Services
Banking
Markets
Wealth
U.S.
Personal
Banking
2023
Annual Report
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
We are on a deliberate
journey to unlock Citi’s
full potential, and we
have made some bold
decisions over the last
year to ensure we succeed.
We know our journey will have its challenges. Whilst some of
our businesses continued to eclipse their peers in the industry,
others did not meet our expectations. We also faced challenges
in aspects of our work to strengthen our data and regulatory
reporting, an area we are committed to getting right.
Despite some of the headwinds we faced, we continue to stay
the course and strongly believe in the deliberate path we set at
Investor Day in 2022. We said this was a multi-year journey and
we will face challenges as we execute. Nonetheless, the changes
we have made to the firm and the discipline and accountability
we put in place over the past few years will allow us to truly
transform our company for the long term.
We are still firmly on track to meet the medium-term financial
targets we set at Investor Day, including achieving an 11-12%
Return on Tangible Common Equity (RoTCE)1. Our business
model is resilient and well-diversified. Our balance sheet
is strong. We have ample liquidity and capital. We remain
confident in our ability to generate higher returns over the long
term and return capital to shareholders.
Our business performance
A number of notable items that occurred during a
disappointing fourth quarter negatively impacted our earnings
for 2023. We delivered $9.2 billion in net income on revenues
of $78.5 billion. Our RoTCE2 was 4.9%. Still, we met our full-
year expense guidance and increased our Common Equity
Tier 1 Capital ratio to approximately 13.4%. We grew tangible
book value per share2 by 6% to $86.19 and returned roughly
$6 billion in capital to shareholders in the form of common
dividends and share repurchases.
At Investor Day, we laid out a clear, compelling vision for the
firm: 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. We’ve been
executing a strategy to bring this vision to life through our five
interconnected businesses — Services, Markets, Banking,
Wealth and U.S. Personal Banking.
Our Services business had a record year in 2023 as we
maintained our leadership in Treasury and Trade Solutions
(TTS), with client wins up 27% and cross-border transactions
up 15%. In Securities Services, we had roughly $25 trillion
in assets under custody and administration, up 13% during
2023. And we continued to relentlessly innovate for our clients
with products such as 24/7 USD Clearing, Payments Express
and Citi Token Services, which enable clients to facilitate
cross-border payments and access automated trade finance
solutions around the clock.
Our Markets business delivered a solid performance for the year
with good underlying momentum in Equities and continued
growth in Prime balances. We retained a leading position in
Fixed Income and further optimized our model with the exit
of marginal businesses. Overall, Markets revenues decreased
6% from a very strong performance in 2022. As we look ahead,
our franchise remains well positioned with both corporate and
investor clients, and we continue to take actions to improve
returns by allocating capital to products that meet client
demand and generate a strong return profile.
Banking remains a key part of our strategy. Whilst revenues for
the business fell 15% in 2023, largely driven by a weaker wallet
globally, we are focused on improving wallet share in the near
term. Our M&A business experienced significant momentum
in the back half of 2023. Throughout the year, we led on
several global transactions larger than $10 billion. We have
also reorganized our three lines of business — Investment
Banking, Corporate Banking and Commercial Banking —
under one umbrella to strengthen synergies amongst them.
We look forward to welcoming Vis Raghavan later this year
to lead the franchise and bring an additional intensity to our
Banking business.
We continue to make headway in Wealth as we grow our
presence in Asia and modernize the digital experience for clients.
In 2023, we added $56 billion in client balances and broadened
our Citi Wealth at Work offering. However, Wealth revenues were
down 5% from 2022, and we recognize there is more work to be
done. With Andy Sieg having returned to Citi to run the Wealth
business, we are well-positioned to capture the extraordinary
wealth creation set to take place over the next decade.
U.S. Personal Banking continued to show excellent momentum
last year as revenues increased 14%, driven largely by a rebound in
borrowing across Cards and solid spending in Branded Cards. We
continued to innovate for clients with new products and offerings,
including the launch of Citi Travel with Booking.com powered by
Rocket Travel by Agoda. In Retail Banking, we launched Simplified
Banking, which uses a tiered approach to unlock enhanced
benefits, similar to an airline or hotel rewards program. And in
Retail Services, we celebrated the 20-year milestone of our
partnership with The Home Depot, in addition to launching a
number of new products and other partner relationships.
Operating with increased rigor and
accountability
In September, we took our boldest step yet to fulfill Citi’s
potential, announcing the most consequential series of
changes to how we run the bank since the aftermath of the
3
Jane Fraser
Chief Executive Officer
Letter to shareholders
Dear shareholders,
We are on a mission to ensure that Citi delivers to its full potential for all stakeholders.
Over the past three years, we have successfully put the foundations in place for the bank we aspire to be.
Last year represented a significant step forward in our journey as we reorganized the firm to sharpen the
focus on our five businesses and simplify our operations and infrastructure. Between the reorganization
of the firm and the strides made in divesting our international consumer franchises, our management
structure and organizational model are now fully aligned to our strategy.
2
At the same time, we continued to instill a culture of excellence and accountability to ensure alignment
with our shareholders’ interests. We also made progress on our Transformation and strengthening our risk
and controls, although we recognize there’s more work to be done.
