measured annually. 175 Certain assumptions used in determining pension and postretirement benefit obligations and net benefit expense for the Company’s plans are shown in the following table: At year end Discount rate U.S. plans Qualified pension Nonqualified pension Postretirement Non-U.S. pension plans Range(1) Weighted average 2022 2021 5.50% 5.55 5.60 2.80% 2.80 2.75 1.75 to 25.20 -0.10 to 11.95 6.66 3.96 Non-U.S. postretirement plans Range Weighted average 3.25 to 10.60 9.80 1.05 to 10.00 8.28 Future compensation increase rate(2) Non-U.S. pension plans Range Weighted average Expected return on assets U.S. plans Qualified pension Postretirement(3) Non-U.S. pension plans Range Weighted average Non-U.S. postretirement plans Range Weighted average 1.30 to 23.11 3.76 1.30 to 11.25 3.10 5.70 5.70/3.00 5.00 5.00/1.50 1.00 to 11.50 6.05 0.00 to 11.50 3.69 8.70 to 9.10 8.70 6.00 to 8.00 7.99 (1) In 2021, due to historically low global interest rates, there were negative discount rates for plans with relatively short duration in certain major markets, such as the Eurozone and Switzerland. (2) Not material for U.S. plans. (3) For the years ended 2022 and 2021, the expected return on assets for the VEBA Trust was 3.00% and 1.50%, respectively. During the year Discount rate U.S. plans Qualified pension Nonqualified pension Postretirement 2022 2021 2020 2.80%/3.80%/ 4.80%/5.65% 2.45%/3.10%/ 2.75%/2.80% 3.25%/3.20%/ 2.60%/2.55% 2.80/3.85/ 4.80/5.60 2.75/3.85/ 4.75/5.65 2.35/3.00/ 2.70/2.75 2.20/2.85/ 2.60/2.65 3.25/3.25/ 2.55/2.50 3.15/3.20/ 2.45/2.35 Non-U.S. pension plans(1) Range(2) Weighted average -0.10 to 11.95 -0.25 to 11.15 -0.10 to 11.30 3.96 3.14 3.65 Non-U.S. postretirement plans(1) Range Weighted average 1.05 to 11.25 0.80 to 9.80 0.90 to 9.75 8.28 7.42 7.76 Future compensation increase rate(3) Non-U.S. pension plans(1) Range Weighted average 1.30 to 11.25 1.20 to 11.25 1.50 to 11.50 3.10 3.10 3.17 Expected return on assets U.S. plans Qualified pension(4) 5.00 Postretirement(4) 5.00/1.50 Non-U.S. pension plans(1) 5.80/5.60/ 5.60/5.00 5.80/5.60/ 5.00/1.50 6.70 6.70/3.00 Range Weighted average 0.00 to 11.50 0.00 to 11.50 0.00 to 11.50 3.69 3.39 3.95 Non-U.S. postretirement plans(1) Range Weighted average 6.00 to 8.00 5.95 to 8.00 6.20 to 8.00 7.99 7.99 7.99 (1) Reflects rates utilized to determine the quarterly expense for Significant (2) non-U.S. pension and postretirement plans. In 2021, due to historically low global interest rates, there were negative discount rates for plans with relatively short duration in certain major markets, such as the Eurozone and Switzerland. (3) Not material for U.S. plans. (4) The expected return on assets for the U.S. pension and postretirement plans was adjusted from 5.00% to 5.70% effective January 1, 2023 to reflect a significant change in economic market conditions. The expected return on assets for the U.S. pension and postretirement plans changed from 6.70% to 5.80% effective as of January 1, 2021, reduced to 5.60% effective April 1, 2021 and further reduced to 5.00% effective October 1, 2021. 176 (2) The expected return on assets for the VEBA Trust was adjusted from 1.50% to 3.00% effective January 1, 2023 to reflect significant change in economic condition. Sensitivities of Certain Key Assumptions The following tables summarize the effect on pension expense: Discount rate One-percentage-point increase In millions of dollars 2022 2021 2020 U.S. plans Non-U.S. plans $ 27 $ (5) 35 $ (4) 34 (16) One-percentage-point decrease In millions of dollars 2022 2021 2020 U.S. plans Non-U.S. plans $ (34) $ 15 (49) $ 25 (52) 25 The U.S. Qualified Pension Plan was frozen in 2008, and as a result, most of the prospective service costs have been eliminated and the gain/loss amortization period was changed to the life expectancy for inactive participants. As a result, pension expense for the U.S. Qualified Pension Plan is driven more by interest costs than service costs, and an increase in the discount rate would increase pension expense, while a decrease in discount rate would decrease pension expense. For Non-U.S. Pension Plans that are not frozen (in countries such as Mexico, the U.K. and South Korea), there is more service cost. The pension expense for the Non-U.S. Plans is driven by both service cost and interest cost. An increase in the discount rate generally decreases pension expense due to the greater impact on service cost compared to interest cost. The following tables summarize the effect on pension expense: Expected return on assets One-percentage-point increase In millions of dollars 2022 2021 2020 U.S. plans Non-U.S. plans $ (123) $ (124) $ (60) (70) (123) (66) One-percentage-point decrease In millions of dollars 2022 2021 2020 U.S. plans Non-U.S. plans $ 123 $ 60 124 $ 70 123 66 Discount Rate The discount rates for the U.S. pension and postretirement plans were selected by reference to a Citigroup-specific analysis using each plan’s specific cash flows and a hypothetical bond portfolio of U.S. high-quality corporate bonds that match each plan’s projected cash flows. The discount rates for the non-U.S. pension and postretirement plans are selected by reference to each plan’s specific cash flows and a market-based yield curve developed from the available local high-quality corporate bonds. However, where developed corporate bond markets do not exist, the discount rates are selected by reference to local government bonds with an estimated premium added to reflect the additional risk for corporate bonds in certain countries. Where available, the resulting plan yields by jurisdiction are compared with published, high-quality corporate bond indices for reasonableness. Expected Return on Assets The Company determines its assumptions for the expected return on assets for its U.S. pension and postretirement plans using a “building block” approach, which focuses on ranges of anticipated rates of return for each asset class. A weighted average range of nominal rates is then determined based on target allocations to each asset class. Market performance over a number of earlier years is evaluated covering a wide range of economic conditions to determine whether there are sound reasons for projecting any past trends. The Company considers the expected return on assets to be a long-term assessment of return expectations and does not anticipate changing this assumption unless there are significant changes in investment strategy or economic conditions. This contrasts with the selection of the discount rate and certain other assumptions, which are reconsidered annually (or quarterly for the Significant Plans) in accordance with GAAP. The expected return on assets reflects the expected annual appreciation of the plan assets and reduces the Company’s annual pension expense. The expected return on assets is deducted from the sum of service cost, interest cost and other components of pension expense to arrive at the net pension (benefit) expense. The following table shows the expected return on assets used in determining the Company’s pension expense compared to the actual return on assets during 2022, 2021 and 2020 for the U.S. pension and postretirement plans: U.S. plans (During the year) Expected return on assets U.S. pension and postretirement trust VEBA Trust(2) Actual return on assets(1) U.S. pension and postretirement trust VEBA Trust 2022 2021 2020 5.00% 1.50 (15.52) 1.40 5.80%/5.60%/ 5.60%/5.00% 1.50 5.14 1.52 6.70% 3.00 12.84 2.11 (1) Actual return on assets is presented net of fees. 177 Health Care Cost Trend Rate Assumed health care cost trend rates were as follows: Health care cost increase rate for U.S. plans Following year 7.00% 6.25% 2022 2021 Interest Crediting Rate The Company has cash balance plans and other plans with promised interest crediting rates. For these plans, the interest crediting rates are set in line with plan rules or country legislation and do not change with market conditions. Weighted average interest crediting rate 2022 4.50% 1.73 2021 1.80% 1.61 2020 1.45% 1.60 Ultimate rate to which cost increase is assumed to decline Year in which the ultimate rate is reached Health care cost increase rate for non-U.S. plans (weighted average) 5.00 2031 5.00 2027 At year end U.S. plans Non-U.S. plans Following year 7.05% 6.92% Ultimate rate to which cost increase is assumed to decline Year in which the ultimate rate is reached 7.05 2023 6.92 2022 Plan Assets Citigroup’s pension and postretirement plans’ asset allocations for the U.S. plans and the target allocations by asset category based on asset fair values are as follows: Asset category(1) Equity securities(2) Debt securities(3) Real estate Private equity Other investments Total Target asset allocation U.S. pension assets at December 31, U.S. postretirement assets at December 31, 2023 0–22% 55–114 0–4 0–5 0–23 2022 2021 2022 2021 7 % 7 % 7 % 7 % 71 3 7 12 72 2 6 13 71 3 7 12 72 2 6 13 100 % 100 % 100 % 100 % (1) Target asset allocations are set by investment strategy, whereas pension and postretirement assets as of December 31, 2022 and 2021 are based on the underlying investment product. For example, the private equity investment strategy may include underlying investments in real estate within the target asset allocation; however, within pension and postretirement assets, the underlying investment in real estate is reflected in the real estate category and not private equity. (2) Equity securities in the U.S. pension and postretirement plans do not include any Citigroup common stock at the end of 2022 and 2021. (3) The VEBA Trust for postretirement benefits is primarily invested in cash equivalents and debt securities in 2022 and 2021 and is not reflected in the table above. 178 Third-party investment managers and advisors provide their services to Citigroup’s U.S. pension and postretirement plans. Assets are rebalanced as the Company’s Pension Plan Investment Committee deems appropriate. Citigroup’s investment strategy, with respect to its assets, is to maintain a globally diversified investment portfolio across several asset classes that, when combined with Citigroup’s contributions to the plans, will maintain the plans’ ability to meet all required benefit obligations. Citigroup’s pension and postretirement plans’ weighted- average asset allocations for the non-U.S. plans and the actual ranges, and the weighted-average target allocations by asset category based on asset fair values, are as follows: Asset category(1) Equity securities Debt securities Real estate Other investments Total Asset category(1) Equity securities Debt securities Other investments Total Non-U.S. pension plans Target asset allocation Actual range at December 31, 2023 0–100% 0–100 0–15 0–100 2022 0–63% 0–100 0–15 0–100 2021 0–100% 0–100 0–14 0–100 Non-U.S. postretirement plans Target asset allocation Actual range at December 31, 2023 0–46% 50–100 0–4 2022 0–48% 45–100 0–7 2021 0–42% 53–100 0–6 Weighted-average at December 31, 2022 2021 19 % 16 % 73 1 7 76 1 7 100 % 100 % Weighted-average at December 31, 2022 2021 47 % 49 4 100 % 41 % 53 6 100 % (1) Similar to the U.S. plans, asset allocations for certain non-U.S. plans are set by investment strategy, not by investment product. 179 Fair Value Disclosure For information on fair value measurements, including descriptions of Levels 1, 2 and 3 of the fair value hierarchy and the valuation methodology utilized by the Company, see Notes 1 and 25. Investments measured using the NAV per share practical expedient are excluded from Level 1, Level 2 and Level 3 in the tables below. Certain investments may transfer between the fair value hierarchy classifications during the year due to changes in valuation methodology and pricing sources. Plan assets by detailed asset categories and the fair value hierarchy are as follows: In millions of dollars Asset categories U.S. equities Non-U.S. equities Mutual funds and other registered investment companies Commingled funds Debt securities Annuity contracts Derivatives Other investments Total investments Cash and short-term investments Other investment liabilities Net investments at fair value Other investment receivables redeemed at NAV Securities valued at NAV Total net assets U.S. pension and postretirement benefit plans(1) Fair value measurement at December 31, 2022 Level 1 Level 2 Level 3 Total $ 233 $ 346 243 — 929 — 2 — — $ — — 818 4,638 — 34 — $ $ $ 1,753 $ 5,490 $ 39 $ (10) 563 $ (45) 1,782 $ 6,008 $ — $ — — — 3 — 4 7 $ — $ — 7 $ $ $ 233 346 243 818 5,567 3 36 4 7,250 602 (55) 7,797 21 2,580 10,398 (1) The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2022, the allocable interests of the U.S. pension and postretirement plans were 98.0% and 2.0%, respectively. The investments of the VEBA Trust for postretirement benefits are reflected in the above table. In millions of dollars Asset categories U.S. equities Non-U.S. equities Mutual funds and other registered investment companies Commingled funds Debt securities Annuity contracts Derivatives Other investments Total investments Cash and short-term investments Other investment liabilities Net investments at fair value Other investment liabilities redeemed at NAV Securities valued at NAV Total net assets U.S. pension and postretirement benefit plans(1) Fair value measurement at December 31, 2021 Level 1 Level 2 Level 3 Total $ $ $ $ 358 $ 460 297 — 1,657 — 2 13 — $ — — 1,143 5,770 — 17 — 2,787 $ 6,930 $ 25 $ (7) 627 $ (17) 2,805 $ 7,540 $ — $ — — — — 4 — 25 29 $ — $ — 29 $ $ $ 358 460 297 1,143 7,427 4 19 38 9,746 652 (24) 10,374 (29) 2,951 13,296 (1) The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2021, the allocable interests of the U.S. pension and postretirement plans were 98.0% and 2.0%, respectively. The investments of the VEBA Trust for postretirement benefits are reflected in the above table. 180 In millions of dollars Asset categories U.S. equities Non-U.S. equities Mutual funds and other registered investment companies Commingled funds Debt securities Real estate Annuity contracts Derivatives Other investments Total investments Cash and short-term investments Other investment liabilities Net investments at fair value Securities valued at NAV Total net assets In millions of dollars Asset categories U.S. equities Non-U.S. equities Mutual funds and other registered investment companies Commingled funds Debt securities Real estate Annuity contracts Derivatives Other investments Total investments Cash and short-term investments Other investment liabilities Net investments at fair value Securities valued at NAV Total net assets Non-U.S. pension and postretirement benefit plans Fair value measurement at December 31, 2022 Level 1 Level 2 Level 3 Total 121 $ 718 2,416 13 2,959 — — — — 6,227 $ 69 $ — 6,296 $ 10 $ — $ 19 296 — 980 2 — 1,490 — 2,797 $ 6 $ (2,436) 367 $ — — — — 2 2 — 258 262 $ — $ — 262 $ $ $ 131 737 2,712 13 3,939 4 2 1,490 258 9,286 75 (2,436) 6,925 16 6,941 Non-U.S. pension and postretirement benefit plans Fair value measurement at December 31, 2021 Level 1 Level 2 Level 3 Total 127 $ 713 2,888 21 4,263 — — — — 8,012 $ 117 $ — 8,129 $ 19 $ 92 66 — 1,341 3 — 239 — 1,760 $ 5 $ (1,578) 187 $ — $ — — — — 2 2 — 318 322 $ — $ — 322 $ $ $ 146 805 2,954 21 5,604 5 2 239 318 10,094 122 (1,578) 8,638 19 8,657 $ $ $ $ $ $ $ $ 181 Level 3 Rollforward The reconciliations of the beginning and ending balances during the year for Level 3 assets are as follows: In millions of dollars U.S. pension and postretirement benefit plans Asset categories Annuity contracts Other investments Total investments In millions of dollars Asset categories Annuity contracts Other investments Total investments Beginning Level 3 fair value at Dec. 31, 2021 Realized (losses) Unrealized gains Purchases, sales and issuances Transfers in and/ or out of Level 3 Ending Level 3 fair value at Dec. 31, 2022 $ $ 4 $ 25 29 $ — $ (3) (3) $ — $ 2 2 $ (1) $ (20) (21) $ — $ — — $ 3 4 7 U.S. pension and postretirement benefit plans Beginning Level 3 fair value at Dec. 31, 2020 Realized (losses) Unrealized gains Purchases, sales and issuances Transfers in and/ or out of Level 3 Ending Level 3 fair value at Dec. 31, 2021 $ $ 1 $ 57 58 $ — $ (6) (6) $ — $ 2 2 $ 3 $ (28) (25) $ — $ — — $ 4 25 29 In millions of dollars Non-U.S. pension and postretirement benefit plans Asset categories Real estate Annuity contracts Other investments Total investments In millions of dollars Asset categories Real estate Annuity contracts Other investments Total investments Beginning Level 3 fair value at Dec. 31, 2021 Unrealized gains Purchases, sales and issuances Transfers in and/ or out of Level 3 Ending Level 3 fair value at Dec. 31, 2022 $ $ 2 $ 2 318 322 $ — $ — — — $ — $ — (60) (60) $ — $ — — — $ 2 2 258 262 Non-U.S. pension and postretirement benefit plans Beginning Level 3 fair value at Dec. 31, 2020 Unrealized gains Purchases, sales and issuances Transfers in and/ or out of Level 3 Ending Level 3 fair value at Dec. 31, 2021 $ $ 2 $ 5 312 319 $ — $ — 4 4 $ — $ (3) 2 (1) $ — $ — — — $ 2 2 318 322 182 Estimated Future Benefit Payments The Company expects to pay the following estimated benefit payments in future years: Postretirement benefit plans Non- U.S. plans Pension plans Non- In millions of dollars 2023 2024 2025 2026 2027 U.S. plans U.S. plans U.S. plans $ 964 $ 536 $ 55 $ 964 969 942 921 518 489 499 508 46 43 40 38 72 76 79 83 87 2028–2032 4,038 2,623 150 494 Investment Strategy The Company’s global pension and postretirement funds’ investment strategy is to invest in a prudent manner for the exclusive purpose of providing benefits to participants. The investment strategies are targeted to produce a total return that, when combined with the Company’s contributions to the funds, will maintain the funds’ ability to meet all required benefit obligations. Risk is controlled through diversification of asset types and investments in domestic and international equities, fixed income securities and cash and short-term investments. The target asset allocation in most locations outside the U.S. is primarily in equity and debt securities. These allocations may vary by geographic region and country depending on the nature of applicable obligations and various other regional considerations. The wide variation in the actual range of plan asset allocations for the funded non-U.S. plans is a result of differing local statutory requirements and economic conditions. For example, in certain countries local law requires that all pension plan assets must be invested in fixed income investments, government funds or local-country securities. Significant Concentrations of Risk in Plan Assets The assets of the Company’s pension plans are diversified to limit the impact of any individual investment. The U.S. qualified pension plan is diversified across multiple asset classes, with publicly traded fixed income, publicly traded equity, hedge funds and real estate representing the most significant asset allocations. Investments in these four asset classes are further diversified across funds, managers, strategies, vintages, sectors and geographies, depending on the specific characteristics of each asset class. The pension assets for the Company’s non-U.S. Significant Plans are primarily invested in publicly traded fixed income and publicly traded equity securities. Oversight and Risk Management Practices The framework for the Company’s pension oversight process includes monitoring of retirement plans by plan fiduciaries and/or management at the global, regional or country level, as appropriate. Independent Risk Management contributes to the risk oversight and monitoring for the Company’s U.S. Qualified Pension Plan and non-U.S. Significant Pension Plans. Although the specific components of the oversight process are tailored to the requirements of each region, country and plan, the following elements are common to the Company’s monitoring and risk management process: • • • • • periodic asset/liability management studies and strategic asset allocation reviews; periodic monitoring of funding levels and funding ratios; periodic monitoring of compliance with asset allocation guidelines; periodic monitoring of asset class and/or investment manager performance against benchmarks; and periodic risk capital analysis and stress testing. 183 Post Employment Plans The Company sponsors U.S. post employment plans that provide income continuation and health and welfare benefits to certain eligible U.S. employees on long-term disability. The following table summarizes the funded status and amounts recognized on the Company’s Consolidated Balance Sheet: In millions of dollars Funded status of the plan at year end Net amount recognized in AOCI (pretax) 2022 2021 $ $ (48) $ (16) $ (41) (15) The following table summarizes the net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans: Defined Contribution Plans The Company sponsors defined contribution plans in the U.S. and in certain non-U.S. locations, all of which are administered in accordance with local laws. The most significant defined contribution plan is the Citi Retirement Savings Plan sponsored by the Company in the U.S. Under the Citi Retirement Savings Plan, eligible U.S. employees received matching contributions of up to 6% of their eligible compensation for 2022 and 2021, subject to statutory limits. In addition, for eligible employees whose eligible compensation is $100,000 or less, a fixed contribution of up to 2% of eligible compensation is provided. All Company contributions are invested according to participants’ individual elections. The following tables summarize the Company contributions for the defined contribution plans: In millions of dollars Net expense 2022 2021 2020 $ 11 $ 10 $ 9 In millions of dollars 2022 2021 2020 Company contributions $ 471 $ 436 $ 414 U.S. plans In millions of dollars 2022 2021 2020 Company contributions $ 399 $ 364 $ 304 Non-U.S. plans 184 9. INCOME TAXES Income Tax Provision Details of the Company’s income tax provision are presented below: In millions of dollars 2022 2021 2020 Current Federal Non-U.S. State $ 407 $ 522 $ 305 4,106 3,288 4,113 270 228 440 Total current income taxes $ 4,783 $ 4,038 $ 4,858 Deferred Federal Non-U.S. State $ (807) $ 1,059 $ (1,430) 353 8 (690) (687) 346 (213) Tax Rate The reconciliation of the federal statutory income tax rate to the Company’s effective income tax rate applicable to income from continuing operations (before noncontrolling interests and the cumulative effect of accounting changes) for each of the periods indicated is as follows: 2022 2021 2020 Federal statutory rate 21.0 % 21.0 % 21.0 % State income taxes, net of federal benefit Non-U.S. income tax rate differential Tax audit resolutions Nondeductible FDIC premiums Tax advantaged investments Valuation allowance releases(1) Other, net 2.0 4.3 2.1 1.6 (3.2) (0.4) 1.0 (3.0) (2.3) (0.4) 0.6 (2.3) (1.7) (1.1) 1.3 3.5 0.3 1.3 (4.4) (4.4) (0.1) Total deferred income taxes $ (1,141) $ 1,413 $ (2,333) Effective income tax rate 19.4 % 19.8 % 18.5 % $ 3,642 $ 5,451 $ 2,525 (1) See “Deferred Tax Assets” below for a description of the components. Provision for income tax on continuing operations before noncontrolling interests(1) Provision (benefit) for income taxes on: Discontinued operations $ (41) $ — $ — Gains (losses) included in AOCI, but excluded from net income Employee stock plans Opening adjustment to Retained earnings(2) (1,573) (1,684) 1,520 (8) (6) (4) — — (911) (1) (2) Includes the tax on realized investment gains and impairment losses resulting in a provision (benefit) of $14 million and $(137) million in 2022, $169 million and $(57) million in 2021 and $454 million and $(14) million in 2020, respectively. 2020 reflects the tax effect of ASU 2016-13 for current expected credit losses (CECL). As presented in the table above, Citi’s effective tax rate for 2022 was 19.4%, compared to 19.8% in 2021. Deferred Income Taxes Deferred income taxes at December 31 related to the following: In millions of dollars Deferred tax assets Credit loss deduction Deferred compensation and employee benefits U.S. tax on non-U.S. earnings Investment and loan basis differences Tax credit and net operating loss carry- forwards Fixed assets and leases Other deferred tax assets Gross deferred tax assets Valuation allowance Deferred tax assets after valuation allowance Deferred tax liabilities Intangibles and leases Non-U.S. withholding taxes Debt issuances Other deferred tax liabilities Gross deferred tax liabilities Net deferred tax assets 2022 2021 $ 5,162 $ 5,330 2,059 2,335 1,191 1,138 5,149 2,970 14,623 15,620 3,551 3,064 4,055 3,549 $ 35,790 $ 34,006 $ 2,438 $ 4,194 $ 33,352 $ 29,812 $ (2,271) $ (2,446) (1,142) (595) (987) (126) (1,672) (1,464) $ (5,680) $ (5,023) $ 27,672 $ 24,789 185 Unrecognized Tax Benefits The following is a rollforward of the Company’s unrecognized tax benefits: In millions of dollars 2022 2021 2020 Total unrecognized tax benefits at January 1 Increases for current year’s tax positions $ 1,296 $ 861 $ 721 55 97 51 Increases for prior years’ tax positions 168 515 217 Decreases for prior years’ tax positions (119) (107) (74) Amounts of decreases relating to settlements Reductions due to lapse of statutes of limitation Foreign exchange, acquisitions and dispositions Total unrecognized tax benefits at December 31 (50) (64) (40) (26) (2) (13) (13) (4) (1) $ 1,311 $ 1,296 $ 861 The portions of the total unrecognized tax benefits at December 31, 2022, 2021 and 2020 that, if recognized, would affect Citi’s tax expense are $1.0 billion, $1.0 billion and $0.7 billion, respectively. The remaining uncertain tax positions have offsetting amounts in other jurisdictions or are temporary differences. Interest and penalties (not included in unrecognized tax benefits above) are a component of Provision for income taxes. In millions of dollars 2022 2021 Pretax Net of tax Pretax Net of tax Pretax Net of tax 2020 Total interest and penalties on the Consolidated Balance Sheet at January 1 $ 214 $ 164 $ 118 $ 96 $ 100 $ Total interest and penalties in the Consolidated Statement of Income Total interest and penalties on the Consolidated Balance Sheet at December 31(1) 27 234 16 32 24 14 176 214 164 118 82 10 96 (1) Includes $3 million, $3 million and $4 million for non-U.S. penalties in 2022, 2021 and 2020, respectively. Also includes $0 million, $0 million and $1 million for state penalties in 2022, 2021 and 2020, respectively. As of December 31, 2022, Citi was under audit by the Internal Revenue Service and other major taxing jurisdictions around the world. It is thus reasonably possible that significant changes in the gross balance of unrecognized tax benefits may occur within the next 12 months. The potential range of amounts that could affect Citi’s effective tax rate is between $0 and $500 million. The following are the major tax jurisdictions in which the Company and its affiliates operate and the earliest tax year subject to examination: Jurisdiction United States Mexico New York State and City United Kingdom India Singapore Hong Kong Ireland 186 Tax year 2016 2017 2009 2016 2021 2021 2016 2018 The following table summarizes Citi’s DTAs: In billions of dollars Jurisdiction/component(1) U.S. federal(2) Net operating losses (NOLs)(3) Foreign tax credits (FTCs) General business credits (GBCs) Future tax deductions and credits Total U.S. federal State and local New York NOLs Other state NOLs Future tax deductions Total state and local Non-U.S. NOLs Future tax deductions Total non-U.S. Total DTAs balance December 31, 2022 DTAs balance December 31, 2021 $ $ $ $ $ $ $ 3.3 $ 1.9 5.2 10.1 20.5 $ 1.9 $ 0.2 2.2 4.3 $ 0.7 $ 2.2 2.9 $ 3.2 2.8 4.5 8.4 18.9 1.2 0.2 1.8 3.2 0.5 2.2 2.7 27.7 $ 24.8 (1) All amounts are net of valuation allowances. (2) Included in the net U.S. federal DTAs of $20.5 billion as of December 31, 2022 were deferred tax liabilities of $3.3 billion that will reverse in the relevant carry-forward period and may be used to support the DTAs. (3) Consists of non-consolidated tax return NOL carry-forwards that are eventually expected to be utilized in Citigroup’s consolidated tax return. Non-U.S. Earnings Non-U.S. pretax earnings approximated $16.2 billion in 2022, $12.9 billion in 2021 and $13.8 billion in 2020. As a U.S. corporation, Citigroup and its U.S. subsidiaries are currently subject to U.S. taxation on all non-U.S. pretax earnings of non-U.S. branches. Beginning in 2018, there is a separate foreign tax credit (FTC) basket for branches. Also, dividends from a non-U.S. subsidiary or affiliate are effectively exempt from U.S. taxation. The Company provides income taxes on the book over tax basis differences of non-U.S. subsidiaries except to the extent that such differences are indefinitely reinvested outside the U.S. At December 31, 2022, $5.9 billion of basis differences of non-U.S. entities was indefinitely invested. At the existing tax rates (including withholding taxes), additional taxes (net of U.S. FTCs and valuation allowances) of $2.4 billion would have to be provided if such assertions were reversed. Deferred Tax Assets As of December 31, 2022, Citi had a valuation allowance of $2.4 billion, composed of valuation allowances of $0.9 billion on its branch basket FTC carry-forwards, $1.0 billion on its U.S. residual DTA related to its non-U.S. branches, $0.4 billion on local non-U.S. DTAs and $0.1 billion on state net operating loss carry-forwards. There was a decrease of $1.8 billion from the December 31, 2021 balance of $4.2 billion. The amount of Citi’s valuation allowances (VA) may change in future years. In 2022, Citi’s VA for carry-forward FTCs in its branch basket decreased by $0.8 billion, primarily due to carry- forward expirations. The level of branch pretax income, the local branch tax rate and the allocations of overall domestic losses (ODL) and expenses for U.S. tax purposes to the branch basket are the main factors in determining the branch VA. There was no branch basket VA release in 2022. In Citi’s general basket for FTCs, changes in the forecasted amount of income in U.S. locations derived from sources outside the U.S., in addition to tax examination changes from prior years, could alter the amount of VA that is needed against such FTCs. The remaining VA for the general basket of $0.8 billion was released, primarily due to increases in interest rates and prior-year audit adjustments. The non-U.S. local VA decreased by $0.2 billion. 187 The time remaining for utilization of the FTC component has shortened, given the passage of time. Although realization is not assured, Citi believes that the realization of the recognized net DTAs of $27.7 billion at December 31, 2022 is more-likely-than-not, based upon expectations as to future taxable income in the jurisdictions in which the DTAs arise and consideration of available tax planning strategies (as defined in ASC 740, Income Taxes). The majority of Citi’s U.S. federal net operating loss carry-forward and all of its New York State and City net operating loss carry-forwards are subject to a carry-forward period of 20 years. This provides enough time to fully utilize the DTAs pertaining to these existing NOL carry-forwards. This is due to Citi’s forecast of sufficient U.S. taxable income and because New York State and City continue to tax Citi’s non-U.S. income. With respect to the FTCs component of the DTAs, the carry-forward period is 10 years. Utilization of FTCs in any year is generally limited to 21% of foreign source taxable income in that year. However, ODL that Citi has incurred of approximately $8 billion as of December 31, 2022 are allowed to be reclassified as foreign source income to the extent of 50%–100% (at taxpayer’s election) of domestic source income produced in subsequent years. Such resulting foreign source income would support the realization of the FTC carry- forwards after VA. As noted in the tables above, Citi’s FTC carry-forwards were $1.9 billion ($2.8 billion before VA) as of December 31, 2022, compared to $2.8 billion ($5.3 billion before VA) as of December 31, 2021. Citi believes that it will more-likely-than-not generate sufficient U.S. taxable income within the 10-year carry-forward period to be able to utilize the net FTCs after the VA, after considering any FTCs produced in the tax return for such period, which must be used prior to any carry-forward utilization. The following table summarizes the amounts of tax carry- forwards and their expiration dates: In billions of dollars Year of expiration U.S. tax return general basket foreign tax credit carry-forwards(1) 2022 2023 2025 2027 Total U.S. tax return general basket foreign tax credit carry-forwards U.S. tax return branch basket foreign tax credit carry-forwards(1) 2022 2028 2029 Total U.S. tax return branch basket foreign tax credit carry-forwards U.S. tax return general business credit carry-forwards 2032 2033 2034 2035 2036 2037 2038 2039 2040 2041 2042 Total U.S. tax return general business credit carry-forwards U.S. subsidiary separate federal NOL carry-forwards 2027 2028 2030 2033 2034 2035 2036 2037 Unlimited carry-forward period December 31, 2022 December 31, 2021 $ $ $ $ $ $ $ — $ — 0.8 1.1 1.9 $ — $ 0.7 0.2 0.9 $ 0.4 $ 0.3 0.2 0.2 0.2 0.5 0.5 0.7 0.7 0.8 0.7 5.2 $ 0.1 $ 0.1 0.3 1.6 2.0 3.3 2.1 1.0 5.3 0.5 0.4 1.5 1.1 3.5 1.0 0.6 0.2 1.8 0.4 0.3 0.2 0.2 0.2 0.5 0.5 0.7 0.7 0.8 — 4.5 0.1 0.1 0.3 1.6 2.0 3.3 2.1 1.0 4.6 Total U.S. subsidiary separate federal NOL carry-forwards(2) New York State NOL carry-forwards(2) 2034 New York City NOL carry-forwards(2) 2034 Non-U.S. NOL carry-forwards(1) Various $ $ $ $ 15.8 $ 15.1 11.5 $ 6.6 10.3 $ 7.2 1.1 $ 1.1 (1) Before valuation allowance. (2) Pretax. 188 10. EARNINGS PER SHARE The following table reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations: In millions of dollars, except per share amounts Earnings per common share 2022 2021 2020 Income from continuing operations before attribution of noncontrolling interests $ 15,165 $ 22,018 $ 11,107 Less: Noncontrolling interests from continuing operations Net income from continuing operations (for EPS purposes) Loss from discontinued operations, net of taxes Citigroup’s net income Less: Preferred dividends(1) Net income available to common shareholders Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS Net income allocated to common shareholders for basic EPS Weighted-average common shares outstanding applicable to basic EPS (in millions) Basic earnings per share(2) Income from continuing operations Discontinued operations Net income per share—basic Diluted earnings per share 89 73 40 $ 15,076 $ 21,945 $ 11,067 (231) 7 (20) $ 14,845 $ 21,952 $ 11,047 1,032 1,040 $ 13,813 $ 20,912 $ 1,095 9,952 113 154 73 $ 13,700 $ 20,758 $ 9,879 1,946.7 2,033.0 2,085.8 $ $ 7.16 $ 10.21 $ 4.75 (0.12) — (0.01) 7.04 $ 10.21 $ 4.74 Net income allocated to common shareholders for basic EPS Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable Net income allocated to common shareholders for diluted EPS $ 13,700 $ 20,758 $ 9,879 41 31 30 $ 13,741 $ 20,789 $ 9,909 Weighted-average common shares outstanding applicable to basic EPS (in millions) $ 1,946.7 $ 2,033.0 $ 2,085.8 Effect of dilutive securities Options(3) Other employee plans Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4) Diluted earnings per share(2) Income from continuing operations Discontinued operations Net income per share—diluted — 17.6 — 16.4 0.1 13.1 1,964.3 2,049.4 2,099.0 $ $ 7.11 $ 10.14 $ 4.73 (0.12) — (0.01) 7.00 $ 10.14 $ 4.72 (1) See Note 21 for the potential future impact of preferred stock dividends. (2) Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income. (3) During 2022 and 2021, there were no weighted-average options outstanding. During 2020, weighted-average options to purchase 0.1 million shares of common stock were outstanding but not included in the computation of earnings per share because the weighted-average exercise price of $56.25 per share was anti- dilutive. (4) Due to rounding, weighted-average common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to weighted-average common shares outstanding applicable to diluted EPS. 189 11. SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS Securities borrowed and purchased under agreements to resell, at their respective carrying values, consisted of the following: In millions of dollars Securities purchased under agreements to resell Deposits paid for securities borrowed Total, net(1) Allowance for credit losses on securities purchased and borrowed(2) Total, net of allowance December 31, 2022 2021 $ 291,272 $ 236,252 74,165 91,042 $ 365,437 $ 327,294 (36) (6) $ 365,401 $ 327,288 Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following: In millions of dollars Securities sold under agreements to repurchase Deposits received for securities loaned Total, net(1) December 31, 2022 2021 $ 183,827 $ 174,255 18,617 17,030 $ 202,444 $ 191,285 (1) The above tables do not include securities-for-securities lending transactions of $4.4 billion and $3.6 billion at December 31, 2022 and 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 15 for further information. The resale and repurchase agreements represent collateralized financing transactions. Citi executes these transactions primarily through its broker-dealer subsidiaries to facilitate customer matched-book activity and to efficiently fund a portion of Citi’s trading inventory. Transactions executed by Citi’s bank subsidiaries primarily facilitate customer financing activity. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral and stipulating financing tenor. Citi manages the risks in its collateralized financing transactions by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. In addition, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. 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, 190 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. Collateral typically consists of government and government-agency securities, corporate and municipal bonds, equities and mortgage- and other asset-backed securities. The resale and repurchase agreements are generally documented under industry standard agreements that allow the prompt close-out of all transactions (including the liquidation of securities held) and the offsetting of obligations to return cash or securities by the non-defaulting party, following a payment default or other type of default under the relevant master agreement. Events of default generally include (i) failure to deliver cash or securities as required under the transaction, (ii) failure to provide or return cash or securities as used for margining purposes, (iii) breach of representation, (iv) cross-default to another transaction entered into among the parties, or, in some cases, their affiliates and (v) a repudiation of obligations under the agreement. The counterparty that receives the securities in these transactions is generally unrestricted in its use of the securities, with the exception of transactions executed on a tri-party basis, where the collateral is maintained by a custodian and operational limitations may restrict its use of the securities. 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 25 and 26. The remaining portion is carried at the amount of cash initially advanced or received, plus accrued interest, as specified in the respective agreements. The securities borrowing and lending agreements also represent collateralized financing transactions similar to the resale and repurchase agreements. Collateral typically consists of government and government-agency securities and corporate debt and equity securities. Similar to the resale and repurchase agreements, securities borrowing and lending agreements are generally documented under industry standard agreements that allow the prompt close-out of all transactions (including the liquidation of securities held) and the offsetting of obligations to return cash or securities by the non-defaulting party, following a payment default or other default by the other party under the relevant master agreement. Events of default and rights to use securities under the securities borrowing and lending agreements are similar to the resale and repurchase agreements referenced above. 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 26. 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 enforceability of offsetting rights incorporated in the master netting agreements for resale and repurchase agreements, and securities borrowing and lending agreements, is evidenced to the extent that (i) a supportive legal opinion has been obtained from counsel of recognized standing that provides the requisite level of certainty regarding the enforceability of these agreements and (ii) the exercise of rights by the non-defaulting party to terminate and close out transactions on a net basis under these agreements will not be stayed or avoided under applicable law upon an event of default including bankruptcy, insolvency or similar proceeding. A legal opinion may not have been sought or obtained for certain jurisdictions where local law is silent or sufficiently ambiguous to determine the enforceability of offsetting rights or where adverse case law or conflicting regulation may cast doubt on the enforceability of such rights. In some jurisdictions and for some counterparty types, the insolvency law for a particular counterparty type may be nonexistent or unclear as overlapping regimes may exist. For example, this may be the case for certain sovereigns, municipalities, central banks and U.S. pension plans. 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 December 31, 2022 Gross amounts of recognized assets Gross amounts offset on the Consolidated Balance Sheet(1) Net amounts of assets included on the Consolidated Balance Sheet Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) Net amounts(3) $ $ 403,663 $ 112,391 $ 88,817 14,652 492,480 $ 127,043 $ 291,272 $ 74,165 365,437 $ 204,077 $ 87,195 13,844 60,321 217,921 $ 147,516 Gross amounts of recognized liabilities Gross amounts offset on the Consolidated Balance Sheet(1) Net amounts of liabilities included on the Consolidated Balance Sheet Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) Net amounts(3) $ $ 296,218 $ 112,391 $ 33,269 14,652 329,487 $ 127,043 $ 183,827 $ 18,617 202,444 $ 71,635 $ 112,192 2,542 16,075 74,177 $ 128,267 As of December 31, 2021 Gross amounts of recognized assets Gross amounts offset on the Consolidated Balance Sheet(1) Net amounts of assets included on the Consolidated Balance Sheet Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) Net amounts(3) $ $ 367,594 $ 131,342 $ 107,041 15,999 474,635 $ 147,341 $ 236,252 $ 91,042 327,294 $ 205,349 $ 30,903 17,326 73,716 222,675 $ 104,619 In millions of dollars Securities purchased under agreements to resell Deposits paid for securities borrowed Total In millions of dollars Securities sold under agreements to repurchase Deposits received for securities loaned Total In millions of dollars Securities purchased under agreements to resell Deposits paid for securities borrowed Total 191 In millions of dollars Securities sold under agreements to repurchase Deposits received for securities loaned Total Gross amounts of recognized liabilities Gross amounts offset on the Consolidated Balance Sheet(1) Net amounts of liabilities included on the Consolidated Balance Sheet Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) Net amounts(3) $ $ 305,597 $ 131,342 $ 33,029 15,999 338,626 $ 147,341 $ 174,255 $ 17,030 191,285 $ 85,184 $ 89,071 2,868 14,162 88,052 $ 103,233 (1) (2) Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45. 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: In millions of dollars Securities sold under agreements to repurchase Deposits received for securities loaned Total In millions of dollars Securities sold under agreements to repurchase Deposits received for securities loaned Total As of December 31, 2022 Open and overnight Up to 30 days 31–90 days Greater than 90 days Total 138,710 $ 86,819 $ 25,119 $ 45,570 $ 296,218 25,388 267 2,121 5,493 33,269 164,098 $ 87,086 $ 27,240 $ 51,063 $ 329,487 As of December 31, 2021 Open and overnight Up to 30 days 31–90 days Greater than 90 days Total 127,679 $ 93,257 $ 32,908 $ 51,753 $ 305,597 23,387 6 1,392 8,244 33,029 151,066 $ 93,263 $ 34,300 $ 59,997 $ 338,626 $ $ $ $ The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by class of underlying collateral: In millions of dollars U.S. Treasury and federal agency securities $ State and municipal securities Foreign government securities Corporate bonds Equity securities Mortgage-backed securities Asset-backed securities Other Total Repurchase agreements As of December 31, 2022 Securities lending agreements Total 99,979 $ 1,911 123,826 14,308 9,749 36,225 1,755 8,465 106 $ — 13 45 33,096 — — 9 100,085 1,911 123,839 14,353 42,845 36,225 1,755 8,474 $ 296,218 $ 33,269 $ 329,487 192 In millions of dollars U.S. Treasury and federal agency securities $ State and municipal securities Foreign government securities Corporate bonds Equity securities Mortgage-backed securities Asset-backed securities Other Total Repurchase agreements As of December 31, 2021 Securities lending agreements Total 85,861 $ 1,053 133,352 20,398 25,653 33,573 1,681 4,026 90 $ — 212 152 32,517 — — 58 85,951 1,053 133,564 20,550 58,170 33,573 1,681 4,084 $ 305,597 $ 33,029 $ 338,626 193 12. 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. Citi is exposed to risk of loss from the inability of brokers, dealers or customers to pay for purchases or to deliver the financial instruments sold, in which case Citi would have to sell or purchase the financial instruments at prevailing market prices. Credit risk is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transaction and replaces the broker, dealer or customer in question. Citi seeks to protect itself from the risks associated with customer activities by requiring customers to maintain margin collateral in compliance with regulatory and internal guidelines. Margin levels are monitored daily, and customers deposit additional collateral as required. Where customers cannot meet collateral requirements, Citi may liquidate sufficient underlying financial instruments to bring the customer into compliance with the required margin level. Exposure to credit risk is impacted by market volatility, which may impair the ability of clients to satisfy their obligations to Citi. Credit limits are established and closely monitored for customers and for brokers and dealers engaged in forwards, futures and other transactions deemed to be credit sensitive. Brokerage receivables and Brokerage payables consisted of the following: In millions of dollars December 31, 2022 2021 Receivables from customers $ 15,462 $ 26,403 Receivables from brokers, dealers and clearing organizations Total brokerage receivables(1) Payables to customers Payables to brokers, dealers and clearing organizations Total brokerage payables(1) $ $ $ 38,730 54,192 $ 55,747 $ 13,471 69,218 $ 27,937 54,340 52,158 9,272 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. 194 13. INVESTMENTS The following table presents Citi’s investments by category: In millions of dollars Debt securities available-for-sale (AFS) Debt securities held-to-maturity (HTM)(1) Marketable equity securities carried at fair value(2) Non-marketable equity securities carried at fair value(2)(5) Non-marketable equity securities measured using the measurement alternative(3) Non-marketable equity securities carried at cost(4) Total investments(6) December 31, 2022 2021 $ 249,679 $ 268,863 429 466 1,676 5,469 288,522 216,963 543 489 1,413 4,892 $ 526,582 $ 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 $27 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 December 31, 2022 and 2021, respectively. (6) Not included in the balances above is approximately $2 billion of accrued interest receivable at December 31, 2022, which is included in Other assets on the Consolidated Balance Sheet. The Company does not recognize an allowance for credit losses on accrued interest receivable for AFS and HTM debt securities, consistent with its non-accrual policy, which results in timely write-off of accrued interest. The Company did not reverse through interest income any accrued interest receivables for the years ended December 31, 2022 and 2021. The following table presents interest and dividend income on investments: In millions of dollars Taxable interest Interest exempt from U.S. federal income tax Dividend income 2022 2021 2020 $ 10,643 $ 6,975 $ 7,554 348 223 279 134 301 134 Total interest and dividend income on investments $ 11,214 $ 7,388 $ 7,989 The following table presents realized gains and losses on the sales of investments, which exclude impairment losses: In millions of dollars Gross realized investment gains Gross realized investment losses Net realized gains on sales of investments 2022 2021 2020 $ $ 323 $ (256) 67 $ 860 $ (195) 665 $ 1,895 (139) 1,756 195 Debt Securities Available-for-Sale The amortized cost and fair value of AFS debt securities were as follows: December 31, 2022 December 31, 2021 Amortized cost Gross unrealized gains Gross unrealized losses Allowance for credit losses Fair value Amortized cost Gross unrealized gains Gross unrealized losses Allowance for credit losses Fair value $ 12,009 $ 8 $ 755 $ — $ 11,262 $ 33,064 $ 453 $ 301 $ — $ 33,216 488 2 — — 3 — — — 485 2 380 25 1 — 1 — — — 380 25 $ 12,499 $ 8 $ 758 $ — $ 11,749 $ 33,469 $ 454 $ 302 $ — $ 33,621 In millions of dollars Debt securities AFS Mortgage-backed securities(1) U.S. government- sponsored agency guaranteed(2) Residential Commercial Total mortgage-backed securities U.S. Treasury and federal agency securities U.S. Treasury $ 94,732 $ 50 $ 2,492 $ — $ 92,290 $ 122,669 $ 615 $ 844 $ — $ 122,440 Agency obligations — — — — — — — — — — Total U.S. Treasury and federal agency securities State and municipal(2) Foreign government Corporate Asset-backed securities(1) Other debt securities Total debt securities AFS $ $ 94,732 $ 2,363 $ 135,648 5,146 1,022 4,198 50 $ 19 $ 569 19 12 1 2,492 $ — $ 92,290 $ 122,669 $ 615 $ 159 $ — $ 2,223 $ 2,643 $ 79 $ 844 $ 101 $ — $ 122,440 — $ 2,621 2,940 246 — 133,277 119,426 337 1,023 — 118,740 3 4,916 5,972 33 77 8 5,920 4 5 — — 1,030 304 4,194 4,880 — 1 1 4 — — 303 4,877 $ 255,608 $ 678 $ 6,604 $ 3 $ 249,679 $ 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 22 for mortgage- and asset- backed securitizations in which the Company has other involvement. In 2022, Citibank transferred $21.5 billion of agency residential mortgage-backed securities and $165 million of municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities and bonds were in an unrealized loss position of $2.3 billion and $12 million, respectively. