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
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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
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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
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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.
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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.
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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
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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
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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
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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
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•
•
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,
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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
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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,
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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
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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.
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