Building a winning bank
Aligned organizational
structure with strategy
to simplify Citi, remove
needless complexity and
free up more time to focus
on clients
Elevated the leaders
of Citi’s five core
businesses
to the Executive
Management Team
to speed up decision
making and drive greater
accountability for results
Created a
centralized Client
organization
to strengthen how
we deliver for clients
across the firm
Lightened and
streamlined Citi’s
geographic structure
to simplify decision
making and focus on
serving clients with
cross-border needs
Stepped up to safeguard
the financial system
and served as a source
of stability throughout
the early 2023 U.S.
banking crisis
Completed consumer
franchise divestitures
in Asia, restarted the sales
process in Poland and
progressed with winding
down consumer operations
in China, Russia and
South Korea
Progressed with
plans for an IPO
of Citi’s consumer,
small business
and middle-market
operations in Mexico
Acted as lead
financial advisor
to ExxonMobil
on the largest
announced M&A
deal of the year
Optimized innovative
client solutions,
including 24/7 USD Clearing,
Payments Express and
Citi Token Services to help
clients seamlessly access
working capital and
manage cash
Streamlined the digital
banking experience
for Commercial Bank
clients with the launch
of CitiDirect
Recruited exceptional
talent to the firm,
including welcoming
Andy Sieg back to lead
Citi’s Wealth business
and Vis Raghavan to lead
Citi’s Banking business
Introduced
Simplified Banking,
enabling U.S. Retail Banking
customers to unlock enhanced
benefits and reach their full
financial potential
Simplified and
modernized the firm
to better manage risk by
consolidating technology
platforms and implementing
a new model for underwriting
wholesale credit risk
Consolidated our
portfolio of electronic
FX trading platforms
for corporate and
professional investor
clients into Velocity 3.0
4
5
2008 financial crisis. Aligning our organizational structure with
our strategy will help us build a simpler Citi, enabling us to be
less bureaucratic and more focused on clients.
The leaders of our five core businesses now sit at my leadership
table, giving them greater influence on Citi’s strategy and
execution, as well as greater accountability for realizing
synergies and delivering results. We have eliminated the
previous regional structures and lightened the management of
our geographies. By moving to a more focused geographical and
business management structure, we have significantly reduced
certain internal financial management reports and eliminated
more than 60 internal management committees so far.
Without these structures and related processes and
meetings, our teams can now spend more of their time
focused on what is most important — serving clients. To that
end, we created a Client organization, led by our first Chief
Client Officer. This group is responsible for bringing the full
power of our franchise to clients through a centralized view of
our client strategy, segmentation and coverage model, as well
as capital allocation.
Our new structure is grounded in the vision and strategy we
laid out at Investor Day, and these business and client changes
support the 4-5% compound annual growth rate we set out
to achieve over the medium-term. The changes allow us to
provide far more transparency into the drivers of our business
and focus on enhancing business performance.
We have now closed the sales of nine of our 14 international
consumer divestitures and made solid progress winding down
consumer operations in China, Russia and South Korea. We
restarted the sales process in Poland and are well down the
execution path for the Mexico IPO in 2025. Having made
progress divesting our consumer businesses outside the U.S.,
we now serve a much more targeted set of clients across our
five interconnected businesses.
Our number one priority
We know that to truly simplify Citi and unlock our firm’s full
potential, we must continue investing in our Transformation.
This is our multi-year effort to strengthen our risk and
controls environment and data architecture, and it remains
our number one priority.
The Consent Orders issued in 2020 by two of our U.S.
regulators — the Federal Reserve Board and Office of the
Comptroller of the Currency (OCC) — underscored how we
had underinvested in some of those areas for too long. The
work to make up for that lost ground takes time, and we are
determined to keep making upgrades and improvements.
This year’s priorities include accelerating our work to strengthen
our regulatory reporting and data remediation. Those efforts will
build on the progress we have made this year. Our controls are
more robust, exemplified by our new wholesale credit risk target
operating model. By automating processes, they’re getting
better and faster: booking or amending loans in North America
now takes half the time it once did.
6
In 2023, we also closed the FX consent order with the Federal
Reserve Board and retired 6% of our legacy technology
applications. Within the firm, our people are beginning to
feel the benefits of the Transformation as we consolidate
fragmented technology platforms, upgrade our data
architecture and modernize our operating model for the
digital age.
Our important role in the world
Our progress in the Transformation and executing our
strategy is notable given the tremendous macroeconomic and
geopolitical headwinds we contended with throughout the
year. Ongoing volatility in the markets. Persistent inflation.
Devastating conflicts in Ukraine and the Middle East. The
disruptive potential of AI. The list goes on.
Yet challenging environments such as these are precisely
where Citi thrives. Our global network and mindset uniquely
position us to support clients and communities around the
world during difficult times. When three regional U.S. banks
and one global bank failed in early 2023, for instance, our
robust balance sheet allowed us to work with other large
U.S. banks to stabilize the financial system. We continue to
demonstrate that Citi is a source of strength for our clients and
a source of stability for the financial system.
For multinational companies, Citi offers the size and scale
to help them compete around the world, without having to
rely on a mix of local banks. We finance supply chains and
partner with America’s top companies to bring products and
services to American consumers at affordable prices. Around
the world, we use our robust balance sheet to fund and
facilitate transformational projects. In the U.S., we’ve been
the number one affordable housing lender for 13 years in a
row, which includes the financing of approximately 35,000
affordable housing units in 2022.
In addition, we provide a variety of products that can help to
increase financial inclusion, and we work with community
development financial institutions (CDFIs) and minority-
owned depository institutions (MDIs) to reach underserved
populations. As a proud participant of the OCC’s Project
Reach, we are co-leading the workstream that is focused
on strengthening MDIs. We are also engaged in initiatives to
increase access to credit and reduce the number of Americans
who are “credit invisible.”
Heads down and focused on delivering
We are on a deliberate journey to unlock Citi’s full potential,
and we have made some bold decisions over the last year to
ensure we succeed. Our vision is clear. The strategy is set. The
pieces are in place. A performance intensity is building.
I am excited about the work we have accomplished over the
past year to simplify the firm and focus Citi’s power behind
our five interconnected businesses. I am confident Citi is on
the right path to meet our medium-term financial targets and
deliver all the benefits of our firm to our stakeholders.
The road ahead will not always be linear, but our momentum
and commitment will continue to carry us forward. We have
the right people in place to get the job done, and we will not
stop until we become the winning bank we know Citi can be.
Sincerely,
Jane Fraser
Chief Executive Officer, Citigroup Inc.