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities and bonds. (2) At December 31, 2022, the amortized cost of AFS fixed income securities for those in a loss position exceeded their fair value by $6,604 million. Of the $6,604 million, $3,997 million represented unrealized losses on fixed income investments that have been in a gross unrealized loss position for less than a year and, of these, 73% were rated investment grade; and $2,607 million represented unrealized losses on fixed income investments that have been in a gross unrealized loss position for a year or more and, of these, 99% were rated investment grade. Of the $2,607 million, $1,491 million represents U.S. Treasury and federal agency securities. 196 The following table shows the fair value of AFS debt securities that have been in an unrealized loss position: In millions of dollars December 31, 2022 Debt securities AFS Mortgage-backed securities Less than 12 months 12 months or longer Total Fair value Gross unrealized losses Fair value Gross unrealized losses Fair value Gross unrealized losses U.S. government-sponsored agency guaranteed $ 7,908 $ 412 $ 3,290 $ 343 $ 11,198 $ Residential Commercial Total mortgage-backed securities U.S. Treasury and federal agency securities U.S. Treasury Agency obligations 158 1 3 — 1 1 — — 159 2 $ 8,067 $ 415 $ 3,292 $ 343 $ 11,359 $ $ 40,701 $ 1,001 $ 34,692 $ 1,491 $ 75,393 $ 2,492 — — — — — — Total U.S. Treasury and federal agency securities $ 40,701 $ 1,001 $ 34,692 $ 1,491 $ 75,393 $ 2,492 State and municipal Foreign government Corporate Asset-backed securities Other debt securities Total debt securities AFS December 31, 2021 Debt securities AFS Mortgage-backed securities $ 896 $ 31 $ 707 $ 128 $ 1,603 $ 159 82,900 2,332 14,220 608 97,120 2,940 3,082 708 2,213 209 784 4 5 — — 37 — — 3,866 708 2,213 246 4 5 $ 138,567 $ 3,997 $ 53,695 $ 2,607 $ 192,262 $ 6,604 U.S. government-sponsored agency guaranteed $ 17,039 $ 270 $ 698 $ 31 $ 17,737 $ Residential Commercial Total mortgage-backed securities U.S. Treasury and federal agency securities U.S. Treasury Agency obligations 96 — 1 — 1 — — — 97 — $ 17,135 $ 271 $ 699 $ 31 $ 17,834 $ $ 56,448 $ 713 $ 6,310 $ 131 $ 62,758 $ — — — — — Total U.S. Treasury and federal agency securities $ 56,448 $ 713 $ 6,310 $ 131 $ 62,758 $ 755 3 — 758 301 1 — 302 844 — 844 101 State and municipal Foreign government Corporate Asset-backed securities Other debt securities Total debt securities AFS $ 229 $ 3 $ 874 $ 98 $ 1,103 $ 64,319 826 9,924 197 74,243 1,023 2,655 108 3,439 77 1 4 22 — — — — — 2,677 108 3,439 77 1 4 $ 144,333 $ 1,895 $ 17,829 $ 457 $ 162,162 $ 2,352 197 The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates: In millions of dollars Mortgage-backed securities(2) Due within 1 year After 1 but within 5 years After 5 but within 10 years After 10 years Total U.S. Treasury and federal agency securities Due within 1 year After 1 but within 5 years After 5 but within 10 years After 10 years Total State and municipal Due within 1 year After 1 but within 5 years After 5 but within 10 years After 10 years Total Foreign government Due within 1 year After 1 but within 5 years After 5 but within 10 years After 10 years Total All other(3) Due within 1 year After 1 but within 5 years After 5 but within 10 years After 10 years Total Total debt securities AFS December 31, 2022 Fair value Amortized cost Weighted average yield(1) Amortized cost 2021 Fair value Weighted average yield(1) 2.02 % $ 188 $ $ 42 $ 523 468 44 513 440 11,466 10,752 2.31 3.46 3.46 211 523 189 211 559 32,547 32,662 0.79 % 1.07 3.41 2.73 $ 12,499 $ 11,749 3.41 % $ 33,469 $ 33,621 2.72 % $ 25,935 $ 25,829 2.81 % $ 34,321 $ 34,448 1.05 % 68,455 66,166 342 — 295 — 1.17 2.53 — 87,987 87,633 361 — 359 — 0.81 1.42 — $ 94,732 $ 92,290 1.62 % $ 122,669 $ 122,440 0.87 % $ 19 $ 94 305 1,945 $ 2,363 $ 18 92 302 1,811 2,223 1.79 % $ 40 $ 3.07 3.55 3.51 121 156 2,326 3.49 % $ 2,643 $ 40 124 161 2,296 2,621 2.09 % 3.16 3.18 3.15 3.14 % $ 64,795 $ 64,479 4.25 % $ 49,263 $ 49,223 2.53 % 67,935 66,150 2,491 427 2,250 398 4.80 2.86 3.80 64,555 63,961 3,736 1,872 3,656 1,900 3.14 1.72 1.52 $ 135,648 $ 133,277 4.50 % $ 119,426 $ 118,740 2.82 % $ 4,452 $ 5,162 695 57 4,441 4,988 693 18 1.52 % $ 5,175 $ 4.82 11.35 3.81 5,177 750 54 5,180 5,149 750 21 $ 10,366 $ 10,140 3.83 % $ 11,156 $ 11,100 $ 255,608 $ 249,679 3.34 % $ 289,363 $ 288,522 0.94 % 1.91 2.08 4.28 1.48 % 1.94 % (1) Weighted average yields are weighted based on the amortized cost of each security. The average yield considers the contractual coupon, amortization of premiums and accretion of discounts and excludes the effects of any related hedging derivatives. 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. Includes corporate, asset-backed and other debt securities. (2) (3) 198 Debt Securities Held-to-Maturity The carrying value and fair value of debt securities HTM were as follows: 80,088 445 1,118 81,651 121,239 8,507 1,982 30,269 243,648 64,036 739 1,072 65,847 110,217 9,500 1,619 28,855 216,038 In millions of dollars December 31, 2022 Debt securities HTM Mortgage-backed securities(2) U.S. government-sponsored agency guaranteed(3) Non-U.S. residential Commercial Total mortgage-backed securities U.S. Treasury securities State and municipal(4) Foreign government Asset-backed securities(2) Total debt securities HTM, net December 31, 2021 Debt securities HTM Mortgage-backed securities(2) Amortized cost, net(1) Gross unrealized gains Gross unrealized losses Fair value $ $ $ 90,063 $ 445 1,114 91,622 $ 134,961 $ 9,237 2,075 30,968 58 $ — 5 63 $ — $ 34 — 4 10,033 $ — 1 10,034 $ 13,722 $ 764 93 703 $ 268,863 $ 101 $ 25,316 $ U.S. government-sponsored agency guaranteed Non-U.S. residential Commercial Total mortgage-backed securities U.S. Treasury securities State and municipal Foreign government Asset-backed securities(2) Total debt securities HTM, net $ $ $ 63,885 $ 1,076 $ 736 1,070 65,691 $ 111,819 $ 8,923 1,651 28,879 3 4 1,083 $ 30 $ 589 4 8 925 $ — 2 927 $ 1,632 $ 12 36 32 $ 216,963 $ 1,714 $ 2,639 $ (1) Amortized cost is reported net of ACL of $120 million and $87 million at December 31, 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 (3) from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. See Note 22 for mortgage- and asset-backed securitizations in which the Company has other involvement. In 2022, Citibank transferred $21.5 billion of agency residential mortgage-backed securities and $165 million of municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities and bonds were in an unrealized loss position of $2.3 billion and $12 million, respectively. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities and bonds. The Company has the positive intent and ability to hold these securities to maturity or, where applicable, until the exercise of any issuer call option, absent any unforeseen significant changes in circumstances, including deterioration in credit or changes in regulatory capital requirements. The net unrealized losses classified in AOCI for HTM debt securities primarily relate to debt securities previously classified as AFS that were transferred to HTM, and include any cumulative fair value hedge adjustments. The net unrealized loss amount also includes any non-credit-related changes in fair value of HTM debt securities that have suffered credit impairment recorded in earnings. The AOCI balance related to HTM debt securities is amortized as an adjustment of yield, in a manner consistent with the accretion of any difference between the carrying value at the transfer date and par value of the same debt securities. 199 The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates: In millions of dollars Mortgage-backed securities Due within 1 year After 1 but within 5 years After 5 but within 10 years After 10 years Total U.S. Treasury securities Due within 1 year After 1 but within 5 years After 5 but within 10 years After 10 years Total State and municipal Due within 1 year After 1 but within 5 years After 5 but within 10 years After 10 years Total Foreign government Due within 1 year After 1 but within 5 years After 5 but within 10 years After 10 years Total All other(3) Due within 1 year After 1 but within 5 years After 5 but within 10 years After 10 years Total Total debt securities HTM December 31, 2022 2021 Amortized cost(1) Fair value Weighted average yield(2) Amortized cost(1) Fair value Weighted average yield(2) $ $ $ $ $ $ $ $ $ $ $ 27 $ 520 1,496 89,579 91,622 $ 3,148 $ 86,617 45,196 — 27 505 1,374 79,745 81,651 3,017 79,104 39,118 — 2.93 % $ 3.84 2.74 2.89 152 $ 684 1,655 63,200 2.90 % $ 65,691 $ 0.18 % $ — $ 1.04 1.16 — 65,498 46,321 — 151 725 1,739 63,232 65,847 — 64,516 45,701 — 1.70 % 3.01 2.74 2.55 2.56 % — % 0.69 1.15 — 134,961 $ 121,239 1.06 % $ 111,819 $ 110,217 0.88 % 22 $ 102 1,002 8,111 9,237 $ 143 $ 1,932 — — 21 100 967 7,419 8,507 139 1,843 — — 2.73 % $ 2.99 3.16 3.32 51 $ 166 908 7,798 3.30 % $ 8,923 $ 10.83 % $ 292 $ 9.94 — — 1,359 — — 50 170 951 8,329 9,500 291 1,328 — — 3.82 % 2.82 3.23 2.65 2.72 % 7.86 % 6.30 — — 2,075 $ 1,982 10.00 % $ 1,651 $ 1,619 6.58 % — $ — 11,751 19,217 30,968 $ — — 11,583 18,686 30,269 — % $ — 2.81 1.53 — $ — 11,520 17,359 2.02 % $ 28,879 $ — — 11,515 17,340 28,855 268,863 $ 243,648 1.94 % $ 216,963 $ 216,038 — % — 2.78 1.34 1.92 % 1.65 % (1) Amortized cost is reported net of ACL of $120 million and $87 million at December 31, 2022 and 2021, respectively. (2) Weighted average yields are weighted based on the amortized cost of each security. The average yield considers the contractual coupon, amortization of premiums and accretion of discounts and excludes the effects of any related hedging derivatives. Includes corporate and asset-backed securities. (3) HTM Debt Securities Delinquency and Non-Accrual Details Citi did not have any HTM debt securities that were delinquent or on non-accrual status at December 31, 2022 and 2021. There were no purchased credit-deteriorated HTM debt securities held by the Company as of December 31, 2022 and 2021. 200 Evaluating Investments for Impairment AFS Debt Securities Overview—AFS Debt Securities The Company conducts periodic reviews of all AFS debt securities with unrealized losses to evaluate whether the impairment resulted from expected credit losses or from other factors and to evaluate the Company’s intent to sell such securities. An AFS debt security is impaired when the current fair value of an individual AFS debt security is less than its amortized cost basis. The Company recognizes the entire difference between amortized cost basis and fair value in earnings for impaired AFS debt securities that Citi has an intent to sell or for which Citi believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those AFS debt securities that the Company does not intend to sell and is not likely to be required to sell, only the credit- related impairment is recognized in earnings by recording an allowance for credit losses. Any remaining fair value decline for such securities is recorded in AOCI. The Company does not consider the length of time that the fair value of a security is below its amortized cost when determining if a credit loss exists. For AFS debt securities, credit losses exist where Citi does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security. The allowance for credit losses is limited to the amount by which the AFS debt security’s amortized cost basis exceeds its fair value. The allowance is increased or decreased if credit conditions subsequently worsen or improve. Reversals of credit losses are recognized in earnings. The Company’s review for impairment of AFS debt securities generally entails: • • • identification and evaluation of impaired investments; consideration of evidential matter, including an evaluation of factors or triggers that could cause individual positions to qualify as credit impaired and those that would not support credit impairment; and documentation of the results of these analyses, as required under business policies. The sections below describe the Company’s process for identifying expected credit impairments for debt security types that have the most significant unrealized losses as of December 31, 2022. Agency Mortgage-Backed Securities Citi records no allowances for credit losses on U.S. government-agency-guaranteed mortgage-backed securities, because the Company expects to incur no credit losses in the event of default due to a history of incurring no credit losses and due to the nature of the counterparties. State and Municipal Securities The process for estimating credit losses in Citigroup’s AFS state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. Citi monitors the bond issuers and any insurers providing default protection in the form of financial guarantee insurance. The average external credit rating, disregarding any insurance, is Aa2/AA. In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument- specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments. For AFS state and municipal bonds with unrealized losses that Citi plans to sell or would more-likely-than-not be required to sell prior to recovery of value, the full impairment is recognized in earnings. For AFS state and municipal bonds where Citi has no intent to sell and it is not more-likely-than- not that the Company will be required to sell, Citi records an allowance for expected credit losses for the amount it expects not to collect, capped at the difference between the bond’s amortized cost basis and fair value. Equity Method Investments Management assesses equity method investments that have fair values that are less than their respective carrying values for other-than-temporary impairment (OTTI). Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 25). For impaired equity method investments that Citi plans to sell prior to recovery of value or would more-likely-than-not be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized as OTTI in Other revenue regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date. For impaired equity method investments that management does not plan to sell and is not more-likely-than-not to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators: • • • the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer; the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and the length of time and extent to which fair value has been less than the carrying value. 201 Recognition and Measurement of Impairment The following table presents total impairment on AFS investments recognized in earnings: In millions of dollars 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 Total impairment losses recognized in earnings $ $ $ 2022 Year ended 2021 2020 — $ — — $ 360 360 $ — $ — — $ 181 181 $ — — — 109 109 The following presents the credit-related impairments recognized in earnings for AFS securities held that the Company does not intend to sell nor will likely be required to sell at December 31, 2022 and 2021: Allowance for Credit Losses on AFS Debt Securities In millions of dollars Allowance for credit losses at beginning of year Gross write-offs Gross recoveries Net credit losses (NCLs) NCLs Credit losses on securities without previous credit losses Net reserve builds (releases) on securities with previous credit losses Total provision for credit losses Initial allowance on newly purchased credit-deteriorated securities during the year Allowance for credit losses at end of year In millions of dollars Allowance for credit losses at beginning of year Gross write-offs Gross recoveries Net credit losses (NCLs) NCLs Credit losses on securities without previous credit losses Net reserve builds (releases) on securities with previous credit losses Total provision for credit losses Initial allowance on newly purchased credit-deteriorated securities during the year Allowance for credit losses at end of year Year ended December 31, 2022 Mortgage- backed U.S. Treasury and federal agency State and municipal Foreign government Corporate Total AFS $ $ $ $ $ — $ — — — $ — $ — — — $ — — $ — $ — — — $ — $ — — — $ — — $ — $ — — — $ — $ — — — $ — — $ — $ — — — $ — $ — — — $ — — $ 8 $ — 5 5 $ (5) $ 2 (2) (5) $ — 3 $ 8 — 5 5 (5) 2 (2) (5) — 3 Year ended December 31, 2021 Mortgage- backed U.S. Treasury and federal agency State and municipal Foreign government Corporate Total AFS — $ — — — $ — $ — — — $ — — $ — $ — — — $ — $ — — — $ — — $ — $ — — — $ — $ — — — $ — — $ 5 $ — — — $ — $ 3 — 3 $ — 8 $ 5 — — — — 3 — 3 — 8 $ $ $ $ $ — $ — — — $ — $ — — — $ — — $ 202 In millions of dollars Allowance for credit losses at beginning of year Gross write-offs Gross recoveries Net credit losses (NCLs) NCLs Credit losses on securities without previous credit losses Net reserve builds (releases) on securities with previous credit losses Total provision for credit losses Initial allowance on newly purchased credit-deteriorated securities during the year Allowance for credit losses at end of year Year ended December 31, 2020 Mortgage- backed U.S. Treasury and federal agency State and municipal Foreign government Corporate Total AFS $ $ $ $ $ — $ — — — $ — $ — — — $ — — $ — $ — — — $ — $ — — — $ — — $ — $ — — — $ — $ — — — $ — — $ — $ — — — $ — $ 3 (3) — $ — — $ — $ — 2 2 $ (2) $ 5 — 3 $ — 5 $ — — 2 2 (2) 8 (3) 3 — 5 203 Non-Marketable Equity Securities Not Carried at Fair Value Non-marketable equity securities are required to be measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost. The election to measure a non-marketable equity security using the measurement alternative is made on an instrument- by-instrument basis. Under the measurement alternative, an equity security is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer. The carrying value of the equity security is adjusted to fair value on the date of an observed transaction. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi. Equity securities under the measurement alternative are also assessed for impairment. On a quarterly basis, management qualitatively assesses whether each equity security under the measurement alternative is impaired. Impairment indicators that are considered include, but are not limited to, the following: • • • • • a significant deterioration in the earnings performance, credit rating, asset quality or business prospects of the investee; a significant adverse change in the regulatory, economic or technological environment of the investee; a significant adverse change in the general market condition of either the geographical area or the industry in which the investee operates; a bona fide offer to purchase, an offer by the investee to sell or a completed auction process for the same or similar investment for an amount less than the carrying amount of that investment; and factors that raise significant concerns about the investee’s ability to continue as a going concern, such as negative cash flows from operations, working capital deficiencies or noncompliance with statutory capital requirements or debt covenants. When the qualitative assessment indicates that impairment exists, the investment is written down to fair value, with the full difference between the fair value of the investment and its carrying amount recognized in earnings. Below is the carrying value of non-marketable equity securities measured using the measurement alternative at December 31, 2022 and 2021: In millions of dollars Measurement alternative: December 31, 2022 December 31, 2021 Carrying value $ 1,676 $ 1,413 Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative: In millions of dollars Measurement alternative(1): Impairment losses Downward changes for observable prices Upward changes for observable prices Years ended December 31, 2022 2021 $ 139 $ 3 177 25 — 406 (1) See Note 25 for additional information on these nonrecurring fair value measurements. In millions of dollars Measurement alternative: Impairment losses Downward changes for observable prices Upward changes for observable prices Life-to-date amounts on securities still held December 31, 2022 $ 219 6 867 A similar impairment analysis is performed for non- marketable equity securities carried at cost. For the years ended December 31, 2022 and 2021, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost. 204 The Company sold and/or reclassified to held-for-sale $5.0 billion and $5.9 billion of corporate loans during the years ended December 31, 2022 and 2021, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the years ended December 31, 2022 or 2021. Lease financing Citi is a lessor in the power, railcars, shipping and aircraft sectors, where the Company has executed operating, direct financing and leveraged leases. Citi’s $0.4 billion of lease financing receivables, as of December 31, 2022, is composed of approximately equal balances of direct financing lease receivables and net investments in leveraged leases. Citi uses the interest rate implicit in the lease to determine the present value of its lease financing receivables. Interest income on direct financing and leveraged leases during the year ended December 31, 2022 was not material. The Company’s operating leases, where Citi is a lessor, are not significant to the Consolidated Financial Statements. Delinquency Status Citi generally does not manage corporate loans on a delinquency basis. Corporate loans are placed on a cash (non- accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due, except when the loan is well collateralized and in the process of collection. Any interest accrued on impaired corporate loans and leases is reversed at 90 days and charged against current earnings, and interest is thereafter included in earnings only to the extent actually received in cash. When there is doubt regarding the ultimate collectibility of principal, all cash receipts are thereafter applied to reduce the recorded investment in the loan. While corporate loans are generally managed based on their internally assigned risk rating (see further discussion below), the following tables present delinquency information by corporate loan type. 14. 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. 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 dollars In North America offices(1) December 31, 2022 December 31, 2021 Commercial and industrial $ 56,176 $ Financial institutions Mortgage and real estate(2) Installment and other Lease financing Total In offices outside North America(1) Commercial and industrial Financial institutions Mortgage and real estate(2) Installment and other Lease financing Governments and official institutions Total Corporate loans, net of unearned income(3)(4)(5) 43,399 17,829 23,767 308 48,364 49,804 15,965 20,143 415 $ $ $ $ 141,479 $ 134,691 93,967 $ 102,735 21,931 4,179 23,347 46 22,158 4,374 22,812 40 4,205 4,423 147,675 $ 156,542 289,154 $ 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 $($797) million and ($770) million at December 31, 2022 and 2021, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis. (4) Not included in the balances above is approximately $2 billion of accrued interest receivable at December 31, 2022, which is included in Other assets on the Consolidated Balance Sheet. (5) Accrued interest receivable considered to be uncollectible is reversed through interest income. Amounts reversed were not material for the years ended December 31, 2022 and 2021, respectively. 205 Corporate Loan Delinquencies and Non-Accrual Details at December 31, 2022 In millions of dollars Commercial and industrial Financial institutions Mortgage and real estate Lease financing Other Loans at fair value Total 30–89 days past due and accruing(1) $ 763 $ 233 30 — 145 ≥ 90 days past due and accruing(1) Total past due and accruing Total non-accrual(2) Total current(3) Total loans(4) 594 $ 102 12 1 18 1,357 $ 860 $ 145,586 $ 147,803 335 42 1 163 152 33 10 67 64,420 21,874 343 48,788 64,907 21,949 354 49,018 5,123 $ 1,171 $ 727 $ 1,898 $ 1,122 $ 281,011 $ 289,154 Corporate Loan Delinquencies and Non-Accrual Details at December 31, 2021 In millions of dollars Commercial and industrial Financial institutions Mortgage and real estate Lease financing Other Loans at fair value Total 30–89 days past due and accruing(1) $ 1,072 $ 320 1 — 77 ≥ 90 days past due and accruing(1) Total past due and accruing Total non-accrual(2) Total current(3) Total loans(4) 239 $ 166 1 — 19 1,311 $ 1,263 $ 144,430 $ 147,004 486 2 — 96 2 136 14 138 71,279 20,153 441 45,412 71,767 20,291 455 45,646 6,070 $ 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) The Total loans column includes loans at fair value, which are not included in the various delinquency columns, and therefore the tables’ total rows will not cross- foot. Citigroup has a risk management process to monitor, evaluate and manage the principal risks associated with its corporate loan portfolio. As part of its risk management process, Citi assigns numeric risk ratings to its corporate loan facilities based on quantitative and qualitative assessments of the obligor and facility. These risk ratings are reviewed at least annually or more often if material events related to the obligor or facility warrant. Factors considered in assigning the risk ratings include financial condition of the obligor, qualitative assessment of management and strategy, amount and sources of repayment, amount and type of collateral and guarantee arrangements, amount and type of any contingencies associated with the obligor and the obligor’s industry and geography. The obligor risk ratings are defined by ranges of default probabilities. The facility risk ratings are defined by ranges of loss norms, which are the product of the probability of default and the loss given default. The investment-grade rating categories are similar to the category BBB-/Baa3 and above as defined by S&P and Moody’s. Loans classified according to the bank regulatory definitions as special mention, substandard, doubtful and loss will have risk ratings within the non-investment-grade categories. 206 Corporate Loans Credit Quality Indicators Recorded investment in loans(1) Term loans by year of origination 2022 2021 2020 2019 2018 Prior Revolving line of credit arrangements(2) December 31, 2022 $ 50,086 $ 5,716 $ 2,454 $ 2,348 $ 1,129 $ 1,776 $ 38,359 $ 101,868 13,547 3,174 813 593 7,321 3,876 3,379 1,205 12,257 1,171 494 148 284 577 688 713 775 3,496 37,463 152 26,807 56,587 17,285 45,061 $ 83,211 $ 13,937 $ 7,140 $ 4,294 $ 2,678 $ 6,760 $ 102,781 $ 220,801 $ 21,877 $ 3,114 $ 1,371 $ 800 $ 661 $ 402 $ 16,850 $ 45,075 5,110 1,081 1,938 80 41 2 7 626 989 360 31 35 11 26 247 470 466 90 — — 1 65 556 107 53 — — 8 36 562 7 44 — 2 10 11 501 64 83 — 18 9 2,073 472 1,292 479 76 — 16 $ 30,136 $ 5,192 $ 2,645 $ 1,589 $ 1,322 $ 1,088 $ 21,258 $ $ 8,168 4,631 4,234 860 152 33 77 63,230 5,123 $ 113,347 $ 19,129 $ 9,785 $ 5,883 $ 4,000 $ 7,848 $ 124,039 $ 289,154 In millions of dollars Investment grade(3) Commercial and industrial(4) Financial institutions(4) Mortgage and real estate Other(5) Total investment grade Non-investment grade(3) Accrual Commercial and industrial(4) Financial institutions(4) Mortgage and real estate Other(5) Non-accrual Commercial and industrial(4) Financial institutions Mortgage and real estate Other(5) Total non-investment grade Loans at fair value(6) Corporate loans, net of unearned income 207 Recorded investment in loans(1) Term loans by year of origination 2021 2020 2019 2018 2017 Prior Revolving line of credit arrangements(2) December 31, 2021 $ 42,422 $ 5,529 $ 4,642 $ 3,757 $ 2,911 $ 8,392 $ 12,862 1,678 1,183 1,038 419 1,354 2,423 3,660 3,332 2,015 1,212 1,288 9,037 3,099 1,160 2,789 330 4,601 30,588 $ 43,630 141 18,727 98,241 62,164 14,071 39,743 $ 66,744 $ 13,966 $ 10,317 $ 9,599 $ 4,872 $ 15,635 $ 93,086 $ 214,219 $ 16,783 $ 2,281 $ 2,343 $ 2,024 $ 1,412 $ 3,981 $ 18,676 $ 47,500 4,325 1,275 1,339 53 — 11 19 347 869 349 119 — 8 5 567 101 1,228 1,018 554 364 64 — 2 19 104 — 49 19 71 493 119 94 — 10 — 511 586 245 117 — 25 90 3,679 615 3,236 712 2 31 — $ 23,805 $ 3,978 $ 4,777 $ 3,679 $ 2,199 $ 5,555 $ 26,951 $ 9,601 6,084 6,206 1,263 2 136 152 70,944 6,070 $ 90,549 $ 17,944 $ 15,094 $ 13,278 $ 7,071 $ 21,190 $ 120,037 $ 291,233 In millions of dollars Investment grade(3) Commercial and industrial(4) Financial institutions(4) Mortgage and real estate Other(5) Total investment grade Non-investment grade(3) Accrual Commercial and industrial(4) Financial institutions(4) Mortgage and real estate Other(5) Non-accrual Commercial and industrial(4) Financial institutions Mortgage and real estate Other(5) Total non-investment grade Loans at fair value(6) Corporate loans, net of unearned income (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 year. (3) Held-for-investment loans are accounted for on an amortized cost basis. Includes certain short-term loans with less than one year in tenor. (4) (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. Collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying collateral with no other available and reliable sources of repayment, are written down to the lower of carrying value or collateral value, less cost to sell. Cash-basis loans are returned to an accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance, generally six months, in accordance with the contractual terms of the loan. 208 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: In millions of dollars Non-accrual corporate loans Commercial and industrial $ Financial institutions Mortgage and real estate Lease financing Other At and for the year ended December 31, 2022 Recorded investment(1) Unpaid principal balance Related specific allowance Average carrying value(2) Interest income recognized(3) 860 $ 152 33 10 67 1,440 $ 205 33 10 89 268 $ 1,210 $ 51 4 — — 115 85 12 111 56 — 4 — 6 66 Total non-accrual corporate loans $ 1,122 $ 1,777 $ 323 $ 1,533 $ In millions of dollars Non-accrual corporate loans At and for the year ended December 31, 2021 Recorded investment(1) Unpaid principal balance Related specific allowance Average carrying value(2) Interest income recognized(3) Commercial and industrial $ 1,263 $ 1,858 $ 198 $ 1,839 $ Financial institutions Mortgage and real estate Lease financing Other 2 136 14 138 55 285 14 165 — 10 — 4 4 163 21 134 Total non-accrual corporate loans $ 1,553 $ 2,377 $ 212 $ 2,161 $ 37 — — — 17 54 In millions of dollars Non-accrual corporate loans with specific allowances Commercial and industrial Financial institutions Mortgage and real estate Other $ Total non-accrual corporate loans with specific allowances $ Non-accrual corporate loans without specific allowances Commercial and industrial Financial institutions Mortgage and real estate Lease financing Other Total non-accrual corporate loans without specific allowances $ $ December 31, 2022 December 31, 2021 Recorded investment(1) Related specific allowance Recorded investment(1) Related specific allowance 583 $ 149 33 — 765 $ 277 3 — 10 67 357 268 $ 637 $ 51 4 — — 29 37 323 $ 703 $ $ N/A $ 626 2 107 14 101 850 198 — 10 4 212 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) N/A Not applicable Interest income recognized for the year ended December 31, 2020 was $35 million. 209 Corporate Troubled Debt Restructurings For the year ended December 31, 2022 Carrying value of TDRs modified during the year 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 In millions of dollars Commercial and industrial Mortgage and real estate Other Total $ $ 61 $ 2 30 93 $ — $ 1 — 1 $ For the year ended December 31, 2021(1) In millions of dollars Commercial and industrial Mortgage and real estate Other Total Carrying value of TDRs modified during the year 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) $ $ 82 $ 4 6 92 $ — $ — — — $ — $ — — $ — $ — — $ 61 1 30 92 82 4 6 92 TDRs involving changes in the amount and/or timing of both principal and interest payments (1) The 2021 table does not include loan modifications that meet the TDR relief criteria in the CARES Act or the interagency guidance. (2) TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectible may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification. (3) TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate. The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due. In millions of dollars Commercial and industrial Mortgage and real estate Other Total(1) TDR balances at December 31, 2022 TDR loans that re-defaulted in 2022 within one year of modification TDR balances at December 31, 2021 TDR loans that re-defaulted in 2020 within one year of modification $ $ 85 $ 13 12 110 $ — $ — — — $ 236 $ 20 28 284 $ — — — — (1) The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period. 210 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 represent unsecured credit card lending to customers of Branded cards and Retail services. Personal, small business and other loans in North America are 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 mortgage 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 represent 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 are primarily composed of secured and unsecured loans to customers of PBWM and Legacy Franchises. A significant portion of PBWM loans is classifiably managed and represents 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. Consumer Loans Consumer loans represent loans and leases managed primarily by PBWM and Legacy Franchises (except Mexico SBMM). Citigroup has established a risk management process to monitor, evaluate and manage the principal risks associated with its consumer loan portfolio. Credit quality indicators that are actively monitored include delinquency status, consumer credit scores under Fair Isaac Corporation (FICO) and loan to value (LTV) ratios, each as discussed in more detail below. Delinquency Status Delinquency status is monitored and considered a key indicator of credit quality of consumer loans. Principally, the U.S. residential first mortgage loans use the Mortgage Bankers Association (MBA) method of reporting delinquencies, which considers a loan delinquent if a monthly payment has not been received by the end of the day immediately preceding the loan’s next due date. All other loans use a method of reporting delinquencies that considers a loan delinquent if a monthly payment has not been received by the close of business on the loan’s next due date. As a general policy, residential first mortgages, home equity loans and installment loans are classified as non-accrual when loan payments are 90 days contractually past due. Credit cards and unsecured revolving loans generally accrue interest until payments are 180 days past due. Home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage is 90 days or more past due. Mortgage loans, other than Federal Housing Administration (FHA)-insured loans, are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy. The policy for re-aging modified U.S. consumer loans to current status varies by product. Generally, one of the conditions to qualify for these modifications is that a minimum number of payments (typically ranging from one to three) be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open- ended consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended consumer loans subject to FFIEC guidelines, one of the conditions for a loan to be re-aged to current status is that at least three consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years). Furthermore, FHA and Department of Veterans Affairs (VA) loans are modified under those respective agencies’ guidelines and payments are not always required in order to re-age a modified loan to current. 211 The following tables provide Citi’s consumer loans by type: Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2022 In millions of dollars In North America offices(7) Residential first mortgages(8) Home equity loans(9)(10) Credit cards Personal, small business and other(11) Total In offices outside North America(7) Residential mortgages(8) Credit cards Personal, small business and other(11) Total Total Citigroup(12)(13) Total current(1)(2) 30–89 days past due(3) ≥ 90 days past due(3) Past due government guaranteed(6) Total loans Non- accrual loans for which there is no ACLL Non- accrual loans for which there is an ACLL Total non- accrual 90 days past due and accruing $ 95,023 $ 421 $ 316 $ 279 $ 96,039 $ 86 $ 434 $ 520 $ 4,407 38 135 — 4,580 147,717 1,511 1,415 — 150,643 51 — 151 202 — — 1,415 163 — 37,635 88 22 7 37,752 3 23 26 11 $ 284,782 $ 2,058 $ 1,888 $ 286 $ 289,014 $ 140 $ 608 $ 748 $ 1,589 $ 27,946 $ 62 $ 106 $ — $ 28,114 $ — $ 305 $ 305 $ 12,659 147 149 — 12,955 — 127 127 37,869 105 10 — 37,984 — 137 137 $ 78,474 $ 314 $ 265 $ — $ 79,053 $ — $ 569 $ 569 $ 13 56 — 69 $ 363,256 $ 2,372 $ 2,153 $ 286 $ 368,067 $ 140 $ 1,177 $ 1,317 $ 1,658 Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2021 In millions of dollars In North America offices(7) Residential first mortgages(8) Home equity loans(9)(10) Credit cards Personal, small business and other(14) Total In offices outside North America(7) Residential mortgages(8) Credit cards Personal, small business and other(14) Total Total Citigroup(13) 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 ACLL Non- accrual loans for which there is an ACLL Total non- accrual 90 days past due and accruing $ 82,087 $ 381 $ 499 $ 394 $ 83,361 $ 134 $ 559 $ 693 $ 5,546 132,050 43 947 156 871 — 5,745 — 133,868 64 — 221 285 — — 40,533 126 16 38 40,713 2 70 72 282 — 871 30 $ 260,216 $ 1,497 $ 1,542 $ 432 $ 263,687 $ 200 $ 850 $ 1,050 $ 1,183 $ 37,566 $ 165 $ 158 $ — $ 37,889 $ — $ 409 $ 409 $ 17,428 192 188 — 17,808 — 140 140 56,930 145 75 — 57,150 — 227 227 $ 111,924 $ 502 $ 421 $ — $ 112,847 $ — $ 776 $ 776 $ 10 133 — 143 $ 372,140 $ 1,999 $ 1,963 $ 432 $ 376,534 $ 200 $ 1,626 $ 1,826 $ 1,326 Includes $237 million and $12 million at December 31, 2022 and 2021, respectively, of residential first mortgages recorded at fair value. (1) Loans less than 30 days past due are presented as current. (2) (3) Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes $31.5 billion and $17.8 billion of classifiably managed Private bank loans in North America and outside North America, respectively, at December 31, 2022. Excludes $35.3 billion and $24.5 billion of classifiably managed Private bank loans in North America and outside North America, respectively, at December 31, 2021. (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) 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 $0.1 billion and 90 days or more past due of $0.2 billion and $0.3 billion at December 31, 2022 and 2021, respectively. (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 and $0.0 billion of residential first mortgage loans in process of foreclosure in North America and outside North America, respectively, and $19.8 billion of residential mortgages outside North America related to the Global Wealth business at December 31, 2022. Includes 212 approximately $0.1 billion and $0.1 billion of residential first mortgage loans in process of foreclosure in North America and outside North America, respectively, and $19.8 billion of residential mortgages outside North America related to the Global Wealth business at December 31, 2021. Includes approximately $0.1 billion and $0.1 billion at December 31, 2022 and 2021, respectively, of home equity loans in process of foreclosure in North America. (9) (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: $34.0 billion in North America, approximately $31.5 billion of which are classifiably managed, and as of December 31, 2022 approximately 98% were rated investment grade; and $26.6 billion outside North America, approximately $17.8 billion of which are classifiably managed, and as of December 31, 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. (12) Not included in the balances above is approximately $1 billion of accrued interest receivable at December 31, 2022, which is included in Other assets on the Consolidated Balance Sheet, except for credit card loans (which include accrued interest and fees). When a loan becomes non-accrual or, if not subject to a non- accrual policy, is charged-off per the Company’s charge-off policy, any accrued interest receivable is also reversed against the interest income. During the years ended December 31, 2022 and 2021, the Company reversed accrued interest of approximately $0.6 billion and $0.8 billion, respectively, primarily related to credit card loans. (13) Consumer loans were net of unearned income of $712 million and $629 million at December 31, 2022 and 2021, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts. (14) 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. Interest Income Recognized for Non-Accrual Consumer Loans In millions of dollars In North America offices(1) Residential first mortgages Home equity loans Credit cards Personal, small business and other Total In offices outside North America(1) Residential mortgages Credit cards Personal, small business and other Total Total Citigroup For the years ended December 31, 2022 2021 $ $ $ $ $ 12 $ 5 — 2 19 $ 4 $ — 4 8 $ 27 $ 13 7 — — 20 1 — — 1 21 (1) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. During the years ended December 31, 2022 and 2021, the Company sold and/or reclassified to HFS $582 million and $1,473 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 during the years ended December 31, 2022 and 2021. See Note 2 for additional information regarding Citigroup’s businesses for sale. 213 Consumer Credit Scores (FICO) In the U.S., independent credit agencies rate an individual’s risk for assuming debt based on the individual’s credit history and assign every consumer a Fair Isaac Corporation (FICO) credit score. These scores are continually updated by the agencies based upon an individual’s credit actions (e.g., taking out a loan or missed or late payments). The following tables provide details on the 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 $80.5 billion and $114.3 billion in the consumer loan portfolio outside of the U.S. as of December 31, 2022 and 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) December 31, 2022 In millions of dollars Residential first mortgages 2022 2021 2020 2019 2018 Prior Total residential first mortgages Home equity line of credit (pre-reset) Home equity line of credit (post-reset) Home equity term loans 2022 2021 2020 2019 2018 Prior Total home equity loans Credit cards Revolving loans converted to term loans(5) Total credit cards(6) Personal, small business and other 2022 2021 2020 2019 2018 Prior Total personal, small business and other(7)(8) Total Less than 680 680 to 760 Greater than 760 Classifiably managed(3) FICO not available(4) Total loans $ 691 $ 7,530 $ 12,928 639 431 321 302 2,020 5,933 4,621 2,505 1,072 6,551 12,672 10,936 5,445 1,899 12,649 $ $ $ $ $ $ $ $ 4,404 $ 28,212 $ 56,529 $ 6,894 $ 96,039 552 $ 1,536 $ 1,876 62 106 — — 1 1 1 65 151 — 1 2 2 2 40 117 — 1 2 2 1 103 720 $ 144 1,752 $ 111 2,033 27,901 $ 58,213 $ 60,896 766 354 54 $ 75 $ 4,580 28,667 $ 58,567 $ 60,950 $ 1,914 $ 150,098 247 $ 96 15 21 10 126 515 $ 546 $ 170 20 23 10 190 959 $ 800 210 30 28 9 144 1,221 $ 31,478 2,639 $ 36,812 34,306 $ 89,490 $ 120,733 $ 31,478 $ 11,522 $ 287,529 214 FICO score distribution—U.S. portfolio(1)(2) December 31, 2021 In millions of dollars Residential first mortgages 2021 2020 2019 2018 2017 Prior Total residential first mortgages Home equity line of credit (pre-reset) Home equity line of credit (post-reset) Home equity term loans 2021 2020 2019 2018 2017 Prior Total home equity loans Credit cards Revolving loans converted to term loans(5) Total credit cards(6) Personal, small business and other 2021 2020 2019 2018 2017 Prior Total personal, small business and other(7)(8) Total Less than 680 680 to 760 Greater than 760 Classifiably managed(3) FICO not available(4) Total loans $ $ $ $ $ $ $ $ $ 626 $ 508 373 394 343 2,053 4,297 $ 659 $ 75 168 — — 1 1 1 165 902 $ 22,342 $ 773 23,115 $ 59 $ 22 42 34 7 120 284 $ 28,598 $ 6,729 $ 5,102 3,074 1,180 1,455 6,540 24,080 $ 1,795 $ 72 210 1 3 2 2 2 201 2,077 $ 52,481 $ 426 52,907 $ 201 $ 41 53 35 8 179 517 $ 79,581 $ 12,349 12,153 6,167 2,216 2,568 12,586 48,039 2,506 37 156 1 2 2 1 2 149 2,699 55,076 61 55,137 319 64 68 37 9 143 640 $ 106,515 $ $ 6,945 $ 83,361 $ 67 $ 5,745 $ 2,192 $ 133,351 35,324 $ 35,324 $ 3,041 $ 12,245 $ 39,806 262,263 (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 $31.5 billion and $35.3 billion of Private bank loans as of December 31, 2022 and 2021, respectively, which are classifiably managed within Global Wealth and are primarily evaluated for credit risk based on their internal risk ratings. As of December 31, 2022 and 2021, approximately 98% 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) Not included in the tables above are $75 million and $313 million of revolving credit card loans outside of the U.S. that were converted to term loans as of December 31, 2022 and 2021, respectively. (6) Excludes $545 million and $517 million of balances related to Canada for December 31, 2022 and 2021, respectively. (7) Excludes $940 million and $907 million of balances related to Canada for December 31, 2022 and 2021, respectively. (8) Includes approximately $67 million and $74 million of personal revolving loans that were converted to term loans for December 31, 2022 and 2021, respectively. 215 Loan to Value (LTV) Ratios—U.S. Consumer Mortgages LTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data. The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios by year of origination. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices. LTV distribution—U.S. portfolio December 31, 2022 In millions of dollars Residential first mortgages 2022 2021 2020 2019 2018 Prior Total residential first mortgages Home equity loans (pre-reset) Home equity loans (post-reset) Total home equity loans Total Less than or equal to 80% > 80% but less than or equal to 100% Greater than 100% LTV not available(1) Total $ 15,644 $ 19,104 16,935 8,789 3,598 22,367 86,437 $ 3,677 $ 627 4,304 $ 90,741 $ $ $ $ $ 6,497 $ 1,227 267 140 74 132 40 33 1 23 9 74 8,337 $ 180 $ 1,085 $ 96,039 36 $ 12 48 $ 8,385 $ 56 27 83 $ 263 $ 145 $ 4,580 1,230 $ 100,619 LTV distribution—U.S. portfolio December 31, 2021 In millions of dollars Residential first mortgages 2021 2020 2019 2018 2017 Prior Total residential first mortgages Home equity loans (pre-reset) Home equity loans (post-reset) Total home equity loans Total Less than or equal to 80% > 80% but less than or equal to 100% Greater than 100% LTV not available(1) Total 34 — 29 11 4 14 $ 18,107 $ 2,723 $ 18,715 10,047 4,117 4,804 22,161 77,951 $ 2,637 $ 2,751 5,388 $ $ $ $ $ 446 269 136 103 128 46 $ 52 98 $ 3,805 $ 92 $ 1,513 $ 83,361 69 32 101 $ 193 $ 158 $ 5,745 1,671 $ 89,106 83,339 $ 3,903 $ (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. 216 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) December 31, 2022 In millions of dollars Residential mortgages 2022 2021 2020 2019 2018 Prior Total Less than or equal to 80% > 80% but less than or equal to 100% Greater than 100% LTV not available Total $ 3,106 $ 4,144 3,293 3,048 2,074 9,201 975 $ 964 502 92 48 36 294 273 25 1 — 7 $ 24,866 $ 2,617 $ 600 $ 31 $ 28,114 LTV distribution—outside of U.S. portfolio(1) December 31, 2021 In millions of dollars Residential mortgages 2021 2020 2019 2018 2017 Prior Total Less than or equal to 80% > 80% but less than or equal to 100% Greater than 100% LTV not available Total $ 6,334 $ 989 $ 5,996 5,293 3,729 2,739 12,190 292 116 32 38 102 — — 1 — — 14 $ 36,281 $ 1,569 $ 15 $ 24 $ 37,889 (1) Mortgage portfolios outside of the U.S. are primarily in Global Wealth. As of December 31, 2022 and 2021, mortgage portfolios outside of the U.S. have an average LTV of approximately 51% and 46%, respectively. 217 Consumer Loans and Ratios Outside of North America In millions of dollars at December 31, 2022 Residential mortgages(3) Credit cards Personal, small business and other(4) Total In millions of dollars at December 31, 2021 Residential mortgages(3) Credit cards Personal, small business and other(4) Total Delinquency-managed loans and ratios Total loans outside of North America(1) Classifiably managed loans(2) Delinquency- managed loans 30–89 days past due ratio ≥ 90 days past due ratio 4Q22 NCL ratio $ 28,114 $ 12,955 37,984 — $ — 17,762 $ 79,053 $ 17,762 $ 28,114 12,955 20,222 61,291 0.22 % 0.38 % 0.10 % 1.13 0.52 1.15 0.05 3.18 0.76 0.51 % 0.43 % 0.91 % Delinquency-managed loans and ratios Total loans outside of North America(1) Classifiably managed loans(2) Delinquency- managed loans 30–89 days past due ratio ≥ 90 days past due ratio 4Q21 NCL ratio $ 37,889 $ 17,808 57,150 — $ — 24,482 $ 112,847 $ 24,482 $ 37,889 17,808 32,668 88,365 0.44 % 0.42 % 0.08 % 1.08 0.44 1.06 0.23 3.06 0.72 0.57 % 0.48 % 0.88 % (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 December 31, 2022 and 2021, approximately 94% and 94% of these loans, respectively, were rated investment grade. Includes $19.8 billion and $19.8 billion as of December 31, 2022 and 2021, respectively, of residential mortgages related to the Global Wealth business. Includes $26.6 billion and $34.6 billion as of December 31, 2022 and 2021, respectively, of loans related to the Global Wealth business. (3) (4) 218 Impaired Consumer Loans A loan is considered impaired when Citi believes it is probable that all amounts due according to the original contractual terms of the loan will not be collected. Impaired consumer loans include non-accrual loans, as well as smaller-balance homogeneous loans whose terms have been modified due to the borrower’s financial difficulties and where Citi has granted a concession to the borrower. These modifications may include interest rate reductions and/or principal forgiveness. Impaired consumer loans exclude smaller-balance homogeneous loans that have not been modified and are carried on a non-accrual basis. The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans: In millions of dollars Mortgage and real estate Residential first mortgages Home equity loans Credit cards Personal, small business and other Total In millions of dollars Mortgage and real estate Residential first mortgages Home equity loans Credit cards Personal, small business and other Total At and for the year ended December 31, 2022 Recorded investment (1)(2) Unpaid principal balance Related specific allowance(3) Average carrying value(5) Interest income recognized(6) $ 1,305 $ 1,430 $ 254 1,255 107 322 1,256 108 58 $ — 491 47 1,283 $ 261 1,246 120 $ 2,921 $ 3,116 $ 596 $ 2,910 $ 115 10 62 18 205 At and for the year ended December 31, 2021 Recorded investment (1)(2) Unpaid principal balance Related specific allowance(3)(4) Average carrying value(5) Interest income recognized(6) $ 1,521 $ 1,595 $ 191 1,582 454 344 1,609 461 87 $ (1) 594 133 1,564 $ 336 1,795 505 $ 3,748 $ 4,009 $ 813 $ 4,200 $ 88 9 116 52 265 (1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans. (2) For December 31, 2022, $152 million of residential first mortgages and $73 million of home equity loans do not have a specific allowance. For 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. Included in the Allowance for credit losses on loans. (3) (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 an accrual and cash basis. 