Full year 2023 results and key metrics
Key financial metrics
Businesses snapshot
REVENUES
$78.5B
EPS
$4.04
NET INCOME
$9.2B
ROCE
4.3%
TOTAL SERVICES
REVENUES
TOTAL MARKETS
REVENUES
16%
6%
TOTAL BANKING
REVENUES
15%
TOTAL WEALTH
REVENUES
5%
RoTCE
4.9%2
SLR
5.8%
CET1 CAPITAL
RATIO
13.4%3
TOTAL USPB
REVENUES
14%
Maintained top ranking
in TTS with client wins
27%
and cross-border transactions
15%
Key highlights
Added nearly
$3 trillion
in assets under custody and
administration in
SECURITIES SERVICES
MARKETS
progressed in Equities,
with Prime balances
YoY
Grew
share gains in
BANKING,
including focus areas
such as
healthcare
Added
$56B
in client balances in
WEALTH
Reported
7th
consecutive
quarter
of YoY revenue growth in
USPB
Returned
~$6B
in capital
to common shareholders
through dividends and
share buybacks
1 RoTCE over the medium-term is a forward-looking non-GAAP financial measure. From time to time, management may discuss forward-looking non-GAAP financial measures, such
as forward-looking estimates or targets for revenue, expenses, and RoTCE. We are unable to provide a reconciliation of RoTCE over the medium-term to its most directly comparable
GAAP financial measure because we are unable to provide a meaningful or accurate calculation or estimation of amounts that would be necessary for the reconciliation due to the
complexity and inherent difficulty in forecasting and quantifying future amounts or when they may occur. Such unavailable information could be significant to future results.
2 RoTCE and tangible book value per share are non-GAAP financial measures. For more information, see page 47 of Citi’s 2023 Form 10-K.
3 Citi’s binding CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach as of December 31, 2023. For more information, see page 11 of Citi’s
2023 Form 10-K.
7
Supporting strong
communities and
sustainable solutions
Recognized as the largest U.S. affordable
housing lender 13 years in a row by
Affordable Housing Finance magazine
Earned a seat at the
Billion Dollar Roundtable
by spending $1 billion
or more annually with
certified diverse suppliers
Announced an innovative
sustainable aviation fuel
emission reduction agreement
with American Airlines to support
solutions for low-carbon air travel
Ranked as #1 U.S.
lead underwriter for
global sustainable bonds
in 2023 by Dealogic
Celebrated the first graduating class of
Kindergarten to College — a publicly-funded
children’s savings account program in support
of financial inclusion that operates on the
Citi Start Saving® platform
Continued sourcing
100% renewable
electricity for Citi’s
own operations
and facilities
Celebrated 10 years of New
York City’s Citi Bike program,
which has enabled 339
million miles in rides in the
decade following its launch
Supported development of a first-
of-its-kind Sustainable Aluminum
Finance Framework for lenders to
measure and disclose aluminum-
related emissions in portfolios
Provided $25 million to
nonprofits working to improve
food security globally through
the Citi Foundation’s inaugural
Global Innovation Challenge
Volunteered over
143,000 hours across
83 countries and
territories as part of
Global Community Day
Facilitated clean energy access
in Africa, supporting Sun King on
a first-of-its-kind securitization
deal for affordable solar
systems in Kenya
8
9
We’re not writers,
but we help shape
your businesses’ financial story.
We’re not an airline, but our network
connects global businesses in nearly
160 local markets.
We’re not a startup, but our
Innovation Labs create new technologies
to help our clients grow safely and securely.
We’re not architects, but we help
build more resilient communities.
With global expertise
and over two centuries of experience,
we’re not just any bank.
We are Citi.
citi.com/weareciti
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, 2023
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, 2023 was approximately $88.4 billion.
Number of shares of Citigroup Inc. common stock outstanding on January 31, 2024: 1,911,366,783
Documents Incorporated by Reference: Portions of the registrant’s proxy statement for the annual meeting of stockholders scheduled to be held on April 30,
2024 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
4–30, 130–136,
138, 167–170,
315–316
1A. Risk Factors
48–62
1B. Unresolved Staff Comments
Not Applicable
1C. Cybersecurity
55–56, 119–121
2.
3.
Properties
Not Applicable
Legal Proceedings—See
Note 30 to the Consolidated
Financial Statements
303–309
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
6–30, 68–129
7A. Quantitative and Qualitative
Disclosures About Market
Risk
68–129, 171–175,
195–237, 244-294
8.
9.
Financial Statements and
Supplementary Data
144–314
Changes in and
Disagreements with
Accountants on Accounting
and Financial Disclosure
Not Applicable
9A. Controls and Procedures
136–137
2
Page
9B. Other Information
317
9C. Disclosure Regarding
Foreign Jurisdictions that
Prevent Inspections
Not Applicable
Part III
10.
Directors, Executive Officers
and Corporate Governance
319–322*
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 30, 2024, 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 “2023 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.
148–149, 176–178,
317–318
15.
Exhibit and Financial
Statement Schedules
CITIGROUP’S 2023 ANNUAL REPORT ON FORM 10-K
OVERVIEW
Citigroup Reportable 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)
Select Balance Sheet Items By Segment
Services
Markets
Banking
U.S. Personal Banking
Wealth
All Other—Divestiture-Related Impacts (Reconciling
Items)
All Other—Managed Basis
CAPITAL RESOURCES
RISK FACTORS
CLIMATE CHANGE AND NET ZERO
HUMAN CAPITAL RESOURCES AND
MANAGEMENT
Managing Global Risk Table of Contents
MANAGING GLOBAL RISK
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
OTHER INFORMATION
CORPORATE INFORMATION
Executive Officers
Citigroup Board of Directors
GLOSSARY OF TERMS AND ACRONYMS
4
5
6
6
9
10
12
13
14
17
20
23
25
27
28
31
48
62
63
67
68
130
136
137
138
139
143
144
152
314
315
317
319
319
321
323
3
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 does business in nearly 160 countries and
jurisdictions.
Citi’s vision 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 the U.S.
At December 31, 2023, Citi had approximately 239,000
full-time employees, largely unchanged from December 31,
2022. 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 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
“SEC Filings” under the “Investors” tab. The SEC’s website
also contains these filings and other information regarding Citi
at www.sec.gov.
Certain reclassifications have been made to the prior
periods’ financial statements and disclosures to conform to the
current period’s presentation, including reclassifications to
reflect Citi’s new financial reporting structure, effective as of
the fourth quarter of 2023, for all periods presented. For
additional information, see “New Financial Reporting
Structure” below.
Please see “Risk Factors” below for a discussion of
material risks and uncertainties that could impact
Citigroup’s businesses, results of operations and financial
condition.
Non-GAAP Financial Measures
Citi prepares its financial statements in accordance with U.S.
generally accepted accounting principles (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. Citi
believes the presentation of these non-GAAP measures
4
provides a meaningful depiction of the underlying
fundamentals of period-to-period operating results for
investors, industry analysts and others, including increased
transparency and clarity into Citi’s results, and improved
visibility into management decisions and their impacts on
operational performance; enables better comparison to peer
companies; and allows Citi to provide a long-term strategic
view of its businesses and results going forward. 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.
Citi’s non-GAAP financial measures in this Form 10-K
include:
•
Earnings per share (EPS), revenues and expenses
excluding applicable notable items and divestiture-related
impacts
• Expenses excluding the Federal Deposit Insurance
Corporation (FDIC) special assessment and restructuring
charges
All Other (managed basis), which excludes divestiture-
related impacts
Tangible common equity (TCE), return on tangible
common equity (RoTCE) and tangible book value per
share (TBVPS)
Banking and Corporate Lending revenues excluding gain
(loss) on loan hedges
Services revenues excluding the impact of the Argentine
peso devaluations
Non-Markets net interest income
•
•
•
•
•
For more information on the notable items, including the
FDIC special assessment and restructuring charges, see
“Executive Summary” below.
Citi’s results excluding divestiture-related impacts
represent as reported, or GAAP, financial results adjusted for
items that are incurred and recognized, which are wholly and
necessarily a consequence of actions taken to sell (including
through a public offering), dispose of or wind down business
activities associated with Citi’s previously announced exit
markets within All Other—Legacy Franchises. Citi’s Chief
Executive Officer, its chief operating decision maker,
regularly reviews financial information for All Other on a
managed basis that excludes these divestiture-related impacts.
For more information on Citi’s results excluding divestiture-
related impacts, see “Executive Summary” and “All Other—
Divestiture-Related Impacts (Reconciling Items)” below.
For more information on TCE, RoTCE and TBVPS, see
“Capital Resources—Tangible Common Equity, Book Value
Per Share, Tangible Book Value Per Share and Return on
Equity” below.
For more information on Banking and Corporate Lending
revenues excluding gains (losses) on loan hedges, see
“Executive Summary” and “Banking” below.
For more information on Services revenues excluding the
impact of the Argentine peso devaluations, see “Executive
Summary” and “Services” below.
For more information on non-Markets net interest income,
see “Market Risk—Non-Markets Net Interest Income” below.
Effective as of the fourth quarter of 2023, Citigroup was managed pursuant to five operating segments: Services, Markets, Banking,
U.S. Personal Banking and Wealth. Activities not assigned to the operating segments are included in All Other.
Note: Mexico is included in International.
5
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
EXECUTIVE SUMMARY
As described further throughout this Executive Summary, Citi
demonstrated substantial progress across the franchise during
2023, despite the impact of several notable items in the fourth
quarter:
•
•
•
•
•
•
Citi’s revenues increased 4% versus the prior year,
reflecting an increase in net interest income in Services
and U.S. Personal Banking (USPB), driven by higher
interest rates, as well as loan growth in cards. The
increase in revenues was partially offset by lower non-
interest revenues, primarily driven by approximately $1.9
billion in aggregate translation losses (including
approximately $880 million in the fourth quarter) due to
devaluations of the Argentine peso during the year, the
impact of lower volatility in Markets and the contraction
of the global investment banking wallet in Investment
Banking.
Citi’s expenses increased 10% versus the prior year. The
increase included fourth-quarter pretax charges of
approximately $1.7 billion associated with the FDIC
special assessment and approximately $780 million of
restructuring charges. Excluding both of these charges,
expenses increased 5%, driven by increased investments
in other risk and controls and technology, elevated
business-as-usual severance costs and additional
transformation and business-led investments. The increase
was partially offset by productivity savings and expense
reductions from the exited markets and continued wind-
downs (see “Expenses” below).
Citi’s cost of credit was $9.2 billion versus $5.2 billion in
the prior year. The increase was primarily driven by
higher cards net credit losses in Branded Cards and Retail
Services, reflecting normalization from historically low
levels. The increase was also due to net builds in the
allowance for credit losses (ACL), including
approximately $1.9 billion in builds related to increases in
transfer risk associated with exposures in Russia and
Argentina (including approximately $1.3 billion in the
fourth quarter), as well as builds due to volume growth in
Branded Cards and Retail Services.
Citi returned $6.1 billion to common shareholders in the
form of dividends ($4.1 billion) and share repurchases
($2.0 billion).
Citi’s Common Equity Tier 1 (CET1) Capital ratio under
the Basel III Standardized Approach increased to 13.4%
as of December 31, 2023, compared to 13.0% as of
December 31, 2022 (see “Capital Resources” below). This
compares to Citi’s required regulatory CET1 Capital ratio
of 12.3% as of October 1, 2023 under the Basel III
Standardized Approach.