219 Consumer Troubled Debt Restructurings In millions of dollars, except number of loans modified In North America offices(7) Residential first mortgages Home equity loans Credit cards Personal, small business and other Total(8) In offices outside North America(7) Residential mortgages Credit cards Personal, small business and other Total(8) In millions of dollars, except number of loans modified In North America offices(7) Residential first mortgages Home equity loans Credit cards Personal, small business and other Total(8) In offices outside North America(7) Residential mortgages Credit cards Personal, small business and other Total(8) For the year ended December 31, 2022 Number of loans modified Post- modification recorded investment(2)(3) Deferred principal(4) Contingent principal forgiveness(5) Principal forgiveness(6) Average interest rate reduction 1,133 $ 451 176,252 575 263 $ 40 775 7 178,411 $ 1,085 $ 683 $ 16,006 2,432 19,121 $ 21 $ 68 29 118 $ — $ — — — — $ — $ — — — $ — $ — — — — $ — $ — — — $ — — — — — — 1 1 2 — % — 18 5 — % 25 8 For the year ended December 31, 2021(1) Number of loans modified Post- modification recorded investment(2)(9) Deferred principal(4) Contingent principal forgiveness(5) Principal forgiveness(6) Average interest rate reduction 1,335 $ 191 165,098 1,000 230 $ 19 794 13 167,624 $ 1,056 $ 1,975 $ 74,202 28,208 104,385 $ 86 $ 339 202 627 $ — $ — — — — $ — $ — — — $ — $ — — — — $ — $ — — — $ — — — — — — 13 7 20 1 % — 18 3 — % 13 10 (1) The 2021 table does 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 $5 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2022. These amounts include $3.8 million of residential first mortgages that were newly classified as TDRs during 2022, based on previously received OCC guidance. The remaining amounts were already classified as TDRs before being discharged in Chapter 7 bankruptcy. (4) Represents the 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 the portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness. (6) Represents the 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 year. (9) Post-modification balances in North America include $15 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2021. These amounts include $5 million of residential first mortgages that were newly classified as TDRs during 2021, based on previously received OCC guidance. The remaining amounts were already classified as TDRs before being discharged in Chapter 7 bankruptcy. 220 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: Years ended December 31, 2022 2021 $ $ $ $ 35 $ 4 250 1 290 $ 10 $ 12 3 25 $ 57 8 252 4 321 38 152 96 286 In millions of dollars In North America offices(1) Residential first mortgages Home equity loans Credit cards Personal, small business and other Total In offices outside North America(1) Residential mortgages Credit cards Personal, small business and other Total (1) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. Purchased Credit-Deteriorated Assets Years ended December 31, 2022 2021 In millions of dollars Credit cards Mortgages(1) Installment and other Credit cards Mortgages(1) Installment and other Purchase price $ — $ 23 $ — $ — $ 23 $ Allowance for credit losses at acquisition date Discount or premium attributable to non-credit factors — — — — — — — — — — Par value (amortized cost basis) $ — $ 23 $ — $ — $ 23 $ — — — — (1) Includes loans sold to agencies that were bought back at par due to repurchase agreements. 221 15. ALLOWANCE FOR CREDIT LOSSES In millions of dollars Allowance for credit losses on loans (ACLL) at beginning of year Adjustments to opening balance(1): Financial instruments—credit losses (CECL) adoption Variable post-charge-off third-party collection costs Adjusted ACLL at beginning of year Gross credit losses on loans Gross recoveries on loans Net credit losses on loans (NCLs) Replenishment of NCLs Net reserve builds (releases) for loans Net specific reserve builds (releases) for loans Total provision for credit losses on loans (PCLL) Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period Other, net (see table below) ACLL at end of year Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of year(2) Adjustment to opening balance for CECL adoption(1) Provision (release) for credit losses on unfunded lending commitments Other, net(3) ACLUC at end of year(2) Total allowance for credit losses on loans, leases and unfunded lending commitments Other, net details In millions of dollars Sales or transfers of various consumer loan portfolios to HFS(4) 2022 2021 2020 $ 16,455 $ 24,956 $ 12,783 — — 16,455 $ (5,156) $ 1,367 (3,789) $ 3,789 $ 937 19 — — 24,956 $ (6,720) $ 1,825 (4,895) $ 4,895 $ (7,283) (715) 4,201 (443) 16,541 (9,263) 1,652 (7,611) 7,611 7,635 676 4,745 $ (3,103) $ 15,922 — (437) — (503) 4 100 16,974 $ 16,455 $ 24,956 1,871 $ 2,655 $ — 291 (11) — (788) 4 2,151 $ 1,871 $ 19,125 $ 18,326 $ 1,456 (194) 1,446 (53) 2,655 27,611 $ $ $ $ $ $ $ $ $ 2022 2021 2020 Reclass of Thailand, India, Malaysia, Taiwan, Indonesia, Bahrain and Vietnam consumer ACLL to HFS $ (350) $ Reclass of Australia consumer ACLL to HFS Reclass of the Philippines consumer ACLL to HFS Transfer of real estate loan portfolios Reclasses of consumer ACLL to HFS(4) FX translation and other Other, net — — — (350) $ (87) (437) $ $ $ — $ (280) (90) — (370) $ (133) (503) $ — — — (4) (4) 104 100 (1) See “Accounting Changes” in Note 1. (2) Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet. (3) See below for ACL on HTM debt securities and Other assets. 2020 includes a non-provision transfer of $68 million, representing reserves on performance guarantees. The reserves on these contracts have been reclassified out of the allowance for credit losses on unfunded lending commitments and into Other liabilities on the Consolidated Balance Sheet beginning in 2020. (4) See Note 2. 222 Allowance for Credit Losses on Loans and End-of-Period Loans at December 31, 2022 In millions of dollars ACLL at beginning of year Gross credit losses on loans Gross recoveries on loans Replenishment of NCLs Net reserve builds (releases) Net specific reserve builds (releases) Initial allowance for credit losses on newly purchased credit-deteriorated assets during the year Other Ending balance ACLL Collectively evaluated Individually evaluated Purchased credit deteriorated Total ACLL Loans, net of unearned income Collectively evaluated Individually evaluated Purchased credit deteriorated Held at fair value Corporate Consumer Total $ 2,415 $ 14,040 $ (278) 100 178 374 65 — 1 (4,878) 1,267 3,611 563 (46) — (438) 16,455 (5,156) 1,367 3,789 937 19 — (437) $ $ $ $ 2,855 $ 14,119 $ 16,974 2,532 $ 13,521 $ 16,053 323 — 596 2 919 2 2,855 $ 14,119 $ 16,974 282,909 $ 364,795 $ 647,704 1,122 — 5,123 2,921 114 237 4,043 114 5,360 Total loans, net of unearned income $ 289,154 $ 368,067 $ 657,221 2022 Changes in the ACL The total allowance for credit losses on loans, leases and unfunded lending commitments as of December 31, 2022 was $19,125 million, an increase from $18,326 million at December 31, 2021. The increase in the allowance for credit losses on loans, leases and unfunded lending commitments was primarily driven by U.S. Cards loan growth and a deterioration in macroeconomic assumptions. Consumer ACLL Citi’s total consumer allowance for credit losses on loans (ACLL) as of December 31, 2022 was $14,119 million, an increase from $14,040 million at December 31, 2021. The increase in the ACLL balance was primarily driven by U.S. Cards loan growth and a deterioration in macroeconomic assumptions, partially offset by the reduction in reserves related to COVID-19 uncertainty. Corporate ACLL Citi’s total corporate ACLL as of December 31, 2022 was $2,855 million, an increase from $2,415 million at December 31, 2021. The increase in the ACLL balance was primarily driven by a deterioration in macroeconomic assumptions, partially offset by the release of a COVID-19– related uncertainty reserve. ACLUC As of December 31, 2022, Citi’s total allowance for credit losses on unfunded lending commitments (ACLUC), included in Other liabilities, was $2,151 million, an increase from $1,871 million at December 31, 2021. The increase in the ACLUC balance was primarily driven by a deterioration in macroeconomic assumptions. 223 Allowance for Credit Losses on Loans and End-of-Period Loans at December 31, 2021 In millions of dollars ACLL at beginning of year Gross credit losses on loans Gross recoveries on loans Replenishment of NCLs Net reserve builds (releases) Net specific reserve builds (releases) Initial allowance for credit losses on newly purchased credit-deteriorated assets during the year Other Ending balance ACLL Collectively evaluated Individually evaluated Purchased credit deteriorated Total ACLL Loans, net of unearned income Collectively evaluated Individually evaluated Purchased credit deteriorated Held at fair value Corporate Consumer Total $ 4,776 $ 20,180 $ (500) 114 386 (2,075) (255) — (31) (6,220) 1,711 4,509 (5,208) (460) — (472) 24,956 (6,720) 1,825 4,895 (7,283) (715) — (503) $ $ $ $ 2,415 $ 14,040 $ 16,455 2,203 $ 13,227 $ 212 — 813 — 15,430 1,025 — 2,415 $ 14,040 $ 16,455 283,610 $ 372,655 $ 656,265 1,553 — 6,070 3,748 119 12 5,301 119 6,082 Total loans, net of unearned income $ 291,233 $ 376,534 $ 667,767 Allowance for Credit Losses on Loans at December 31, 2020 In millions of dollars ACLL at beginning of year Adjustments to opening balance: Financial instruments—credit losses (CECL)(1) Variable post-charge-off third-party collection costs(1) Adjusted ACLL at beginning of year Gross credit losses on loans Gross recoveries on loans Replenishment of NCLs Net reserve builds (releases) Net specific reserve builds (releases) Initial allowance for credit losses on newly purchased credit-deteriorated assets during the year Other Ending balance (1) See “Accounting Changes” in Note 1 for additional details. Corporate Consumer Total $ 2,727 $ 10,056 $ 12,783 (816) — 1,911 (976) 76 900 2,551 249 — 65 5,017 (443) 14,630 (8,287) 1,576 6,711 5,084 427 4 35 4,201 (443) 16,541 (9,263) 1,652 7,611 7,635 676 4 100 $ 4,776 $ 20,180 $ 24,956 224 Allowance for Credit Losses on HTM Debt Securities In millions of dollars Year ended December 31, 2022 Mortgage- backed State and municipal Foreign government Asset- backed All other debt securities Total HTM Allowance for credit losses on HTM debt securities at beginning of year $ Gross credit losses Gross recoveries Net credit losses (NCLs) Replenishment of NCLs Net reserve builds (releases) Net specific reserve builds (releases) Total provision for credit losses on HTM debt securities Other, net Allowance for credit losses on HTM debt securities at end of year $ $ $ $ $ 6 $ — — — $ — $ (5) — (5) $ — $ 75 $ — — — $ — $ 37 — 37 $ 1 $ 4 $ — — — $ — $ — — — $ (1) $ 2 $ — — — $ — $ 1 — 1 $ — $ — $ — — — $ — $ — — — $ — $ 87 — — — — 33 — 33 — 1 $ 113 $ 3 $ 3 $ — $ 120 In millions of dollars Allowance for credit losses on HTM debt securities at beginning of year Gross credit losses Gross recoveries Net credit losses (NCLs) Replenishment of NCLs Net reserve builds (releases) Net specific reserve builds (releases) Total provision for credit losses on HTM debt securities Other, net Allowance for credit losses on HTM debt securities at end of year In millions of dollars Allowance for credit losses on HTM debt securities at beginning of year Adjustment to opening balance for CECL adoption Gross credit losses Gross recoveries Net credit losses (NCLs) Replenishment of NCLs Net reserve builds (releases) Net specific reserve builds (releases) Total provision for credit losses on HTM debt securities Other, net Allowance for credit losses on HTM debt securities at end of year Year ended December 31, 2021 Mortgage- backed State and municipal Foreign government Asset- backed All other debt securities Total HTM $ $ $ $ $ $ 3 $ — 3 3 $ (3) $ 7 (4) — $ — $ 74 $ — — — $ — $ 1 — 1 $ — $ 6 $ — — — $ — $ (2) — (2) $ — $ 3 $ — — — $ — $ (2) — (2) $ 1 $ — $ — — — $ — $ — — — $ — $ 86 — 3 3 (3) 4 (4) (3) 1 6 $ 75 $ 4 $ 2 $ — $ 87 Year ended December 31, 2020 Mortgage- backed State and municipal Foreign government Asset- backed All other debt securities Total HTM $ $ $ $ $ $ — $ — — — — $ — $ (2) — (2) $ 5 $ — $ 61 — — — $ — $ 10 — 10 $ 3 $ — $ 4 — — — $ — $ (2) — (2) $ 4 $ — $ 5 — — — $ — $ 1 — 1 $ (3) $ — $ — — — — $ — $ — — — $ — $ 3 $ 74 $ 6 $ 3 $ — $ — 70 — — — — 7 — 7 9 86 225 Allowance for Credit Losses on Other Assets In millions of dollars Allowance for credit losses on other assets at beginning of year Gross credit losses Gross recoveries Net credit losses (NCLs) Replenishment of NCLs Net reserve builds (releases) Total provision for credit losses Other, net(2) Allowance for credit losses on other assets at end of year $ $ $ $ $ Deposits with banks $ 21 $ — — — $ — $ 30 30 $ — $ 51 $ Year ended December 31, 2022 Securities borrowed and purchased under agreements to resell Brokerage receivables All other assets(1) Total 6 $ — — — $ — $ 14 14 $ 16 $ 36 $ — $ — — — $ — $ — — $ — $ — $ 26 $ (24) 3 (21) $ 21 $ 11 32 $ (1) $ 36 $ 53 (24) 3 (21) 21 55 76 15 123 (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. In millions of dollars Allowance for credit losses on other assets at beginning of year Gross credit losses Gross recoveries Net credit losses (NCLs) Replenishment of NCLs Net reserve builds (releases) Total provision for credit losses Other, net Allowance for credit losses on other assets at end of year (1) Primarily accounts receivable. Year ended December 31, 2021 Securities borrowed and purchased under agreements to resell Deposits with banks Brokerage receivables All other assets(1) Total $ $ $ $ $ $ 20 $ — — — $ — $ 2 2 $ (1) $ 21 $ 10 $ — — — $ — $ (4) (4) $ — $ 6 $ — $ — — — $ — $ — — $ — $ — $ 25 $ (2) — (2) $ 2 $ — 2 $ 1 $ 26 $ In millions of dollars Allowance for credit losses on other assets at beginning of year $ Adjustment to opening balance for CECL adoption Gross credit losses Gross recoveries Net credit losses (NCLs) Replenishment of NCLs Net reserve builds (releases) Total provision for credit losses Other, net Allowance for credit losses on other assets at end of year (1) Primarily accounts receivable. For ACL on AFS debt securities, see Note 13. $ $ $ $ $ Year ended December 31, 2020 Cash and due from banks Deposits with banks Securities borrowed and purchased under agreements to resell Brokerage receivables All other assets(1) Total — $ 2 — — — $ — $ 8 8 $ — $ 10 $ — $ 1 — — — $ — $ (1) (1) $ — $ — $ 3 — — — $ — $ 1 1 $ 21 $ — $ 25 $ — $ 6 — — — $ — $ (6) (6) $ — $ — $ — $ 14 — — — $ — $ 5 5 $ 1 $ 20 $ 226 55 (2) — (2) 2 (2) — — 53 — 26 — — — — 7 7 22 55 16. GOODWILL AND INTANGIBLE ASSETS Goodwill The changes in Goodwill were as follows: In millions of dollars Balance at December 31, 2019 Foreign exchange translation Balance at December 31, 2020 Foreign exchange translation Divestitures(1) Balance at December 31, 2021 Foreign exchange translation Divestitures(1) Impairment of goodwill(2) Balance at December 31, 2022 Institutional Clients Group Personal Banking and Wealth Management Legacy Franchises Total $ $ $ $ 9,482 $ (1) 9,481 $ (266) — 9,215 $ (229) — — 10,015 $ 7 10,022 $ (296) (9) 2,629 $ 30 2,659 $ 179 (471) 22,126 36 22,162 (383) (480) 9,717 $ 2,367 $ 21,299 24 — — 5 (873) (535) (200) (873) (535) 8,986 $ 9,741 $ 964 $ 19,691 (1) Represents goodwill allocated to the Asia Consumer banking exit markets upon the signing of the respective sales agreements: in 2021, related to the Australia and Philippines consumer banking businesses, which were reclassified as HFS during 2021; in 2022, related to the India, Taiwan, Thailand, Malaysia, Indonesia, Bahrain and Vietnam consumer banking businesses, which were reclassified as HFS during 2022. See Note 2. (2) 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. 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, manages the Company, including allocating resources and measuring 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 upon the signing of the respective sale agreements. 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. There were no additional impairment charges incurred as a result of any of the other interim goodwill impairment tests performed during 2022. For the interim impairment tests performed in the first quarter of 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. 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 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. 227 The change in accounting principle did not result in any delay, acceleration or avoidance of an impairment charge. Citi performed its annual goodwill impairment test as of October 1, 2022, which resulted in no impairment of any of Citi’s reporting units. 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. For additional information regarding Citi’s goodwill impairment testing process, see the following Notes to the Consolidated Financial Statements: Note 1 for Citi’s accounting policy for goodwill and Note 3 for a description of Citi’s operating segments. 228 Intangible Assets The components of intangible assets were as follows: In millions of dollars Purchased credit card relationships Credit card contract-related intangibles(1) Core deposit intangibles Other customer relationships Present value of future profits Indefinite-lived intangible assets Other Intangible assets (excluding MSRs) Mortgage servicing rights (MSRs)(2) Total intangible assets December 31, 2022 December 31, 2021 Gross carrying amount Accumulated amortization Net carrying amount Gross carrying amount Accumulated amortization Net carrying amount $ 5,513 $ 4,426 $ 1,087 $ 5,579 $ 3,903 1,518 2,385 3,912 4,348 $ 1,372 1,231 2,540 37 373 32 192 28 37 283 31 — 20 — 90 1 192 8 39 429 31 183 37 39 305 29 — 26 — 124 2 183 11 $ 10,078 $ 6,315 $ 3,763 $ 10,210 $ 6,119 $ 4,091 665 — 665 404 — 404 $ 10,743 $ 6,315 $ 4,428 $ 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 December 31, 2022. (2) See Note 22 for additional information on Citi’s MSRs. Intangible assets amortization expense was $352 million, $360 million and $419 million for 2022, 2021 and 2020, respectively. Intangible assets amortization expense is estimated to be $373 million in 2023, $381 million in 2024, $388 million in 2025, $348 million in 2026 and $341 million in 2027. The changes in intangible assets were as follows: In millions of dollars Purchased credit card relationships(1) Credit card contract-related intangibles(2) Core deposit intangibles Other customer relationships Present value of future profits Indefinite-lived intangible assets Other Intangible assets (excluding MSRs) Mortgage servicing rights (MSRs)(3) Total intangible assets Net carrying amount at December 31, 2021 Acquisitions/ renewals/ divestitures Amortization Impairments FX translation and other Net carrying amount at December 31, 2022 $ $ $ 1,231 $ 2,540 — 124 2 183 11 3 $ — — 10 — — 33 (140) $ (154) — (24) (1) — (33) — $ (7) $ — — — — — — (1) — (20) — 9 (3) 4,091 $ 46 $ (352) $ — $ (22) $ 404 4,495 $ 1,087 2,385 — 90 1 192 8 3,763 665 4,428 (1) Reflects intangibles for the value of purchased 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 extension or renewal of existing credit card program agreements with American Airlines, The Home Depot, Costco and AT&T, which represent 97% and 97% of the aggregate net carrying amount at December 31, 2022 and 2021, respectively. (3) See Note 22 for additional information on Citi’s MSRs, including the rollforward from 2021 to 2022. 229 17. DEPOSITS In millions of dollars Non-interest-bearing deposits in U.S. offices Interest-bearing deposits in U.S. offices (including $903 and $879 as of December 31, 2022 and 2021, respectively, at fair value) Total deposits in U.S. offices Non-interest-bearing deposits in offices outside the U.S. Interest-bearing deposits in offices outside the U.S. (including $972 and $787 as of December 31, 2022 and 2021, respectively, at fair value) Total deposits in offices outside the U.S. Total deposits December 31, 2022 2021 122,655 $ 158,552 607,470 730,125 $ 95,182 $ 540,647 635,829 $ 543,283 701,835 97,270 518,125 615,395 1,365,954 $ 1,317,230 $ $ $ $ $ At December 31, 2022 and 2021, time deposits in denominations that met or exceeded the insured limit were as follows: In millions of dollars U.S. offices(1) Offices outside the U.S.(2) Total (1) Represents time deposits in U.S. offices in denominations that met or exceeded $250,000. (2) Represents all time deposits outside U.S. offices as these deposits typically exceed the insured limit. At December 31, 2022, the maturities of time deposits were as follows: December 31, 2022 2021 $ $ 63,420 $ 150,921 214,341 $ 9,153 77,698 86,851 In millions of dollars 2023 2024 2025 2026 2027 After 5 years Total U.S. Outside U.S. Total 84,321 $ 5,751 300 386 122 439 91,319 $ 149,604 $ 1,018 264 26 6 3 150,921 $ 233,925 6,769 564 412 128 442 242,240 $ $ 230 18. DEBT Short-Term Borrowings December 31, 2022 2021 In millions of dollars Balance Weighted average coupon Balance Weighted average coupon Commercial paper Bank(1) Broker-dealer and other(2) Total commercial paper Other borrowings(3) Total $ 11,185 $ 9,026 14,345 6,992 $ 25,530 4.29 % $ 16,018 0.22 % 21,566 4.23 11,955 0.91 $ 47,096 $ 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. Includes borrowings from Federal Home Loan Banks and other market participants. At December 31, 2022 and 2021, collateralized short-term advances from Federal Home Loan Banks were $12.0 billion and $0.0 billion, respectively. (3) Some of Citigroup’s non-bank subsidiaries have credit facilities with Citigroup’s subsidiary depository institutions, including Citibank. Borrowings under these facilities are secured in accordance with Section 23A of the Federal Reserve Act. Citigroup Global Markets Holdings Inc. (CGMHI) has borrowing agreements consisting of facilities that CGMHI has been advised are available, but where no contractual lending obligation exists. These arrangements are reviewed on an ongoing basis to ensure flexibility in meeting CGMHI’s short- term requirements. Long-Term Debt In millions of dollars Citigroup Inc.(2) Senior debt Subordinated debt(3) Trust preferred securities Bank(4) Senior debt Broker-dealer(5) Senior debt Weighted average coupon(1) Maturities Balances at December 31, 2022 2021 3.38 % 2023–2098 $ 141,893 $ 137,651 4.77 2023–2046 22,758 25,560 10.53 2036–2040 1,606 1,734 3.98 2023–2039 21,113 23,567 3.95 2023–2070 84,236 65,862 Total 3.72 % Senior debt Subordinated debt(3) Trust preferred securities Total $ 271,606 $ 254,374 $ 247,242 $ 227,080 22,758 25,560 1,606 1,734 $ 271,606 $ 254,374 (1) The weighted average coupon excludes structured notes accounted for at fair value. (2) Represents the parent holding company. (3) Includes notes that are subordinated within certain countries, regions or subsidiaries. (4) Represents Citibank entities as well as other bank entities. At December 31, 2022 and 2021, collateralized long-term advances from Federal Home Loan Banks were $7.3 billion and $5.3 billion, respectively. (5) 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. Balances primarily relates to senior debt. The Company issues both fixed- and variable-rate debt in a range of currencies. It uses derivative contracts, primarily interest rate swaps, to effectively convert a portion of its fixed- rate debt to variable-rate debt. The maturity structure of the derivatives generally corresponds to the maturity structure of the debt being hedged. In addition, the Company uses other derivative contracts to manage the foreign exchange impact of certain debt issuances. At December 31, 2022, the Company’s overall weighted average interest rate for long-term debt, excluding structured notes accounted for at fair value, was 3.72% on a contractual basis and 4.10% including the effects of derivative contracts. 231 Aggregate annual maturities of long-term debt obligations (based on final maturity dates) including trust preferred securities are as follows: In millions of dollars Citigroup Inc. Bank Broker-dealer Total 2023 2024 2025 2026 2027 Thereafter Total $ 6,887 $ 12,321 $ 19,124 $ 27,913 $ 12,601 $ 87,411 $ 166,257 7,029 8,152 1,867 18,543 20,043 11,758 197 4,680 788 7,383 3,080 21,829 21,113 84,236 $ 32,459 $ 40,516 $ 32,749 $ 32,790 $ 20,772 $ 112,320 $ 271,606 The following table summarizes Citi’s outstanding trust preferred securities at December 31, 2022: Trust Issuance date Securities issued Liquidation value(1) Coupon rate(2) In millions of dollars, except securities and share amounts Junior subordinated debentures owned by trust Common shares issued to parent Notional amount Maturity Redeemable by issuer beginning Citigroup Capital III Dec. 1996 194,053 $ 194 7.625 % 6,003 $ 200 Dec. 1, 2036 Not redeemable Citigroup Capital XIII Oct. 2010 89,840,000 Total obligated $ 2,246 2,440 3 mo LIBOR + 637 bps 1,000 2,246 Oct. 30, 2040 Oct. 30, 2015 $ 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. In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities. (2) 232 19. REGULATORY CAPITAL Citigroup is subject to risk-based capital and leverage standards issued by the Federal Reserve Board, which constitute the U.S. Basel III rules. Citi’s U.S.-insured depository institution subsidiaries, including Citibank, are subject to similar standards issued by their respective primary bank regulatory agencies. These standards are used to evaluate capital adequacy and include the required minimums shown in the following table. The regulatory agencies are required by law to take specific, prompt corrective actions with respect to institutions that do not meet minimum capital standards. The following table presents for Citigroup and Citibank the regulatory capital tiers, total risk-weighted assets, quarterly adjusted average total assets, Total Leverage Exposure, risk- based capital ratios and leverage ratios: In millions of dollars, except ratios CET1 Capital Tier 1 Capital Total Capital (Tier 1 Capital + Tier 2 Capital)—Standardized Approach Total Capital (Tier 1 Capital + Tier 2 Capital)—Advanced Approaches Total risk-weighted assets—Standardized Approach Total risk-weighted assets—Advanced Approaches Quarterly adjusted average total assets(1) Total Leverage Exposure(2) CET1 Capital ratio(3) Tier 1 Capital ratio(3) Total Capital ratio(3) Tier 1 Leverage ratio Supplementary Leverage ratio Citigroup Citibank Stated minimum Well- capitalized minimum December 31, 2022 December 31, 2021 Well- capitalized minimum December 31, 2022 December 31, 2021 $ 148,930 $ 149,305 $ 149,593 $ 148,548 169,145 169,568 151,720 150,679 197,543 203,838 172,647 175,427 188,839 194,006 165,131 166,921 1,142,985 1,219,175 982,914 1,066,015 1,221,538 1,209,374 1,003,747 1,017,774 2,395,863 2,351,434 1,738,744 1,716,596 2,906,773 2,957,764 2,189,541 2,236,839 4.5 % 6.0 8.0 4.0 3.0 N/A 6.0 % 10.0 N/A N/A 13.03 % 12.25 % 6.5 % 14.90 % 13.93 % 14.80 15.46 7.06 5.82 13.91 16.04 7.21 5.73 8.0 10.0 5.0 6.0 15.12 16.45 8.73 6.93 14.13 16.40 8.78 6.74 (1) Tier 1 Leverage ratio denominator. (2) Supplementary Leverage ratio denominator. (3) Citi’s binding CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach as of December 31, 2022 and 2021, whereas Citi’s binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for both periods presented. Citibank’s binding CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of December 31, 2022, and were derived under the Basel III Standardized Approach as of December 31, 2021. Citibank’s binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for both periods presented. N/A Not applicable As indicated in the table above, Citigroup and Citibank were “well capitalized” under the current federal bank regulatory agencies definitions as of December 31, 2022 and 2021. Banking Subsidiaries—Constraints on Dividends There are various legal limitations on the ability of Citigroup’s subsidiary depository institutions to extend credit, pay dividends or otherwise supply funds to Citigroup and its non- bank subsidiaries. The approval of the Office of the Comptroller of the Currency is required if total dividends declared in any calendar year were to exceed amounts specified by the agency’s regulations. In determining the dividends, each subsidiary depository institution must also consider its effect on applicable risk- based capital and leverage ratio requirements, as well as policy statements of the federal bank regulatory agencies that indicate that banking organizations should generally pay dividends out of current operating earnings. Citigroup received $8.5 billion and $6.2 billion in dividends indirectly from Citibank through its holding company during 2022 and 2021, respectively. 233 20. CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI) Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows: In millions of dollars Net unrealized gains (losses) on debt securities Debt valuation adjustment (DVA)(1) Cash flow hedges(2) Benefit plans(3) CTA, net of hedges(4)(5) Excluded component of fair value hedges Accumulated other comprehensive income (loss) Balance, December 31, 2019 $ (265) $ (944) $ 123 $ (6,809) $ (28,391) $ (32) $ (36,318) Other comprehensive income before reclassifications Increase (decrease) due to amounts reclassified from AOCI Change, net of taxes Balance, December 31, 2020 Other comprehensive income before reclassifications Increase (decrease) due to amounts reclassified from AOCI Change, net of taxes Balance, December 31, 2021 Other comprehensive income before reclassifications Increase (decrease) due to amounts reclassified from AOCI Change, net of taxes Balance, December 31, 2022 4,837 (490) 2,027 (287) (250) (15) 5,822 (1,252) 15 (557) 232 — 3,585 $ (475) $ 1,470 $ (55) $ (250) $ 3,320 $ (1,419) $ 1,593 $ (6,864) $ (28,641) $ — (15) $ (47) $ (1,562) 4,260 (32,058) (3,556) 121 (679) 797 (2,537) (11) (5,865) (378) 111 (813) 215 12 (3,934) $ 232 $ (1,492) $ 1,012 $ (2,525) $ (614) $ (1,187) $ 101 $ (5,852) $ (31,166) $ 11 — $ (47) $ (842) (6,707) (38,765) (5,599) 2,047 (2,718) (19) (2,855) 49 (9,095) 215 (18) 95 116 384 (5,384) $ 2,029 $ (2,623) $ 97 $ (2,471) $ (5,998) $ 842 $ (2,522) $ (5,755) $ (33,637) $ 6 55 $ 8 $ 798 (8,297) (47,062) $ $ $ $ $ $ (1) Reflects the after-tax valuation of Citi’s fair value option liabilities. See “Market Valuation Adjustments” in Note 25. (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 Indian rupee, South Korean won, Euro, Chinese yuan, Russian ruble, Japanese yen and British pound sterling against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2022. Primarily reflects the movements in (by order of impact) the Mexican peso, Euro, South Korean won, Chilean peso and Japanese yen against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2021. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, South Korean won and Euro against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2020. Amounts recorded in the CTA component of AOCI remain in AOCI until the sale or substantial liquidation of the foreign entity, at which point such amounts related to the foreign entity are reclassified into earnings. (5) December 31, 2022 reflects a reduction from an approximate $470 million (after-tax) ($620 million pretax) 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 CET1 Capital. 234 The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows: In millions of dollars Balance, December 31, 2019 Change in net unrealized gains (losses) on debt securities Debt valuation adjustment (DVA) Cash flow hedges Benefit plans CTA Excluded component of fair value hedges Change Balance, December 31, 2020 Change in net unrealized gains (losses) on debt securities Debt valuation adjustment (DVA) Cash flow hedges Benefit plans CTA Excluded component of fair value hedges Change Balance, December 31, 2021 Change in net unrealized gains (losses) on debt securities Debt valuation adjustment (DVA) Cash flow hedges Benefit plans CTA Excluded component of fair value hedges Change Balance, December 31, 2022 Pretax Tax effect(1) After-tax $ (42,772) $ 4,799 (616) 1,925 (78) (227) (23) 5,780 $ (36,992) $ (5,301) 296 (1,969) 1,252 (2,671) 2 (8,391) $ (45,383) $ (7,178) 2,685 (3,477) 31 (2,004) 73 (9,870) $ (55,253) $ $ $ $ $ $ $ 6,454 $ (1,214) 141 (455) 23 (23) 8 (1,520) $ 4,934 $ 1,367 (64) 477 (240) 146 (2) 1,684 $ 6,618 $ 1,794 (656) 854 66 (467) (18) 1,573 $ 8,191 $ (36,318) 3,585 (475) 1,470 (55) (250) (15) 4,260 (32,058) (3,934) 232 (1,492) 1,012 (2,525) — (6,707) (38,765) (5,384) 2,029 (2,623) 97 (2,471) 55 (8,297) (47,062) (1) Income tax effects of these items are released from AOCI contemporaneously with the related gross pretax amount. 235 The Company recognized pretax (gains) losses related to amounts in AOCI reclassified to the Consolidated Statement of Income as follows: In millions of dollars Realized (gains) losses on sales of investments Gross impairment losses Subtotal, pretax Tax effect Net realized (gains) losses on investments, after-tax(1) Realized DVA (gains) losses on fair value option liabilities, pretax Tax effect Net realized DVA, after-tax Interest rate contracts Foreign exchange contracts Subtotal, pretax Tax effect Amortization of cash flow hedges, after-tax(2) Amortization of unrecognized: Prior service cost (benefit) Net actuarial loss Curtailment/settlement impact(3) Subtotal, pretax Tax effect Amortization of benefit plans, after-tax(3) Excluded component of fair value hedges, pretax Tax effect Excluded component of fair value hedges, after-tax CTA, pretax Tax effect CTA, after-tax(4) Total amounts reclassified out of AOCI, pretax Total tax effect Total amounts reclassified out of AOCI, after-tax Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income Year ended December 31, 2022 2021 2020 $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ (67) $ 360 293 $ (78) 215 $ (25) $ 7 (18) $ 125 $ 4 129 $ (34) 95 $ (23) $ 221 (37) 161 $ (45) 116 $ 9 $ (3) 6 $ 438 $ (54) 384 $ (665) $ 181 (484) $ 106 (378) $ 144 $ (33) 111 $ (1,075) $ 4 (1,071) $ 258 (813) $ (23) $ 302 11 290 $ (75) 215 $ 15 $ (4) 11 $ 19 $ (7) 12 $ (1,756) 109 (1,647) 395 (1,252) 20 (5) 15 (734) 4 (730) 173 (557) (5) 322 (8) 309 (77) 232 — — — — — — 1,005 $ (207) 798 $ (1,087) $ 245 (842) $ (2,048) 486 (1,562) (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 13 for additional details. (2) See Note 23 for additional details. (3) See Note 8 for additional details. (4) The pretax amount is reclassified to Discontinued operations and Other revenue in the Consolidated Statement of Income, and results primarily from the substantial liquidation of a legacy U.K. consumer operation and divestitures of certain legacy foreign operations. See Note 2 for additional details. 236 21. PREFERRED STOCK The following table summarizes the Company’s preferred stock outstanding: Issuance date Redeemable by issuer beginning Dividend rate Redemption price per depositary share/ preference share Number of depositary shares Carrying value (in millions of dollars) December 31, 2022 December 31, 2021 October 29, 2012 January 30, 2023 5.950 % $ 1,000 1,500,000 $ 1,500 $ December 13, 2012 February 15, 2023 April 30, 2013 May 15, 2023 September 19, 2013 September 30, 2023 October 31, 2013 November 15, 2023 April 30, 2014 April 24, 2015 April 25, 2016 May 15, 2024 May 15, 2025 August 15, 2026 September 12, 2019 September 12, 2024 January 23, 2020 January 30, 2025 December 10, 2020 December 10, 2025 February 18, 2021 February 18, 2026 October 20, 2021 October 20, 2026 5.900 5.350 7.125 6.875 6.300 5.950 6.250 5.000 4.700 4.000 3.875 4.150 1,000 750,000 1,000 1,250,000 25 38,000,000 25 59,800,000 1,000 1,750,000 1,000 2,000,000 1,000 1,500,000 1,000 1,500,000 1,000 1,500,000 1,000 1,500,000 1,000 2,300,000 1,000 1,000,000 750 1,250 950 1,495 1,750 2,000 1,500 1,500 1,500 1,500 2,300 1,000 1,500 750 1,250 950 1,495 1,750 2,000 1,500 1,500 1,500 1,500 2,300 1,000 $ 18,995 $ 18,995 Series A(1) Series B(2) Series D(3) Series J(4) Series K(5) Series M(6) Series P(7) Series T(8) Series U(9) Series V(10) Series W(11) Series X(12) Series Y(13) (1) (2) (3) (4) (5) (6) (7) (8) (9) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on January 30 and July 30 at a fixed rate until, but excluding, January 30, 2023, thereafter payable quarterly on January 30, April 30, July 30 and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors. Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on February 15 and August 15 at a fixed rate until, but excluding, February 15, 2023, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors. Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, May 15, 2023, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors. Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on March 30, June 30, September 30 and December 30 at a fixed rate until, but excluding, September 30, 2023, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors. Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, November 15, 2023, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors. Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, May 15, 2024, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors. Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, May 15, 2025, and thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors. Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on February 15 and August 15 at a fixed rate until, but excluding, August 15, 2026, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors. Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on March 12 and September 12 at a fixed rate until, but excluding, September 12, 2024, thereafter payable quarterly on March 12, June 12, September 12 and December 12 at a floating rate, in each case when, as and if declared by the Citi Board of Directors. (10) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on January 30 and July 30 at a fixed rate until, but excluding, January 30, 2025, thereafter payable quarterly on January 30, April 30, July 30 and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors. (11) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on March 10, June 10, September 10 and December 10 at a fixed rate until, but excluding, December 10, 2025, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors. (12) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 18, May 18, August 18 and November 18 at a fixed rate until, but excluding, February 18, 2026, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors. (13) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, November 15, 2026, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors. 237 22. SECURITIZATIONS AND VARIABLE INTEREST ENTITIES Uses of Special Purpose Entities A special purpose entity (SPE) is an entity designed to fulfill a specific limited need of the company that organized it. The principal uses of SPEs by Citi are to assist clients in securitizing their financial assets and create investment products for clients and to obtain liquidity and optimize capital efficiency by securitizing certain of Citi’s financial assets. SPEs may be organized in various legal forms, including trusts, partnerships or corporations. In a securitization, through the SPE’s issuance of debt and equity instruments, certificates, commercial paper or other notes of indebtedness, the company transferring assets to the SPE converts all (or a portion) of those assets into cash before they would have been realized in the normal course of business. These issuances are recorded on the balance sheet of the SPE, which may or may not be consolidated onto the balance sheet of the company that organized the SPE. Investors usually have recourse only to the assets in the SPE, but may also benefit from other credit enhancements, such as a collateral account, a line of credit or a liquidity facility, such as a liquidity put option or asset purchase agreement. Because of these enhancements, the SPE issuances typically obtain a more favorable credit rating than the transferor could obtain for its own debt issuances. This results in less expensive financing costs than unsecured debt. The SPE may also enter into derivative contracts in order to convert the yield or currency of the underlying assets to match the needs of the SPE investors or to limit or change the credit risk of the SPE. Citigroup may be the provider of certain credit enhancements as well as the counterparty to any related derivative contracts. Most of Citigroup’s SPEs are variable interest entities (VIEs). Variable Interest Entities VIEs are described in Note 1. Investors that finance the VIE through debt or equity interests or other counterparties providing other forms of support, such as guarantees, certain fee arrangements or certain types of derivative contracts, are variable interest holders in the entity. The variable interest holder, if any, that has a controlling financial interest in a VIE is deemed to be the primary beneficiary and must consolidate the VIE. The Company must evaluate each VIE to understand the purpose and design of the entity, the role the Company had in the entity’s design and its involvement in the VIE’s ongoing activities. The Company then must evaluate which activities most significantly impact the economic performance of the VIE and who has the power to direct such activities. For those VIEs where the Company determines that it has the power to direct the activities that most significantly impact the VIE’s economic performance, the Company must then evaluate its economic interests, if any, and determine whether it could absorb losses or receive benefits that could potentially be significant to the VIE. When evaluating whether the Company has an obligation to absorb losses that could potentially be significant, it considers the maximum exposure to such loss without consideration of probability. Such obligations could be in various forms, including, but not limited to, debt and equity investments, guarantees, liquidity agreements and certain derivative contracts. In various other transactions, the Company may (i) act as a derivative counterparty (e.g., interest rate swap, cross- currency swap or 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), (ii) act as underwriter or placement agent, (iii) provide administrative, trustee or other services or (iv) make a market in debt securities or other instruments issued by VIEs. The Company generally considers such involvement, by itself, not to be variable interests and thus not an indicator of power or potentially significant benefits or losses. 238 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 December 31, 2022 Maximum exposure to loss in significant unconsolidated VIEs(1) Funded exposures(2) Unfunded exposures Total involvement with SPE assets Consolidated VIE/SPE assets Significant unconsolidated VIE assets(3) Debt investments Equity investments Funding commitments Guarantees and derivatives Total $ 32,021 $ 32,021 $ — $ — $ — $ — $ — $ — 117,358 67,704 — — 117,358 67,704 2,052 3,294 19,621 19,621 — — 7,600 — 7,600 2,601 — — — — — — — — 242,348 9,672 232,676 40,121 1,022 10,726 2,155 22,167 482 534 — 672 3 121 91 — 1,483 2 — 22,164 2,731 3,143 361 443 — 58 2 — — 5 — 1,108 3,420 — 68 — 48 2,100 — 3,294 — — — 2,601 — 51,869 — 1,110 — 9,294 13 — — 71 75 — $ 511,990 $ 62,201 $ 449,789 $ 50,861 $ 4,170 $ 15,322 $ 61 $ 70,414 As of December 31, 2021 Maximum exposure to loss in significant unconsolidated VIEs(1) Funded exposures(2) Unfunded exposures Total involvement with SPE assets Consolidated VIE/SPE assets Significant unconsolidated VIE assets(3) Debt investments Equity investments Funding commitments Guarantees and derivatives Total $ 31,518 $ 31,518 $ — $ — $ — $ — $ — $ — 113,641 60,851 — 632 113,641 60,219 1,582 2,479 14,018 14,018 — — 8,302 — 8,302 2,636 — — — — — 5 — — 246,632 11,085 235,547 32,242 1,139 12,189 3,251 20,597 904 498 — 905 3 297 179 — 2,346 2 — 20,594 2,512 3,617 607 319 — 75 — — — — — 1,498 3,562 — 12 — 43 1,625 — 2,484 — — — 2,636 — 45,570 — 1,500 — 9,691 224 299 1 — 13 — $ 500,212 $ 58,637 $ 441,575 $ 41,528 $ 4,756 $ 17,266 $ 268 $ 63,818 In millions of dollars Credit card securitizations Mortgage securitizations(4) U.S. agency-sponsored Non-agency-sponsored Citi-administered asset- backed commercial paper conduits Collateralized loan obligations (CLOs) Asset-based financing(5) Municipal securities tender option bond trusts (TOBs) Municipal investments Client intermediation Investment funds Other Total In millions of dollars Credit card securitizations Mortgage securitizations(4) U.S. agency-sponsored Non-agency-sponsored Citi-administered asset- backed commercial paper conduits Collateralized loan obligations (CLOs) Asset-based financing(5) Municipal securities tender option bond trusts (TOBs) Municipal investments Client intermediation Investment funds Other Total (1) The definition of maximum exposure to loss is included in the text that follows this table. Included on Citigroup’s December 31, 2022 and 2021 Consolidated Balance Sheet. (2) (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- (5) securitizations” below for further discussion. Included within this line are loans to third-party-sponsored private equity funds, which represent $69 billion and $100 billion in unconsolidated VIE assets and $498 million and $497 million in maximum exposure to loss as of December 31, 2022 and 2021, respectively. 239 The previous tables do not include: • • • • • • 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 December 31, 2022 and 2021, the Company’s maximum exposure to loss related to these transactions was $33.6 billion and $55.6 billion, respectively (see Notes 14 and 26 for more information on these positions); 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 13 and 25 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. 240 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. In millions of dollars Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs Cash and due from banks Trading account assets Investments Loans, net of unearned income Consumer Corporate Loans, net of unearned income Allowance for credit losses on loans (ACLL) Total loans, net Other assets Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs In millions of dollars Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup Short-term borrowings Long-term debt Other liabilities Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup December 31, 2022 2021 61 $ 9,153 594 35,026 19,782 54,808 $ (2,520) 52,288 $ 105 62,201 $ 260 10,038 844 34,677 14,312 48,989 (2,668) 46,321 1,174 58,637 December 31, 2022 2021 9,807 $ 10,324 622 8,376 12,579 694 20,753 $ 21,649 $ $ $ $ $ $ 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: In millions of dollars Non-agency-sponsored mortgage securitizations $ Asset-based financing Municipal securities tender option bond trusts (TOBs) Municipal investments Investment funds Other December 31, 2022 December 31, 2021 Liquidity facilities Loan/equity commitments Liquidity facilities Loan/equity commitments — $ — 1,108 — — — — $ 10,726 — 3,420 68 — — $ — 1,498 — — — 5 12,189 — 3,562 12 — Total funding commitments $ 1,108 $ 14,214 $ 1,498 $ 15,768 241 Consolidated VIEs The Company engages in on-balance sheet securitizations, which are securitizations that do not qualify for sales treatment; thus, the assets remain on Citi’s Consolidated Balance Sheet, and any proceeds received are recognized as secured liabilities. In general, the third-party investors in the obligations of consolidated VIEs have legal recourse only to the assets of the respective VIEs and do not have such recourse to the Company, except where Citi has provided a guarantee to the investors or is the counterparty to certain derivative transactions involving the VIE. Thus, Citigroup’s maximum legal exposure to loss related to consolidated VIEs is significantly less than the carrying value of the consolidated VIE assets due to outstanding third-party financing. Intercompany assets and liabilities are excluded from Citi’s Consolidated Balance Sheet. All VIE assets are restricted from being sold or pledged as collateral. The cash flows from these assets are the only source used to pay down the associated liabilities, which are non-recourse to Citi’s general assets. See the Consolidated Balance Sheet for more information about these Consolidated VIE assets and liabilities. 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 Cash Trading account assets Investments Total loans, net of allowance Other Total assets December 31, 2022 $ December 31, 2021 — $ 1.6 8.6 44.2 0.6 — 1.4 8.8 35.4 0.8 46.4 $ 55.0 $ 242 Credit Card Securitizations The Company securitizes credit card receivables through trusts established to purchase the receivables. Citigroup transfers receivables into the trusts on a non-recourse basis. Credit card securitizations are revolving securitizations: as customers pay their credit card balances, the cash proceeds are used to purchase new receivables and replenish the receivables in the trust. 