Citi closed the four remaining signed consumer banking
sale transactions in 2023. Citi also continued to make
progress with the wind-downs of the Korea and China
consumer banking businesses and the Russia consumer,
local commercial and institutional businesses, as well as
the planned initial public offering of Citi’s consumer
6
banking and small business and middle-market banking
operations in Mexico, and restarted the sales process for
its Poland consumer banking business.
2023 Results Summary
Citigroup
Citigroup reported net income of $9.2 billion, or $4.04 per
share, compared to net income of $14.8 billion, or $7.00 per
share in the prior year. Net income decreased 38% versus the
prior year, driven by the higher expenses, the higher cost of
credit and a higher effective tax rate, partially offset by the
higher revenues. Citigroup’s effective tax rate was 27% in
2023 versus 19% in the prior year, largely driven by the
geographic mix of earnings (see Note 10).
As discussed above, results for 2023 included several
notable items impacting pretax revenues, expenses and cost of
credit:
•
•
•
•
Approximately $1.9 billion of aggregate translation losses
in revenues due to devaluations of the Argentine peso
Approximately $1.9 billion in aggregate reserve builds
related to increases in transfer risk associated with
exposures in Russia and Argentina, driven by safety and
soundness considerations under U.S. banking law
An approximate $1.7 billion charge to operating expenses
related to the FDIC special assessment in the fourth
quarter
Approximately $780 million of restructuring charges in
the fourth quarter, recorded in operating expenses in
Corporate/Other within All Other (managed basis), related
to actions taken as part of Citi’s organizational
simplification initiatives
In total, on an after-tax basis the notable items were $(5.4)
billion.
Additionally, results for 2023 included pretax divestiture-
related impacts of approximately $1.0 billion (approximately
$659 million after-tax), primarily driven by gains on sale of
Citi’s India and Taiwan consumer banking businesses. (See
“All Other—Divestiture-Related Impacts (Reconciling Items)”
below.)
The above notable items and divestiture-related impacts,
collectively, had a $2.40 negative impact on EPS in 2023. For
additional information on the translation losses due to the
devaluations of the Argentine peso, see “Managing Global
Risk—Other Risks—Country Risk—Argentina” below and
“Services,” “Markets” and “Banking” below. Excluding the
notable items and divestiture-related impacts, EPS was $6.44.
(As used throughout this Form 10-K, Citi’s results of
operations and financial condition excluding the notable items
and divestiture-related impacts are non-GAAP financial
measures.)
Results for 2022 included pretax divestiture-related
impacts of $82 million. (See “All Other—Divestiture-Related
Impacts (Reconciling Items)” below.) Collectively,
divestiture-related impacts had a $0.09 negative impact on
EPS. Excluding divestiture-related impacts, EPS in 2022 was
$7.09. Results in 2022 also included approximately $820
million of translation losses in revenues due to the
devaluations of the Argentine peso.
Citigroup revenues of $78.5 billion in 2023 increased 4%
on a reported basis. Excluding divestiture-related impacts,
revenues of $77.1 billion also increased 4% versus the prior
year. Excluding both divestiture-related and Argentine peso
devaluation impacts, revenues of $79 billion in 2023 increased
5% versus the prior year. The increase in revenues reflected
strength across Services and USPB, partially offset by declines
in Markets, Banking and Wealth, as well as the revenue
reduction from the exited markets and continued wind-downs
in All Other (managed basis).
Citigroup’s end-of-period loans were $689 billion, up 5%
versus the prior year, largely driven by growth in USPB.
Citigroup’s end-of-period deposits were approximately
$1.3 trillion, down 4% versus the prior year. The decline in
deposits was largely due to a reduction in Services, reflecting
quantitative tightening and a shift of deposits to higher-
yielding investments in USPB and Wealth in 2023. For
additional information about Citi’s deposits by business,
including drivers and deposit trends, see each respective
business’s results of operations and “Liquidity Risk—
Deposits” below.
Expenses
Citigroup’s operating expenses of $56.4 billion increased 10%
from the prior year. In the fourth quarter of 2023, Citi incurred
the approximate $1.7 billion charge associated with the FDIC
special assessment and approximately $780 million of
restructuring charges related to Citi’s organizational
simplification initiatives (see Note 9). Expenses also included
divestiture-related impacts of $372 million in 2023 and $696
million in the prior year. Excluding divestiture-related
impacts, expenses of $56 billion increased 11% versus the
prior year. Excluding divestiture-related impacts, the
restructuring charges and the FDIC special assessment,
expenses of $53.5 billion increased 6%, driven by increased
investments in other risk and controls and technology,
elevated business-as-usual severance costs and additional
transformation and business-led investments. The increase was
partially offset by productivity savings and expense reductions
from the exited markets and continued wind-downs in Legacy
Franchises (managed basis) within All Other (managed basis).
Citi expects to incur additional costs related to its
organizational simplification in the first quarter of 2024.
Cost of Credit
Citi’s total provisions for credit losses and for benefits and
claims was a cost of $9.2 billion, compared to $5.2 billion in
the prior year. The increase was driven by higher net credit
losses in Branded Cards and Retail Services, reflecting the
normalization to pre-pandemic levels at the end of 2023, and
net builds in the allowance for credit losses (ACL), including
approximately $1.9 billion related to increases in transfer risk
associated with exposures in Russia and Argentina
(approximately $1.3 billion in the fourth quarter), as well as
builds due to volume growth in Branded Cards and Retail
Services. For additional information on Citi’s ACL, including
7
the builds for transfer risk, see “Significant Accounting
Policies and Significant Estimates—Citi’s Allowance for
Credit Losses (ACL)” below.
Net credit losses of $6.4 billion increased 70% from the
prior year. Consumer net credit losses of $6.2 billion increased
71%, largely reflecting the rise in cards net credit loss rates
from historically low levels. Corporate net credit losses
increased to $250 million from $178 million.