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 because, as servicer, Citigroup has the power to direct the activities that most significantly impact the economic performance of the trusts. Citigroup holds a seller’s interest and certain securities issued by the trusts, which could result in exposure to potentially significant losses or benefits from the trusts. Accordingly, the transferred credit card receivables remain on Citi’s Consolidated Balance Sheet with no gain or loss recognized. The debt issued by the trusts to third parties is included on Citi’s Consolidated Balance Sheet. Citi utilizes securitizations as one of the sources of funding for its business in North America. The following table reflects amounts related to the Company’s securitized credit card receivables: In billions of dollars December 31, 2022 December 31, 2021 Ownership interests in principal amount of trust credit card receivables Sold to investors via trust-issued securities Retained by Citigroup as trust-issued securities Retained by Citigroup via non-certificated interests Total $ $ 7.9 $ 6.4 19.5 33.8 $ 9.7 7.2 16.1 33.0 The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations: In billions of dollars 2022 2021 2020 Proceeds from new securitizations $ 0.3 $ — $ 0.3 Pay down of maturing notes (2.1) (6.0) (4.3) Managed Loans After securitization of credit card receivables, the Company continues to maintain credit card customer account relationships and provides servicing for receivables transferred to the trusts. As a result, the Company considers the securitized credit card receivables to be part of the business it manages. As Citigroup consolidates the credit card trusts, all managed securitized card receivables are on-balance sheet. Funding, Liquidity Facilities and Subordinated Interests As noted above, Citigroup securitizes credit card receivables through two securitization trusts—Master Trust and Omni Trust. The liabilities of the trusts are included on the Consolidated Balance Sheet, excluding those retained by Citigroup. Master Trust Liabilities (at Par Value) The Master Trust issues fixed- and floating-rate term notes. Some of the term notes may be issued to multi-seller commercial paper conduits. The weighted average maturity of the third-party term notes issued by the Master Trust was 3.5 years as of December 31, 2022 and 3.6 years as of December 31, 2021. In billions of dollars Term notes issued to third parties Term notes retained by Citigroup affiliates Total Master Trust liabilities $ $ Dec. 31, 2022 Dec. 31, 2021 6.3 $ 8.4 1.6 7.9 $ 2.2 10.6 Omni Trust Liabilities (at Par Value) The Omni Trust issues fixed- and floating-rate term notes, some of which are purchased by multi-seller commercial paper conduits. The weighted average maturity of the third-party term notes issued by the Omni Trust was 2.2 years as of December 31, 2022 and 1.6 years as of December 31, 2021. In billions of dollars Dec. 31, 2022 Dec. 31, 2021 Term notes issued to third parties Term notes retained by Citigroup affiliates Total Omni Trust liabilities $ $ 1.6 $ 4.8 6.4 $ 1.3 5.0 6.3 243 Mortgage Securitizations Citigroup provides a wide range of mortgage loan products to a diverse customer base. Once originated, the Company often securitizes these loans through the use of VIEs. These VIEs are funded through the issuance of trust certificates backed solely by the transferred assets. These certificates have the same life as the transferred assets. In addition to providing a source of liquidity and less expensive funding, securitizing these assets also reduces Citi’s credit exposure to the borrowers. These mortgage loan securitizations are primarily non-recourse, thereby effectively transferring the risk of future credit losses to the purchasers of the securities issued by the trust. Citi’s U.S. consumer mortgage business generally retains the servicing rights and in certain instances retains investment securities, interest-only strips and residual interests in future cash flows from the trusts and also provides servicing for a limited number of ICG securitizations. Citi’s ICG business may hold investment securities pursuant to credit risk retention rules or in connection with secondary market-making activities. The Company securitizes mortgage loans generally through either a U.S. government-sponsored agency, such as Ginnie Mae, Fannie Mae or Freddie Mac (U.S. agency- sponsored mortgages), or private label (non-agency-sponsored mortgages) securitization. Citi is not the primary beneficiary of its U.S. agency-sponsored mortgage securitization entities because Citigroup does not have the power to direct the activities of the VIEs that most significantly impact the entities’ economic performance. Therefore, Citi does not consolidate these U.S. agency-sponsored mortgage securitization entities. Substantially all of the consumer loans sold or securitized through non-consolidated trusts by Citigroup are U.S. prime residential mortgage loans. Retained interests in non-consolidated agency-sponsored mortgage securitization trusts are classified as Trading account assets, except for MSRs, which are included in Other assets on Citigroup’s Consolidated Balance Sheet. Citigroup does not consolidate certain non-agency- sponsored mortgage securitization entities because Citi is either not the servicer with the power to direct the significant activities of the entity or Citi is the servicer, but the servicing relationship is deemed to be a fiduciary relationship; therefore, Citi is not deemed to be the primary beneficiary of the entity. In certain instances, the Company has (i) the power to direct the activities that most significantly impact the entities’ economic performance and (ii) the obligation to either absorb losses or the right to receive benefits that could be potentially significant to its non-agency-sponsored mortgage securitization entities and, therefore, is the primary beneficiary and, thus, consolidates the VIE. The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations: In billions of dollars Principal securitized Proceeds from new securitizations Contractual servicing fees received Cash flows received on retained interests and other net cash flows Purchases of previously transferred financial assets Note: Excludes re-securitization transactions. 2022 2021 2020 U.S. agency- sponsored mortgages Non-agency- sponsored mortgages U.S. agency- sponsored mortgages Non-agency- sponsored mortgages U.S. agency- sponsored mortgages Non-agency- sponsored mortgages $ 6.9 $ 6.7 0.1 — 0.1 13.9 $ 13.4 — 0.2 — 6.1 $ 25.2 $ 9.4 $ 6.4 0.1 — 0.2 25.4 — 0.1 — 10.0 0.1 — 0.4 11.3 11.4 — — — For non-consolidated mortgage securitization entities where the transfer of loans to the VIE meets the conditions for sale accounting, Citi recognizes a gain or loss based on the difference between the carrying value of the transferred assets and the proceeds received (generally cash but may be beneficial interests or servicing rights). Agency and non-agency securitization gains for the year ended December 31, 2022 were $1.3 million and $154.8 million, respectively. Agency and non-agency securitization gains for the year ended December 31, 2021 were $3.9 million and $493.4 million, respectively, and $88.4 million and $139.4 million, respectively, for the year ended December 31, 2020. 2022 Non-agency-sponsored mortgages(1) 2021 Non-agency-sponsored mortgages(1) In millions of dollars Carrying value of retained interests(3) $ U.S. agency- sponsored mortgages Senior interests(2) Subordinated interests U.S. agency- sponsored mortgages Senior interests Subordinated interests 659 $ 1,119 $ 943 $ 374 $ 1,452 $ 955 244 (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 $28 million related to personal loan securitizations at December 31, 2022. (3) Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 25 for more information about fair value measurements. Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows: Weighted average discount rate Weighted average constant prepayment rate Weighted average anticipated net credit losses(2) Weighted average life Weighted average discount rate Weighted average constant prepayment rate Weighted average anticipated net credit losses(2) Weighted average life U.S. agency- sponsored mortgages December 31, 2022 Non-agency-sponsored mortgages(1) Subordinated interests Senior interests 8.8 % 2.7 % NM 3.2 % 6.0 % 2.0 % 4.1 % 11.4 % 0.4 % 9.0 years 5.5 years 5.6 years U.S. agency- sponsored mortgages December 31, 2021 Non-agency-sponsored mortgages(1) Subordinated interests Senior interests 8.7 % 5.5 % NM 2.2 % 6.3 % 1.8 % 2.8 % 11.0 % 1.0 % 7.4 years 3.9 years 5.4 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. 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: Weighted average discount rate Weighted average constant prepayment rate Weighted average anticipated net credit losses(2) Weighted average life Weighted average discount rate Weighted average constant prepayment rate Weighted average anticipated net credit losses(2) Weighted average life U.S. agency- sponsored mortgages December 31, 2022 Non-agency-sponsored mortgages(1) Subordinated interests Senior interests 5.3 % 5.8 % NM 13.8 % 4.0 % 1.0 % 7.7 years 10.3 years NM NM NM NM U.S. agency- sponsored mortgages December 31, 2021 Non-agency-sponsored mortgages(1) Subordinated interests Senior interests 3.7 % 14.5 % NM 16.2 % 6.8 % 1.0 % 4.0 % 9.0 % 2.0 % 5.1 years 8.8 years 18.0 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. 245 (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. In millions of dollars Discount rate Adverse change of 10% Adverse change of 20% Constant prepayment rate Adverse change of 10% Adverse change of 20% Anticipated net credit losses Adverse change of 10% Adverse change of 20% In millions of dollars Discount rate Adverse change of 10% Adverse change of 20% Constant prepayment rate Adverse change of 10% Adverse change of 20% Anticipated net credit losses Adverse change of 10% Adverse change of 20% December 31, 2022 Non-agency-sponsored mortgages U.S. agency- sponsored mortgages Senior interests Subordinated interests $ (19) $ (37) (15) (30) NM NM — $ — — — — — December 31, 2021 Non-agency-sponsored mortgages U.S. agency- sponsored mortgages Senior interests Subordinated interests $ (6) $ (11) (19) (37) NM NM (1) $ (1) — — — — — — — — — — — — — — — — 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 at December 31: In billions of dollars, except liquidation losses in millions 2022 2021 2022 2021 2022 2021 Securitized assets 90 days past due Liquidation losses Securitized assets Residential mortgages(1) Commercial and other Total $ $ 30.8 $ 28.8 59.6 $ 29.2 $ 26.2 55.4 $ 0.5 $ — 0.5 $ 0.4 $ — 0.4 $ 2.9 $ — 2.9 $ 10.6 — 10.6 (1) Securitized assets include $0.1 billion of personal loan securitizations as of December 31, 2022. 246 Mortgage Servicing Rights (MSRs) In connection with the securitization of mortgage loans, Citi’s U.S. consumer mortgage business generally retains the servicing rights, which entitle the Company to a future stream of cash flows based on the outstanding principal balances of the loans and the contractual servicing fee. Failure to service the loans in accordance with contractual requirements may lead to a termination of the servicing rights and the loss of future servicing fees. These transactions create intangible assets referred to as MSRs, which are recorded at fair value on Citi’s Consolidated Balance Sheet. The fair value of Citi’s capitalized MSRs was $665 million and $404 million at December 31, 2022 and 2021, respectively. The MSRs correspond to principal loan balances of $51 billion and $47 billion as of December 31, 2022 and 2021, respectively. The following table summarizes the changes in capitalized MSRs: In millions of dollars Balance, beginning of year Originations Changes in fair value of MSRs due to changes in inputs and assumptions Other changes(1) Sales of MSRs Balance, as of December 31 2022 2021 $ $ 404 $ 120 201 (60) — 665 $ 336 92 43 (67) — 404 (1) Represents changes due to customer payments and passage of time. The fair value of the MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, higher interest rates tend to lead to declining prepayments, which causes the fair value of the MSRs to increase. In managing this risk, Citigroup economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities, all classified as Trading account assets. The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows: In millions of dollars Servicing fees Late fees Total MSR fees 2022 2021 2020 $ $ 122 $ 4 126 $ 131 $ 3 134 $ 142 5 147 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 years ended December 31, 2022 and 2021. These securities are 247 backed by either residential or commercial mortgages and are often structured on behalf of clients. As of December 31, 2022 and 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 years ended December 31, 2022 and 2021, Citi transferred agency securities with a fair value of approximately $24.1 billion and $46.6 billion, respectively, to re-securitization entities. As of December 31, 2022, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.4 billion (including $802 million related to re-securitization transactions executed in 2022) compared to $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 December 31, 2022 and 2021 were approximately $79.4 billion and $78.4 billion, respectively. As of December 31, 2022 and 2021, the Company did not consolidate any private label or agency re-securitization entities. Citi-Administered Asset-Backed Commercial Paper Conduits The Company is active in the asset-backed commercial paper conduit business as administrator of several multi-seller commercial paper conduits and also as a service provider to single-seller and other commercial paper conduits sponsored by third parties. Citi’s multi-seller commercial paper conduits are designed to provide the Company’s clients access to low-cost funding in the commercial paper markets. The conduits purchase assets from or provide financing facilities to clients and are funded by issuing commercial paper to third-party investors. The conduits generally do not purchase assets originated by Citi. The funding of the conduits is facilitated by the liquidity support and credit enhancements provided by the Company. As administrator to Citi’s conduits, the Company is generally responsible for selecting and structuring assets purchased or financed by the conduits, making decisions regarding the funding of the conduits, including determining the tenor and other features of the commercial paper issued, monitoring the quality and performance of the conduits’ assets and facilitating the operations and cash flows of the conduits. In return, the Company earns structuring fees from customers for individual transactions and earns an administration fee from the conduit, which is equal to the income from the client program and liquidity fees of the conduit after payment of conduit expenses. This administration fee is fairly stable, since most risks and rewards of the underlying assets are passed back to the clients. Once the asset pricing is negotiated, most ongoing income, costs and fees are relatively stable as a percentage of the conduit’s size. The conduits administered by Citi do not generally invest in liquid securities that are formally rated by third parties. The assets are privately negotiated and structured transactions that are generally designed to be held by the conduit, rather than actively traded and sold. The yield earned by the conduit on each asset is generally tied to the rate on the commercial paper issued by the conduit, thus passing interest rate risk to the client. 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. At December 31, 2022 and 2021, the commercial paper conduits administered by Citi had approximately $19.6 billion and $14 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $13.9 billion and $18.3 billion, respectively. Substantially all of the funding of the conduits is in the form of short-term commercial paper. At December 31, 2022 and 2021, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 64 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 $1.9 billion as of December 31, 2022 and $1.3 billion as of December 31, 2021. 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. Citigroup also provides the conduits with two forms of liquidity agreements that are used to provide funding to the conduits in the event of a market disruption, among other events. Each asset of the conduits is supported by a transaction-specific liquidity facility in the form of an asset purchase agreement (APA). Under the APA, the Company has generally agreed to purchase non-defaulted eligible receivables from the conduit at par. The APA is not designed to provide credit support to the conduit, as it generally does not permit the purchase of defaulted or impaired assets. Any funding under the APA will likely subject the underlying conduit clients to increased interest costs. In addition, the Company provides the conduits with program-wide liquidity in the form of short-term lending commitments. Under these commitments, the Company has agreed to lend to the conduits in the event of a short-term disruption in the commercial paper 248 market, subject to specified conditions. The Company receives fees for providing both types of liquidity agreements and considers these fees to be on fair market terms. Finally, Citi is one of several named dealers in the commercial paper issued by the conduits and earns a market- based fee for providing such services. Along with third-party dealers, the Company makes a market in the commercial paper and may from time to time fund commercial paper pending sale to a third party. On specific dates with less liquidity in the market, the Company may hold in inventory commercial paper issued by conduits administered by the Company, as well as conduits administered by third parties. Separately, in the normal course of business, Citi purchases commercial paper, including commercial paper issued by Citigroup's conduits. At December 31, 2022 and 2021, the Company owned $8.6 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. The asset-backed commercial paper conduits are consolidated by Citi. The Company has determined that, through its roles as administrator and liquidity provider, it has the power to direct the activities that most significantly impact the entities’ economic performance. These powers include its ability to structure and approve the assets purchased by the conduits, its ongoing surveillance and credit mitigation activities, its ability to sell or repurchase assets out of the conduits and its liability management. In addition, as a result of all the Company’s involvement described above, it was concluded that Citi has an economic interest that could potentially be significant. However, the assets and liabilities of the conduits are separate and apart from those of Citigroup. No assets of any conduit are available to satisfy the creditors of Citigroup or any of its other subsidiaries. Collateralized Loan Obligations (CLOs) A collateralized loan obligation (CLO) is a VIE that purchases a portfolio of assets consisting primarily of non-investment grade corporate loans. CLOs issue multiple tranches of debt and equity to investors to fund the asset purchases and pay upfront expenses associated with forming the CLO. A third- party asset manager is contracted by the CLO to purchase the underlying assets from the open market and monitor the credit risk associated with those assets. Over the term of a CLO, the asset manager directs purchases and sales of assets in a manner consistent with the CLO’s asset management agreement and indenture. In general, the CLO asset manager will have the power to direct the activities of the entity that most significantly impact the economic performance of the CLO. Investors in a CLO, through their ownership of debt and/or equity in it, can also direct certain activities of the CLO, including removing its asset manager under limited circumstances, optionally redeeming the notes, voting on amendments to the CLO’s operating documents and other activities. A CLO has a finite life, typically 12 years. Citi serves as a structuring and placement agent with respect to the CLOs. Typically, the debt and equity of the CLOs are sold to third-party investors. On occasion, certain Citi entities may purchase some portion of a CLO’s liabilities for investment purposes. In addition, Citi may purchase, typically in the secondary market, certain securities issued by the CLOs to support its market-making activities. The Company generally does not have the power to direct the activities that most significantly impact the economic performance of the CLOs, as this power is generally held by a third-party asset manager of the CLO. As such, those CLOs are not consolidated. The following tables summarize selected cash flow information and retained interests related to Citigroup CLOs: In millions of dollars Type Commercial and other real estate Corporate loans Other (including investment funds, airlines and shipping) December 31, 2021 Total unconsolidated VIE assets Maximum exposure to unconsolidated VIEs $ 32,932 $ 18,257 184,358 7,461 12,581 25,528 45,570 2022 2021 2020 Total $ 235,547 $ In billions of dollars Principal securitized $ — $ — $ Proceeds from new securitizations — — Cash flows received on retained interests and other net cash flows Purchases of previously transferred financial assets 0.3 1.1 — 0.2 0.1 0.1 — — In millions of dollars Carrying value of retained interests Dec. 31, 2022 Dec. 31, 2021 Dec. 31, 2020 $ 681 $ 921 $ 1,611 All of Citi’s retained interests were held-to-maturity securities as of December 31, 2022 and 2021. Asset-Based Financing The Company provides loans and other forms of financing to VIEs that hold assets. Those loans are subject to the same credit approvals as all other loans originated or purchased by the Company. Financings in the form of debt securities or derivatives are, in most circumstances, reported in Trading account assets and accounted for at fair value through earnings. The Company generally does not have the power to direct the activities that most significantly impact these VIEs’ economic performance; thus, it does not consolidate them. 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. December 31, 2022 Total unconsolidated VIE assets Maximum exposure to unconsolidated VIEs In millions of dollars Type Commercial and other real estate $ Corporate loans Other (including investment funds, airlines and shipping) Total 43,236 $ 23,120 166,320 $ 232,676 $ 8,806 15,077 27,986 51,869 249 Municipal Securities Tender Option Bond (TOB) Trusts Municipal TOB trusts may hold fixed- or floating-rate, taxable or tax-exempt securities issued by state and local governments and municipalities. TOB trusts are typically structured as single-issuer entities whose assets are purchased from either the Company or from other investors in the municipal securities market. TOB trusts finance the purchase of their municipal assets by issuing two classes of certificates: long- dated, floating rate certificates (“Floaters”) that are putable pursuant to a liquidity facility and residual interest certificates (“Residuals”). The Floaters are purchased by third-party investors, typically tax-exempt money market funds. The Residuals are purchased by the original owner of the municipal securities that are being financed. From Citigroup’s perspective, there are two types of TOB trusts: customer and non-customer. Customer TOB trusts are those trusts utilized by customers of the Company to finance their securities, generally municipal securities. The Residuals issued by these trusts are purchased by the customer being financed. Non-customer TOB trusts are generally used by the Company to finance its own municipal securities investments; the Residuals issued by non-customer TOB trusts are purchased by the Company. With respect to both customer and non-customer TOB trusts, Citi may provide remarketing agent services. If Floaters are optionally tendered and the Company, in its role as remarketing agent, is unable to find a new investor to purchase the optionally tendered Floaters within a specified period of time, Citigroup may, but is not obligated to, purchase the tendered Floaters into its own inventory. The level of the Company’s inventory of such Floaters fluctuates. For certain customer TOB trusts, Citi may also serve as a voluntary advance provider. In this capacity, the Company may, but is not obligated to, make loan advances to customer TOB trusts to purchase optionally tendered Floaters that have not otherwise been successfully remarketed to new investors. Such loans are secured by pledged Floaters. As of December 31, 2022, Citi had no outstanding voluntary advances to customer TOB trusts. For certain non-customer trusts, the Company also provides credit enhancement. At December 31, 2022 and 2021, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company. Citigroup also provides liquidity services to many customer and non-customer trusts. If a trust is unwound early due to an event other than a credit event on the underlying municipal bonds, the underlying municipal bonds are sold out of the trust and bond sale proceeds are used to redeem the outstanding trust certificates. If this results in a shortfall between the bond sale proceeds and the redemption price of the tendered Floaters, the Company, pursuant to the liquidity agreement, would be obligated to make a payment to the trust to satisfy that shortfall. For certain customer TOB trusts, Citigroup has also executed a reimbursement agreement with the holder of the Residual, pursuant to which the Residual holder is obligated to reimburse the Company for any payment the Company makes under the liquidity arrangement. These reimbursement agreements may be subject to daily margining based on changes in the market value of the underlying municipal bonds. In cases where a third party provides liquidity to a non-customer TOB trust, a similar reimbursement arrangement may be executed, whereby the Company (or a consolidated subsidiary of the Company), as Residual holder, would absorb any losses incurred by the liquidity provider. For certain other non-customer TOB trusts, Citi serves as tender option provider. The tender option provider arrangement allows Floater holders to put their interests directly to the Company at any time, subject to the requisite notice period requirements, at a price of par. At December 31, 2022 and 2021, liquidity agreements provided with respect to customer TOB trusts totaled $1.1 billion and $1.5 billion, respectively, of which $0.7 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. Citi considers both customer and non-customer TOB trusts to be VIEs. Customer TOB trusts are not consolidated by the Company, as the power to direct the activities that most significantly impact the trust’s economic performance rests with the customer Residual holder, which may unilaterally cause the sale of the trust’s bonds. Non-customer TOB trusts generally are consolidated because the Company holds the Residual interest and thus has the unilateral power to cause the sale of the trust’s bonds. 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 as of December 31, 2022 and $2 billion as of December 31, 2021. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions. Municipal Investments Municipal investment transactions include debt and equity interests in partnerships that finance the construction and rehabilitation of low-income housing, facilitate lending in new or underserved markets or finance the construction or operation of renewable municipal energy facilities. Citi generally invests in these partnerships as a limited partner and earns a return primarily through the receipt of tax credits and 250 grants earned from the investments made by the partnership. The Company may also provide construction loans or permanent loans for the development or operation of real estate properties held by partnerships. These entities are generally considered VIEs. The power to direct the activities of these entities is typically held by the general partner. Accordingly, these entities are not consolidated by Citigroup. Client Intermediation Client intermediation transactions represent a range of transactions designed to provide investors with specified returns based on the returns of an underlying security, referenced asset or index. These transactions include credit- linked notes and equity-linked notes. In these transactions, the VIE typically obtains exposure to the underlying security, referenced asset or index through a derivative instrument, such as a total-return swap or a credit-default swap. In turn, the VIE issues notes to investors that pay a return based on the specified underlying security, referenced asset or index. The VIE invests the proceeds in a financial asset or a guaranteed insurance contract that serves as collateral for the derivative contract over the term of the transaction. The Company’s involvement in these transactions includes being the counterparty to the VIE’s derivative instruments and investing in a portion of the notes issued by the VIE. In certain transactions, the investor’s maximum risk of loss is limited and the Company absorbs risk of loss above a specified level. Citi does not have the power to direct the activities of the VIEs that most significantly impact their economic performance and thus it does not consolidate them. Citi’s maximum risk of loss in these transactions is defined as the amount invested in notes issued by the VIE and the notional amount of any risk of loss absorbed by Citi through a separate instrument issued by the VIE. The derivative instrument held by the Company may generate a receivable from the VIE (e.g., where the Company purchases credit protection from the VIE in connection with the VIE’s issuance of a credit-linked note), which is collateralized by the assets owned by the VIE. These derivative instruments are not considered variable interests and any associated receivables are not included in the calculation of maximum exposure to the VIE. Investment Funds The Company is the investment manager for certain investment funds and retirement funds that invest in various asset classes including private equity, hedge funds, real estate, fixed income and infrastructure. Citigroup earns a management fee, which is a percentage of capital under management, and may earn performance fees. In addition, for some of these funds the Company has an ownership interest in the investment funds. Citi has also established a number of investment funds as opportunities for qualified employees to invest in private equity investments. The Company acts as investment manager for these funds and may provide employees with financing on both recourse and non-recourse bases for a portion of the employees’ investment commitments. 23. DERIVATIVES In the ordinary course of business, Citigroup enters into various types of derivative transactions, which include: • • • Futures and forward contracts, which are commitments to buy or sell at a future date a financial instrument, commodity or currency at a contracted price that may be settled in cash or through delivery of an item readily convertible to cash. Swap contracts, which are commitments to settle in cash at a future date or dates that may range from a few days to a number of years, based on differentials between specified indices or financial instruments, as applied to a notional principal amount. Option contracts, which give the purchaser, for a premium, the right, but not the obligation, to buy or sell within a specified time a financial instrument, commodity or currency at a contracted price that may also be settled in cash, based on differentials between specified indices or prices. Swaps, forwards and some option contracts are over-the- counter (OTC) derivatives that are bilaterally negotiated with counterparties and settled with those counterparties, except for swap contracts that are novated and “cleared” through central counterparties (CCPs). Futures contracts and other option contracts are standardized contracts that are traded on an exchange with a CCP as the counterparty from the inception of the transaction. Citigroup enters into derivative contracts relating to interest rate, foreign currency, commodity and other market/credit risks for the following reasons: • • Trading Purposes: Citigroup trades derivatives as an active market maker. Citigroup offers its customers derivatives in connection with their risk management actions to transfer, modify or reduce their interest rate, foreign exchange and other market/credit risks or for their own trading purposes. Citigroup also manages its derivative risk positions through offsetting trade activities, controls focused on price verification and daily reporting of positions to senior managers. Hedging: Citigroup uses derivatives in connection with its own risk management activities to hedge certain risks or reposition the risk profile of the Company. Hedging may be accomplished by applying hedge accounting in accordance with ASC 815, Derivatives and Hedging. For example, Citigroup issues fixed-rate long-term debt and then enters into a receive-fixed, pay-variable-rate interest rate swap with the same tenor and notional amount to synthetically convert the interest payments to a net variable-rate basis. This strategy is the most common form of an interest rate hedge, as it minimizes net interest cost in certain yield curve environments. Derivatives are also used to manage market risks inherent in specific groups of on-balance sheet assets and liabilities, including AFS securities, commodities and borrowings, as well as other interest-sensitive assets and liabilities. In addition, foreign exchange contracts are used to hedge non-U.S.- dollar-denominated debt, foreign currency-denominated AFS securities and net investment exposures. 251 Derivatives may expose Citigroup to market, credit or liquidity risks in excess of the amounts recorded on the Consolidated Balance Sheet. Market risk on a derivative product is the exposure created by potential fluctuations in interest rates, market prices, foreign exchange rates and other factors and is a function of the type of product, the volume of transactions, the tenor and terms of the agreement and the underlying volatility. Credit risk is the exposure to loss in the event of nonperformance by the other party to satisfy a derivative liability where the value of any collateral held by Citi is not adequate to cover such losses. The recognition in earnings of unrealized gains on derivative transactions is subject to management’s assessment of the probability of counterparty default. Liquidity risk is the potential exposure that arises when the size of a derivative position may affect the ability to monetize the position in a reasonable period of time and at a reasonable cost in periods of high volatility and financial stress. Derivative transactions are customarily documented under industry standard master netting agreements, which provide that following an event of default, the non-defaulting party may promptly terminate all transactions between the parties and determine the net amount due to be paid to, or by, the defaulting party. Events of default include (i) failure to make a payment on a derivative transaction that remains uncured following applicable notice and grace periods, (ii) breach of agreement that remains uncured after applicable notice and grace periods, (iii) breach of a representation, (iv) cross default, either to third-party debt or to other derivative transactions entered into between the parties, or, in some cases, their affiliates, (v) the occurrence of a merger or consolidation that results in the creditworthiness of a party becoming materially weaker and (vi) the cessation or repudiation of any applicable guarantee or other credit support document. Obligations under master netting agreements are often secured by collateral posted under an industry standard credit support annex to the master netting agreement. An event of default may also occur under a credit support annex if a party fails to make a collateral delivery that remains uncured following applicable notice and grace periods. The netting and collateral rights incorporated in the master netting agreements are considered to be legally enforceable if a supportive legal opinion has been obtained from counsel of recognized standing that provides (i) the requisite level of certainty regarding enforceability and (ii) that the exercise of rights by the non-defaulting party to terminate and close-out transactions on a net basis under these agreements will not be stayed or avoided under applicable law upon an event of default, including bankruptcy, insolvency or similar proceeding. A legal opinion may not be sought for certain jurisdictions where local law is silent or unclear as to the enforceability of such rights or where adverse case law or conflicting regulation may cast doubt on the enforceability of such rights. In some jurisdictions and for some counterparty types, the insolvency law may not provide the requisite level of certainty. For example, this may be the case for certain sovereigns, municipalities, central banks and U.S. pension plans. Exposure to credit risk on derivatives is affected by Information pertaining to Citigroup’s derivatives market volatility, which may impair the ability of counterparties to satisfy their obligations to the Company. Credit limits are established and closely monitored for customers engaged in derivatives transactions. Citi considers the level of legal certainty regarding enforceability of its offsetting rights under master netting agreements and credit support annexes to be an important factor in its risk management process. Specifically, Citi generally transacts much lower volumes of derivatives under master netting agreements where Citi does not have the requisite level of legal certainty regarding enforceability, because such derivatives consume greater amounts of single counterparty credit limits than those executed under enforceable master netting agreements. Cash collateral and security collateral in the form of G10 government debt securities are often posted by a party to a master netting agreement to secure the net open exposure of the other party; the receiving party is free to commingle/ rehypothecate such collateral in the ordinary course of its business. Nonstandard collateral such as corporate bonds, municipal bonds, U.S. agency securities and/or MBS may also be pledged as collateral for derivative transactions. Security collateral posted to open and maintain a master netting agreement with a counterparty, in the form of cash and/or securities, may from time to time be segregated in an account at a third-party custodian pursuant to a tri-party account control agreement. 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. All derivatives are recorded in Trading account assets/Trading account liabilities on the Consolidated Balance Sheet. 252 Derivative Notionals In millions of dollars Interest rate contracts Swaps Futures and forwards Written options Purchased options Total interest rate contracts Foreign exchange contracts Swaps Futures, forwards and spot Written options Purchased options Total foreign exchange contracts Equity contracts Swaps Futures and forwards Written options Purchased options Total equity contracts Commodity and other contracts Swaps Futures and forwards Written options Purchased options Total commodity and other contracts Credit derivatives(1) Protection sold Protection purchased Total credit derivatives Total derivative notionals $ $ $ $ $ $ $ $ $ $ $ Hedging instruments under ASC 815 Trading derivative instruments December 31, 2022 December 31, 2021 December 31, 2022 December 31, 2021 255,280 $ 267,035 $ 23,780,711 $ 21,873,538 — — — — — — 2,966,025 1,937,025 1,881,291 2,383,702 1,584,451 1,428,376 255,280 $ 267,035 $ 30,565,052 $ 27,270,067 48,678 $ 43,666 — — 47,298 $ 50,926 — — 6,746,070 $ 3,350,341 789,077 783,591 6,288,193 4,316,242 664,942 651,958 92,344 $ 98,224 $ 11,669,079 $ 11,921,335 — $ — — — — $ — $ 1,571 — — — $ — — — 266,115 $ 76,935 482,266 387,766 269,062 71,363 492,433 398,129 — $ 1,213,082 $ 1,230,987 — $ 2,096 — — 90,884 $ 165,314 45,862 48,197 1,571 $ 2,096 $ 350,257 $ — $ — — $ — $ — — $ 593,136 $ 641,639 1,234,775 $ 1,218,482 349,195 $ 367,355 $ 45,032,245 $ 41,989,120 91,962 157,195 51,224 47,868 348,249 572,486 645,996 (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. 253 The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of December 31, 2022 and 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. 254 Derivative Mark-to-Market (MTM) Receivables/Payables In millions of dollars at December 31, 2022 Derivatives instruments designated as ASC 815 hedges Derivatives classified in Trading account assets/liabilities(1)(2) Liabilities Assets Over-the-counter Cleared Interest rate contracts Over-the-counter Cleared Foreign exchange contracts Total derivatives instruments designated as ASC 815 hedges Derivatives instruments not designated as ASC 815 hedges Over-the-counter Cleared Exchange traded Interest rate contracts Over-the-counter Cleared Exchange traded Foreign exchange contracts Over-the-counter Cleared Exchange traded Equity contracts Over-the-counter Exchange traded Commodity and other contracts Over-the-counter Cleared Credit derivatives Total derivatives instruments not designated as ASC 815 hedges Total derivatives Less: Netting agreements(3) Less: Netting cash collateral received/paid(4) Net receivables/payables included on the Consolidated Balance Sheet(5) Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet Less: Cash collateral received/paid Less: Non-cash collateral received/paid Total net receivables/payables(5) $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ 468 $ 129 597 $ 2,288 $ 3 2,291 $ 2,888 $ 126,844 $ 50,515 248 177,607 $ 184,869 $ 502 1 185,372 $ 19,674 $ 1 22,732 42,407 $ 27,285 $ 1,039 28,324 $ 6,836 $ 1,553 8,389 $ 442,099 $ 444,987 $ (346,545) $ (23,136) 75,306 $ (1,455) $ (5,923) 67,928 $ 1 101 102 1,766 3 1,769 1,871 119,854 52,566 98 172,518 183,578 643 5 184,226 21,871 4 21,908 43,783 24,912 1,406 26,318 5,807 1,970 7,777 434,622 436,493 (346,545) (30,032) 59,916 (2,272) (13,475) 44,169 (1) The derivatives fair values are also presented in Note 25. (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 $276 billion, $49 billion and $22 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 $14 billion of derivative asset and $11 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively. 255 In millions of dollars at December 31, 2021 Derivatives instruments designated as ASC 815 hedges Derivatives classified in Trading account assets/liabilities(1)(2) Liabilities Assets Over-the-counter Cleared Interest rate contracts Over-the-counter Cleared Foreign exchange contracts Total derivatives instruments designated as ASC 815 hedges Derivatives instruments not designated as ASC 815 hedges Over-the-counter Cleared Exchange traded Interest rate contracts Over-the-counter Cleared Foreign exchange contracts Over-the-counter Cleared Exchange traded Equity contracts Over-the-counter Exchange traded Commodity and other contracts Over-the-counter Cleared Credit derivatives Total derivatives instruments not designated as ASC 815 hedges Total derivatives Less: Netting agreements(3) Less: Netting cash collateral received/paid(4) Net receivables/payables included on the Consolidated Balance Sheet(5) Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet Less: Cash collateral received/paid Less: Non-cash collateral received/paid Total net receivables/payables(5) $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ 1,167 $ 122 1,289 $ 1,338 $ 6 1,344 $ 2,633 $ 152,524 $ 11,579 96 164,199 $ 133,357 $ 848 134,205 $ 23,452 $ 19 21,781 45,252 $ 29,279 $ 1,065 30,344 $ 6,896 $ 3,322 10,218 $ 384,218 $ 386,851 $ (292,628) $ (24,447) 69,776 $ (907) $ (5,777) 63,092 $ 6 89 95 1,472 — 1,472 1,567 138,114 11,821 44 149,979 133,548 278 133,826 28,352 — 21,332 49,684 29,833 1,546 31,379 6,959 4,056 11,015 375,883 377,450 (292,628) (29,306) 55,516 (538) (13,607) 41,371 (1) The derivative fair values are also presented in Note 25. (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. 256 assessment of effectiveness may exclude changes in the value of the hedged item that are unrelated to the risks being hedged and the changes in fair value of the derivative associated with time value. Citi excludes changes in the cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness and records it in Other comprehensive income. Discontinued Hedge Accounting A hedging instrument must be highly effective in accomplishing the hedge objective of offsetting either changes in the fair value or cash flows of the hedged item for the risk being hedged. Management may voluntarily de-designate an accounting hedge at any time, but if a hedging relationship is not highly effective, it no longer qualifies for hedge accounting and must be de-designated. Subsequent changes in the fair value of the derivative are recognized in Other revenue or Principal transactions, similar to trading derivatives, with no offset recorded related to the hedged item. For fair value hedges, any changes in the carrying value of the hedged item remain as part of the basis of the asset or liability and are ultimately realized as an element of the yield on the item. For cash flow hedges, changes in fair value of the end-user derivative remain in Accumulated other comprehensive income (loss) (AOCI) and are included in the earnings of future periods when the forecasted hedged cash flows impact earnings. However, if it becomes probable that some or all of the hedged forecasted transactions will not occur, any amounts that remain in AOCI related to these transactions must be immediately reflected in Other revenue. The foregoing criteria are applied on a decentralized basis, consistent with the level at which market risk is managed, but are subject to various limits and controls. The underlying asset, liability or forecasted transaction may be an individual item or a portfolio of similar items. Fair Value Hedges Hedging of Benchmark Interest Rate Risk Citigroup’s fair value hedges, which include hedges of closed pools of assets, 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. For the years ended December 31, 2022, 2021 and 2020, amounts recognized in Principal transactions in the Consolidated Statement of Income include certain derivatives not designated in a qualifying hedging relationship. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents how these portfolios are risk managed. See Note 6 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 Year ended December 31, In millions of dollars 2022 2021 2020 Interest rate contracts $ Foreign exchange Total $ 141 $ (56) 85 $ (70) $ (102) (172) $ 63 (57) 6 Accounting for Derivative Hedging Citigroup accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging. As a general rule, hedge accounting is permitted where the Company is exposed to a particular risk, such as interest rate or foreign exchange risk, that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or a forecasted transaction that may affect earnings. Derivative contracts hedging the risks associated with changes in fair value are referred to as fair value hedges, while contracts hedging the variability of expected future cash flows are cash flow hedges. Hedges that utilize derivatives or debt instruments to manage the foreign exchange risk associated with equity investments in non-U.S.-dollar-functional- currency foreign subsidiaries (i.e., net investment in a foreign operation) are net investment hedges. To qualify as an accounting hedge under the hedge accounting rules (versus an economic hedge where hedge accounting is not applied), a hedging relationship must be highly effective in offsetting the risk designated as being hedged. The hedging relationship must be formally documented at inception, detailing the particular risk management objective and strategy for the hedge. This includes the item and risk(s) being hedged, the hedging instrument being used and how effectiveness will be assessed. The effectiveness of these hedging relationships is evaluated at hedge inception and on an ongoing basis both on a retrospective and prospective basis, typically using quantitative measures of correlation, with hedge ineffectiveness measured and recorded in current earnings. Hedge effectiveness assessment methodologies are performed in a similar manner for similar hedges, and are used consistently throughout the hedging relationships. The 257 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 carrying 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, under certain hedge programs, 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. Under other hedge programs, Citi excludes changes in the fair value of forward points from the assessment of hedge effectiveness and records them in Other comprehensive income. The following table summarizes the gains (losses) on the Company’s fair value hedges: In millions of dollars Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges Interest rate hedges Foreign exchange hedges Commodity hedges Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges Gain (loss) on the hedged item in designated and qualifying fair value hedges Interest rate hedges Foreign exchange hedges Commodity hedges Total gain (loss) on the hedged item in designated and qualifying fair value hedges Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges Interest rate hedges Foreign exchange hedges(2) Commodity hedges (3) Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges Gains (losses) on fair value hedges(1) Year ended December 31, 2022 2021 2020 Other revenue Net interest income Other revenue Net interest income Other revenue Net interest income $ — $ (8,322) $ — $ (5,425) $ — $ 4,189 (1,375) (1,870) — — (627) (3,983) — — 1,442 (164) — — $ (3,245) $ (8,322) $ (4,610) $ (5,425) $ 1,278 $ 4,189 $ — $ 8,087 $ — $ 5,043 $ — $ (4,537) 1,372 1,870 — — 628 3,973 — — (1,442) 164 — — $ 3,242 $ 8,087 $ 4,601 $ 5,043 $ (1,278) $ (4,537) $ — $ — $ — $ (9) $ — $ (23) 171 94 — — 79 5 — — (73) 131 — — $ 265 $ — $ 84 $ (9) $ 58 $ (23) (1) Gain (loss) amounts for interest rate risk hedges are included in Interest revenue/Interest expense. The accrued interest income on fair value hedges is recorded in Net interest income and is excluded from this table. (2) Amounts related to the forward points (i.e., the spot-forward difference) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings under the mark-to-market approach. 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 $73 million and $2 million for the years ended December 31, 2022 and 2021, respectively. (3) Amounts related to the forward points (i.e., the spot-forward difference) that are excluded from the assessment of hedge effectiveness reflected directly in earnings under the mark-to-market approach or recorded in AOCI under the amortization approach. The year ended December 31, 2022 includes gain (loss) of approximately $86 million and $8 million under the mark-to-market approach and amortization approach, respectively. 258 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 December 31, 2022 and 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 recorded Carrying amount of hedged asset/ liability As of December 31, 2022 Cumulative basis adjustment increasing (decreasing) the carrying amount Active De-designated Debt securities AFS(1)(3) Long-term debt $ 98,837 $ 144,549 (2,976) $ (5,040) (333) (3,399) As of December 31, 2021 Debt securities AFS(2)(3) Long-term debt $ 62,733 $ 149,305 149 $ 623 212 3,936 (1) These amounts include a cumulative basis adjustment of $(91) million for active hedges and $(309) million for de-designated hedges as of December 31, 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 December 31, 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 previously 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. 259  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 pretax change in AOCI from cash flow hedges is presented below: 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. Variable cash flows from those liabilities are synthetically converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps and receive-variable, pay-fixed forward-starting interest rate swaps. Variable cash flows associated with certain assets are synthetically converted to fixed-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. 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. In millions of dollars Amount of gain (loss) recognized in AOCI on derivatives Interest rate contracts Foreign exchange contracts Total gain (loss) recognized in AOCI Amount of gain (loss) reclassified from AOCI to earnings(1) Interest rate contracts Foreign exchange contracts $ $ $ Total gain (loss) reclassified from AOCI into earnings $ Net pretax change in cash flow hedges included within AOCI 2022 2021 2020 (3,640) $ 34 (3,606) $ (847) $ (51) (898) $ 2,670 (15) 2,655 Other revenue Net interest income Other revenue Net interest income Other revenue Net interest income — $ (4) (4) $ (125) $ — (125) $ — $ (4) (4) $ 1,075 $ — 1,075 $ — $ (4) (4) $ 734 — 734 $ (3,477) $ (1,969) $ 1,925 (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. The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of December 31, 2022 is approximately $(1.7) billion. The maximum length of time over which forecasted cash flows are hedged is 10 years. The after-tax impact of cash flow hedges on AOCI is shown in Note 20. 260 Net Investment Hedges Consistent with ASC 830-20, Foreign Currency Matters— Foreign Currency Transactions, ASC 815 allows the hedging of the foreign currency risk of a net investment in a foreign operation. Citigroup uses foreign currency forwards, cross- currency swaps, options and foreign currency-denominated debt instruments to manage the foreign exchange risk associated with Citigroup’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. For derivatives designated as net investment hedges, Citigroup follows the forward-rate method outlined in ASC 815-35-35. According to that method, all changes in fair value, including changes related to the forward-rate component of the foreign currency forward contracts and the time value of foreign currency options, are recorded in Foreign currency translation adjustment within AOCI. For foreign currency-denominated debt instruments that are designated as hedges of net investments, the translation gain or loss that is recorded in Foreign currency translation adjustment is based on the spot exchange rate between the functional currency of the respective subsidiary and the U.S. dollar, which is the functional currency of Citigroup. The pretax gain (loss) recorded in Foreign currency translation adjustment within AOCI, related to net investment hedges, was $370 million, $855 million and $(600) million for the years ended December 31, 2022, 2021 and 2020, respectively. The year ended December 31, 2022 includes a $36 million pretax loss related to net investment hedges, respectively, which were reclassified from AOCI into earnings (recorded in Other revenue). Economic Hedges Citigroup often uses economic hedges when hedge accounting would be too complex or operationally burdensome. End-user derivatives that are economic hedges are carried at fair value, with changes in value included in either Principal transactions or Other revenue. For asset/liability management hedging, fixed-rate long- term debt is recorded at amortized cost under GAAP. For other hedges that either do not meet the ASC 815 hedging criteria or for which management decides not to apply ASC 815 hedge accounting, the derivative is recorded at fair value on the balance sheet with the associated changes in fair value recorded in earnings, while the debt continues to be carried at amortized cost. Therefore, current earnings are affected by the interest rate shifts and other factors that cause a change in the swap’s value, but for which no offsetting change in value is recorded on the debt. Citigroup may alternatively elect to account for the debt at fair value under the fair value option. Once the irrevocable election is made upon issuance of the debt, the full change in fair value of the debt is reported in earnings. The changes in fair value of the related interest rate swap are also reflected in earnings, which provides a natural offset to the debt’s fair value change. To the extent that the two amounts differ because the full change in the fair value of the debt includes 261 risks not offset by the interest rate swap, the difference is automatically captured in current earnings. Additional economic hedges include hedges of the credit risk component of commercial loans and loan commitments. Citigroup periodically evaluates its hedging strategies in other areas and may designate either an accounting hedge or an economic hedge after considering the relative costs and benefits. Economic hedges are also employed when the hedged item itself is marked-to-market through current earnings, such as hedges of commitments to originate one- to four-family mortgage loans to be HFS and MSRs. Credit Derivatives Citi is a market maker and trades a range of credit derivatives. Through these contracts, Citi either purchases or writes protection on either a single name or a portfolio of reference credits. Citi also uses credit derivatives to help mitigate credit risk in its corporate and consumer loan portfolios and other cash positions and to facilitate client transactions. Citi monitors its counterparty credit risk in credit derivative contracts. As of December 31, 2022 and 2021, approximately 98% and 99%, respectively, of the gross receivables are from counterparties with which Citi maintains master netting agreements, collateral agreements or settles daily. A majority of Citi’s top 15 counterparties (by receivable balance owed to Citi) are central clearing houses, banks, financial institutions or other dealers. Contracts with these counterparties do not include ratings-based termination events. However, counterparty ratings downgrades may have an incremental effect by lowering the threshold at which Citi may call for additional collateral. The range of credit derivatives entered into includes credit default swaps, total return swaps, credit options and credit- linked notes. A credit default swap is a contract in which, for a fee, a protection seller agrees to reimburse a protection buyer for any losses that occur due to a predefined credit event on a reference entity. These credit events are defined by the terms of the derivative contract and the reference entity and are generally limited to the market standard of failure to pay on indebtedness and bankruptcy of the reference entity and, in a more limited range of transactions, debt restructuring. Credit derivative transactions that reference emerging market entities also typically include additional credit events to cover the acceleration of indebtedness and the risk of repudiation or a payment moratorium. In certain transactions, protection may be provided on a portfolio of reference entities or asset-backed securities. If there is no credit event, as defined by the specific derivative contract, then the protection seller makes no payments to the protection buyer and receives only the contractually specified fee. However, if a credit event occurs as defined in the specific derivative contract sold, the protection seller will be required to make a payment to the protection buyer. Under certain contracts, the seller of protection may not be required to make a payment until a specified amount of losses has occurred with respect to the portfolio and/or may only be required to pay for losses up to a specified amount. A total return swap typically transfers the total economic performance of a reference asset, which includes all associated cash flows, as well as capital appreciation or depreciation. The protection buyer receives a floating rate of interest and any depreciation on the reference asset from the protection seller and, in return, the protection seller receives the cash flows associated with the reference asset plus any appreciation. Thus, according to the total return swap agreement, the protection seller will be obligated to make a payment any time the floating interest rate payment plus any depreciation of the reference asset exceeds the cash flows associated with the underlying asset. A total return swap may terminate upon a default of the reference asset or a credit event with respect to the reference entity, subject to the provisions of the related total return swap agreement between the protection seller and the protection buyer. A credit option is a credit derivative that allows investors to trade or hedge changes in the credit quality of a reference entity. For example, in a credit spread option, the option writer assumes the obligation to purchase or sell credit protection on the reference entity at a specified “strike” spread level. The option purchaser buys the right to sell credit default protection on the reference entity to, or purchase it from, the option writer at the strike spread level. The payments on credit spread options depend either on a particular credit spread or the price of the underlying credit-sensitive asset or other reference entity. The options usually terminate if a credit event occurs with respect to the underlying reference entity. A credit-linked note is a form of credit derivative structured as a debt security with an embedded credit default swap. The purchaser of the note effectively provides credit protection to the issuer by agreeing to receive a return that could be negatively affected by credit events on the underlying reference entity. If the reference entity defaults, the note may be cash settled or physically settled by delivery of a debt security of the reference entity. Thus, the maximum amount of the note purchaser’s exposure is the amount paid for the credit-linked note. 262 The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form: In millions of dollars at December 31, 2022 Receivable(1) Payable(2) Protection purchased Protection sold Fair values Notionals By industry of counterparty Banks Broker-dealers Non-financial Insurance and other financial institutions Total by industry of counterparty By instrument Credit default swaps and options Total return swaps and other Total by instrument By rating of reference entity Investment grade Non-investment grade Total by rating of reference entity By maturity Within 1 year From 1 to 5 years After 5 years Total by maturity $ $ $ $ $ $ $ $ 1,835 $ 1,893 47 4,614 8,389 $ 6,867 $ 1,522 8,389 $ 3,796 $ 4,593 8,389 $ 1,753 $ 4,577 2,059 8,389 $ 2,479 $ 1,478 15 3,805 7,777 $ 7,360 $ 417 7,777 $ 2,970 $ 4,807 7,777 $ 1,801 $ 4,134 1,842 7,777 $ 100,628 $ 48,760 1,562 490,689 641,639 $ 623,981 $ 17,658 641,639 $ 499,339 $ 142,300 641,639 $ 147,031 $ 443,113 51,495 641,639 $ 96,143 44,148 1,585 451,260 593,136 586,504 6,632 593,136 462,873 130,263 593,136 148,721 407,293 37,122 593,136 (1) The fair value amount receivable is composed of $5,094 million under protection purchased and $3,295 million under protection sold. (2) The fair value amount payable is composed of $3,573 million under protection purchased and $4,204 million under protection sold. In millions of dollars at December 31, 2021 Receivable(1) Payable(2) Protection purchased Protection sold Fair values Notionals By industry of counterparty Banks Broker-dealers Non-financial Insurance and other financial institutions Total by industry of counterparty By instrument Credit default swaps and options Total return swaps and other Total by instrument By rating of reference entity Investment grade Non-investment grade Total by rating of reference entity By maturity Within 1 year From 1 to 5 years After 5 years Total by maturity $ $ $ $ $ $ $ $ 2,375 $ 1,962 113 5,768 10,218 $ 9,923 $ 295 10,218 $ 4,149 $ 6,069 10,218 $ 878 $ 6,674 2,666 10,218 $ 3,031 $ 1,139 306 6,539 11,015 $ 10,234 $ 781 11,015 $ 4,258 $ 6,757 11,015 $ 1,462 $ 6,638 2,915 11,015 $ 108,415 $ 44,364 2,785 490,432 645,996 $ 628,136 $ 17,860 645,996 $ 511,652 $ 134,344 645,996 $ 133,866 $ 454,617 57,513 645,996 $ 103,756 40,068 2,728 425,934 572,486 565,131 7,355 572,486 448,944 123,542 572,486 115,603 413,174 43,709 572,486 (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. 263 Fair values included in the above tables are prior to application of any netting agreements and cash collateral. For notional amounts, Citi generally has a mismatch between the total notional amounts of protection purchased and sold, and it may hold the reference assets directly rather than entering into offsetting credit derivative contracts as and when desired. The open risk exposures from credit derivative contracts are largely matched after certain cash positions in reference assets are considered and after notional amounts are adjusted, either to a duration-based equivalent basis or to reflect the level of subordination in tranched structures. The ratings of the credit derivatives portfolio presented in the tables and used to evaluate payment/performance risk are based on the assigned internal or external ratings of the reference asset or entity. Where external ratings are used, investment-grade ratings are considered to be “Baa/BBB” and above, while anything below is considered non-investment grade. Citi’s internal ratings are in line with the related external rating system. Citigroup evaluates the payment/performance risk of the credit derivatives for which it stands as a protection seller based on the credit rating assigned to the underlying reference credit. Credit derivatives written on an underlying non- investment-grade reference entity represent greater payment risk to the Company. The non-investment-grade category in the table above also includes credit derivatives where the underlying reference entity has been downgraded subsequent to the inception of the derivative. The maximum potential amount of future payments under credit derivative contracts presented in the table above is based on the notional value of the derivatives. The Company believes that the notional amount for credit protection sold is not representative of the actual loss exposure based on historical experience. This amount has not been reduced by the value of the reference assets and the related cash flows. In accordance with most credit derivative contracts, should a credit event occur, the Company usually is liable for the difference between the protection sold and the value of the reference assets. Furthermore, the notional amount for credit protection sold has not been reduced for any cash collateral paid to a given counterparty, as such payments would be calculated after netting all derivative exposures, including any credit derivatives with that counterparty in accordance with a related master netting agreement. Due to such netting processes, determining the amount of collateral that corresponds to credit derivative exposures alone is not possible. The Company actively monitors open credit-risk exposures and manages this exposure by using a variety of strategies, including purchased credit derivatives, cash collateral or direct holdings of the referenced assets. This risk mitigation activity is not captured in the table above. 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 December 31, 2022 and 2021 was $18 billion and $19 billion, respectively. The Company posted $15 billion and $16 billion as collateral for this exposure in the normal course of business as of December 31, 2022 and 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 December 31, 2022, the Company could be required to post an additional $0.9 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 $15.0 million upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $0.9 billion. Derivatives Accompanied by Financial Asset Transfers The Company executes total return swaps that provide it with synthetic exposure to substantially all of the economic return of the securities or other financial assets referenced in the contract. In certain cases, the derivative transaction is accompanied by the Company’s transfer of the referenced financial asset to the derivative counterparty, most typically in response to the derivative counterparty’s desire to hedge, in whole or in part, its synthetic exposure under the derivative contract by holding the referenced asset in funded form. In certain jurisdictions these transactions qualify as sales, resulting in derecognition of the securities transferred (see Note 1 for further discussion of the related sale conditions for transfers of financial assets). For a significant portion of the transactions, the Company has also executed another total return swap where the Company passes on substantially all of the economic return of the referenced securities to a different third party seeking the exposure. In those cases, the Company is not exposed, on a net basis, to changes in the economic return of the referenced securities. These transactions generally involve the transfer of the Company’s liquid government bonds, convertible bonds or publicly traded corporate equity securities from the trading portfolio and are executed with third-party financial institutions. The accompanying derivatives are typically total return swaps. The derivatives are cash settled and subject to ongoing margin requirements. When the conditions for sale accounting are met, the Company reports the transfer of the referenced financial asset as a sale and separately reports the accompanying derivative transaction. These transactions generally do not result in a gain or loss on the sale of the security, because the transferred 264 security was held at fair value in the Company’s trading portfolio. 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 $1.4 billion and $2.9 billion as of December 31, 2022 and 2021, respectively. At December 31, 2022, the fair value of these previously derecognized assets was $1.4 billion. The fair value of the total return swaps as of December 31, 2022 was $27 million recorded as gross derivative assets and $32 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. 265 24. CONCENTRATIONS OF CREDIT RISK Concentrations of credit risk exist when changes in economic, industry or geographic factors similarly affect groups of counterparties whose aggregate credit exposure is material in relation to Citigroup’s total credit exposure. Although Citigroup’s portfolio of financial instruments is broadly diversified along industry, product and geographic lines, material transactions are completed with other financial institutions, particularly in the securities trading, derivatives and foreign exchange businesses. In connection with the Company’s efforts to maintain a diversified portfolio, the Company limits its exposure to any one geographic region, country or individual creditor and monitors this exposure on a continuous basis. At December 31, 2022, Citigroup’s most significant concentration of credit risk was with the U.S. government and its agencies. The Company’s exposure, which primarily results from trading assets and investments issued by the U.S. government and its agencies, amounted to $431.6 billion and $414.5 billion at December 31, 2022 and 2021, respectively. The German, Japanese and United Kingdom governments and their agencies, which are rated investment grade by both Moody’s and S&P, were the next largest exposures. The Company’s exposure to Germany amounted to $48.3 billion and $48.9 billion at December 31, 2022 and 2021, respectively. The Company’s exposure to Japan amounted to $40.0 billion and $30.1 billion at December 31, 2022 and 2021, respectively. The Company’s exposure to the United Kingdom amounted to $31.7 billion and $31.1 billion at December 31, 2022 and 2021, respectively. The foreign government exposures are composed of investment securities, loans and trading assets. The Company’s exposure to states and municipalities amounted to $20.1 billion and $22.0 billion at December 31, 2022 and 2021, respectively, and was composed of trading assets, investment securities, derivatives and lending activities. 266 25. FAIR VALUE MEASUREMENT ASC 820-10, Fair Value Measurement, defines fair value, establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, and therefore represents an exit price. Among other things, the standard requires the Company to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. Under ASC 820-10, the probability of counterparty default is factored into the valuation of derivative and other positions, and the impact of Citigroup’s own credit risk is also factored into the valuation of derivatives and other liabilities that are measured at fair value. 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. Determination of Fair Value For assets and liabilities carried at fair value, the Company measures fair value using the procedures set out below, irrespective of whether the assets and liabilities are measured at fair value as a result of an election, a non-recurring lower- of-cost-or-market (LOCOM) adjustment, or because they are required to be measured at fair value. When available, the Company uses quoted market prices from active markets to determine fair value and classifies such items as Level 1. In some specific cases where a market price is available, the Company will apply practical expedients (such as matrix pricing) to calculate fair value, in which case the items may be classified as Level 2. The Company may also apply a price-based methodology that utilizes, where available, quoted prices or other market information obtained from recent trading activity in positions with the same or similar characteristics to the position being valued. If relevant and observable prices are available, those valuations may be classified as Level 2. However, when there are one or more significant unobservable “price” inputs, those valuations will be classified as Level 3. Furthermore, when a quoted price is considered stale, a significant adjustment to the price of a similar security may be necessary to reflect differences in the terms of the actual security or loan being valued, or alternatively, when prices from independent sources may be insufficient to corroborate a valuation, the “price” inputs are considered unobservable and the fair value measurements are classified as Level 3. If quoted market prices are not available, fair value is based upon internally developed valuation techniques that use, where possible, current market-based parameters, such as interest rates, currency rates and option volatilities. 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 as Level 3 even though there may be some significant inputs that are readily observable. Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors or brokers. Vendors’ and brokers’ valuations may be based on a variety of inputs ranging from observed prices to proprietary valuation models, and the Company assesses the quality and relevance of this information in determining the estimate of fair value. The following section describes the valuation methodologies used by the Company to measure various financial instruments at fair value. Where appropriate, the description includes details of the valuation models, the key inputs to those models and any significant assumptions. Market Valuation Adjustments Generally, the unit of account for a financial instrument is the individual financial instrument. The Company applies market valuation adjustments that are consistent with the unit of account, which does not include adjustment due to the size of the Company’s position, except as follows. ASC 820-10 permits an exception, through an accounting policy election, to measure the fair value of a portfolio of financial assets and financial liabilities on the basis of the net open risk position when certain criteria are met. Citi has elected to measure 267 certain portfolios of financial instruments that meet those criteria, such as derivatives, on the basis of the net open risk position. The Company applies market valuation adjustments, including adjustments to account for the size of the net open risk position, consistent with market participant assumptions. Valuation adjustments are applied to items classified as Level 2 or Level 3 in the fair value hierarchy to ensure that the fair value reflects the price at which the net open risk position could be exited. These valuation adjustments are based on the bid/offer spread for an instrument in the market. When Citi has elected to measure certain portfolios of financial investments, such as derivatives, on the basis of the net open risk position, the valuation adjustment may take into account the size of the position. Credit valuation adjustments (CVA) and funding valuation adjustments (FVA) are applied to the relevant population of over-the-counter (OTC) derivative instruments where adjustments to reflect counterparty credit risk, own credit risk and term funding risk are required to estimate fair value. This principally includes derivatives with a base valuation (e.g., discounted using overnight indexed swap (OIS)) requiring adjustment for these effects, such as uncollateralized interest rate swaps. The CVA represents a portfolio-level adjustment to reflect the risk premium associated with the counterparty’s (assets) or Citi’s (liabilities) non-performance risk. expected future cash flows determined in step one. Citi’s own credit CVA is determined using Citi-specific CDS spreads for the relevant tenor. Generally, counterparty CVA is determined using CDS spread indices for each credit rating and tenor. For certain identified netting sets where individual analysis is practicable (e.g., exposures to counterparties with liquid CDSs), counterparty-specific CDS spreads are used. For FVA, a term structure of spreads is applied to the expected funding exposures (e.g., the market liquidity spread used to represent the term funding premium associated with certain OTC derivatives). The CVA and FVA are designed to incorporate a market view of the credit and funding risk, respectively, inherent in the derivative portfolio. However, most unsecured derivative instruments are negotiated bilateral contracts and are not commonly transferred to third parties. Derivative instruments are normally settled contractually or, if terminated early, are terminated at a value negotiated bilaterally between the counterparties. Thus, the CVA and FVA may not be realized upon a settlement or termination in the normal course of business. In addition, all or a portion of these adjustments may be reversed or otherwise adjusted in future periods in the event of changes in the credit or funding risk associated with the derivative instruments. The FVA represents a market funding risk premium The table below summarizes the CVA and FVA applied to the fair value of derivative instruments at December 31, 2022 and 2021: In millions of dollars Counterparty CVA Asset FVA Citigroup (own credit) CVA Liability FVA Total CVA and FVA— derivative instruments Credit and funding valuation adjustments contra-liability (contra-asset) December 31, 2022 December 31, 2021 $ (816) $ (622) 607 263 (705) (433) 379 110 $ (568) $ (649) inherent in the uncollateralized portion of a derivative portfolio and in certain collateralized derivative portfolios that do not include standard credit support annexes (CSAs), such as where the CSA does not permit the reuse of collateral received. Citi’s FVA methodology leverages the existing CVA methodology to estimate a funding exposure profile. The calculation of this exposure profile considers collateral agreements in which the terms do not permit the Company to reuse the collateral received, including where counterparties post collateral to third-party custodians. Citi’s CVA and FVA methodologies consist of two steps: • • First, the exposure profile for each counterparty is determined using the terms of all individual derivative positions and a Monte Carlo simulation or other quantitative analysis to generate a series of expected cash flows at future points in time. The calculation of this exposure profile considers the effect of credit risk mitigants and sources of funding, including pledged cash or other collateral and any legal right of offset that exists with a counterparty through arrangements such as netting agreements. Individual derivative contracts that are subject to an enforceable master netting agreement with a counterparty are aggregated as a netting set for this purpose, since it is those aggregate net cash flows that are subject to nonperformance risk. This process identifies specific, point-in-time future cash flows that are subject to nonperformance and term funding risk, rather than using the current recognized net asset or liability as a basis to measure the CVA and FVA. Second, for CVA, market-based views of default probabilities derived from observed credit spreads in the credit default swap (CDS) market are applied to the 268 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 years indicated: In millions of dollars Counterparty CVA Asset FVA Own credit CVA Liability FVA Credit/funding/debt valuation adjustments gain (loss) 2022 2021 2020 $ (227) $ 79 $ (101) (102) 157 155 96 (33) (22) (95) 133 (6) Total CVA and FVA— derivative instruments $ (17) $ 120 $ (69) DVA related to own FVO liabilities(1) Total CVA, DVA and FVA $ $ 2,685 $ 2,668 $ 296 $ 416 $ (616) (685) (1) See Note 20. Securities Purchased Under Agreements to Resell and Securities Sold Under Agreements to Repurchase No quoted prices exist for these instruments, since fair value is determined using a discounted cash flow technique. Cash flows are estimated based on the terms of the contract, taking into account any embedded derivatives or other features. These cash flows are discounted using interest rates appropriate to the maturity of the instrument as well as the nature of the underlying collateral. Generally, when such instruments are recorded at fair value, they are classified within Level 2 of the fair value hierarchy, as the inputs used in the valuation are readily observable. However, certain long- dated positions are classified within Level 3 of the fair value hierarchy. Trading Account Assets and Liabilities—Trading Securities and Trading Loans When available, the Company uses quoted market prices in active markets to determine the fair value of trading securities; such items are classified as Level 1 of the fair value hierarchy. Examples include government securities and exchange-traded equity securities. For bonds and secondary market loans traded over the counter, the Company generally determines fair value utilizing various valuation techniques, including discounted cash flows, price-based and internal models. Fair value estimates from these internal valuation techniques are verified, where possible, to prices obtained from independent sources, including third-party vendors. A price-based methodology utilizes, where available, quoted prices or other market information obtained from recent trading activity of assets with similar characteristics to the bond or loan being valued. The yields used in discounted cash flow models are derived from the same price information. Trading securities and loans priced using such methods are generally classified as Level 2. However, when the primary inputs to the valuation are unobservable, or prices from independent sources are insufficient to corroborate valuation, a loan or security is 269 generally classified as Level 3. Fair value estimates from these internal valuation techniques are verified, where possible, to prices obtained from independent sources, including third- party vendors. When the Company’s principal exit market for a portfolio of loans is through securitization, the Company uses the securitization price as a key input into the fair value of the loan portfolio. The securitization price is determined from the assumed proceeds of a hypothetical securitization within the current market environment. Where such a price verification is possible, loan portfolios are typically classified as Level 2 in the fair value hierarchy. For most of the subprime mortgage backed security (MBS) exposures, fair value is determined utilizing observable transactions where available, or other valuation techniques such as discounted cash flow analysis utilizing valuation assumptions derived from similar, more observable securities as market proxies. The valuation of certain asset-backed security (ABS) CDO positions is inferred through the net asset value of the underlying assets of the ABS CDO. Trading Account Assets and Liabilities—Derivatives Exchange-traded derivatives, measured at fair value using quoted (i.e., exchange) prices in active markets, where available, are classified as Level 1 of the fair value hierarchy. Derivatives without a quoted price in an active market and derivatives executed over the counter are valued using internal valuation techniques. These derivative instruments are classified as either Level 2 or Level 3 depending on the observability of the significant inputs to the model. The valuation techniques depend on the type of derivative and the nature of the underlying instrument. The principal techniques used to value these instruments are discounted cash flows and internal models, such as derivative pricing models (e.g., Black-Scholes and Monte Carlo simulations). The key inputs depend upon the type of derivative and the nature of the underlying instrument and include interest rate yield curves, foreign exchange rates, volatilities and correlation. Investments The investments category includes available-for-sale debt and marketable equity securities whose fair values are generally determined by utilizing similar procedures described for trading securities above or, in some cases, using vendor pricing as the primary source. Also included in investments are nonpublic investments in private equity and real estate entities. Determining the fair value of nonpublic securities involves a significant degree of management judgment, as no quoted prices exist and such securities are not generally traded. In addition, there may be transfer restrictions on private equity securities. The Company’s process for determining the fair value of such securities utilizes commonly accepted valuation techniques, including guideline public company analysis and comparable transactions. In determining the fair value of nonpublic securities, the Company also considers events such as a proposed sale of the investee company, initial public offerings, equity issuances or other observable transactions. Private equity securities are generally classified as Level 3 of the fair value hierarchy. In addition, the Company holds investments in certain alternative investment funds that calculate NAV per share, including hedge funds, private equity funds and real estate funds. Investments in funds are generally classified as non- marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV per share of the Company’s ownership interest in the funds where it is not probable that the investment will be realized at a price other than the NAV. Consistent with the provisions of ASU 2015-07, these investments are categorized within the fair value hierarchy and are not included in the tables below. See Note 13 for additional information. Short-Term Borrowings and Long-Term Debt Where fair value accounting has been elected, the fair value of non-structured liabilities is determined by utilizing internal models using the appropriate discount rate for the applicable maturity. Such instruments are classified as Level 2 of the fair value hierarchy when all significant inputs are readily observable. The Company determines the fair value of hybrid financial instruments, including structured liabilities, using the appropriate derivative valuation methodology (described above in “Trading Account Assets and Liabilities— Derivatives”) given the nature of the embedded risk profile. Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model. 270 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 December 31, 2022 and 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 December 31, 2022 Level 1 Level 2 Level 3 Gross inventory Netting(1) Net balance Assets Securities borrowed and purchased under agreements to resell $ — $ 350,145 $ 149 $ 350,294 $ (110,767) $ 239,527 Trading non-derivative assets Trading mortgage-backed securities U.S. government-sponsored agency guaranteed Residential Commercial Total trading mortgage-backed securities U.S. Treasury and federal agency securities $ $ State and municipal Foreign government Corporate Equity securities Asset-backed securities Other trading assets(2) — 1 — 34,878 1,821 798 600 166 145 35,478 1,988 943 — — — 35,478 1,988 943 1 $ 37,497 $ 911 $ 38,409 $ — $ 38,409 63,067 $ 4,513 $ 1 $ 67,581 $ — $ 67,581 — 38,383 1,593 43,990 — 24 2,256 25,850 11,955 10,179 1,597 14,963 7 119 394 192 668 648 2,263 64,352 13,942 54,361 2,265 15,635 — — — — — — 2,263 64,352 13,942 54,361 2,265 15,635 Total trading non-derivative assets $ 147,058 $ 108,810 $ 2,940 $ 258,808 $ — $ 258,808 Trading derivatives Interest rate contracts Foreign exchange contracts Equity contracts Commodity contracts Credit derivatives $ 297 $ 174,156 $ 3,751 $ 178,204 — 20 — — 186,897 766 187,663 40,683 1,704 26,823 1,501 7,484 905 42,407 28,324 8,389 Total trading derivatives—before netting and collateral $ 317 $ 436,043 $ 8,627 $ 444,987 Netting agreements Netting of cash collateral received $ (346,545) (23,136) Total trading derivatives—after netting and collateral $ 317 $ 436,043 $ 8,627 $ 444,987 $ (369,681) $ 75,306 Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed Residential Commercial Total investment mortgage-backed securities U.S. Treasury and federal agency securities State and municipal Foreign government Corporate Marketable equity securities Asset-backed securities Other debt securities Non-marketable equity securities(3) Total investments $ $ $ — $ 11,232 $ 30 $ 11,262 $ — $ 11,262 — — 444 2 — $ 11,678 $ 91,851 $ 439 $ — 1,637 58,419 74,250 2,230 254 — — — 2,343 165 1,029 4,194 41 — 71 $ — $ 485 2 11,749 $ 92,290 $ — — 485 2 — $ 11,749 — $ 92,290 586 608 343 10 1 — 2,223 — 2,223 133,277 — 133,277 4,916 429 1,030 4,194 439 — — — — — 4,916 429 1,030 4,194 439 9 430 $ 152,754 $ 95,744 $ 2,049 $ 250,547 $ — $ 250,547 Table continues on the next page. 271 Gross inventory Netting(1) 5,360 $ $ — $ Net balance In millions of dollars at December 31, 2022 Level 1 Level 2 Level 3 Loans Mortgage servicing rights $ — — $ 3,999 $ 1,361 — 665 665 — 5,360 665 Non-trading derivatives and other financial assets measured on a recurring basis Total assets Total as a percentage of gross assets(4) Liabilities Interest-bearing deposits Securities loaned and sold under agreements to repurchase Trading account liabilities Securities sold, not yet purchased Other trading liabilities Total trading liabilities Trading derivatives Interest rate contracts Foreign exchange contracts Equity contracts Commodity contracts Credit derivatives $ 4,310 $ 6,291 $ 57 $ 10,658 $ — $ 10,658 $ 304,439 $ 1,001,032 $ 15,848 $ 1,321,319 $ (480,448) $ 840,871 23.0 % 75.8 % 1.2 % $ — — $ 1,860 $ 15 $ 1,875 $ — $ 1,875 155,822 1,031 156,853 (85,967) 70,886 97,559 13,111 — 8 $ 97,559 $ 13,119 $ 50 3 53 110,720 — 110,720 11 — 11 $ 110,731 $ — $ 110,731 $ 175 $ 169,049 $ 3,396 $ 172,620 — 70 2 — 185,279 716 185,995 40,905 2,808 25,093 1,223 6,715 1,062 43,783 26,318 7,777 Total trading derivatives—before netting and collateral $ 247 $ 427,041 $ 9,205 $ 436,493 Netting agreements Netting of cash collateral paid Total trading derivatives—after netting and collateral Short-term borrowings Long-term debt Total non-trading derivatives and other financial liabilities measured on a recurring basis Total liabilities Total as a percentage of gross liabilities(4) $ (346,545) (30,032) $ $ 247 $ 427,041 $ 9,205 — — $ 6,184 $ 38 69,878 36,117 $ 4,197 $ 240 $ 2 $ 102,003 $ 674,144 $ 46,461 12.4 % 82.0 % 5.6 % $ $ $ $ 436,493 $ (376,577) $ 59,916 6,222 $ — $ 6,222 105,995 — 105,995 4,439 $ — $ 4,439 822,608 $ (462,544) $ 360,064 (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 (2) repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting. Includes positions related to investments in unallocated precious metals, as discussed in Note 26. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products. (3) Amounts exclude $27 million 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. 272 Fair Value Levels In millions of dollars at December 31, 2021 Level 1 Level 2 Level 3 Gross 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 Residential Commercial Total trading mortgage-backed securities U.S. Treasury and federal agency securities $ $ State and municipal Foreign government Corporate Equity securities Asset-backed securities Other trading assets(2) — 1 — 34,534 643 778 496 104 81 35,030 — 35,030 748 859 — — 748 859 1 $ 35,955 $ 681 $ 36,637 $ — $ 36,637 44,900 $ 3,230 $ 4 $ 48,134 $ — $ 48,134 — 1,995 39,176 31,485 1,544 16,156 53,833 10,047 — — 981 20,346 37 23 412 174 613 576 2,032 70,684 18,112 64,054 1,594 20,922 — 2,032 — 70,684 — 18,112 — 64,054 — 1,594 — 20,922 Total trading non-derivative assets $ 139,454 $ 120,195 $ 2,520 $ 262,169 $ — $ 262,169 Trading derivatives Interest rate contracts Foreign exchange contracts Equity contracts Commodity contracts Credit derivatives $ 90 $ 161,500 $ 3,898 $ 165,488 — 41 — — 134,912 637 135,549 43,904 1,307 28,547 1,797 9,299 919 45,252 30,344 10,218 Total trading derivatives—before netting and collateral $ 131 $ 378,162 $ 8,558 $ 386,851 Netting agreements Netting of cash collateral received(3) $ (292,628) (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 Residential Commercial Total investment mortgage-backed securities $ $ — $ 33,165 $ 51 $ 33,216 $ — $ 33,216 — — 286 25 94 — 380 25 — — 380 25 — $ 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 Foreign government Corporate Marketable equity securities Asset-backed securities Other debt securities Non-marketable equity securities(4) — 1,849 56,842 61,112 2,861 2,871 350 — — — 177 300 4,877 772 786 188 16 3 — 2,621 118,740 5,920 543 303 4,877 344 — 2,621 — 118,740 — 5,920 — — 543 303 — 4,877 — 344 28 316 Total investments $ 182,324 $ 104,858 $ 2,227 $ 289,409 $ — $ 289,409 Table continues on the next page. 273 Gross inventory Netting(1) $ 6,082 $ Net balance — $ 6,082 In millions of dollars at December 31, 2021 Level 1 Level 2 Level 3 Loans Mortgage servicing rights $ — — $ 5,371 $ 711 — 404 404 — 404 Non-trading derivatives and other financial assets measured on a recurring basis Total assets Total as a percentage of gross assets(5) Liabilities Interest-bearing deposits Securities loaned and sold under agreements to repurchase Trading account liabilities Securities sold, not yet purchased Other trading liabilities Total trading account liabilities Trading derivatives Interest rate contracts Foreign exchange contracts Equity contracts Commodity contracts Credit derivatives Total trading derivatives—before netting and collateral Netting agreements Netting of cash collateral paid(3) Total trading derivatives—after netting and collateral Short-term borrowings Long-term debt $ 4,075 $ 8,194 $ 73 $ 12,342 $ — $ 12,342 $ 325,984 $ 958,810 $ 14,724 $ 1,299,518 $ (442,870) $ 856,648 29.0 % 69.9 % 1.1 % $ — — $ 1,483 $ 183 $ 1,666 $ — $ 1,666 174,318 643 174,961 (118,267) 56,694 82,675 23,268 65 106,008 — 106,008 — 5 — 5 — 5 $ 82,675 $ 23,273 $ 65 $ 106,013 $ — $ 106,013 $ $ $ $ 56 — 60 — — 116 $ 147,846 134,572 46,177 30,004 10,065 $ 368,664 $ 2,172 726 3,447 1,375 950 $ 8,670 $ 150,074 135,298 49,684 31,379 11,015 $ 377,450 $ (292,628) (29,306) 116 — — $ 368,664 7,253 $ 57,100 $ 8,670 $ 105 25,509 $ 377,450 $ (321,934) $ 55,516 — $ 7,358 $ — 82,609 7,358 $ 82,609 Non-trading derivatives and other financial liabilities measured on a recurring basis Total liabilities Total as a percentage of gross liabilities(5) $ 3,574 $ — $ 1 $ 3,575 $ — $ 3,575 $ 86,365 $ 632,091 $ 35,176 $ 753,632 $ (440,201) $ 313,431 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 (2) repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting. Includes positions related to investments in unallocated precious metals, as discussed in Note 26. 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 $145 million 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. 