Citi expects to incur higher net credit losses in 2024,
primarily due to higher cards net credit loss rates, which Citi
expects to rise above pre-pandemic levels and, on a full-year
basis, peak in 2024. The higher net credit losses expectation is
already reflected in the Company’s ACL on loans for
outstanding balances at December 31, 2023.
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 13.4% as of December 31,
2023, compared to 13.0% as of December 31, 2022, based on
the Basel III Standardized Approach for determining risk-
weighted assets (RWA). The increase was primarily driven by
net income, impacts from the sales of certain Asia consumer
banking (Asia Consumer) businesses and beneficial net
movements in Accumulated other comprehensive income
(AOCI), partially offset by the payment of common dividends,
share repurchases and an increase in RWA.
In 2023, Citi repurchased $2.0 billion of common shares
and paid $4.1 billion of common dividends (see “Unregistered
Sales of Equity Securities, Repurchases of Equity Securities
and Dividends” below). Citi will continue to assess common
share repurchases on a quarter-by-quarter basis given
uncertainty regarding regulatory capital requirements. For
additional information on capital-related risks, trends and
uncertainties, see “Capital Resources—Regulatory Capital
Standards and Developments” as well as “Risk Factors—
Strategic Risks,” “—Operational Risks” and “—Compliance
Risks” below.
Citigroup’s Supplementary Leverage ratio as of
December 31, 2023 was 5.8%, unchanged from December 31,
2022 as higher Tier 1 Capital was offset by an increase in
Total Leverage Exposure. For additional information on Citi’s
capital ratios and related components, see “Capital Resources”
below.
Services
Services net income of $4.6 billion decreased 6%, as higher
expenses and higher cost of credit were partially offset by the
increase in revenues. Services expenses of $10.0 billion
increased 15%, primarily driven by continued investment in
technology and other risk and controls, volume-related
expenses and business-led investments in Treasury and Trade
Solutions (TTS), partially offset by the impact of productivity
savings. Cost of credit increased to $950 million from $207
million the prior year, largely driven by an ACL build in other
assets, primarily due to the reserve build for increases in
transfer risk associated with exposures in Russia and
Argentina.
Services revenues of $18.1 billion increased 16%, driven
by net interest income growth of 28%, partially offset by an
8% decrease in non-interest revenue due to the impact of the
Argentine peso devaluations (approximately $1.2 billion in
2023 and approximately $0.4 billion in 2022). Excluding this
impact, non-interest revenue increased 6%.
TTS revenues of $13.6 billion increased 16%, driven by
25% growth in net interest income, partially offset by an 11%
decrease in non-interest revenue due to the impact of the
Argentine peso devaluations. The increase in TTS net interest
income was primarily driven by higher interest rates and cost
of funds management across currencies, as well as growth in
deposits. Excluding the impact of the currency devaluations,
non-interest revenue increased 10%, driven by continued
growth in underlying drivers.
Securities Services revenues of $4.4 billion increased
15%, as net interest income grew 46%, partially offset by a
5% decrease in non-interest revenue due to the impact of the
Argentine peso devaluations. The increase in net interest
income was driven by higher interest rates across currencies
and cost of funds management, partially offset by lower
average deposits.
Excluding the impact of the currency devaluations, non-
interest revenue increased 1%, driven by increased fees from
higher AUC/AUA balances from new client business and
deepening share of existing client wallet, as well as continued
elevated levels of corporate activity in Issuer Services.
For additional information on the results of operations of
Services in 2023, see “Services” below.
Markets
Markets net income of $4.0 billion decreased 33%, driven by
lower revenues, higher expenses and higher cost of credit.
Markets expenses of $13.2 billion increased 7%, primarily
driven by investments in transformation, technology and other
risk and controls, partially offset by productivity savings. Cost
of credit increased to $437 million from $155 million in the
prior year, driven by an ACL build in other assets, largely due
to the reserve build for increases in transfer risk associated
with exposures in Russia and Argentina.
Markets revenues of $18.9 billion decreased 6%, driven
by a 6% decrease in Fixed Income markets and a 9% decrease
in Equity markets. The decrease in Fixed Income was driven
by a decrease in rates and currencies and spread products
reflecting lower volatility, the impact of the Argentine peso
devaluations, a strong prior-year comparison and a significant
slowdown in activity in December 2023. The decrease in
Equity markets was primarily due to a decline in equity
derivatives, due to lower institutional activity, spread
compression and lower volatility.
For additional information on the results of operations of
Markets in 2023, see “Markets” below.
Banking
Banking reported a net loss of $48 million, compared to net
income of $386 million in the prior year, primarily driven by
lower Corporate Lending revenues, including the impact of a
loss on loan hedges, and higher expenses, partially offset by
lower cost of credit. Banking expenses of $4.9 billion
increased 9%, primarily driven by the absence of an
8
operational loss reserve release in the prior year, business-led
investments and the impact of business-as-usual severance,
partially offset by productivity savings. Cost of credit was a
benefit of $165 million, compared to cost of credit of $549
million in the prior year, driven by ACL releases in loans and
unfunded lending commitments, partially offset by an ACL
build in other assets.
Banking revenues of $4.6 billion decreased 15%,
including the $443 million loss on loan hedges in 2023 and the
$307 million gain on loan hedges in the prior year. Excluding
the gain (loss) on loan hedges, Banking revenues of $5.0
billion decreased 2%, as slightly higher revenues in
Investment Banking were more than offset by lower Corporate
Lending revenues. Investment Banking revenues of $2.5
billion increased 1%, driven by lower markdowns in non-
investment-grade loan commitments. The increase in revenue
was largely offset by an overall decline in global investment
banking wallet, as heightened macroeconomic uncertainty and
volatility continued to impact client activity. Excluding the
impact of the gain (loss) on loan hedges, Corporate Lending
revenues decreased 4%, largely driven by lower volumes on
continued balance sheet optimization. The decline in revenues
also reflected approximately $134 million in translation losses
in Argentina due to devaluations of the Argentine peso,
including a $64 million translation loss in the fourth quarter of
2023. (As used throughout this Form 10-K, Citi’s results of
operations and financial condition excluding the impact of the
gain (loss) on loan hedges are non-GAAP financial measures.)