274 Changes in Level 3 Fair Value Category The following tables present the changes in the Level 3 fair value category for the years ended December 31, 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 and 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 In millions of dollars Assets Securities borrowed and purchased under agreements to resell Trading non-derivative assets Trading mortgage- backed securities U.S. government- sponsored agency guaranteed Residential Commercial Total trading mortgage- backed securities Net realized/unrealized gains (losses) included in(1) Transfers Dec. 31, 2021 Principal transactions Other(1)(2) into Level 3 out of Level 3 Purchases Issuances Sales Settlements Unrealized gains (losses) still held(3) Dec. 31, 2022 $ 231 $ 12 $ — $ 3 $ — $ 252 $ — $ — $ (349) $ 149 $ 18 496 104 81 (81) (5) (13) — — — 244 112 167 (475) (87) (78) 969 187 37 — — — (553) (145) (49) — — — 600 166 145 (59) (1) (3) $ 681 $ (99) $ — $ 523 $ (640) $ 1,193 $ — $ (747) $ — $ 911 $ (63) U.S. Treasury and federal agency securities $ 4 $ State and municipal Foreign government Corporate Marketable equity securities Asset-backed securities Other trading assets Total trading non- derivative assets Trading derivatives, net(4) 37 23 412 174 613 576 (4) $ 9 (41) 101 45 (41) 249 — $ 2 $ (1) $ 1 $ — $ — $ (1) $ 1 $ — — — — — — 77 308 499 161 243 407 (35) (326) (451) (105) (239) (594) 16 248 1,068 155 835 774 — — — — — 27 (97) (93) (1,235) (238) (743) (779) — — — — — (12) 7 119 394 192 668 648 (1) — (22) (136) (42) (36) (122) $ 2,520 $ 219 $ — $ 2,220 $ (2,391) $ 4,290 $ 27 $ (3,932) $ (13) $ 2,940 $ (422) Interest rate contracts $ 1,726 $ 176 $ — $ 33 $ (792) $ (163) $ 7 $ 79 $ (711) $ 355 $ (588) Foreign exchange contracts Equity contracts Commodity contracts Credit derivatives Total trading derivatives, net(4) (89) (2,140) 422 (31) 734 1,604 822 (266) — — — — (422) (572) (22) 673 194 (716) 124 176 100 (7) 131 (36) 20 — — — (459) (370) (211) — 164 50 (81) (475) (1,104) 1,057 (333) 278 52 (157) 413 (198) $ (112) $ 3,070 $ — $ (774) $ (726) $ 201 $ 27 $ (961) $ (1,303) $ (578) $ 603 Table continues on the next page. 275 In millions of dollars Investments Mortgage-backed securities U.S. government- sponsored agency guaranteed Residential Commercial Total investment mortgage-backed securities Net realized/unrealized gains (losses) included in(1) Transfers Dec. 31, 2021 Principal transactions Other(1)(2) into Level 3 out of Level 3 Purchases Issuances Sales Settlements Unrealized gains (losses) still held(3) Dec. 31, 2022 $ 51 $ — $ 94 — — — (7) $ (5) — 1 $ (10) $ 7 $ — $ (12) $ — $ 30 $ — — (42) — 3 — — (9) — — — — 41 — (24) (5) — $ 145 $ — $ (12) $ 1 $ (52) $ 10 $ — $ (21) $ — $ 71 $ (29) 1 $ — $ (1) $ — $ — $ — $ — $ — $ — $ — $ U.S. Treasury and federal agency securities $ State and municipal Foreign government Corporate Marketable equity securities Asset-backed securities Other debt securities Non-marketable equity securities 772 786 188 16 3 — 316 Total investments Loans $ 2,227 $ $ 711 $ Mortgage servicing rights 404 — — — — — — — — $ — $ — (65) (72) (4) (7) 22 — (11) 82 256 197 — 41 — 11 (164) (276) (4) — (1) — 2 706 24 1 — 82 (12) 155 — — — (41) (792) (58) — — — — — (64) (82) (29) — — — — — — — 586 608 343 10 1 — 430 (150) $ 588 $ (509) $ 980 $ — $ (1,087) $ — $ 2,049 $ (104) 15 $ 426 $ (208) $ — $ 569 $ — $ (152) $ 1,361 $ Other financial assets measured on a recurring basis Liabilities 73 — (12) 29 (26) 201 — — — 46 120 — (60) 665 39 (26) (66) 57 Interest-bearing deposits $ 183 $ — $ 6 $ 8 $ (122) $ — $ 20 $ — $ (68) $ 15 $ 643 86 — 3 (3) 453 196 — (175) 1,031 65 — 105 2 (3) 109 9,796 — — — 55 — 46 (36) — (69) — 9,873 (7,612) 135 — — — — — — — 96 — (167) — (31) 50 3 38 Long-term debt 25,509 18,847 — (704) 36,117 7,805 Other financial liabilities measured on a recurring basis 1 — (6) 5 (5) — 2 — (7) 2 — (1) Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale 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 December 31, 2022. (4) Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only. 276 Securities loaned and sold under agreements to repurchase Trading account liabilities Securities sold, not yet purchased Other trading liabilities Short-term borrowings — (49) (23) (2) — (5) — 4 145 199 — — 7 (65) — (14) Net realized/unrealized gains (losses) included in(1) Transfers Dec. 31, 2020 Principal transactions Other(1)(2) into Level 3 out of Level 3 Purchases Issuances Sales Settlements Unrealized gains (losses) still held(3) Dec. 31, 2021 $ 320 $ (36) $ — $ 45 $ (49) $ 362 $ — $ — $ (411) $ 231 $ — In millions of dollars Assets Securities borrowed and purchased under agreements to resell Trading non-derivative assets Trading mortgage- backed securities U.S. government- sponsored agency guaranteed Residential Commercial Total trading mortgage- backed securities State and municipal Foreign government Corporate Marketable equity securities Asset-backed securities Other trading assets Total trading non- derivative assets Trading derivatives, net(4) Foreign exchange contracts Equity contracts Commodity contracts Credit derivatives Total trading derivatives, net(4) Investments Mortgage-backed securities U.S. government- sponsored agency guaranteed Residential Commercial Total investment mortgage-backed securities U.S. Treasury and federal agency securities State and municipal Foreign government Corporate Marketable equity securities Asset-backed securities Other debt securities Non-marketable equity securities U.S. Treasury and federal agency securities $ — $ 27 340 136 8 25 23 — — — 355 (131) 89 96 (96) (58) 447 282 62 — — — (210) (536) (178) — — — 496 104 81 $ 503 $ 56 $ — $ 540 $ (285) $ 791 $ — $ (924) $ — $ 681 $ 94 51 375 73 1,606 945 — $ (4) 29 74 67 371 97 — $ 4 $ — $ — $ — $ — $ — $ 4 $ — — — — — — 20 143 461 156 173 158 (29) (129) (384) (52) (297) (457) 17 83 867 118 1,313 980 — — — — — 4 (61) (154) (981) (188) (2,553) (1,147) — — — — — (4) 37 23 412 174 613 576 $ 3,647 $ 690 $ — $ 1,655 $ (1,633) $ 4,169 $ 4 $ (6,008) $ (4) $ 2,520 $ (79) Interest rate contracts $ 1,614 $ (376) $ — $ 102 $ 562 $ 27 $ (84) $ — $ (119) $ 1,726 $ 52 (3,213) 292 48 (8) — (57) 104 964 474 (136) — (1,101) 1,923 — — 174 (454) (96) 40 220 364 162 — — — — — (326) (364) (238) — (74) (89) (713) (2,140) 12 113 422 (31) $ (1,207) $ 918 $ — $ (978) $ 2,175 $ 773 $ (84) $ (928) $ (781) $ (112) $ (587) $ 30 $ — $ 2 $ 42 $ (10) $ 3 $ — $ (16) $ — $ 51 $ — — — — — — 54 — (12) — 52 — — — — — — — 94 — 2 (1) — $ 30 $ — $ 2 $ 96 $ (22) $ 55 $ — $ (16) $ — $ 145 $ 1 $ — $ — $ — $ 1 $ — $ — $ — $ — $ — $ 1 $ 834 268 60 — 1 — 349 — — — — — — — (21) (49) (14) — (21) — (27) 58 512 183 16 36 — 2 (108) (565) (44) — — — — 49 871 37 — — — — — — — — — — — (40) (251) (34) — (13) — (8) — — — — — — — 772 786 188 16 3 — 316 11 13 — 24 — (6) (2) (38) 23 (43) (37) 4 7 (729) 261 (130) — (12) (2) 2 — (2) — (6) (19) Total investments $ 1,542 $ — $ (130) $ 904 $ (739) $ 1,012 $ — $ (362) $ — $ 2,227 $ Table continues on the next page. 277 In millions of dollars Dec. 31, 2020 Principal transactions Other(1)(2) into Level 3 out of Level 3 Purchases Issuances Sales Settlements Net realized/unrealized gains (losses) included in(1) Transfers Unrealized gains (losses) still held(3) Dec. 31, 2021 Loans $ 1,985 $ 90 $ 311 $ (2,071) $ — $ 529 $ — $ (133) $ 711 $ — $ — 43 — — 92 — (67) 404 (77) 52 336 — 631 214 26 219 Mortgage servicing rights Other financial assets measured on a recurring basis Liabilities Interest-bearing deposits Securities loaned and sold under agreements to repurchase Trading account liabilities Securities sold, not yet purchased Other trading liabilities Short-term borrowings Long-term debt Other financial liabilities measured on a recurring basis — 6 65 (27) — (26) (3) 73 — $ 206 $ — $ (18) $ — $ (44) $ — $ 38 $ — $ (35) $ 183 $ (19) (9) — 183 (483) 488 — — (185) 643 32 48 26 43 — — — 87 — 137 (34) — (57) 25,210 2,774 — 8,611 (9,771) 1 — (3) — (4) 59 — — — — — — — — 49 — (213) — 65 — (200) 105 (4) — (2) 10,262 — (6,029) 25,509 1,756 14 — (13) 1 — — 58 (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 December 31, 2021. (4) Total Level 3 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 December 31, 2022: • During the 12 months ended December 31, 2022, transfers of Long-term debt were $9.9 billion from Level 2 to Level 3. Of the $9.9 billion transfer in, approximately $7.0 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $2.9 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 resulted in $7.6 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the 12 months ended December 31, 2022. The following were the significant Level 3 transfers for the period December 31, 2020 to December 31, 2021: • During the 12 months ended December 31, 2021, transfers of Loans of $2.1 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 12 months ended December 31, 2021, transfers of Equity contracts of $1.1 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 $1.9 billion of certain equity contracts being transferred from Level 3 to Level 2. • During the 12 months ended December 31, 2021, transfers of Long-term debt were $8.6 billion from Level 2 to Level 3. Of the $8.6 billion transfer in, approximately $7.2 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $1.0 billion related to equity volatility 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 resulted in $9.8 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the 12 months ended December 31, 2021. 278 Valuation Techniques and Inputs for Level 3 Fair Value Measurements The Company’s Level 3 inventory consists of both cash instruments and derivatives of varying complexity. 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. Methodologies are applied consistently. Changes in listed inputs period versus period represent variables that become more, or less, significant, hence their addition or removal from the table below. Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table above represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed. Fair value(1) (in millions) Methodology Input Low(2)(3) High(2)(3) Weighted average(4) As of December 31, 2022 Assets Securities borrowed and purchased under agreements to resell Mortgage-backed securities State and municipal, foreign government, corporate and other debt securities Marketable equity securities(5) Asset-backed securities Non-marketable equities Derivatives—gross(6) Interest rate contracts (gross) Foreign exchange contracts (gross) $ $ $ $ $ $ $ $ 146 Model-based Credit spread 228 Price-based 732 Yield analysis 2,360 Price-based 147 Price-based 31 Model-based 304 Price-based Interest rate Price Yield Price Price WAL Recovery (in millions) Price 308 Yield analysis Yield 287 Comparables analysis Illiquidity discount 101 Price-based PE ratio Cost of capital Revenue multiple $ $ $ $ $ 15 bps 2.61 % 1.04 4.41 % $ 15 bps 2.61 % $ 99.71 20.30 % 15 bps 2.61 % 51.51 9.74 % 0.01 — 994.68 $ $ 9,087.76 2.24 years 2.24 years 7,148 10.50 $ $ 7,148 145.00 $ $ $ $ 5.76 % 8.60 % 14.00x 8.10 % 3.60x 18.58 % 17.00 % 15.70x 17.50 % 13.90x 245.85 114.29 2.24 years 7,148 74.97 9.34 % 10.16 % 15.16x 10.44 % 12.40x 7,108 Model-based IR normal volatility 0.33 % 1.82 % 0.96 % 1,437 Model-based Equity contracts (gross)(7) $ 4,430 Model-based IR normal volatility IR Basis Equity volatility Credit spread Equity volatility Equity forward Equity-FX correlation Equity-Equity correlation WAL Recovery (in millions) Equity-IR correlation 0.33 % (4.23) % 0.05 % 116 bps 0.05 % 68.34 % 1.47 % 9.68 % 300.72 % 626 bps 300.72 % 271.61 % 0.67 % (0.03) % 33.91 % 594 bps 41.47 % 103.50 % (95.00) % 50.00 % (16.33) % (3.98) % 2.24 years 98.68 % 2.24 years 85.63 % 2.24 years $7,148 (18.83) % $7,148 60.00 % 14.27 % 10.43 % 385.50 % 151.50 % $7,148 32.37 % 106.08 % 33.55 % (32.00) % 2.50 bps 25.00 % 25.00 % 91.94 % 36.70 % 955.10 bps 75.00 % 101.27 bps 42.27 % 80.00 % 42.38 % Price $ 31.71 $ 99.00 $ 78.75 279 Commodity and other contracts (gross) $ 2,724 Model-based Forward price Credit derivatives (gross) $ 1,520 Model-based 439 Price-based Commodity volatility Commodity correlation Credit spread Recovery rate Credit correlation As of December 31, 2022 Fair value(1) (in millions) Methodology Input Low(2)(3) High(2)(3) Weighted average(4) Credit spread volatility 35.58 % 64.79 % 40.47 % Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross) Loans and leases $ $ 57 Price-based Price $ 80.16 $ 105.32 $ 92.65 1,059 Model-based Equity volatility 304 Price-based Forward price Mortgage servicing rights $ 580 Cash flow 84 Model-based Price Equity forward Yield WAL 0.05 % 14.27 % $0.01 68.34 % (0.40) % 300.72 % 324.85 % $100.53 271.61 % 13.20 % 42.62 % 105.07 % $84.77 103.49 % 5.36 % 3.92 years 9.33 years 7.71 years Liabilities Interest-bearing deposits Securities loaned and sold under agreements to repurchase $ $ 15 Model-based Forward price 100.00 % 101.30 % 100.07 % 970 Model-based Interest rate 4.01 % 4.97 % 4.07 % Trading account liabilities Securities sold, not yet purchased and other trading liabilities Short-term borrowings and long-term debt As of December 31, 2021 Assets Securities borrowed and purchased under agreements to resell Mortgage-backed securities State and municipal, foreign government, corporate and other debt securities Marketable equity securities(5) Asset-backed securities Non-marketable equities Derivatives—gross(6) Interest rate contracts (gross) Foreign exchange contracts (gross) $ 47 Price-based Price $ — $ 9,087.76 $ 41.22 6 Model-based FX volatility 2.00 % 40.00 % 12.85 % $ 36,155 Model-based IR normal volatility 0.33 % 1.82 % 0.89 % Fair value(1) (in millions) Methodology Input Low(2)(3) High(2)(3) Weighted average(4) $ $ $ $ $ $ $ $ 231 Model-based Credit spread Interest rate 279 Price-based 526 Yield analysis Price Yield 2,264 Price-based 415 Model-based 128 Price-based 43 Model-based 386 Price-based Price Equity volatility Price WAL Recovery (in millions) Price 208 Yield analysis Yield 121 Price-based Illiquidity discount 112 Comparables analysis PE ratio $ $ $ $ $ 15 bps 0.26 % 15 bps 0.72 % 4 $ 118 $ 1.43 % 23.79 % $ $ $ $ — 0.08 % — $ $ 1.73 years 995 290.64 % 73,000 1.73 years 7,148 5 $ $ 2.43 % 10.00 % 11.00x 7,148 754 19.35 % 36.00 % 29.00x 15 bps 0.50 % 79 7.25 % 193 53.94 % 6,477 1.73 years 7,148 87 8.18 % 26.43 % 15.42x 83 Model-based Price $ 3 $ 2,601 $ 2,029 Adjustment factor Revenue multiple Cost of capital 0.33x 19.80x 17.50 % 0.44x 30.00x 20.00 % 0.34x 20.48x 17.57 % 6,054 Model-based IR normal volatility 0.24 % 0.94 % 0.70 % 1,364 Model-based IR normal volatility FX volatility 280 0.24 % 2.13 % 0.74 % 107.42 % 0.58 % 11.21 % As of December 31, 2021 Fair value(1) (in millions) Methodology Input Low(2)(3) High(2)(3) Equity contracts (gross)(7) $ 4,690 Model-based Credit spread Equity volatility Equity forward Equity-FX correlation Equity-Equity correlation Commodity and other contracts (gross) $ 3,172 Model-based Forward price 140 bps 0.08 % 57.99 % 696 bps 290.64 % 165.83 % Weighted average(4) 639 bps 47.67 % 89.45 % (95.00) % 80.00 % (16.00) % (6.49) % 99.00 % 85.61 % Commodity volatility Commodity correlation Credit spread Recovery rate Upfront points Price Credit correlation Price Equity volatility Forward price Commodity volatility Commodity correlation Yield WAL $ $ 8.00 % 10.87 % 599.44 % 188.30 % (50.52) % 89.83 % 1.00 bps 874.72 bps 20.00 % 2.74 % 75.00 % 99.96 % $ 40 30.00 % $ 103 80.00 % $ 94 22.48 % 26.95 % 10.87 % $ 2,598 85.44 % 333.08 % 188.30 % (50.52) % (1.20) % 2.75 years 89.83 % 12.10 % 5.86 years IR normal volatility Equity volatility Equity forward 0.34 % 0.08 % 57.99 % 0.88 % 290.64 % 165.83 % 123.22 % 26.85 % (7.11) % 68.83 bps 44.72 % 59.37 % 80 54.57 % 591 50.56 % 106.97 % 26.85 % (7.11) % 4.51 % 5.14 years 0.68 % 54.05 % 89.39 % Credit derivatives (gross) $ 1,480 Model-based 427 Price-based 69 Price-based 691 Model-based 331 Cash flow 73 Model-based 183 Model-based Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross) Loans and leases Mortgage servicing rights Liabilities Interest-bearing deposits Securities loaned and sold under agreements to repurchase Trading account liabilities Securities sold, not yet purchased and other trading liabilities Short-term borrowings and long- term debt $ $ $ $ $ $ $ 643 Model-based Interest rate 0.12 % 1.95 % 1.47 % 63 Price-based Price $ — $ 12,875 $ 1,707 25,514 Model-based IR normal volatility Equity volatility Equity-IR correlation Equity-FX correlation FX volatility 0.07 % 0.08 % (3.53) % (95.00) % 0.06 % 0.88 % 290.64 % 60.00 % 80.00 % 41.76 % 0.60 % 53.21 % 32.12 % (15.98) % 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. 281 Uncertainty of Fair Value Measurements Relating to Unobservable Inputs Valuation uncertainty arises when there is insufficient or dispersed market data to allow a precise determination of the exit value of a fair-valued position or portfolio in today’s market. This is especially prevalent in Level 3 fair value instruments, where uncertainty exists in valuation inputs that may be both unobservable and significant to the instrument’s (or portfolio’s) overall fair value measurement. The uncertainties associated with key unobservable inputs on the Level 3 fair value measurements may not be independent of one another. In addition, the amount and direction of the uncertainty on a fair value measurement for a given change in an unobservable input depends on the nature of the instrument as well as whether the Company holds the instrument as an asset or a liability. For certain instruments, the pricing, hedging and risk management are sensitive to the correlation between various inputs rather than on the analysis and aggregation of the individual inputs. The following section describes some of the most significant unobservable inputs used by the Company in Level 3 fair value measurements. Correlation Correlation is a measure of the extent to which two or more variables change in relation to each other. A variety of correlation-related assumptions are required for a wide range of instruments, including equity and credit baskets, foreign exchange options, Credit Index Tranches and many other instruments. For almost all of these instruments, correlations are not directly observable in the market and must be calculated using alternative sources, including historical information. Estimating correlation can be especially difficult where it may vary over time, and calculating correlation information from market data requires significant assumptions regarding the informational efficiency of the market (e.g., swaption markets). Uncertainty therefore exists when an estimate of the appropriate level of correlation as an input into some fair value measurements is required. Changes in correlation levels can have a substantial impact, favorable or unfavorable, on the value of an instrument, depending on its nature. A change in the default correlation of the fair value of the underlying bonds comprising a CDO structure would affect the fair value of the senior tranche. For example, an increase in the default correlation of the underlying bonds would reduce the fair value of the senior tranche, because highly correlated instruments produce greater losses in the event of default and a portion of these losses would become attributable to the senior tranche. That same change in default correlation would have a different impact on junior tranches of the same structure. Volatility Volatility represents the speed and severity of market price changes and is a key factor in pricing options. Volatility generally depends on the tenor of the underlying instrument and the strike price or level defined in the contract. Volatilities for certain combinations of tenor and strike are not observable and need to be estimated using alternative methods, such as comparable instruments, historical analysis or other sources of 282 market information. This leads to uncertainty around the final fair value measurement of instruments with unobservable volatilities. The general relationship between changes in the value of an instrument (or a portfolio) to changes in volatility also depends on changes in interest rates and the level of the underlying index. Generally, long option positions (assets) benefit from increases in volatility, whereas short option positions (liabilities) will suffer losses. Some instruments are more sensitive to changes in volatility than others. For example, an at-the-money option would experience a greater percentage change in its fair value than a deep-in-the-money option. In addition, the fair value of an option with more than one underlying security (e.g., an option on a basket of equities) depends on the volatility of the individual underlying securities as well as their correlations. Yield In some circumstances, the yield of an instrument is not observable in the market and must be estimated from historical data or from yields of similar securities. This estimated yield may need to be adjusted to capture the characteristics of the security being valued. Whenever the amount of the adjustment is significant to the value of the security, the fair value measurement is classified as Level 3. Adjusted yield is generally used to discount the projected future principal and interest cash flows on instruments, such as asset-backed securities. Adjusted yield is impacted by changes in the interest rate environment and relevant credit spreads. Prepayment Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. The effect of prepayments is more pronounced for residential mortgage-backed securities. Prepayment is generally negatively correlated with delinquency and interest rate. A combination of low prepayments and high delinquencies amplifies each input’s negative impact on a mortgage security’s valuation. As prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending upon the nature of the security and the direction of the change in the weighted average life. Recovery Recovery is the proportion of the total outstanding balance of a bond or loan that is expected to be collected in a liquidation scenario. For many credit securities (e.g., commercial mortgage-backed securities), the expected recovery amount of a defaulted property is typically unknown until a liquidation of the property is imminent. The assumed recovery of a security may differ from its actual recovery that will be observable in the future. Generally, an increase in the recovery rate assumption increases the fair value of the security. An increase in loss severity, the inverse of the recovery rate, reduces the amount of principal available for distribution and, as a result, decreases the fair value of the security. The fair value of loans HFS is determined where possible using quoted secondary-market prices. If no such quoted price exists, the fair value of a loan is determined using quoted prices for a similar asset or assets, adjusted for the specific attributes of that loan. Fair value for the other real estate owned is based on appraisals. For loans whose carrying amount is based on the fair value of the underlying collateral, the fair values depend on the type of collateral. Fair value of the collateral is typically estimated based on quoted market prices if available, appraisals or other internal valuation techniques. Where the fair value of the related collateral is based on an appraised value, the loan is generally classified as Level 3. In addition, for corporate loans, appraisals of the collateral are often based on sales of similar assets; however, because the prices of similar assets require significant adjustments to reflect the unique features of the underlying collateral, these fair value measurements are generally classified as Level 3. The fair value of non-marketable equity securities under the measurement alternative is based on observed transaction prices for the identical or similar investment of the same issuer, or an internal valuation technique in the case of an impairment. Where there are insufficient market observations to conclude the inputs are observable, where significant adjustments are made to the observed transaction prices or when an internal valuation technique is used, the security is classified as Level 3. 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. Credit Spread Credit spread is a component of the security representing its credit quality. Credit spread reflects the market perception of changes in prepayment, delinquency and recovery rates, therefore capturing the impact of other variables on the fair value. Changes in credit spread affect the fair value of securities differently depending on the characteristics and maturity profile of the security. For example, credit spread is a more significant driver of the fair value measurement of a high-yield bond as compared to an investment-grade bond. Generally, the credit spread for an investment-grade bond is also more observable and less volatile than its high-yield counterpart. 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 dollars December 31, 2022 Loans HFS(1) Other real estate owned Loans(2) Non-marketable equity securities measured using the measurement alternative Total assets at fair value on a nonrecurring basis In millions of dollars December 31, 2021 Loans HFS(1) Other real estate owned Loans(2) Non-marketable equity securities measured using the measurement alternative Total assets at fair value on a nonrecurring basis Fair value Level 2 Level 3 $ 2,336 $ 1 69 457 $ — — 1,879 1 69 597 — 597 $ 3,003 $ 457 $ 2,546 Fair value Level 2 Level 3 $ 2,298 $ 11 144 986 $ — — 1,312 11 144 655 104 551 $ 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. 283 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 December 31, 2022 Loans held-for-sale Other real estate owned Loans(5) Non-marketable equity securities measured using the measurement alternative As of December 31, 2021 Loans held-for-sale Other real estate owned Loans(5) $ $ $ $ $ $ $ Fair value(1) (in millions) Methodology Input Low(2) 1,830 Price-based 1 Price-based 45 Recovery analysis 24 Appraised value Price $ Appraised value(4) $ Appraised value(4) $ 0.88 30,000 $ $ High 100.23 441,750 12,000 $ 14,022,820 Weighted average(3) $ $ $ 65.91 310,552 3,714,342 234 363 Revenue multiple 4.95x 73.10x 19.68x Price $ 0.46 $ 2,416.43 $ 557.86 Fair value(1) (in millions) Methodology Input 1,312 Price-based 4 Price-based Price Appraised value(4) Low(2) $ 89 $ 14,000 5 Recovery analysis 120 Recovery analysis 24 Price-based Appraised value(4) Price $ 10,000 $ 3 High 100 2,392,464 3,900,000 75 $ $ $ $ $ $ $ $ Weighted average(3) 99 1,660,120 247,018 35 Non-marketable equity securities measured using the measurement alternative $ 551 Price-based Price $ 6 $ 1,339 $ 52 Recovery rate 84.00 % 100.00 % 84.00 % (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 tables present total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held: In millions of dollars Loans HFS Other real estate owned Loans(1) Non-marketable equity securities measured using the measurement alternative Total nonrecurring fair value gains (losses) Year ended December 31, 2022 2021 $ $ (58) $ — 13 315 270 $ (31) — 9 468 446 (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. 284 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. The disclosure also excludes leases, affiliate investments, pension and benefit obligations, certain insurance contracts and tax-related items. Also, as required, the disclosure excludes the effect of taxes, any premium or discount that could result from offering for sale at one time the entire holdings of a particular instrument, excess fair value associated with deposits with no fixed maturity and other expenses that would be incurred in a market transaction. In addition, the tables exclude the values of non-financial assets and liabilities, as well as a wide range of franchise, relationship and intangible values, which are integral to a full assessment of Citigroup’s financial position and the value of its net assets. Fair values vary from period to period based on changes in a wide range of factors, including interest rates, credit quality and market perceptions of value, and as existing assets and liabilities run off and new transactions are entered into. In billions of dollars Assets Investments, net of allowance Securities borrowed and purchased under agreements to resell Loans(1)(2) Other financial assets(2)(3) Liabilities Deposits Securities loaned and sold under agreements to repurchase Long-term debt(4) Other financial liabilities(5) In billions of dollars Assets Investments, net of allowance Securities borrowed and purchased under agreements to resell Loans(1)(2) Other financial assets(2)(3) Liabilities Deposits Securities loaned and sold under agreements to repurchase Long-term debt(4) Other financial liabilities(5) December 31, 2022 Estimated fair value Carrying value Estimated fair value Level 1 Level 2 Level 3 2.9 — 2.8 4.4 $ 274.3 $ 249.2 $ 123.2 $ 123.1 $ 125.9 634.5 427.1 125.9 634.9 — — 125.9 — 634.9 427.1 320.0 22.0 85.1 $ 1,364.1 $ 1,345.4 $ — $ 1,159.4 $ 186.0 131.6 165.6 142.4 131.6 160.5 142.4 — — — 131.6 151.1 — 9.4 26.5 115.9 December 31, 2021 Estimated fair value Carrying value Estimated fair value Level 1 Level 2 Level 3 $ 221.9 $ 221.0 $ 111.8 $ 106.4 $ 110.8 644.8 351.9 110.8 659.6 — — 106.4 — 659.6 351.9 242.1 19.9 89.9 $ 1,315.6 $ 1,316.2 $ — $ 1,153.9 $ 162.3 134.6 171.8 111.1 134.6 184.6 111.1 — — — 134.5 171.9 17.0 0.1 12.7 94.1 (1) The carrying value of loans is net of the allowance for credit losses on loans of $17.0 billion for December 31, 2022 and $16.5 billion for December 31, 2021. In (2) (3) addition, the carrying values exclude $0.4 billion and $0.5 billion of lease finance receivables at December 31, 2022 and 2021 respectively. Includes items measured at fair value on a nonrecurring basis. 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 December 31, 2022 and 2021 were off-balance sheet liabilities of $13.7 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. 285 26. 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 25. The Company has elected fair value accounting for its mortgage servicing rights (MSRs). See Note 22 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: In millions of dollars Assets Securities borrowed and purchased under agreements to resell Trading account assets Investments Loans Certain corporate loans Certain consumer loans Total loans Other assets MSRs Certain mortgage loans HFS(1) Total other assets Total assets Liabilities Interest-bearing deposits Securities loaned and sold under agreements to repurchase Trading account liabilities Short-term borrowings(2) Long-term debt(2) Total liabilities Changes in fair value—gains (losses) for the years ended December 31, 2022 2021 $ $ $ $ $ $ $ (109) $ (296) — (1,763) (1) (1,764) $ 201 $ (455) (254) $ (2,423) $ 42 $ 110 (239) 1,424 15,589 16,926 $ (87) 59 — (171) — (171) 43 70 113 (86) (118) 66 17 675 386 1,026 Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected under the fair value option. (1) (2) Includes DVA that is included in AOCI. See Notes 20 and 25. 286 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. See Note 20 for additional information. 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 $2,685 million and $296 million for the years ended December 31, 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: In millions of dollars December 31, 2022 December 31, 2021 Trading assets Loans Trading assets Loans Carrying amount reported on the Consolidated Balance Sheet $ 6,011 $ 5,360 $ 9,530 $ 6,082 Aggregate unpaid principal balance in excess of (less than) fair value Balance of non-accrual loans or loans more than 90 days past due Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due 167 — 51 2 (100) — 226 1 — 1 — — In addition to the amounts reported above, $729 million and $719 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of December 31, 2022 and 2021, respectively. 287 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. 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 years ended December 31, 2022 and 2021 due to instrument-specific credit risk totaled to losses of $155 million and $21 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 (e.g., 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 $0.3 billion and $0.3 billion at December 31, 2022 and 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 December 31, 2022, there were approximately $18.6 billion and $10.8 billion of notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively. The following table provides information about certain mortgage loans HFS carried at fair value: In millions of dollars Carrying amount reported on the Consolidated Balance Sheet Aggregate fair value in excess of (less than) unpaid principal balance Balance of non-accrual loans or loans more than 90 days past due Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due December 31, 2022 December 31, 2021 $ 793 $ (10) 1 — 3,035 70 — — 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 years ended December 31, 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. 288 Certain Debt Liabilities The Company has elected the fair value option for certain debt liabilities, because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions are classified as Long-term debt on the Company’s Consolidated Balance Sheet. The following table provides information about the carrying value of notes carried at fair value, disaggregated by type of risk: In billions of dollars Interest rate linked Foreign exchange linked Equity linked Commodity linked Credit linked Total December 31, 2022 December 31, 2021 $ 53.4 $ 0.1 42.5 5.0 5.0 $ 106.0 $ 38.9 — 36.1 3.9 3.7 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. Certain Non-Structured Liabilities The Company has elected the fair value option for certain non- structured liabilities with fixed and floating interest rates. The Company has elected the fair value option where the interest rate risk of such liabilities may be economically hedged with derivative contracts or the proceeds are used to purchase financial assets that will also be accounted for at fair value through earnings. The elections have been made to mitigate accounting mismatches and to achieve operational simplifications. These positions are reported in Short-term borrowings and Long-term debt on the Company’s Consolidated Balance Sheet. The portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (i.e., DVA) is reflected as a component of AOCI while all other changes in fair value are reported in Principal transactions. Interest expense on non-structured liabilities is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income. The following table provides information about long-term debt carried at fair value: In millions of dollars Carrying amount reported on the Consolidated Balance Sheet Aggregate unpaid principal balance in excess of (less than) fair value The following table provides information about short-term borrowings carried at fair value: In millions of dollars Carrying amount reported on the Consolidated Balance Sheet Aggregate unpaid principal balance in excess of (less than) fair value December 31, 2022 December 31, 2021 $ 105,995 $ (2,944) 82,609 (2,459) December 31, 2022 December 31, 2021 $ 6,222 $ (9) 7,358 (644) 289 Collateral At December 31, 2022 and 2021, the approximate fair value of securities collateral received by Citi that may be resold or repledged, excluding the impact of allowable netting, was $725.5 billion and $650.8 billion, respectively. This collateral was received in connection with resale agreements, securities borrowings and loans, securities for securities lending transactions, derivative transactions and margined broker loans. At December 31, 2022 and 2021, a substantial portion of the collateral received by Citi had been sold or repledged in connection with repurchase agreements, securities sold, not yet purchased, securities lendings, pledges to clearing organizations, segregation requirements under securities laws and regulations, derivative transactions and bank loans. In addition, at December 31, 2022 and 2021, Citi had pledged $502.0 billion and $481.0 billion, respectively, of collateral that may not be sold or repledged by the secured parties. 27. PLEDGED ASSETS, RESTRICTED CASH, COLLATERAL, GUARANTEES AND COMMITMENTS Pledged Assets In connection with Citi’s financing and trading activities, Citi has pledged assets to collateralize its obligations under repurchase agreements, secured financing agreements, secured liabilities of consolidated VIEs and other borrowings. The approximate carrying values of the significant components of pledged assets recognized on Citi’s Consolidated Balance Sheet included the following: In millions of dollars Investment securities Loans Trading account assets Total December 31, 2022 December 31, 2021 $ 246,252 $ 252,192 261,450 135,978 232,319 140,980 $ 643,680 $ 625,491 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 may include minimum reserve requirements at certain central banks and cash segregated to satisfy rules regarding the protection of customer assets as required by Citigroup broker-dealers’ primary regulators, including the 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 dollars Cash and due from banks Deposits with banks, net of allowance Total December 31, 2022 December 31, 2021 $ $ 4,820 $ 2,786 12,156 16,976 $ 10,636 13,422 In addition to the restricted cash amounts shown above, approximately $1.8 billion held at the Russia National Settlements Depository is subject to restrictions imposed by the Russian government. This restricted amount is reported within Other assets on the Consolidated Balance Sheet. 290 Guarantees 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 The following tables present information about Citi’s guarantees: 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. In billions of dollars at December 31, 2022 Financial standby letters of credit Performance guarantees Derivative instruments considered to be guarantees Loans sold with recourse Securities lending indemnifications(1) Credit card merchant processing(2) Credit card arrangements with partners Other Total In billions of dollars at December 31, 2021 Financial standby letters of credit Performance guarantees Derivative instruments considered to be guarantees Loans sold with recourse Securities lending indemnifications(1) Credit card merchant processing(2) Credit card arrangements with partners Other Total Maximum potential amount of future payments Expire within 1 year Expire after 1 year Total amount outstanding Carrying value (in millions of dollars) $ 31.3 $ 6.1 18.5 — 95.9 129.6 — 0.1 58.3 $ 5.6 30.0 1.7 — — 0.6 8.4 89.6 $ 11.7 48.5 1.7 95.9 129.6 0.6 8.5 905 65 353 13 — 1 7 32 $ 281.5 $ 104.6 $ 386.1 $ 1,376 Maximum potential amount of future payments Expire within 1 year Expire after 1 year Total amount outstanding Carrying value (in millions of dollars) $ 34.3 $ 6.6 14.6 — 121.9 119.4 — 2.0 $ 298.8 $ 58.4 $ 6.4 48.9 1.7 — — 0.8 12.0 128.2 $ 92.7 $ 13.0 63.5 1.7 121.9 119.4 0.8 14.0 791 47 514 15 — 1 7 34 427.0 $ 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 December 31, 2022 and 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. 291 Financial Standby Letters of Credit Citi issues standby letters of credit, which substitute its own credit for that of the borrower. If a letter of credit is drawn down, the borrower is obligated to repay Citi. Standby letters of credit protect a third party from defaults on contractual obligations. Financial standby letters of credit include (i) guarantees of payment of insurance premiums and reinsurance risks that support industrial revenue bond underwriting, (ii) settlement of payment obligations to clearing houses, including futures and over-the-counter derivatives clearing (see further discussion below), (iii) support options and purchases of securities in lieu of escrow deposit accounts and (iv) letters of credit that backstop loans, credit facilities, promissory notes and trade acceptances. Performance Guarantees Performance guarantees and letters of credit are issued to guarantee a customer’s tender bid on a construction or systems-installation project or to guarantee completion of such projects in accordance with contract terms. They are also issued to support a customer’s obligation to supply specified products, commodities or maintenance or warranty services to a third party. Derivative Instruments Considered to Be Guarantees Derivatives are financial instruments whose cash flows are based on a notional amount and an underlying instrument, reference credit or index, where there is little or no initial investment and whose terms require or permit net settlement. See Note 23 for a discussion of Citi’s derivatives activities. Derivative instruments considered to be guarantees include only those instruments that require Citi to make payments to the counterparty based on changes in an underlying instrument that is related to an asset, a liability or an equity security held by the guaranteed party. More specifically, derivative instruments considered to be guarantees include certain over-the-counter written put options where the counterparty is not a bank, hedge fund or broker- dealer (such counterparties are considered to be dealers in these markets and may, therefore, not hold the underlying instruments). Credit derivatives sold by Citi are excluded from the tables above as they are disclosed separately in Note 23. In instances where Citi’s maximum potential future payment is unlimited, the notional amount of the contract is disclosed. 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 $10 million and $19 million at December 31, 292 2022 and 2021, respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet. Securities Lending Indemnifications Owners of securities frequently lend those securities for a fee to other parties who may sell them short or deliver them to another party to satisfy some other obligation. Banks may administer such securities lending programs for their clients. Securities lending indemnifications are issued by the bank to guarantee that a securities lending customer will be made whole in the event that the security borrower does not return the security subject to the lending agreement and collateral held is insufficient to cover the market value of the security. Credit Card Merchant Processing Credit card merchant processing guarantees represent the Company’s indirect obligations in connection with (i) providing transaction processing services to various merchants with respect to its private label cards and (ii) potential liability for bank card transaction processing services. The nature of the liability in either case arises as a result of a billing dispute between a merchant and a cardholder that is ultimately resolved in the cardholder’s favor. The merchant is liable to refund the amount to the cardholder. In general, if the credit card processing company is unable to collect this amount from the merchant, the credit card processing company bears the loss for the amount of the credit or refund paid to the cardholder. With regard to (i) above, Citi has the primary contingent liability with respect to its portfolio of private label merchants. The risk of loss is mitigated as the cash flows between Citi and the merchant are settled on a net basis, and Citi has the right to offset any payments with cash flows otherwise due to the merchant. To further mitigate this risk, Citi may delay settlement, require a merchant to make an escrow deposit, include event triggers to provide Citi with more financial and operational control in the event of the financial deterioration of the merchant or require various credit enhancements (including letters of credit and bank guarantees). In the unlikely event that a private label merchant is unable to deliver products, services or a refund to its private label cardholders, Citi is contingently liable to credit or refund cardholders. With regard to (ii) above, Citi has a potential liability for bank card transactions where Citi provides the transaction processing services as well as those where a third party provides the services and Citi acts as a secondary guarantor, should that processor fail to perform. Citi’s maximum potential contingent liability related to both bank card and private label merchant processing services is estimated to be the total volume of credit card transactions that meet the requirements to be valid charge-back transactions at any given time. At December 31, 2022 and 2021, this maximum potential exposure was estimated to be $129.6 billion and $119.4 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. Citi assesses the probability and amount of its contingent liability related to merchant processing based on the financial strength of the primary guarantor, the extent and nature of unresolved charge-backs and its historical loss experience. At December 31, 2022 and 2021, the losses incurred and the carrying amounts of Citi’s contingent obligations related to merchant processing activities were immaterial. 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 December 31, 2022 and 2021, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were immaterial. Other Representation and Warranty Indemnifications In the normal course of business, Citi provides standard representations and warranties to counterparties in contracts in connection with numerous transactions and also provides indemnifications, including indemnifications that protect the counterparties to the contracts in the event that additional taxes are owed, due either to a change in the tax law or an adverse interpretation of the tax law. Counterparties to these transactions provide Citi with comparable indemnifications. While such representations, warranties and indemnifications are essential components of many contractual relationships, they do not represent the underlying business purpose for the transactions. The indemnification clauses are often standard contractual terms related to Citi’s own performance under the terms of a contract and are entered into in the normal course of business based on an assessment that the risk of loss is remote. Often these clauses are intended to ensure that terms of a contract are met at inception. No compensation is received for these standard representations and warranties, and it is not possible to determine their fair value because they rarely, if ever, result in a payment. In many cases, there are no stated or notional amounts included in the indemnification clauses, and the contingencies potentially triggering the obligation to 293 indemnify have not occurred and are not expected to occur. As a result, these indemnifications are not included in the tables above. 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 December 31, 2022 or 2021 for potential obligations that could arise from Citi’s involvement with VTN associations. Long-Term Care Insurance Indemnification In 2000, Travelers Life & Annuity (Travelers), then a subsidiary of Citi, entered into a reinsurance agreement to transfer the risks and rewards of its long-term care (LTC) business to GE Life (now Genworth Financial Inc., or Genworth), then a subsidiary of the General Electric Company (GE). As part of this transaction, the reinsurance obligations were provided by two regulated insurance subsidiaries of GE Life, which funded two collateral trusts with securities. Presently, as discussed below, the trusts are referred to as the Genworth Trusts. As part of GE’s spin-off of Genworth in 2004, GE retained the risks and rewards associated with the 2000 Travelers reinsurance agreement by providing a reinsurance contract to Genworth through GE’s Union Fidelity Life Insurance Company (UFLIC) subsidiary that covers the Travelers LTC policies. In addition, GE provided a capital maintenance agreement in favor of UFLIC that is designed to assure that UFLIC will have the funds to pay its reinsurance obligations. As a result of these reinsurance agreements and the spin-off of Genworth, Genworth has reinsurance protection from UFLIC (supported by GE) and has reinsurance obligations in connection with the Travelers LTC policies. As noted below, the Genworth reinsurance obligations now benefit Brighthouse Financial, Inc. (Brighthouse). While neither Brighthouse nor Citi are direct beneficiaries of the capital maintenance agreement between GE and UFLIC, Brighthouse and Citi benefit indirectly from the existence of the capital maintenance agreement, which helps assure that UFLIC will continue to have funds necessary to pay its reinsurance obligations to Genworth. In connection with Citi’s 2005 sale of Travelers to MetLife Inc. (MetLife), Citi provided an indemnification to MetLife for losses (including policyholder claims) relating to the LTC business for the entire term of the Travelers LTC 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 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 $18.0 billion and $18.7 billion as of December 31, 2022 and 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 that 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. policies, which, as noted above, are reinsured by subsidiaries of Genworth. In 2017, MetLife spun off its retail insurance business to Brighthouse. As a result, the Travelers LTC policies now reside with Brighthouse. The original reinsurance agreement between Travelers (now Brighthouse) and Genworth remains in place and Brighthouse is the sole beneficiary of the Genworth Trusts. The Genworth Trusts are designed to provide collateral to Brighthouse in an amount equal to the statutory liabilities of Brighthouse in respect of the Travelers LTC policies. The assets in the Genworth Trusts are evaluated and adjusted periodically to ensure that the fair value of the assets continues to provide collateral in an amount equal to these estimated statutory liabilities, as the liabilities change over time. If both (i) Genworth fails to perform under the original Travelers/GE Life reinsurance agreement for any reason, including its insolvency or the failure of UFLIC to perform under its reinsurance contract or GE to perform under the capital maintenance agreement, and (ii) the assets of the two Genworth Trusts are insufficient or unavailable, then Citi, through its LTC reinsurance indemnification, must reimburse Brighthouse for any losses incurred in connection with the LTC policies. Since both events would have to occur before Citi would become responsible for any payment to Brighthouse pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is no liability reflected on the Consolidated Balance Sheet as of December 31, 2022 and 2021 related to this indemnification. However, if both events become reasonably possible (meaning more than remote but less than probable), Citi will be required to estimate and disclose a reasonably possible loss or range of loss to the extent that such an estimate could be made. In addition, if both events become probable, Citi will be required to accrue for such liability in accordance with applicable accounting principles. 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 23 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 294 Carrying Value—Guarantees and Indemnifications At December 31, 2022 and 2021, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to approximately $1.4 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 $51.8 billion and $56.5 billion at December 31, 2022 and 2021, respectively. Securities and other marketable assets held as collateral amounted to $63.7 billion and $84.2 billion at December 31, 2022 and 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 $3.7 billion and $4.1 billion at December 31, 2022 and 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. In billions of dollars at December 31, 2022 Financial standby letters of credit Performance guarantees Derivative instruments deemed to be guarantees Loans sold with recourse Securities lending indemnifications Credit card merchant processing Credit card arrangements with partners Other Total In billions of dollars at December 31, 2021 Financial standby letters of credit Performance guarantees Derivative instruments deemed to be guarantees Loans sold with recourse Securities lending indemnifications Credit card merchant processing Credit card arrangements with partners Other Total Performance Risk Citi evaluates the performance risk of its guarantees based on the assigned referenced counterparty internal or external ratings. Where external ratings are used, investment-grade ratings are considered to be Baa/BBB and above, while anything below is considered non-investment grade. Citi’s internal ratings are in line with the related external rating system. On certain underlying referenced assets or entities, ratings are not available. Such referenced assets are included in the “not rated” category. The maximum potential amount of the future payments related to the outstanding guarantees is determined to be the notional amount of these contracts, which is the par amount of the assets guaranteed. 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 Investment grade Non- investment grade $ 77.9 $ 9.3 10.4 $ 2.4 — — — — — — $ 87.2 $ — — — — — 8.5 21.3 $ Not rated Total 1.3 $ — 48.5 1.7 95.9 89.6 11.7 48.5 1.7 95.9 129.6 129.6 0.6 — 0.6 8.5 277.6 $ 386.1 Maximum potential amount of future payments Investment grade Non- investment grade $ 81.4 $ 10.5 11.3 $ 2.5 — — — — — — $ 91.9 $ — — — — — 12.0 25.8 $ Not rated Total — $ — 63.5 1.7 121.9 119.4 0.8 2.0 309.3 $ 92.7 13.0 63.5 1.7 121.9 119.4 0.8 14.0 427.0 295 Credit Commitments and Lines of Credit The table below summarizes Citigroup’s credit commitments: In millions of dollars Commercial and similar letters of credit One- to four-family residential mortgages Revolving open-end loans secured by one- to four-family residential properties Commercial real estate, construction and land development Credit card lines Commercial and other consumer loan commitments Other commitments and contingencies Total U.S. $ 650 $ 906 5,719 13,275 603,975 191,318 5,469 Outside of U.S.(1) December 31, 2022 December 31, 2021 4,666 $ 5,316 $ 1,488 661 1,895 79,257 106,081 204 2,394 6,380 15,170 683,232 297,399 5,673 5,910 4,351 7,913 17,843 700,559 320,556 5,649 $ 821,312 $ 194,252 $ 1,015,564 $ 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 Both secured-by-real-estate and unsecured commitments 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. Commercial and Similar Letters of Credit A commercial letter of credit is an instrument by which Citigroup substitutes its credit for that of a customer to enable the customer to finance the purchase of goods or to incur other commitments. Citigroup issues a letter on behalf of its client to a supplier and agrees to pay the supplier upon presentation of documentary evidence that the supplier has performed in accordance with the terms of the letter of credit. When a letter of credit is drawn, the customer is then required to reimburse Citigroup. One- to Four-Family Residential Mortgages A one- to four-family residential mortgage commitment is a written confirmation from Citigroup to a seller of a property that the bank will advance the specified sums enabling the buyer to complete the purchase. Revolving Open-End Loans Secured by One- to Four-Family Residential Properties Revolving open-end loans secured by one- to four-family residential properties are essentially home equity lines of credit. A home equity line of credit is a loan secured by a primary residence or second home to the extent of the excess of fair market value over the debt outstanding for the first mortgage. Commercial Real Estate, Construction and Land Development Commercial real estate, construction and land development include unused portions of commitments to extend credit for the purpose of financing commercial and multifamily residential properties as well as land development projects. are included in this line, as well as undistributed loan proceeds, where there is an obligation to advance for construction progress payments. However, this line only includes those extensions of credit that, once funded, will be classified as Total loans, net on the Consolidated Balance Sheet. Credit Card Lines Citigroup provides credit to customers by issuing credit cards. The credit card lines are cancelable by providing notice to the cardholder or without such notice as permitted by local law. Commercial and Other Consumer Loan Commitments Commercial and other consumer loan commitments include overdraft and liquidity facilities as well as commercial commitments to make or purchase loans, purchase third-party receivables, provide note issuance or revolving underwriting facilities and invest in the form of equity. 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 December 31, 2022 and 2021, Citigroup had approximately $111.6 billion and $126.6 billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $37.3 billion and $41.1 billion of unsettled repurchase and securities lending agreements, respectively. See Note 11 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. 296 28. LEASES Citi’s future lease payments are as follows: 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 may contain renewal and extension options and early termination features; however, these options do not impact the lease term unless the Company is reasonably certain that it will exercise options. These leases have a weighted-average remaining lease term of approximately six years as of December 31, 2022 and 2021. For additional information regarding Citi’s leases, see Note 1. In millions of dollars 2023 2024 2025 2026 2027 Thereafter Total future lease payments The following table presents information on the right-of- use (ROU) asset and lease liabilities included in Premises and equipment and Other liabilities, respectively: Less imputed interest (based on weighted-average discount rate of 3.1%) Lease liability $ $ $ $ 704 635 541 437 319 769 3,405 (329) 3,076 In millions of dollars ROU asset Lease liability December 31, 2022 December 31, 2021 $ 2,892 $ 3,076 2,914 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. The following table presents the total operating lease expense (principally for offices, branches and equipment) included in the Consolidated Statement of Income: In millions of dollars Operating lease expense(1) Dec. 31, 2022 Dec. 31, 2021 Dec. 31, 2020 $ 1,048 $ 1,061 $ 1,054 (1) Balances presented net of $3 million, $12 million and $27 million of sublease income for the years ended December 31, 2022, 2021 and 2020, respectively. The table below provides the Cash Flow Statement Supplemental Information: In millions of dollars December 31, 2022 December 31, 2021 Cash paid for amounts included in the measurement of lease liabilities $ ROU assets obtained in exchange for new operating lease liabilities(1)(2) 725 $ 806 775 845 (1) Represents non-cash activity and, accordingly, is not reflected in the Consolidated Statement of Cash Flows. (2) Excludes the decrease in the ROU assets related to the purchase of a previously leased property. 297 29. CONTINGENCIES Accounting and Disclosure Framework ASC 450 governs the disclosure and recognition of loss contingencies, including potential losses from litigation, regulatory, tax and other matters. ASC 450 defines a “loss contingency” as “an existing condition, situation, or set of circumstances involving uncertainty as to possible loss to an entity that will ultimately be resolved when one or more future events occur or fail to occur.” It imposes different requirements for the recognition and disclosure of loss contingencies based on the likelihood of occurrence of the contingent future event or events. It distinguishes among degrees of likelihood using the following three terms: “probable,” meaning that “the future event or events are likely to occur”; “remote,” meaning that “the chance of the future event or events occurring is slight”; and “reasonably possible,” meaning that “the chance of the future event or events occurring is more than remote but less than likely.” These three terms are used below as defined in ASC 450. Accruals. ASC 450 requires accrual for a loss contingency when it is “probable that one or more future events will occur confirming the fact of loss” and “the amount of the loss can be reasonably estimated.” 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. When the reasonable estimate of the loss is within a range of amounts, the minimum amount of the range is accrued, unless some higher amount within the range is a better estimate than any other amount within the range. 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. Disclosure. ASC 450 requires disclosure of a loss contingency if “there is at least a reasonable possibility that a loss or an additional loss may have been incurred” and there is no accrual for the loss because the conditions described above are not met or an exposure to loss exists in excess of the amount accrued. In accordance with ASC 450, if Citigroup has not accrued for a matter because Citigroup believes that a loss is reasonably possible but not probable, or that a loss is probable but not reasonably estimable, and the reasonably possible loss is material, it discloses the loss contingency. In addition, Citigroup discloses matters for which it has accrued if it believes a reasonably possible exposure to material loss exists in excess of the amount accrued. In accordance with ASC 450, Citigroup’s disclosure includes an estimate of the reasonably possible loss or range of loss for those matters as to which an estimate can be made. ASC 450 does not require disclosure of an estimate of the reasonably possible loss or range of loss where an estimate cannot be made. Neither accrual nor disclosure is required for losses that are deemed remote. Litigation, Regulatory and Other Contingencies Overview. In addition to the matters described below, in the ordinary course of business, Citigroup, its affiliates and 298 subsidiaries, and current and former officers, directors and employees (for purposes of this section, sometimes collectively referred to as Citigroup and Related Parties) routinely are named as defendants in, or as parties to, various legal actions and proceedings. Certain of these actions and proceedings assert claims or seek relief in connection with alleged violations of consumer protection, fair lending, securities, banking, antifraud, antitrust, anti-money laundering, employment and other statutory and common laws. Certain of these actual or threatened legal actions and proceedings include claims for substantial or indeterminate compensatory or punitive damages, or for injunctive relief, and in some instances seek recovery on a class-wide basis. In the ordinary course of business, Citigroup and Related Parties also are subject to governmental and regulatory examinations, information-gathering requests, investigations and proceedings (both formal and informal), certain of which may result in adverse judgments, settlements, fines, penalties, restitution, disgorgement, injunctions or other relief. In addition, certain affiliates and subsidiaries of Citigroup are banks, registered broker-dealers, futures commission merchants, investment advisors or other regulated entities and, in those capacities, are subject to regulation by various U.S., state and foreign securities, banking, commodity futures, consumer protection and other regulators. In connection with formal and informal inquiries by these regulators, Citigroup and such affiliates and subsidiaries receive numerous requests, subpoenas and orders seeking documents, testimony and other information in connection with various aspects of their regulated activities. From time to time Citigroup and Related Parties also receive grand jury subpoenas and other requests for information or assistance, formal or informal, from federal or state law enforcement agencies including, among others, various United States Attorneys’ Offices, the Money Laundering and Asset Recovery Section and other divisions of the Department of Justice, the Financial Crimes Enforcement Network of the United States Department of the Treasury, and the Federal Bureau of Investigation relating to Citigroup and its customers. Because of the global scope of Citigroup’s operations and its presence in countries around the world, Citigroup and Related Parties are subject to litigation and governmental and regulatory examinations, information-gathering requests, investigations and proceedings (both formal and informal) in multiple jurisdictions with legal, regulatory and tax regimes that may differ substantially, and present substantially different risks, from those Citigroup and Related Parties are subject to in the United States. In some instances, Citigroup and Related Parties may be involved in proceedings involving the same subject matter in multiple jurisdictions, which may result in overlapping, cumulative or inconsistent outcomes. Citigroup seeks to resolve all litigation, regulatory, tax and other matters in the manner management believes is in the best interests of Citigroup and its shareholders, and contests liability, allegations of wrongdoing and, where applicable, the amount of damages or scope of any penalties or other relief sought as appropriate in each pending matter. Inherent Uncertainty of the Matters Disclosed. Certain of the matters disclosed below involve claims for substantial or indeterminate damages. The claims asserted in these matters typically are broad, often spanning a multiyear period and sometimes a wide range of business activities, and the plaintiffs’ or claimants’ alleged damages frequently are not quantified or factually supported in the complaint or statement of claim. Other matters relate to regulatory investigations or proceedings, as to which there may be no objective basis for quantifying the range of potential fine, penalty or other remedy. As a result, Citigroup is often unable to estimate the loss in such matters, even if it believes that a loss is probable or reasonably possible, until developments in the case, proceeding or investigation have yielded additional information sufficient to support a quantitative assessment of the range of reasonably possible loss. Such developments may include, among other things, discovery from adverse parties or third parties, rulings by the court on key issues, analysis by retained experts and engagement in settlement negotiations. Depending on a range of factors, such as the complexity of the facts, the novelty of the legal theories, the pace of discovery, the court’s scheduling order, the timing of court decisions and the adverse party’s, regulator’s or other authority’s willingness to negotiate in good faith toward a resolution, it may be months or years after the filing of a case or commencement of a proceeding or an investigation before an estimate of the range of reasonably possible loss can be made. Matters as to Which an Estimate Can Be Made. For some of the matters disclosed below, Citigroup is currently able to estimate a reasonably possible loss or range of loss in excess of amounts accrued (if any). For some of the matters included within this estimation, an accrual has been made because a loss is believed to be both probable and reasonably estimable, but a reasonably possible exposure to loss exists in excess of the amount accrued. In these cases, the estimate reflects the reasonably possible range of loss in excess of the accrued amount. For other matters included within this estimation, no accrual has been made because a loss, although estimable, is believed to be reasonably possible, but not probable; in these cases, the estimate reflects the reasonably possible loss or range of loss. As of December 31, 2022, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately $1.2 billion in the aggregate. These estimates are based on currently available information. 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 and tax proceedings are subject to particular uncertainties. For example, at the time of making an estimate, (i) Citigroup may have only preliminary, incomplete or inaccurate information about the facts underlying the claim, (ii) its assumptions about the future rulings of the court, other tribunal or authority on significant issues, or the behavior and incentives of adverse parties, regulators or other authorities, may prove to be wrong and (iii) 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 estimate 299 because it had deemed such an outcome to be remote. For all of 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. Matters as to Which an Estimate Cannot Be Made. For other matters disclosed below, Citigroup is not currently able to estimate the reasonably possible loss or range of loss. Many of these matters remain in very preliminary stages (even in some cases where a substantial period of time has passed since the commencement of the matter), with few or no substantive legal decisions by the court, tribunal or other authority defining the scope of the claims, the class (if any) or the potentially available damages or other exposure, and fact discovery is still in progress or has not yet begun. In many of these matters, Citigroup has not yet answered the complaint or statement of claim or asserted its defenses, nor has it engaged in any negotiations with the adverse party (whether a regulator, taxing authority or a private party). For all these reasons, Citigroup cannot at this time estimate the reasonably possible loss or range of loss, if any, for these matters. Opinion of Management as to Eventual Outcome. 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 likely 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. Foreign Exchange Matters Regulatory Actions: Government and regulatory agencies in the U.S. and other jurisdictions are conducting investigations or making inquiries regarding Citigroup’s foreign exchange business. Citigroup is cooperating with these and related investigations and inquiries. Antitrust and Other Litigation: In 2018, a number of institutional investors who opted out of the previously disclosed August 2018 final settlement filed an action against Citigroup, Citibank, Citigroup Global Markets Inc. (CGMI) and other defendants, captioned ALLIANZ GLOBAL INVESTORS, ET AL. v. BANK OF AMERICA CORP., ET AL., in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants manipulated, and colluded to manipulate, the foreign exchange markets. Plaintiffs assert claims under the Sherman Act and unjust enrichment claims, and seek consequential and punitive damages and other forms of relief. In July 2020, plaintiffs filed a third amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 18-CV-10364 (S.D.N.Y.) (Schofield, J.). In 2018, a group of institutional investors issued a claim against Citigroup, Citibank and other defendants, captioned ALLIANZ GLOBAL INVESTORS GMBH AND OTHERS v. BARCLAYS BANK PLC AND OTHERS, in the High Court of Justice in London. Claimants allege that defendants manipulated, and colluded to manipulate, the foreign exchange market in violation of EU and U.K. competition laws. In December 2021, the High Court ordered that the case be transferred to the U.K.’s Competition Appeal Tribunal. Additional information concerning this action is publicly available in court filings under the case number CL-2018-000840 in the High Court and under the case number 1430/5/7/22 (T) in the Competition Appeal Tribunal. In 2015, a putative class of consumers and businesses in the U.S. who directly purchased supracompetitive foreign currency at benchmark exchange rates filed an action against Citigroup and other defendants, captioned NYPL v. JPMORGAN CHASE & CO., ET AL., in the United States District Court for the Northern District of California (later transferred to the United States District Court for the Southern District of New York). Subsequently, plaintiffs filed an amended class action complaint against Citigroup, Citibank and Citicorp as defendants. Plaintiffs allege that they suffered losses as a result of defendants’ alleged manipulation of, and collusion with respect to, the foreign exchange market. Plaintiffs assert claims under federal and California antitrust and consumer protection laws, and seek compensatory damages, treble damages and declaratory and injunctive relief. On March 8, 2022, the court denied plaintiffs’ motion for class certification. On August 22, 2022, the United States Court of Appeals for the Second Circuit denied plaintiffs’ application 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-2290 (N.D. Cal.) (Chhabria, J.), 15-CV-9300 (S.D.N.Y.) (Schofield, J.) and 22-698 (2d Cir.). In 2019, two applications, captioned MICHAEL O’ HIGGINS FX CLASS REPRESENTATIVE LIMITED v. BARCLAYS BANK PLC AND OTHERS and PHILLIP EVANS v. BARCLAYS BANK PLC AND OTHERS, were made to the U.K.’s Competition Appeal Tribunal requesting permission to commence collective proceedings against Citigroup, Citibank and other defendants. The applications seek compensatory damages for losses alleged to have arisen from the actions at issue in the European Commission’s foreign exchange spot trading infringement decision (European Commission Decision of May 16, 2019 in Case AT.40135-FOREX (Three Way Banana Split) C(2019) 3631 final). On March 31, 2022, the U.K.’s Competition Appeal Tribunal issued its judgment on certification, and on October 4, 2022, the U.K.’s Competition Appeal Tribunal granted both claimants permission to appeal the certification judgment. Additional information concerning these actions is publicly available in court filings under the case numbers 1329/7/7/19 and 1336/7/7/19. In 2019, a putative class action was filed against Citibank and other defendants, captioned J WISBEY & ASSOCIATES PTY LTD v. UBS AG & ORS, in the Federal Court of Australia. Plaintiffs allege that defendants manipulated the foreign exchange markets. Plaintiffs assert claims under antitrust laws, and seek compensatory damages and declaratory and injunctive relief. Additional information concerning this action is publicly available in court filings under the docket number VID567/2019. 300 In 2019, two motions for certification of class actions filed against Citigroup, Citibank and Citicorp and other defendants were consolidated, under the caption GERTLER, ET AL. v. DEUTSCHE BANK AG, in the Tel Aviv Central District Court in Israel. Plaintiffs allege that defendants manipulated the foreign exchange markets. In April 2021, Citibank’s motion to dismiss plaintiffs’ petition for certification was denied. On April 6, 2022, the Supreme Court of Israel denied Citibank’s motion for leave to appeal the Central District Court’s denial of its motion to dismiss. Additional information concerning this action is publicly available in court filings under the docket number CA 29013-09-18. Hong Kong Private Bank Litigation In 2007, a claim was filed in the High Court of Hong Kong claiming damages of over $51 million against Citibank. The case, captioned PT ASURANSI TUGU PRATAMA INDONESIA TBK v. CITIBANK N.A., was dismissed in 2018 by the Hong Kong Court of First Instance on grounds that the claim was time-barred. On April 12, 2022, the Court of Appeal upheld the dismissal of the claim. The plaintiff appealed, and on February 6, 2023, the Court of Final Appeal rendered a judgment in the plaintiff’s favor. Additional information concerning this action is publicly available in court filings under the docket number FACV 11/2022. Interbank Offered Rates-Related Litigation and Other Matters In August 2020, individual borrowers and consumers of loans and credit cards filed an action against Citigroup, Citibank, CGMI and other defendants, captioned MCCARTHY, ET AL. v. INTERCONTINENTAL EXCHANGE, INC., ET AL., in the United States District Court for the Northern District of California. Plaintiffs 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. On October 4, 2022, plaintiffs filed an amended complaint, and on November 4, 2022, defendants moved to dismiss the amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 20-CV-5832 (N.D. Cal.) (Donato, J.). Interchange Fee Litigation Beginning in 2005, several putative class actions were filed against Citigroup, Citibank, and Citicorp, together with Visa, MasterCard, and other banks and their affiliates, in various federal district courts and consolidated with other related individual cases in a multi-district litigation proceeding in the United States District Court for the Eastern District of New York. This proceeding is captioned IN RE PAYMENT CARD INTERCHANGE FEE AND MERCHANT DISCOUNT ANTITRUST LITIGATION. The plaintiffs, merchants that accept Visa and MasterCard branded payment cards, as well as various membership associations that claim to represent certain groups of merchants, allege, among other things, that defendants have engaged in conspiracies to set the price of interchange and merchant discount fees on credit and debit card transactions and to restrain trade unreasonably through various Visa and MasterCard rules governing merchant conduct, all in violation of Section 1 of the Sherman Act and certain California statutes. Plaintiffs further alleged violations of Section 2 of the Sherman Act. Supplemental complaints also were filed against defendants in the putative class actions alleging that Visa’s and MasterCard’s respective initial public offerings were anticompetitive and violated Section 7 of the Clayton Act, and that MasterCard’s initial public offering constituted a fraudulent conveyance. In 2014, the district court entered a final judgment approving the terms of a class settlement. Various objectors appealed from the final class settlement approval order to the United States Court of Appeals for the Second Circuit. In 2016, the Court of Appeals reversed the district court’s approval of the class settlement and remanded for further proceedings. The district court thereafter appointed separate interim counsel for a putative class seeking damages and a putative class seeking injunctive relief. Amended or new complaints on behalf of the putative classes and various individual merchants were subsequently filed, including a further amended complaint on behalf of a putative damages class and a new complaint on behalf of a putative injunctive class, both of which named Citigroup and Related Parties. In addition, numerous merchants have filed amended or new complaints against Visa, MasterCard, and in some instances one or more issuing banks, including Citigroup and affiliates. In 2019, the district court granted the damages class plaintiffs’ motion for final approval of a new settlement with the defendants. The settlement involves the damages class only and does not settle the claims of the injunctive relief class or any actions brought on a non-class basis by individual merchants. The settlement provides for a cash payment to the damages class of $6.24 billion, later reduced by $700 million based on the transaction volume of class members that opted out from the settlement. Several merchants and merchant groups have appealed the final approval order. On September 27, 2021, the court granted the injunctive relief class plaintiffs’ motion to certify a non-opt-out class. On October 7 and 9, 2022, the court issued rulings on several pretrial motions. Additional information concerning these consolidated actions is publicly available in court filings under the docket number MDL 05-1720 (E.D.N.Y.) (Brodie, J.). Interest Rate and Credit Default Swap Matters Regulatory Actions: The Commodity Futures Trading Commission (CFTC) is conducting an investigation into alleged anticompetitive conduct in the trading and clearing of interest rate swaps (IRS) by investment banks. Citigroup is cooperating with the investigation. Antitrust and Other Litigation: Beginning in 2015, Citigroup, Citibank, CGMI, CGML and numerous other parties were named as defendants in a number of industry- wide putative class actions related to IRS trading. These actions have been consolidated in the United States District Court for the Southern District of New York under the caption IN RE INTEREST RATE SWAPS ANTITRUST LITIGATION. The actions allege that defendants colluded to prevent the development of exchange-like trading for IRS and assert federal and state antitrust claims and claims for unjust 301 enrichment. Also consolidated under the same caption are individual actions filed by swap execution facilities, asserting federal and state antitrust claims, as well as claims for unjust enrichment and tortious interference with business relations. Plaintiffs in these actions seek treble damages, fees, costs and injunctive relief. Lead plaintiffs in the class action moved for class certification in 2019 and subsequently filed an amended complaint. Additional information concerning these actions is publicly available in court filings under the docket numbers 18-CV-5361 (S.D.N.Y.) (Oetken, J.) and 16-MD-2704 (S.D.N.Y.) (Oetken, J.). In 2017, Citigroup, Citibank, CGMI, CGML and numerous other parties were named as defendants in an action filed in the United States District Court for the Southern District of New York under the caption TERA GROUP, INC., ET AL. v. CITIGROUP, INC., ET AL. The complaint alleges that defendants colluded to prevent the development of exchange-like trading for credit default swaps and asserts federal and state antitrust claims and state law tort claims. In January 2020, plaintiffs filed an amended complaint, which defendants later moved to dismiss. Additional information concerning this action is publicly available in court filings under the docket number 17-CV-4302 (S.D.N.Y.) (Sullivan, J.). Madoff-Related Litigation In 2008, a Securities Investor Protection Act (SIPA) trustee was appointed for the SIPA liquidation of Bernard L. Madoff Investment Securities LLC (BLMIS), in the United States Bankruptcy Court for the Southern District of New York. Beginning in 2010, the SIPA trustee commenced actions against multiple Citi entities, including Citibank, Citicorp North America, Inc., CGML and Citibank (Switzerland) AG, captioned PICARD v. CITIBANK, N.A., ET AL. and PICARD v. Citibank (Switzerland) Ltd., seeking recovery of monies that originated at BLMIS and were allegedly received by the Citi entities as subsequent transferees. On February 11, 2022, the SIPA trustee filed an amended complaint against Citibank, Citicorp North America, Inc. and CGML, and subsequently voluntarily dismissed the case against Citibank (Switzerland) AG. On April 22, 2022, these remaining Citi entities moved to dismiss the amended complaint, which the bankruptcy court denied. On November 2, 2022, the remaining Citi entities moved to file an interlocutory appeal of the bankruptcy court’s decision. On November 10, 2022, the remaining Citi entities answered the amended complaint. Additional information concerning these actions is publicly available in court filings under the docket numbers 10-5345, 12-1700 (Bankr. S.D.N.Y.) (Morris, J.); and 22-9597 (S.D.N.Y.) (Gardephe, J.). Beginning in 2010, the British Virgin Islands liquidators of Fairfield Sentry Limited, whose assets were invested with BLMIS, commenced multiple actions against CGML, Citibank (Switzerland) AG, Citibank, NA London, Citivic Nominees Ltd., Cititrust Bahamas Ltd., and Citibank Korea Inc., captioned FAIRFIELD SENTRY LTD., ET AL. v. CITIGROUP GLOBAL MARKETS LTD., ET AL.; FAIRFIELD SENTRY LTD., ET AL. v. CITIBANK (SWITZERLAND) AG, ET AL.; FAIRFIELD SENTRY LTD., ET AL. v. ZURICH CAPITAL MARKETS COMPANY, ET AL.; FAIRFIELD SENTRY LTD., ET AL. v. CITIBANK NA LONDON, ET AL.; FAIRFIELD SENTRY LTD., ET AL. v. CITIVIC NOMINEES LTD., ET AL.; FAIRFIELD SENTRY LTD., ET AL. v. DON CHIMANGO SA, ET AL.; and FAIRFIELD SENTRY LTD., ET AL. v. CITIBANK KOREA INC. ET AL., in the United States Bankruptcy Court for the Southern District of New York. The actions seek recovery of monies that were allegedly received directly or indirectly from Fairfield Sentry. In October 2021, Citi (Switzerland) AG and Citivic Nominees Ltd. filed a motion to dismiss for lack of personal jurisdiction, which remains pending. 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 CGML, Citibank (Switzerland) AG, Citibank, NA London, Citivic Nominees Ltd., Cititrust Bahamas Ltd., and Citibank Korea Inc., and permitted a single claim against Citibank, NA London, CGML, Citivic Nominees Ltd., and Citibank (Switzerland) AG to proceed. In late September 2022, the liquidators appealed the district court’s decision dismissing the liquidators’ claims. On September 30, 2022, CGML, Citibank (Switzerland) AG, Citibank, NA London, and Citivic Nominees Ltd. moved for leave to appeal the district court’s decision permitting the single claim to proceed against them. Additional information is publicly available in court filings under the docket numbers 10-13164, 10-3496, 10-3622, 10-3634, 10-4100, 10-3640, 11-2770, 12-1142, 12-1298 (Bankr. S.D.N.Y.) (Morris, J.); 19-3911, 19-4267, 19-4396, 19-4484, 19-5106, 19-5135, 19-5109, 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 (consolidated lead appeal), 22-2557, 22-2122, 22-2562, 22-2216, 22-2545, 22-2308, 22-2591, 22-2502, 22-2553, 22-2398, 22-2582 (2d Cir.). Parmalat Litigation In 2004, an Italian commissioner appointed to oversee the administration of various Parmalat companies filed a complaint against Citigroup, Citibank, and related parties, alleging that the defendants facilitated a number of frauds by Parmalat insiders. In 2008, a jury rendered a verdict in Citigroup’s favor and awarded Citi $431 million. In 2019, the Italian Supreme Court affirmed the decision in the full amount of $431 million. Citigroup has taken steps to enforce the judgment in Italian and Belgian courts. Additional information concerning these actions is publicly available in court filings under the docket numbers 27618/2014, 4133/2019, and 22098/2019 (Italy), and 20/3617/A and 20/4007/A (Brussels). In 2015, Parmalat filed a claim in an Italian civil court in Milan claiming damages of €1.8 billion against Citigroup, Citibank, and related parties, which the court dismissed on grounds that it was duplicative of Parmalat’s previously unsuccessful claims. In 2019, the Milan Court of Appeal rejected Parmalat’s appeal of the Milan court’s dismissal, which Parmalat appealed with the Italian Supreme Court. Additional information concerning this action is publicly available in court filings under the docket numbers 1009/2018 and 20598/2019. In January 2020, Parmalat, its three directors, and its sole shareholder, Sofil S.a.s., as co-plaintiffs, filed a claim before the Italian civil court in Milan seeking a declaratory judgment that they do not owe compensatory damages of €990 million to Citibank. In November 2020, Citibank joined the proceedings, seeking dismissal of the declaratory judgment application and filing a counterclaim. Additional information concerning this action is publicly available in court filings under the docket number 8611/2020. Shareholder Derivative and Securities Litigation Beginning in October 2020, four derivative actions were filed in the United States District Court for the Southern District of New York, purportedly on behalf of Citigroup (as nominal defendant) against certain of Citigroup’s current and former directors. The actions were later consolidated under the case name IN RE CITIGROUP INC. SHAREHOLDER DERIVATIVE LITIGATION. The consolidated complaint asserts claims for breach of fiduciary duty, unjust enrichment, and contribution and indemnification in connection with defendants’ alleged failures to implement adequate internal controls. In addition, the consolidated complaint asserts derivative claims for violations of Sections 10(b) and 14(a) of the Securities Exchange Act of 1934 in connection with statements in Citigroup’s 2019 and 2020 annual meeting proxy statements. In February 2021, the court stayed the action pending resolution of defendants’ motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-09438 (S.D.N.Y.) (Preska, J.). Beginning in December 2020, two derivative actions were filed in the Supreme Court of the State of New York, purportedly on behalf of Citigroup (as nominal defendant) against certain of Citigroup’s current and former directors, and certain current and former officers. The actions were later consolidated under the case name IN RE CITIGROUP INC. DERIVATIVE LITIGATION, and the court stayed the action pending resolution of defendants’ motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 656759/2020 (N.Y. Sup. Ct.) (Schecter, J.). On June 23, 2022, a third derivative action was filed in the Supreme Court of the State of New York, also purportedly on behalf of Citigroup (as nominal defendant) against certain of Citigroup’s current and former directors, and certain current and former officers. A stipulation to stay and consolidate this action with the Supreme Court of the State of New York action captioned IN RE CITIGROUP INC. DERIVATIVE LITIGATION is pending. Additional information concerning this action is publicly available in court filings under the docket number 656930/2022 (N.Y. Sup. Ct.) (Schecter, J.). 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 302 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. Defendants moved to transfer the new action to the United States District Court for the Southern District of New York. Additional information concerning this action is publicly available in court filings under the docket number 22 Civ. 4547 (E.D.N.Y.) (Kovner, J.). Beginning in October 2020, three putative class action complaints were filed in the United States District Court for the Southern District of New York against Citigroup and certain of its current and former officers, asserting violations of Sections 10(b) and 20(a) of the Securities Exchange Act of 1934 in connection with defendants’ alleged misstatements concerning Citigroup’s internal controls. The actions were later consolidated under the case name IN RE CITIGROUP SECURITIES LITIGATION. The consolidated complaint later added certain of Citigroup’s current and former directors as defendants. Defendants have moved to dismiss the consolidated amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-9132 (S.D.N.Y.) (Preska, J.). Sovereign Securities Matters Regulatory Actions: Government and regulatory agencies are conducting investigations or making inquiries regarding Citigroup’s sales and trading activities in connection with sovereign and other government-related securities. Citigroup is cooperating with these investigations and inquiries. Antitrust and Other Litigation: In 2015, putative class actions filed against CGMI and other defendants were consolidated under the caption IN RE TREASURY SECURITIES AUCTION ANTITRUST LITIGATION in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants colluded to fix U.S. treasury auction bids by sharing competitively sensitive information ahead of the auctions, and that defendants colluded to boycott and prevent the emergence of an anonymous, all-to-all electronic trading platform in the U.S. Treasuries secondary market. Plaintiffs assert claims under antitrust laws, and seek damages, including treble damages where authorized by statute, and injunctive relief. In March 2021, the court granted defendants’ motion to dismiss, without prejudice. In May 2021, plaintiffs filed an amended consolidated complaint. In June 2021, certain defendants, including CGMI, moved to dismiss the amended complaint. On March 31, 2022, the court dismissed the amended complaint with prejudice, and the plaintiffs have appealed that decision to the United States Court of Appeals for the Second Circuit. Additional information concerning this action is publicly available in court filings under the docket number 15- MD-2673 (S.D.N.Y.) (Gardephe, J.). In 2017, purchasers of supranational, sub-sovereign and agency (SSA) bonds filed a proposed class action on behalf of direct and indirect purchasers of SSA 296 bonds against Citigroup, Citibank, CGMI, CGML, Citibank Canada, Citigroup Global Markets Canada, Inc. and other defendants, captioned JOSEPH MANCINELLI, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., in the Federal Court in 303 Canada. Plaintiffs have filed an amended claim that alleges defendants manipulated, and colluded to manipulate, the SSA bonds market, asserts claims for breach of the Competition Act, breach of foreign law, civil conspiracy, unjust enrichment, waiver of tort and breach of contract, and seeks compensatory and punitive damages, among other relief. Additional information concerning this action is publicly available in court filings under the docket number T-1871-17 (Fed. Ct.). In 2018, a putative class action was filed against Citigroup, CGMI, Citigroup Financial Products Inc., Citigroup Global Markets Holdings Inc., Citibanamex, Grupo Banamex and other banks, captioned IN RE MEXICAN GOVERNMENT BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. The complaint alleges that defendants colluded in the Mexican sovereign bond market. In September 2019, the court granted defendants’ motion to dismiss. In December 2019, plaintiffs filed an amended complaint against Citibanamex and other market makers in the Mexican sovereign bond market. Plaintiffs no longer assert any claims against Citigroup or any other U.S. Citi affiliates. The amended complaint alleges a conspiracy to fix prices in the Mexican sovereign bond market, asserts antitrust and unjust enrichment claims, and seeks treble damages, restitution and injunctive relief. In February 2020, certain defendants, including Citibanamex, moved to dismiss the amended complaint. In June 2021, the court granted defendants’ motion to dismiss, and the plaintiffs have appealed that decision to the United States Court of Appeals for the Second Circuit. 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.). In February 2021, purchasers of Euro-denominated sovereign debt issued by European central governments added CGMI, CGML and others as defendants to a putative class action, captioned IN RE EUROPEAN GOVERNMENT BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants engaged in a conspiracy to inflate prices of European government bonds in primary market auctions and to fix the prices of European government bonds in secondary markets. Plaintiffs assert a claim under the Sherman Act and seek treble damages and attorneys’ fees. On March 14, 2022, the court granted defendants’ motion to dismiss the fourth amended complaint as to certain defendants, but denied defendants’ motion to dismiss as to other defendants, including CGMI and CGML. On June 16, 2022, the court denied certain defendants’ respective motions for reconsideration of the court’s denial of defendants’ motion to dismiss. In November 2022, plaintiffs moved for leave to amend the complaint. Additional information concerning this action is publicly available in court filings under the docket number 19-CV-2601 (S.D.N.Y.) (Marrero, J.). Transaction Tax Matters Citigroup and Citibank are engaged in litigation or examinations with non-U.S. tax authorities concerning the payment of transaction taxes and other non-income tax matters. Variable Rate Demand Obligation Litigation In 2019, the plaintiffs in the consolidated actions CITY OF PHILADELPHIA v. BANK OF AMERICA CORP, ET AL. and MAYOR AND CITY COUNCIL OF BALTIMORE v. BANK OF AMERICA CORP., ET AL. filed a consolidated complaint naming as defendants Citigroup, Citibank, CGMI, CGML and numerous other industry participants. The consolidated complaint asserts violations of the Sherman Act, as well as claims for breach of contract, breach of fiduciary duty, and unjust enrichment, and seeks damages and injunctive relief based on allegations that defendants served as remarketing agents for municipal bonds called variable rate demand obligations (VRDOs) and colluded to set artificially high VRDO interest rates. On November 6, 2020, the court granted in part and denied in part defendants’ motion to dismiss the consolidated complaint. In June 2021, the Board of Directors of the San Diego Association of Governments, acting as the San Diego County Regional Transportation Commission, filed a parallel putative class action against the same defendants named in the already pending nationwide consolidated class action. The two actions were consolidated and in August 2021, the plaintiffs in the nationwide putative class action filed a consolidated amended complaint, captioned THE CITY OF PHILADELPHIA, MAYOR AND CITY COUNCIL OF BALTIMORE, THE BOARD OF DIRECTORS OF THE SAN DIEGO ASSOCIATION OF GOVERNMENTS, ACTING AS THE SAN DIEGO COUNTY REGIONAL TRANSPORTATION COMMISSION v. BANK OF AMERICA CORP., ET AL. In September 2021, defendants moved to dismiss the consolidated amended complaint in part. On June 28, 2022, the court granted in part and denied in part defendants’ partial motion to dismiss the consolidated amended complaint. On October 27, 2022, plaintiffs filed a motion to certify a class of persons and entities who, from February 2008 to November 2015, paid interest rates on VRDOs with respect to the antitrust claim. The plaintiffs also moved to certify a subclass of individuals who entered into remarketing agreements with the defendants during that same period. Additional information concerning this action is publicly available in court filings under the docket number 19-CV-1608 (S.D.N.Y.) (Furman, J.). Settlement Payments Payments required in settlement agreements described above have been made or are covered by existing litigation or other accruals. 304 30. 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 years ended December 31, 2022, 2021 and 2020, Condensed Consolidating Balance Sheet as of December 31, 2022 and 2021 and Condensed Consolidating Statement of Cash Flows for the years ended December 31, 2022, 2021 and 2020 for Citigroup Inc., the parent holding company (Citigroup parent company), CGMHI, other Citigroup subsidiaries and eliminations, and total consolidating adjustments. “Other Citigroup subsidiaries and eliminations” includes all other subsidiaries of Citigroup, intercompany eliminations and income (loss) from discontinued operations. “Consolidating adjustments” includes Citigroup parent company elimination of distributed and undistributed income of subsidiaries and investment in subsidiaries. These Condensed Consolidating Financial Statements have been prepared and presented in accordance with SEC Regulation S-X Rule 3-10, “Financial Statements of Guarantors and Issuers of Guaranteed Securities Registered or Being Registered.” These Condensed Consolidating Financial Statements are presented for purposes of additional analysis, but should be considered in relation to the Consolidated Financial Statements of Citigroup taken as a whole. 