For additional information on the results of operations of
Banking in 2023, see “Banking” below.
U.S. Personal Banking
USPB net income of $1.8 billion decreased 34%, reflecting
higher cost of credit and higher expenses, partially offset by
higher revenues. USPB expenses increased 3%, primarily
driven by continued investments in other risk and controls and
technology, business-led investments and business-as-usual
severance costs, partially offset by productivity savings. Cost
of credit increased to $6.7 billion, compared to $3.4 billion in
the prior year. The increase was largely driven by higher net
credit losses and a higher net ACL build, primarily reflecting
growth in loan balances in Branded Cards and Retail Services.
Net credit losses increased 79%, primarily reflecting
normalization from historically low levels in U.S. cards, as net
credit loss rates for both Branded Cards and Retail Services
reached pre-pandemic levels at the end of 2023.
USPB revenues of $19.2 billion increased 14%, due to
higher net interest income (up 12%), driven by strong loan
growth and higher deposit spreads, as well as higher non-
interest revenue (up 19%). Branded Cards revenues of $10.0
billion increased 11%, primarily driven by the higher net
interest income, as average loans increased 13%. Retail
Services revenues of $6.6 billion increased 21%, primarily
driven by the higher net interest income from loan growth, as
well as higher non-interest revenue due to the lower partner
payments, driven by higher net credit losses. Retail Banking
revenues of $2.6 billion increased 6%, primarily driven by
higher deposit spreads and mortgage loan growth, partially
offset by the impact of the transfer of certain relationships and
the associated deposit balances to Wealth.
respective business’s results of operations and “Managing
Global Risk,” including “Managing Global Risk—Other Risks
—Country Risk—Russia” and “—Argentina” 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 Operating 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.
For additional information on the results of operations of
USPB in 2023, see “U.S. Personal Banking” below.
Wealth
Wealth net income of $346 million decreased 64%, reflecting
lower revenues and higher expenses, partially offset by lower
cost of credit. Wealth expenses increased 10% to $6.6 billion,
primarily driven by continued investments in other risk and
controls and technology, partially offset by productivity
savings and re-pacing of strategic investments. Cost of credit
was a net benefit of $2 million, compared to cost of credit of
$306 million in the prior year, largely driven by a net ACL
release.
Wealth revenues of $7.1 billion decreased 5%, largely
driven by lower net interest income (down 6%), driven by
lower deposit spreads, as well as lower non-interest revenue
(down 3%), largely driven by investment product revenue
headwinds, partially offset by the benefits of the transfer of
certain relationships and the associated deposit balances from
USPB.
For additional information on the results of operations of
Wealth in 2023, see “Wealth” below.
All Other (Managed Basis)
All Other (managed basis) net loss of $2.1 billion, compared to
net income of $163 million in the prior year, was driven by
higher expenses, primarily due to the $1.7 billion FDIC
special assessment, and higher cost of credit due to ACL
builds for loans in Mexico Consumer and other assets,
reflecting an increase in transfer risk associated with
exposures in Russia. The higher expenses and cost of credit
were partially offset by higher revenues and the prior-year
release of cumulative translation adjustment (CTA) losses (net
of hedges) from AOCI, recorded in revenues (approximately
$140 million pretax), and in discontinued operations
(approximately $260 million pretax), related to the substantial
liquidation of a U.K. consumer legacy operation (see Note 2).
For additional information on the results of operations of
All Other (managed basis) in 2023, see “All Other—
Divestiture-Related Impacts (Reconciling Items)” and “All
Other (Managed Basis)” below.
Macroeconomic and Other Risks and Uncertainties
Various geopolitical, macroeconomic and regulatory
challenges and uncertainties continue to adversely affect
economic conditions in the U.S. and globally, including,
among others, continued elevated interest rates, elevated
inflation, and economic and geopolitical challenges related to
China, the Russia–Ukraine war and escalating conflicts in the
Middle East. These and other factors have negatively impacted
global economic growth rates and consumer sentiment and
have resulted in a continued risk of recession in various
regions and countries globally. In addition, these and other
factors could adversely affect Citi’s customers, clients,
businesses, funding costs, cost of credit and overall results of
operations and financial condition during 2024.
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 2024,
see “Executive Summary” above and “Risk Factors,” each
9
RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA
Citigroup Inc. and Consolidated Subsidiaries
In millions of dollars, except per share amounts
2023
2022
2021
2020
2019
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
Common share repurchases
$
$
$
$
$
$
$
$
$
54,900 $
48,668 $
42,494 $
44,751 $
23,562
26,670
29,390
30,750
78,462 $
75,338 $
71,884 $
75,501 $
56,366
9,186
51,292
5,239
48,193
(3,778)
44,374
17,495
12,910 $
18,807 $
27,469 $
13,632 $
3,528
3,642
5,451
2,525
9,382 $
15,165 $
22,018 $
11,107 $
48,128
26,939
75,067
42,783
8,383
23,901
4,430
19,471
(1)
(231)
7
(20)
(4)
9,381 $
14,934 $
22,025 $
11,087 $
19,467
153
89
73
40
66
9,228 $
14,845 $
21,952 $
11,047 $
19,401
4.07 $
4.07
4.04 $
4.04
2.08
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
4,076 $
4,028 $
4,196 $
4,299 $
1,198
2,000
1,032
3,250
1,040
7,600
1,095
2,925
8.08
8.08
8.04
8.04
1.92
4,403
1,109
17,875
Table continues on the next page, including footnotes.