305 Condensed Consolidating Statements of Income and Comprehensive Income In millions of dollars Revenues Dividends from subsidiaries Interest revenue Interest revenue—intercompany Interest expense Interest expense—intercompany Net interest income Commissions and fees Commissions and fees—intercompany Principal transactions Principal transactions—intercompany Other revenue Other revenue—intercompany Total non-interest revenues Total revenues, net of interest expense Provisions for credit losses and for benefits and claims Operating expenses Compensation and benefits Compensation and benefits—intercompany Other operating Other operating—intercompany Total operating expenses Equity in undistributed income of subsidiaries Income from continuing operations before income taxes Provision (benefit) for income taxes Income from continuing operations Income (loss) from discontinued operations, net of taxes Net income before attribution of noncontrolling interests Noncontrolling interests Net income Comprehensive income Add: Other comprehensive income (loss) Total Citigroup comprehensive income Add: Other comprehensive income attributable to noncontrolling interests Add: Net income attributable to noncontrolling interests Total comprehensive income $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ Year ended December 31, 2022 Citigroup parent company Other Citigroup subsidiaries and eliminations CGMHI Consolidating adjustments Citigroup consolidated $ 8,992 $ — $ (8,992) $ — 10,021 4,628 5,250 715 (1,337) $ — $ (1) 2,324 5,938 4,358 2,049 $ 4,617 $ 127 5,147 13,895 (5,686) (10,532) 210 (220) 493 (58) (550) $ 8,542 $ 7,105 $ 10,591 $ — $ 10 $ 64,387 (6,952) 14,552 (5,073) 47,956 $ 4,558 $ (126) (4,883) 16,218 2,633 278 18,678 $ 66,634 $ 5,229 $ — — — — — $ — $ — — — — — — $ (8,992) $ — $ — 74,408 — 25,740 — 48,668 9,175 — 14,159 — 3,336 — 26,670 75,338 5,239 9 $ 5,450 $ 21,196 $ — $ 26,655 12 85 15 — 2,962 2,705 (12) 21,590 (2,720) — — — — 24,637 — 121 $ 11,117 $ 40,054 $ — $ 51,292 6,173 $ 13,157 $ (1,688) 14,845 $ — — $ (536) $ (290) (246) $ — — $ (6,173) $ — 21,351 $ (15,165) $ 18,807 5,620 — 3,642 15,731 $ (15,165) $ 15,165 (231) — (231) 14,845 $ (246) $ 15,500 $ (15,165) $ 14,934 — — 89 — 89 14,845 $ (246) $ 15,411 $ (15,165) $ 14,845 (8,297) $ 6,548 $ — $ — 946 $ 700 $ — $ — (5,120) $ 10,291 $ 4,174 $ (8,297) (10,991) $ 6,548 (58) $ 89 — $ — (58) 89 6,548 $ 700 $ 10,322 $ (10,991) $ 6,579 306 Condensed Consolidating Statements of Income and Comprehensive Income In millions of dollars Revenues Dividends from subsidiaries Interest revenue Interest revenue—intercompany Interest expense Interest expense—intercompany Net interest income Commissions and fees Commissions and fees—intercompany Principal transactions Principal transactions—intercompany Other revenue Other revenue—intercompany Total non-interest revenues Total revenues, net of interest expense Provisions for credit losses and for benefits and claims Operating expenses Compensation and benefits Compensation and benefits—intercompany Other operating Other operating—intercompany Total operating expenses Equity in undistributed income of subsidiaries Income from continuing operations before income taxes Provision (benefit) for income taxes Income from continuing operations Income (loss) from discontinued operations, net of taxes Net income (loss) before attribution of noncontrolling interests Noncontrolling interests Net income Comprehensive income Add: Other comprehensive income (loss) Total Citigroup comprehensive income Add: Other comprehensive income attributable to noncontrolling interests Add: Net income attributable to noncontrolling interests Total comprehensive income $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ Year ended December 31, 2021 Citigroup parent company Other Citigroup subsidiaries and eliminations CGMHI Consolidating adjustments Citigroup consolidated $ 6,482 $ — $ — $ (6,482) $ — 3,566 3,757 4,791 294 (1,328) $ — $ (36) 976 (1,375) (64) (133) 531 778 1,320 1,999 $ 7,770 $ 407 10,140 (6,721) 576 (60) (632) $ 12,112 $ 4,522 $ 14,111 $ — $ 6 $ 46,909 (4,288) 2,412 (1,614) 41,823 $ 5,902 $ (371) (962) 8,096 5,052 193 17,910 $ 59,733 $ (3,784) $ — — — — — $ — $ — — — — — — $ (6,482) $ — 50,475 — 7,981 — 42,494 13,672 — 10,154 — 5,564 — 29,390 71,884 — $ (3,778) 10 $ 5,251 $ 19,873 $ — $ 25,134 69 83 11 — 2,868 2,826 (69) 20,108 (2,837) — — — — 23,059 — 173 $ 10,945 $ 37,075 $ — $ 48,193 16,596 $ — $ — $ (16,596) $ — 20,945 $ 3,160 $ 26,442 $ (23,078) $ 27,469 (1,007) 625 5,833 — 5,451 21,952 $ 2,535 $ 20,609 $ (23,078) $ 22,018 — — 7 — 7 21,952 $ 2,535 $ 20,616 $ (23,078) $ 22,025 — — 73 — 73 21,952 $ 2,535 $ 20,543 $ (23,078) $ 21,952 (6,707) $ (76) $ (450) $ 526 $ (6,707) 15,245 $ 2,459 $ 20,093 $ (22,552) $ 15,245 — $ — — $ — (99) $ 73 — $ — (99) 73 15,245 $ 2,459 $ 20,067 $ (22,552) $ 15,219 307 Condensed Consolidating Statements of Income and Comprehensive Income In millions of dollars Revenues Dividends from subsidiaries Interest revenue Interest revenue—intercompany Interest expense Interest expense—intercompany Net interest income Commissions and fees Commissions and fees—intercompany Principal transactions Principal transactions—intercompany Other revenue Other revenue—intercompany Total non-interest revenues Total revenues, net of interest expense Provisions for credit losses and for benefits and claims Operating expenses Compensation and benefits Compensation and benefits—intercompany Other operating Other operating—intercompany Total operating expenses Equity in undistributed income of subsidiaries Income from continuing operations before income taxes Provision (benefit) for income taxes Income from continuing operations Income (loss) from discontinued operations, net of taxes Net income before attribution of noncontrolling interests Noncontrolling interests Net income Comprehensive income Add: Other comprehensive income (loss) Total Citigroup comprehensive income Add: Other comprehensive income attributable to noncontrolling interests Add: Net income attributable to noncontrolling interests Total comprehensive income $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ $ Year ended December 31, 2020 Citigroup parent company Other Citigroup subsidiaries and eliminations CGMHI Consolidating adjustments Citigroup consolidated $ 2,355 $ — $ — $ (2,355) $ — 4,162 4,992 502 (1,332) $ — $ (36) 5,364 920 1,989 2,170 2,125 $ 6,216 $ 290 (1,254) (4,252) 693 (127) 111 9,064 706 23 (613) $ 12,047 $ 410 $ 14,172 $ — $ (1) $ 52,725 (5,082) 6,357 (2,672) 43,958 $ 5,169 $ (254) 19,391 (9,757) 4,901 (134) 19,316 $ 63,274 $ 17,496 $ — — — — — $ — $ — — — — — — $ (2,355) $ — $ — 58,089 — 13,338 — 44,751 11,385 — 13,885 — 5,480 — 30,750 75,501 17,495 (5) $ 4,941 $ 17,278 $ — $ 22,214 191 37 15 — 2,393 2,317 (191) 19,730 (2,332) — — — — 22,160 — 238 $ 9,651 $ 34,485 $ — $ 44,374 9,894 $ — $ — $ (9,894) $ — 10,066 $ 4,522 $ 11,293 $ (12,249) $ 13,632 (981) 1,249 11,047 $ 3,273 $ — — 2,257 9,036 $ (20) — 2,525 (12,249) $ 11,107 — (20) 11,047 $ 3,273 $ 9,016 $ (12,249) $ 11,087 — — 40 — 40 11,047 $ 3,273 $ 8,976 $ (12,249) $ 11,047 4,260 $ (223) $ 4,244 $ (4,021) $ 4,260 15,307 $ 3,050 $ 13,220 $ (16,270) $ 15,307 — $ — — $ — 26 $ 40 — $ — 26 40 15,307 $ 3,050 $ 13,286 $ (16,270) $ 15,373 308 Securities borrowed and purchased under resale agreements — 286,724 78,677 Condensed Consolidating Balance Sheet In millions of dollars Assets Cash and due from banks Cash and due from banks—intercompany Deposits with banks, net of allowance Deposits with banks—intercompany Securities borrowed and purchased under resale agreements— intercompany Trading account assets Trading account assets—intercompany Investments, net of allowance Loans, net of unearned income Loans, net of unearned income—intercompany Allowance for credit losses on loans (ACLL) Total loans, net Advances to subsidiaries Investments in subsidiary bank holding company Investments in non-bank subsidiaries Other assets, net of allowance(1) Other assets—intercompany Total assets Liabilities and equity Deposits Deposits—intercompany Securities loaned and sold under repurchase agreements Securities loaned and sold under repurchase agreements— intercompany Trading account liabilities Trading account liabilities—intercompany Short-term borrowings Short-term borrowings—intercompany Long-term debt Long-term debt—intercompany Advances from subsidiary bank holding company Advances from non-bank subsidiaries Other liabilities Other liabilities—intercompany Stockholders’ equity Total liabilities and equity December 31, 2022 Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated 955 $ 29,622 $ — $ 30,577 $ — $ 15 — 7,448 7,902 (7,463) 303,546 3,000 10,816 (13,816) — 130 176 1 — — — 19,549 (19,549) 202,678 131,306 7,279 (7,455) 265 526,316 1,749 655,472 337 — (337) (16,974) — $ 2,086 $ 638,161 $ 146,843 $ — $ (146,843) $ $ $ $ $ 172,721 48,295 — — — — (172,721) (48,295) 10,441 66,753 131,113 3,346 94,716 (98,062) — — 208,307 — 384,968 $ 707,171 $ 1,545,553 $ (221,016) $ 2,416,676 — $ 1,365,954 $ — $ 1,365,954 — — — — — — — — — — — — $ — $ — 311,448 — 365,401 — 334,114 — 526,582 657,221 — (16,974) 640,247 — — — — — — — — — — — — — — — — — 202,444 — 170,647 — 47,096 — 271,606 — — — 157,091 — — $ — — — 23 — — 181,765 20,679 64,151 (64,151) 108,940 581 6,989 — — 20,382 23,468 166,257 88,844 61,684 (7,570) 26,714 (23,468) 16,505 — 83,224 (83,224) 6,629 7,933 2,321 — — 75,040 (6,629) (7,933) 79,730 35 15,530 (15,565) 201,189 38,838 182,827 (221,016) 201,838 $ 384,968 $ 707,171 $ 1,545,553 $ (221,016) $ 2,416,676 (1) Citigroup parent company and Other Citigroup subsidiaries at December 31, 2022 included $40.2 billion of placements to Citibank and its branches, of which $29.2 billion had a remaining term of less than 30 days. 309 Securities borrowed and purchased under resale agreements — 269,608 57,680 Condensed Consolidating Balance Sheet In millions of dollars Assets Cash and due from banks Cash and due from banks—intercompany Deposits with banks, net of allowance Deposits with banks—intercompany Securities borrowed and purchased under resale agreements— intercompany Trading account assets Trading account assets—intercompany Investments, net of allowance Loans, net of unearned income Loans, net of unearned income—intercompany Allowance for credit losses on loans (ACLL) Total loans, net Advances to subsidiaries Investments in subsidiary bank holding company Investments in non-bank subsidiaries Other assets, net of allowance(1) Other assets—intercompany Total assets Liabilities and equity Deposits Deposits—intercompany Securities loaned and sold under repurchase agreements Securities loaned and sold under repurchase agreements— intercompany Trading account liabilities Trading account liabilities—intercompany Short-term borrowings Short-term borrowings—intercompany Long-term debt Long-term debt—intercompany Advances from subsidiary bank holding company Advances from non-bank subsidiaries Other liabilities Other liabilities—intercompany Stockholders’ equity Total liabilities and equity December 31, 2021 Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated 834 $ 26,681 $ — $ 27,515 $ — $ 17 — 6,890 7,936 (6,907) 226,582 3,500 11,005 (14,505) — 248 23,362 (23,362) 189,841 141,856 1,215 1,438 (2,653) 1 — — — 224 512,597 2,293 665,474 — — — (16,455) — $ 2,293 $ 649,019 $ $ $ $ $ — $ (142,144) $ — — — — (175,849) (47,454) 69,312 60,567 126,112 (63,304) — — 206,013 — 383,754 $ 643,310 $ 1,487,652 $ (223,303) $ 2,291,413 — $ 1,317,230 $ — $ 1,317,230 142,144 $ 175,849 47,454 10,589 2,737 — $ — — — 17 777 — — 164,945 — 5,426 8,043 2,574 — 201,972 — — 171,818 19,467 62,197 (62,197) 122,383 500 13,425 17,230 61,416 76,335 — — 68,206 11,774 38,026 39,129 (1,277) 14,548 (17,230) 28,013 (76,335) (5,426) (8,043) 65,570 (11,774) — — — — — — — — — — — — $ — $ — 234,518 — 327,288 — 331,945 — 512,822 667,767 — (16,455) 651,312 — — — — — — — — — — — — — — — — — 191,285 — 161,529 — 27,973 — 254,374 — — — 136,350 — $ 383,754 $ 643,310 $ 1,487,652 $ (223,303) $ 2,291,413 185,977 (223,303) 202,672 (1) Citigroup parent company and Other Citigroup subsidiaries 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. 310 Condensed Consolidating Statement of Cash Flows In millions of dollars Net cash provided by (used in) operating activities of continuing operations Cash flows from investing activities of continuing operations Available-for-sale debt securities: Purchases of investments Proceeds from sales of investments Proceeds from maturities of investments Held-to-maturity debt securities: Purchases of investments Proceeds from maturities of investments Change in loans Proceeds from sales and securitizations of loans Proceeds from divestitures Change in securities borrowed and purchased under agreements to resell Changes in investments and advances—intercompany Other investing activities Net cash used in investing activities of continuing operations Cash flows from financing activities of continuing operations Dividends paid Issuance of preferred stock Redemption of preferred stock Treasury stock acquired Proceeds (repayments) from issuance of long-term debt, net Proceeds (repayments) from issuance of long-term debt— intercompany, net Change in deposits Change in securities loaned and sold under agreements to repurchase Change in short-term borrowings Net change in short-term borrowings and other advances— intercompany Capital contributions from (to) parent Other financing activities Net cash provided by financing activities of continuing operations Effect of exchange rate changes on cash and due from banks Change in cash and due from banks and deposits with banks Cash and due from banks and deposits with banks at beginning of year Cash and due from banks and deposits with banks at end of year Cash and due from banks (including segregated cash and other deposits) Deposits with banks, net of allowance Cash and due from banks and deposits with banks at end of year Supplemental disclosure of cash flow information for continuing operations Cash paid (received) during the year for income taxes Cash paid during the year for interest Non-cash investing activities Transfer of investment securities from AFS to HTM Decrease in net loans associated with divestitures reclassified to HFS Decrease in goodwill associated with divestitures reclassified to HFS Transfers to loans HFS (Other assets) from loans Non-cash financing activities Decrease in deposits associated with significant disposals reclassified to HFS Year ended December 31, 2022 Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated $ 156 $ (18,505) $ 43,418 $ — $ 25,069 $ $ $ $ $ $ $ $ $ $ $ — $ — — — — — — — — $ — — — — — — — — (7,815) — (7,815) $ (13,303) (33,929) (65) (47,297) $ (5,003) $ — — (3,250) 14,661 (281) $ — — — 34,162 — — — — 11,089 — 11,901 6,957 1,093 — (344) 7,157 $ — $ (502) $ 2,038 380 12 66,258 $ — $ 456 $ 3,517 3,015 $ 26,665 27,121 $ 15 $ 3,000 3,015 $ 8,403 $ 18,718 27,121 $ (1,269) $ 1,309 363 $ 9,936 — $ — — — — $ — — — (218,747) $ 79,687 140,934 — $ — — (218,747) 79,687 140,934 (42,903) 12,188 (16,591) 4,709 5,741 (24,810) 41,744 (6,295) (24,343) $ 281 $ — — — (1,160) (11,089) 68,415 (742) 12,166 (3,131) (380) (12) 64,348 $ (3,385) $ 80,038 $ 231,851 311,889 $ 22,159 $ 289,730 311,889 $ 4,639 $ 11,370 21,688 $ 16,956 876 5,582 — — — — — — — — — $ — $ — — — — — — — — — — — — $ — $ — $ (42,903) 12,188 (16,591) 4,709 5,741 (38,113) — (6,360) (79,455) (5,003) — — (3,250) 47,663 — 68,415 11,159 19,123 — — (344) 137,763 (3,385) 79,992 — — $ 262,033 342,025 — $ — — $ 30,577 311,448 342,025 — $ — — $ — — — 3,733 22,615 21,688 16,956 876 5,582 $ — $ — $ 19,691 $ — $ 19,691 311 Condensed Consolidating Statement of Cash Flows In millions of dollars Net cash provided by (used in) operating activities of continuing operations Cash flows from investing activities of continuing operations Available-for-sale debt securities: Purchases of investments Proceeds from sales of investments Proceeds from maturities of investments Held-to-maturity debt securities: Purchases of investments Proceeds from maturities of investments Change in loans Proceeds from sales and securitizations of loans Change in securities borrowed and purchased under agreements to resell Changes in investments and advances—intercompany Other investing activities Net cash provided by (used in) investing activities of continuing operations Year ended December 31, 2021 Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated $ 3,947 $ 43,227 $ (84) $ — $ 47,090 $ — $ — — — $ — — (205,980) $ 125,895 120,936 — — — — — 8,260 — — — — — (29,944) (9,040) (2) (136,450) 21,164 (1,173) 2,918 (2,632) 780 (5,478) — $ — — (205,980) 125,895 120,936 — — — — — — — (136,450) 21,164 (1,173) 2,918 (32,576) — (5,480) $ 8,260 $ (38,986) $ (80,020) $ — $ (110,746) $ Cash flows from financing activities of continuing operations Dividends paid Issuance of preferred stock Redemption of preferred stock Treasury stock acquired Proceeds from issuance of long-term debt, net Proceeds (repayments) from issuance of long-term debt—intercompany, net Change in deposits Change in securities loaned and sold under agreements to repurchase Change in short-term borrowings Net change in short-term borrowings and other advances—intercompany Capital contributions from (to) parent Other financing activities Net cash provided by (used in) financing activities of continuing operations Effect of exchange rate changes on cash and due from banks Change in cash and due from banks and deposits with banks Cash and due from banks and deposits with banks at beginning of year Cash and due from banks and deposits with banks at end of year Cash and due from banks (including segregated cash and other deposits) Deposits with banks, net of allowance Cash and due from banks and deposits with banks at end of year Supplemental disclosure of cash flow information for continuing operations Cash paid (received) during the year for income taxes Cash paid during the year for interest Non-cash investing activities Decrease in net loans associated with divestitures reclassified to HFS Transfers to loans HFS (Other assets) from loans Non-cash financing activities Decrease in long-term debt associated with divestitures reclassified to HFS Decrease in deposits associated with divestitures reclassified to HFS reclassified to HFS $ $ $ $ $ $ $ (5,198) $ 3,300 (3,785) (7,601) (86) (196) $ — — — 15,071 — — — — 501 — (337) 14,410 — (27,241) 1,102 (917) 71 12 $ (13,206) $ — $ (999) $ 2,312 $ — $ 6,553 $ 4,516 20,112 3,517 $ 26,665 $ 7,724 $ 17 $ 18,941 3,500 3,517 $ 26,665 $ (2,406) $ 3,101 919 $ 2,210 — $ — — $ — 196 $ — — — (19,277) (14,410) 44,966 19,001 (2,643) 416 (71) (12) 28,166 $ (1,198) $ (53,136) $ 284,987 231,851 $ 19,774 $ 212,077 231,851 $ 5,515 $ 1,832 9,945 $ 7,414 — $ — — — — — — — — — — — — $ — $ — $ — — $ — $ — — $ — $ — — $ — (5,198) 3,300 (3,785) (7,601) (4,292) — 44,966 (8,240) (1,541) — — (337) 17,272 (1,198) (47,582) 309,615 262,033 27,515 234,518 262,033 4,028 7,143 9,945 7,414 $ — $ — $ 479 $ — $ 479 — — 8,407 — 8,407 312 Condensed Consolidating Statements of Cash Flows In millions of dollars Net cash provided by (used in) operating activities of continuing operations Cash flows from investing activities of continuing operations Available-for-sale debt securities: Purchases of investments Proceeds from sales of investments Proceeds from maturities of investments Held-to-maturity debt securities: Purchases of investments Proceeds from maturities of investments Change in loans Proceeds from sales and securitizations of loans Change in securities borrowed and purchased under agreements to resell Changes in investments and advances—intercompany Other investing activities Net cash provided by (used in) investing activities of continuing operations Cash flows from financing activities of continuing operations Dividends paid Issuance of preferred stock Redemption of preferred stock Treasury stock acquired Proceeds (repayments) from issuance of long-term debt, net Proceeds (repayments) from issuance of long-term debt— intercompany, net Change in deposits Change in securities loaned and sold under agreements to repurchase Change in short-term borrowings Net change in short-term borrowings and other advances— intercompany Other financing activities Net cash provided by financing activities of continuing operations Effect of exchange rate changes on cash and due from banks Change in cash and due from banks and deposits with banks Cash and due from banks and deposits with banks at beginning of year Cash and due from banks and deposits with banks at end of year Cash and due from banks (including segregated cash and other deposits) Year ended December 31, 2020 Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated $ 5,002 $ (26,195) $ (2,295) $ — $ (23,488) $ — $ — — — — — — — $ — — — — — — — (5,584) — (46,044) (6,917) (54) (306,801) $ 144,035 110,941 — $ — — (306,801) 144,035 110,941 (25,586) 15,215 14,249 1,495 2,654 12,501 (2,549) — — — — — — — (25,586) 15,215 14,249 1,495 (43,390) — (2,603) $ (5,584) $ (53,015) $ (33,846) $ — $ (92,445) 172 $ — — — (10,091) (3,960) 210,081 (46,136) (16,763) 15,334 — 148,637 $ (1,966) $ 110,530 $ — $ — — — — — — — — — — — $ — $ (5,352) 2,995 (1,500) (2,925) 13,056 — 210,081 33,186 (15,535) — (411) 233,595 (1,966) — $ 115,696 $ (5,352) $ 2,995 (1,500) (2,925) 16,798 (172) $ — — — 6,349 — — — — 3,960 — 79,322 1,228 (7,528) (411) 2,077 $ — $ (7,806) — 82,881 $ — $ 1,495 $ 3,671 $ $ $ $ $ $ 3,021 16,441 174,457 4,516 $ 20,112 $ 284,987 $ — 193,919 — $ 309,615 16 $ 6,709 $ 19,624 $ — $ 26,349 Deposits with banks, net of allowance 4,500 13,403 265,363 Cash and due from banks and deposits with banks at end of year $ 4,516 $ 20,112 $ 284,987 $ — 283,266 — $ 309,615 Supplemental disclosure of cash flow information for continuing operations Cash paid (received) during the year for income taxes Cash paid during the year for interest Non-cash investing activities Transfers to loans HFS (Other assets) from loans (1,883) $ 2,681 1,138 $ 4,516 5,542 $ 4,897 — $ — 4,797 12,094 — $ — $ 2,614 $ — $ 2,614 $ $ 313 FINANCIAL DATA SUPPLEMENT RATIOS Return on average assets 0.62 % 0.94 % 0.50 % 2022 2021 2020 Return on average common stockholders’ equity(1) Return on average total stockholders’ equity(2) Total average equity to average assets(3) Dividend payout ratio(4) 7.7 11.5 7.5 10.9 8.3 29 8.6 20 5.7 5.7 8.7 43 (1) Based on Citigroup’s net income less preferred stock dividends as a percentage of average common stockholders’ equity. (2) Based on Citigroup’s net income as a percentage of average total Citigroup stockholders’ equity. (3) Based on average Citigroup stockholders’ equity as a percentage of average assets. (4) Dividends declared per common share as a percentage of diluted EPS. AVERAGE DEPOSIT LIABILITIES IN OFFICES OUTSIDE THE U.S.(1) In millions of dollars at year end, except ratios Banks Other demand deposits Other time and savings deposits Total Average interest rate 2022 Average balance Average interest rate 2021 Average balance Average interest rate 2020 Average balance 0.66 % $ 32,094 0.16 % $ 42,222 0.10 % $ 130,970 0.49 1.79 394,488 190,448 0.15 0.55 412,815 200,194 0.33 0.94 311,342 210,896 0.90 % $ 617,030 0.28 % $ 655,231 0.48 % $ 653,208 (1) Interest rates and amounts include the effects of risk management activities and also reflect the impact of the local interest rates prevailing in certain countries. UNINSURED DEPOSITS The table below shows the estimated amount of uninsured time deposits by maturity profile: In millions of dollars at December 31, 2022 In U.S. offices(1) Time deposits in excess of FDIC insurance limits(2) In offices outside the U.S.(1) Time deposits in excess of foreign jurisdiction insurance limits(3) Total uninsured time deposits(4) Under 3 months or less Over 3 months but within 6 months Over 6 months but within 12 months Over 12 months Total $ 24,534 $ 11,556 $ 22,868 $ 2,642 $ 61,600 128,189 9,289 12,125 1,318 150,921 $ 152,723 $ 20,845 $ 34,993 $ 3,960 $ 212,521 (1) The classification between offices in the U.S. and outside the U.S. is based on the domicile of the booking unit, rather than the domicile of the depositor. (2) The standard insurance amount is $250,000 and $500,000 per depositor, per insured bank, for single and joint account ownership categories, respectively. (3) For purposes of this presentation, time deposits in offices outside the U.S. are deemed to be uninsured. (4) The maturity term is based on the remaining term of the time deposit rather than the original maturity date. Total uninsured deposits as of December 31, 2022 were $1.16 trillion (see footnotes 1, 2 and 3 to the table above). 314 SUPERVISION, REGULATION AND OTHER SUPERVISION AND REGULATION Citi is subject to regulation under U.S. federal and state laws, as well as applicable laws in the other jurisdictions in which it does business. General Citigroup is a registered bank holding company and financial holding company and is regulated and supervised by the Federal Reserve Board (FRB). Citigroup’s nationally chartered subsidiary banks, including Citibank, are regulated and supervised by the Office of the Comptroller of the Currency (OCC). The Federal Deposit Insurance Corporation (FDIC) also has examination authority for banking subsidiaries whose deposits it insures. Overseas branches of Citibank are regulated and supervised by the FRB and OCC and overseas subsidiary banks by the FRB. These overseas branches and subsidiary banks are also regulated and supervised by regulatory authorities in the host countries. In addition, the Consumer Financial Protection Bureau regulates consumer financial products and services. Citi is also subject to laws and regulations concerning the collection, use, sharing and disposition of certain customer, employee and other personal and confidential information, including those imposed by the Gramm-Leach-Bliley Act, the Fair Credit Reporting Act and the EU General Data Protection Regulation. For more information on U.S. and foreign regulation affecting or potentially affecting Citi, see “Managing Global Risk—Capital Resources” and “—Liquidity Risk” and “Risk Factors” above. Other Bank and Bank Holding Company Regulation Citi, including its banking subsidiaries, is subject to regulatory limitations, including requirements as to liquidity, risk-based capital and leverage (see “Capital Resources” above and Note 19), restrictions on the types and amounts of loans that may be made and the interest that may be charged, and limitations on investments that can be made and services that can be offered. The FRB may also expect Citi to commit resources to its subsidiary banks in certain circumstances. Citi is also subject to anti-money laundering and financial transparency laws, including standards for verifying client identification at account opening and obligations to monitor client transactions and report suspicious activities. Securities and Commodities Regulation Citi conducts securities underwriting, brokerage and dealing activities in the U.S. through Citigroup Global Markets Inc. (CGMI), its primary broker-dealer, and other broker-dealer subsidiaries, which are subject to regulations of the U.S. Securities and Exchange Commission (SEC), the Financial Industry Regulatory Authority and certain exchanges. Citi conducts similar securities activities outside the U.S., subject to local requirements, through various subsidiaries and affiliates, principally Citigroup Global Markets Limited in London (CGML), which is regulated principally by the U.K. Financial Conduct Authority and Prudential Regulation Authority (PRA), and Citigroup Global Markets Japan Inc. in Tokyo, which is regulated principally by the Financial Services Agency of Japan. Citi also has subsidiaries that are members of futures exchanges and derivatives clearinghouses. In the U.S., CGMI is a member of the principal U.S. futures exchanges and clearinghouses, and Citi has subsidiaries that are registered as futures commission merchants and commodity pool operators with the Commodity Futures Trading Commission (CFTC). Citibank, CGMI, Citigroup Energy Inc., Citigroup Global Markets Europe AG (CGME) and CGML are also registered as swap dealers with the CFTC (for additional information, see below). CGMI is also subject to SEC and CFTC rules that specify uniform minimum net capital requirements. Compliance with these rules could limit those operations of CGMI that require the intensive use of capital and also limits the ability of broker-dealers to transfer large amounts of capital to parent companies and other affiliates. See “Capital Resources” above and Note 19 for a further discussion of capital considerations of Citi’s non-banking subsidiaries. Recent Rules Regarding Swap Dealers/Security-Based Swap Dealers On July 22, 2020, the CFTC adopted final rules establishing capital and financial reporting requirements for swap dealers that took effect in October 2021. In addition, the SEC has adopted rules governing the registration and regulation of security-based swap dealers. The regulations include requirements related to (i) capital, margin and segregation, (ii) record-keeping, reporting and notification and (iii) risk management practices for uncleared security- based swaps and the cross-border application of certain security-based swap requirements. These requirements also took effect in November 2021. Citibank, CGML and CGME registered with the SEC as security-based swap dealers. Transactions with Affiliates Transactions between Citi’s U.S. subsidiary depository institutions and their non-bank affiliates are regulated by the FRB, and are generally required to be on arm’s-length terms. See “Managing Global Risk—Liquidity Risk” above. COMPETITION The financial services industry is highly competitive. Citi’s competitors include a variety of financial services and advisory companies, as well as certain non-financial services firms. Citi competes for clients and capital (including deposits and funding in the short- and long-term debt markets) with some of these competitors globally and with others on a regional or product basis. Citi’s competitive position depends on many factors, including, among others, the value of Citi’s brand name, reputation, the types of clients and geographies served; the quality, range, performance, innovation and pricing of products and services; the effectiveness of and access to distribution channels, maintenance of partner relationships, emerging technologies and technology advances, customer service and convenience; the effectiveness of transaction execution, interest rates, lending limits and risk appetite; regulatory constraints and compliance; and changes in the 315 Commerzbank AG, Hamburg, to satisfy a judgment from the Commercial Court of Paris. The total value of the payment was USD 22,610,822.13 and the transaction was authorized pursuant to a license issued by OFAC on May 3, 2022, which expires on May 31, 2024. Citi realized nominal fees for the processing of the payment. On December 27, 2022, two subsidiaries of Citigroup processed a transaction between the Central Bank of Iran (the CBI) and an international organization. The CBI sent funds to the international organization’s Korean won account at Citibank Korea Inc., which were then converted to U.S. dollars and transferred to the international organization’s U.S. dollar account at Citibank, N.A., New York Branch. The total value of the payment was USD 20,573,794.74. The transaction was a payment for the Government of Iran’s membership dues to the international organization. Citi obtained a two-year license from OFAC for such payments, expiring on May 31, 2023. Citi realized nominal fees for the processing of the payment. macroeconomic business environment or societal norms. Citi’s ability to compete effectively also depends upon its ability to attract new colleagues and retain and motivate existing colleagues, while managing compensation and other costs. For additional information on competitive factors and uncertainties impacting Citi’s businesses, see “Risk Factors—Strategic Risks” above. 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 report any activities pursuant to Section 219 in its Second Quarter of 2022 Form 10-Q or Third Quarter of 2022 Form 10-Q. During the fourth quarter of 2022, Citigroup identified seven transactions pursuant to Section 219 related to the second, third and fourth quarters of 2022. Between April 2022 and July 2022, a Citigroup subsidiary processed four payments to cover the service and insurance fees on a now closed credit card held by a Specially Designated National, who was designated pursuant to the Weapons of Mass Destruction Proliferators Sanctions Regulations. The total value of the payments was equivalent to USD 14.29, and they were assessed for the period after the designation but prior to the closure of the account. Citi did not realize any additional fees for the processing of the payments. Once identified, the transactions were disclosed to the U.S. Department of the Treasury’s Office of Foreign Assets Control (OFAC). On October 19, 2022, Citibank, N.A., New York Branch, participated in a transaction that indirectly involved the Foreign Trade Bank of the Democratic People’s Republic of Korea when it processed a funds transfer from an international organization to the account of the Permanent Mission of the Democratic People’s Republic of Korea (DPRK) at the international organization’s Federal Credit Union. The total value of the payment was approximately USD 1,000,000 and was a payment to fund the international organization’s humanitarian activities in the DPRK and the operations of the DPRK mission. This transaction was made pursuant to a license issued by OFAC on September 27, 2022, which expires on September 30, 2023. Citi realized nominal fees for the processing of the payment. In November 2022, Citibank, N.A., acting as an intermediary bank, processed a transfer of funds from the accounts of subsidiaries of the Islamic Republic of Iran Shipping Lines held at Société Générale bank, Paris, to 316 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” above. Citi did not have any share repurchases in the fourth quarter of 2022, other than repurchases relating to issuances of common stock related to employee stock ownership plans. For information on Citi’s pause of common share repurchases, see “Executive Summary” above. During the quarter, 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 for the fourth quarter of 2022 and the first quarter of 2023. As previously announced, Citi intends to maintain its planned capital actions, which include a quarterly common dividend of at least $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” above. Any dividend on Citi’s outstanding common stock would also need to be in compliance with Citi’s obligations on its outstanding preferred stock. During 2022, Citi distributed $1,032 million in dividends on its outstanding preferred stock. On January 11, 2023, Citi declared preferred dividends of approximately $277 million for the first quarter of 2023. See Note 19 for information on the ability of Citigroup’s subsidiary depository institutions to pay dividends. 317 PERFORMANCE GRAPH Comparison of Five-Year Cumulative Total Return The following graph and table compare the cumulative total return on Citi’s common stock with the cumulative total return of the S&P 500 Index and the S&P Financials Index over the five-year period through December 31, 2022. The graph and table assume that $100 was invested on December 31, 2017 in Citi’s common stock, the S&P 500 Index and the S&P Financials Index, and that all dividends were reinvested. Comparison of Five-Year Cumulative Total Return For the years ended DATE 31-Dec-2017 31-Dec-2018 31-Dec-2019 31-Dec-2020 31-Dec-2021 31-Dec-2022 Citigroup 100.0 71.5 112.8 90.7 91.6 71.3 S&P 500 Index 100.0 93.8 120.8 140.5 178.3 143.6 S&P Financials Index 100.0 85.3 110.2 105.7 140.1 122.8 Note: Citi’s common stock is listed on the NYSE under the ticker symbol “C” and held by 60,813 common stockholders of record as of January 31, 2023. 318 CitigroupS&P 500 IndexS&P Financials Index2017201820192020202120225075100125150175200 CORPORATE INFORMATION • Mr. Garg joined Citi in May 1988 and assumed his EXECUTIVE OFFICERS Citigroup’s executive officers as of February 24, 2023 are: Name Peter Babej Titi Cole Jane Fraser Sunil Garg Age Position and office held 59 CEO, Asia Pacific 50 CEO, Legacy Franchises 55 Chief Executive Officer, Citigroup Inc. 57 Chief Executive Officer, Citibank, N.A. David Livingstone 59 CEO, Europe, Middle East and Africa Mark A. L. Mason Brent McIntosh 53 Chief Financial Officer 49 General Counsel and Corporate Secretary Johnbull Okpara 51 Controller and Chief Accounting Officer Karen Peetz Anand Selvakesari 67 Chief Administrative Officer 55 CEO, Personal Banking and Wealth Edward Skyler Ernesto Torres Cantú Management 49 Head of Enterprise Services & Public Affairs 58 CEO, Latin America Zdenek Turek 58 Chief Risk Officer Sara Wechter Mike Whitaker 42 Head of Human Resources 59 Head of Enterprise Operations and Technology Paco Ybarra 61 CEO, Institutional Clients Group The following executive officers have not held their current executive officer positions with Citigroup for at least five years: • Mr. Babej joined Citi in 2010 and assumed his current position in October 2019. Previously, he served as ICG’s Global Head of the Financial Institutions Group (FIG) from January 2017 to October 2019 and Global Co-Head of FIG from 2010 to January 2017. Prior to joining Citi, Mr. Babej served as Co-Head, Financial Institutions— Americas at Deutsche Bank, among other roles; • Ms. Cole joined Citi in her current position in February 2022. Previously, she served as PBWM’s Head of Global Operations and Fraud Prevention and Chief Client Officer. Prior to joining Citi, Ms. Cole served as Head of Consumer and Small Business Banking Operations and Contact Centers at Wells Fargo, and before that, led Retail Products and Underwriting for Bank of America; • Ms. Fraser joined Citi in 2004 and assumed her current position on February 26, 2021. Previously, she served as CEO of (the former) Global Consumer Banking from October 2019 to December 2020. Before that, she served as CEO of Citi Latin America from June 2015 to October 2019. She held a number of other roles across the organization, including CEO of U.S. Consumer and Commercial Banking and CitiMortgage, CEO of Citi’s Global Private Bank and Global Head of Strategy and M&A; current position in February 2021. Previously, he was global CEO of the Commercial Bank beginning in 2011. Prior to that, Mr. Garg led the U.S. Commercial Banking business from 2008 until 2011. In addition, he held various other roles at Citi in Operations and Technology, Treasury and Trade Solutions, Corporate and Investment Banking and Commercial Banking. • Mr. Livingstone joined Citi in 2016 and assumed his current position in March 2019. Previously, he served as Citi Country Officer for Australia and New Zealand since June 2016. Prior to joining Citi, he had a nine-year career at Credit Suisse, where he was Vice Chairman of the Investment Banking and Capital Markets Division for the EMEA region, Head of M&A and CEO of Credit Suisse Australia; • Mr. Mason joined Citi in 2001 and assumed his current position in February 2019. Previously, he served as CFO of ICG since September 2014. He held a number of other senior operational, strategic and financial executive roles across the organization, including CEO of Citi Private Bank, CEO of Citi Holdings and CFO and Head of Strategy and M&A for Citi’s Global Wealth Management Division; • Mr. McIntosh joined Citi in his current position in October 2021. Previously, he served as Under Secretary for International Affairs at the U.S. Treasury from 2019 to 2021. From 2017 to 2019, Mr. McIntosh served as U.S. Treasury’s General Counsel. Prior to that, he was a partner in the law firm of Sullivan & Cromwell and served in the U.S. White House from 2006 until 2009; • Mr. Okpara joined Citi in his current position in November 2020. Previously he served as Managing Director, Global Head of Financial Planning and Analysis and CFO, Infrastructure Groups at Morgan Stanley since 2016. Prior to that, Mr. Okpara was Managing Vice President, Finance and Deputy Controller at Capital One Financial Corporation; • Ms. Peetz joined Citi in her current position in June 2020. Previously, she served on the Board of Directors of Wells Fargo from 2017 to 2019. Ms. Peetz spent nearly 20 years at BNY Mellon, where she managed several business units and ultimately served as President for five years until her departure in 2016. Prior to that, she worked at JPMorgan Chase, where she held a variety of management positions during her tenure; • Mr. Selvakesari joined Citi in 1991 and assumed his current position in January 2021. Previously, he served as Head of the U.S. Consumer Bank since October 2018 and held various other roles at Citi prior to that, including Head of Consumer Banking for Asia Pacific from 2015 to 2018, as well as a number of regional and country roles, including Head of Consumer Banking for ASEAN and India, leading the consumer banking businesses in Singapore, Malaysia, Indonesia, the Philippines, Thailand and Vietnam, as well as India; • Mr. Torres Cantú joined Citi in 1989 and assumed his current position in October 2019. Previously, he served as CEO of Citibanamex since October 2014. He served as CEO of (the former) Global Consumer Banking in 319 Mexico from 2006 to 2011 and CEO of Crédito Familiar from 2003 to 2006. In addition, he previously held roles in Citibanamex, including Regional Director and Divisional Director; • Mr. Turek joined Citi in 1991 and assumed his current position in December 2020. Previously, he served as CRO for EMEA since February 2020 and held various other roles at Citi, including CEO of Citibank Europe as well as leading significant franchises across Citi, including in Russia, South Africa and Hungary; • Ms. Wechter joined Citi in 2004 and assumed her current position in July 2018. Previously, she served as Citi’s Head of Talent and Diversity as well as Chief of Staff to Citi CEO Michael Corbat. She served as Chief of Staff to both Michael O’Neill and Richard Parsons during their terms as Chairman of Citigroup’s Board of Directors. In addition, she held roles in Citi’s ICG, including Corporate M&A and Strategy and Investment Banking; • Mr. Whitaker joined Citi in 2009 and assumed his current position in November 2018. Previously, he served as Head of Operations & Technology for ICG since September 2014 and held various other roles at Citi, including Head of Securities & Banking Operations & Technology, Head of ICG Technology and Regional Chief Information Officer; and • Mr. Ybarra joined Citi in 1987 and assumed his current position in May 2019. Previously, he served as ICG’s Global Head of Markets and Securities Services since November 2013. In addition, he has held a number of other roles across ICG, including Deputy Head of ICG, Global Head of Markets and Co-Head of Global Fixed Income. CITIGROUP BOARD OF DIRECTORS Code of Conduct, Code of Ethics Citi has a Code of Conduct that maintains its commitment to the highest standards of conduct. The Code of Conduct is supplemented by a Code of Ethics for Financial Professionals (including accounting, controllers, financial reporting operations, financial planning and analysis, treasury, capital planning, tax, productivity and strategy, M&A, investor relations and regional/product finance professionals and administrative staff) that applies worldwide. The Code of Ethics for Financial Professionals applies to Citi’s principal executive officer, principal financial officer and principal accounting officer. Amendments and waivers, if any, to the Code of Ethics for Financial Professionals will be disclosed on Citi’s website, www.citigroup.com. The Audit Committee has responsibility for the oversight of Citi’s Code of Ethics for Financial Professionals. Both the Code of Conduct and the Code of Ethics for Financial Professionals can be found on the Citi website by clicking on “Investors” and then “Corporate Governance.” Citi’s Corporate Governance Guidelines can also be found there, as well as the charters for the Audit Committee, the Compensation, Performance and Culture Committee, the Nomination, Governance and Public Affairs Committee, the Risk Management Committee and the Technology Committee of Citigroup’s Board of Directors. These materials are also available by writing to Citigroup Inc., Corporate Governance, 388 Greenwich Street, 17th Floor, New York, New York 10013. Ellen M. Costello Former President and CEO BMO Financial Corporation and Former U.S. Country Head BMO Financial Group Grace E. Dailey Former Senior Deputy Comptroller for Bank Supervision Policy and Chief National Bank Examiner Office of the Comptroller of the Currency (OCC) Barbara J. Desoer Chair Citibank, N.A. John C. Dugan Chair Citigroup Inc. Jane Fraser Chief Executive Officer Citigroup Inc. Duncan P. Hennes Co-Founder and Partner Atrevida Partners, LLC Peter Blair Henry Class of 1984 Senior Fellow, Hoover Institution, and Senior Fellow, Freeman Spogli Institute for International Studies, Stanford University S. Leslie Ireland Former Assistant Secretary for Intelligence and Analysis U.S. Department of the Treasury, and National Intelligence Manager for Threat Finance, Office of the Director of National Intelligence Renée J. James Founder, Chair and CEO Ampere Computing Gary M. Reiner Operating Partner General Atlantic LLC Diana L. Taylor Former Superintendent of Banks State of New York James S. Turley Former Chairman and CEO Ernst & Young Casper W. von Koskull Former President and Group Chief Executive Officer Nordea Bank Abp 320 Signatures Pursuant to the requirements of Section 13 or 15(d) 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 24th day of February, 2023. Citigroup Inc. (Registrant) /s/ Mark A. L. Mason Mark A. L. Mason Chief Financial Officer The Directors of Citigroup listed below executed a power of attorney appointing Mark A. L. Mason their attorney-in-fact, empowering him to sign this report on their behalf. Ellen M. Costello Grace E. Dailey Barbara Desoer John C. Dugan Duncan P. Hennes Peter Blair Henry S. Leslie Ireland Renée J. James Gary M. Reiner Diana L. Taylor James S. Turley Casper W. von Koskull Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities indicated on the 24th day of February, 2023. /s/ Mark A. L. Mason Mark A. L. Mason Citigroup’s Principal Executive Officer and a Director: /s/ Jane Fraser Jane Fraser Citigroup’s Principal Financial Officer: /s/ Mark A. L. Mason Mark A. L. Mason Citigroup’s Principal Accounting Officer: /s/ Johnbull E. Okpara Johnbull E. Okpara 321 GLOSSARY OF TERMS AND ACRONYMS The following is a list of terms and acronyms that are used in this report and other Citigroup presentations. * Denotes a Citi metric 2022 Annual Report on Form 10-K: Annual report on Form 10-K for year ended December 31, 2022, filed with the SEC. 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, which is composed of the allowance for credit losses on loans (ACLL) and allowance for credit losses on unfunded lending commitments (ACLUC), allowance for credit losses on HTM securities and allowance for credit losses on other assets. ACLL: Allowance for credit losses on loans ACLUC: Allowance for credit losses on unfunded lending commitments Advanced Approaches: The Advanced Approaches capital framework, established through Basel III rules by the FRB, requires certain banking organizations to use an internal ratings-based approach and other methodologies to calculate risk-based capital requirements for credit risk and advanced measurement approaches to calculate risk-based capital requirements for operational risk. 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, 322 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 Board: Citigroup’s Board of Directors 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. each period. The CTA amount in EOP AOCI is a cumulative balance, net of tax. Client assets: Represent assets under management as well as custody, brokerage, administration and deposit accounts. CLO: Collateralized loan obligations Coincident NCL coverage ratio: A credit metric, representing the ACLL at period end divided by (the most recent quarter’s NCLs divided by 3). This ratio is expressed in months of coverage. 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 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. 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: Debt 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 ESG: Environmental, Social and Governance ETR: Effective tax rate EU: European Union Fannie Mae: Federal National Mortgage Association 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. FASB: Financial Accounting Standards Board FCA: Financial Conduct Authority FDIC: Federal Deposit Insurance Corporation 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” above. 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: Cumulative translation adjustment (also known as currency 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 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. FRB: Federal Reserve Board FRBNY: Federal Reserve Bank of New York Freddie Mac: Federal Home Loan Mortgage Corporation 323 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. 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 LF: Legacy Franchises LGD: Loss given default 324 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 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 capital rule: Rule 15c3-1 under the Securities Exchange Act of 1934. Net interchange income: Includes the following components: PBWM: Personal Banking and Wealth Management • 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. 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. 325 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. Provision for credit losses: Composed of the provision for credit losses on loans, provision for credit losses on HTM investments, provision for credit losses on other assets and provision for credit losses on unfunded lending commitments. Provisions: Provisions for credit losses and for benefits and claims. PSUs: Performance share units R&S forecast period: Reasonable and supportable period over which Citi forecasts future macroeconomic conditions for CECL purposes. 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 periods’ 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). RMI: A non-partisan, non-profit organization that works to transform global energy systems across the real economy. Citi joined the RMI Center for Climate-Aligned Finance in 2021. ROA*: Return on assets. Represents net income (annualized), divided by average assets for the period. non-traditional indexes or non-traditional uses of traditional interest rates or indexes. ROCE*: Return on Common Equity. Represents net income less preferred dividends (both annualized), divided by average common equity for the period. Tangible book value per share (TBVPS)*: Represents tangible common equity divided by EOP common shares outstanding. ROE: Return on equity. Represents net income less preferred dividends (both annualized), divided by average Citigroup equity for the period. Tangible common equity (TCE): Represents common stockholders’ equity less goodwill and identifiable intangible assets, other than MSRs. 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 operational risk for Advanced Approaches. Key differences in the calculation of credit risk RWA between the Standardized and Advanced Approaches are that for Advanced, credit risk RWA is based on risk-sensitive approaches that largely rely on the use of internal credit models and parameters, whereas for 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 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 Standardized Approach: Established through Basel III, the Standardized Approach aligns regulatory capital requirements more closely with the key elements of banking risk by introducing a wider differentiation of risk weights and a wider recognition of credit risk mitigation techniques, while avoiding excessive complexity. Accordingly, the Standardized Approach produces capital ratios more in line with the actual economic risks that banks are facing. 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 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 ACL: Allowance for credit losses, which comprises the allowance for credit losses on loans (ACLL), allowance for credit losses on unfunded lending commitments (ACLUC), allowance for credit losses on HTM securities and allowance for credit losses on other assets. 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. 326 327 Notes328 Notes329 Notes330 Notes331 Notes332 Notes333 NotesStockholder information Citigroup common stock is listed on the NYSE under the ticker symbol “C.” Citigroup preferred stock Series J and K are also listed on the NYSE. Because Citigroup’s common stock is listed on the NYSE, the Chief Executive Officer is required to make an annual certification to the NYSE stating that she was not aware of any violation by Citigroup of the corporate governance listing standards of the NYSE. The annual certification to that effect was made to the NYSE on May 5, 2022. As of January 31, 2023, Citigroup had approximately 60,813 common stockholders of record. This figure does not represent the actual number of beneficial owners of common stock because shares are frequently held in “street name” by securities dealers and others for the benefit of individual owners who may vote the shares. Transfer agent Stockholder address changes and inquiries regarding stock transfers, dividend replacement, 1099-DIV reporting and lost securities for common and preferred stock should be directed to: Computershare P.O. Box 43078 Providence, RI 02940-3078 Telephone No. 781 575 4555 Toll-free No. 888 250 3985 E-mail address: shareholder@computershare.com Web address: www.computershare.com/investor Exchange agent Holders of Golden State Bancorp, Associates First Capital Corporation or Citicorp common stock should arrange to exchange their certificates by contacting: Computershare P.O. Box 43014 Providence, RI 02940-3014 Telephone No. 781 575 4555 Toll-free No. 888 250 3985 E-mail address: shareholder@computershare.com Web address: www.computershare.com/investor On May 9, 2011, Citi effected a 1-for-10 reverse stock split. All Citi common stock certificates issued prior to that date must be exchanged for new certificates by contacting Computershare at the address noted above. Citi’s 2022 Form 10-K filed with the SEC, as well as other annual and quarterly reports, are available from Citi Document Services toll free at 877 936 2737 (outside the United States at 716 730 8055), by e-mailing a request to docserve@citi.com or by writing to: Citi Document Services 540 Crosspoint Parkway Getzville, NY 14068 Stockholder inquiries Information about Citi, including quarterly earnings releases and filings with the U.S. Securities and Exchange Commission, can be accessed via Citi’s website at www.citigroup.com. Stockholder inquiries can also be directed by e-mail to shareholderrelations@citi.com. . s n o i t a c i n u m m o C c i h p a r G i t i C y b d e c u d o r P The cover and editorial section of this annual report are printed on McCoy, manufactured by Sappi North America with 10% recycled content and FSC®® Chain of Custody Certified. 100% of the electricity used to manufacture McCoy is Green-e®® certified renewable energy. The financial section of this annual report is printed on FSC® certified Accent® Opaque 40lb white smooth text from Sylvamo. Citi, Citi and Arc Design and other marks used herein are service marks of Citigroup Inc. or its affiliates, used and registered throughout the world. Cover Photo: Mihaela Oprisan – Save the Children www.citigroup.com © 2023 Citigroup Inc. 2127452 CIT24031 03/23 

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