10
SUMMARY OF SELECTED FINANCIAL DATA
(Continued)
Citigroup Inc. and Consolidated Subsidiaries
In millions of dollars, except per share amounts, ratios and direct staff
2023
2022
2021
2020
2019
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
$ 2,411,834
$ 2,416,676
$ 2,291,413
$ 2,260,090
$ 1,951,158
1,308,681
1,365,954
1,317,230
1,280,671
1,070,590
286,619
187,853
205,453
271,606
182,194
201,189
254,374
182,977
201,972
271,686
179,962
199,442
248,760
175,262
193,242
2,442,233
2,396,023
2,347,709
2,226,454
1,978,805
239
240
223
210
210
Return on average assets
Return on average common stockholders’ equity(1)
Return on average total stockholders’ equity(1)
Return on tangible common equity (RoTCE)(2)
Efficiency ratio (total operating expenses/total revenues, net)
0.38 %
0.62 %
0.94 %
0.50 %
0.98 %
4.3
4.5
4.9
71.8
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
Basel III ratios
CET1 Capital(3)
Tier 1 Capital(3)
Total Capital(3)
Supplementary Leverage ratio
Citigroup common stockholders’ equity to assets
Total Citigroup stockholders’ equity to assets
Dividend payout ratio(4)
Total payout ratio(5)
Book value per common share
Tangible book value per share (TBVPS)(2)
13.37 %
13.03 %
12.25 %
11.51 %
11.79 %
15.02
15.13
5.82
7.79 %
8.52
51
76
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
$
98.71
$
94.06
$
92.21
$
86.43
$
86.19
81.65
79.16
73.67
13.33
15.87
6.20
8.98 %
9.90
24
122
82.90
70.39
(1) 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.
(2) RoTCE and TBVPS are non-GAAP financial measures. For information on RoTCE and TBVPS, see “Capital Resources—Tangible Common Equity, Book Value
Per Share, Tangible Book Value Per Share and Return on Equity” below.
(3) Citi’s binding CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach as of December 31, 2023, 2022, 2021 and 2019, 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.
(4) Dividends declared per common share as a percentage of net income per diluted share.
(5) 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 11 and “Equity Security Repurchases” below for the component details.
11
SEGMENT REVENUES AND INCOME (LOSS)
REVENUES
In millions of dollars
Services
Markets
Banking
U.S. Personal Banking
Wealth
All Other—managed basis(1)
All Other—divestiture-related impacts (Reconciling Items)(1)
Total Citigroup net revenues
INCOME
In millions of dollars
Income (loss) from continuing operations
Services
Markets
Banking
U.S. Personal Banking
Wealth
All Other—managed basis(1)
All Other—divestiture-related impacts (Reconciling Items)(1)
Income from continuing operations
Discontinued operations
Less: Net income attributable to noncontrolling interests
Citigroup’s net income
% Change
2023 vs. 2022
% Change
2022 vs. 2021
16 %
25 %
2023
2022
2021
$
18,050 $
15,619 $
18,857
4,568
19,187
7,091
9,363
1,346
20,161
5,396
16,872
7,448
8,988
854
12,523
19,399
7,783
15,845
7,542
9,462
(670)
(6)
(15)
14
(5)
4
58
$
78,462 $
75,338 $
71,884
4 %
4
(31)
6
(1)
(5)
NM
5 %
2023
2022
2021
% Change
2023 vs. 2022
% Change
2022 vs. 2021
$
$
$
$
4,671 $
4,020
(44)
1,820
346
(2,090)
659
4,924 $
5,924
383
2,770
950
398
(184)
9,382 $
15,165 $
(1) $
153
(231) $
89
3,768
6,661
4,105
6,099
1,968
1,059
(1,642)
22,018
7
73
9,228 $
14,845 $
21,952
(5) %
(32)
NM
(34)
(64)
NM
NM
(38) %
100 %
72
(38) %
31 %
(11)
(91)
(55)
(52)
(62)
89
(31) %
NM
22 %
(32) %
(1) All Other (managed basis) excludes divestiture-related impacts (Reconciling Items) related to (i) Citi’s divestitures of its Asia Consumer businesses and (ii) the
planned divestiture of Mexico consumer banking and small business and middle-market banking within Legacy Franchises. The Reconciling Items are fully
reflected in the various line items in Citi’s Consolidated Statement of Income. See “All Other—Divestiture-Related Impacts (Reconciling Items)” below.
NM Not meaningful
12
SELECT BALANCE SHEET ITEMS BY SEGMENT(1)—DECEMBER 31, 2023
In millions of dollars
Services Markets
Banking
USPB
Wealth
All Other
and
consolidating
eliminations(2)
Citigroup
parent company-
issued long-term
debt(3)
Total
Citigroup
consolidated
Cash and deposits with
banks, net of allowance
Securities borrowed and
purchased under agreements
to resell, net of allowance
$
14,064 $ 64,595 $
363 $ 5,463 $
1,785 $
174,662 $
— $
260,932
Trading account assets
92 397,531
1,032
7,200 335,836
—
—
312
335
926
2,329
11,863
—
—
345,700
411,756
Investments, net of
allowance
Loans, net of unearned
income and allowance for
credit losses on loans
707 139,754
1,586
—
3
377,035
—
519,085
84,321 121,400
83,556 195,999
150,708
35,233
—
671,217
Deposits
$ 779,449 $ 20,777 $
696 $ 103,151 $
322,695 $
81,913 $
— $ 1,308,681
Securities loaned and sold
under agreements to
repurchase
Trading account liabilities
Short-term borrowings
Long-term debt(3)
903 274,384
70 153,456
124
20,173
—
98,789
—
—
—
—
—
190
—
—
53
276
2
409
2,767
1,353
17,158
25,112
—
—
—
278,107
155,345
37,457
162,309
286,619
(1) The information presented in the table above reflects select GAAP balance sheet items by reportable segment and component. This table does not include
intersegment funding.
(2) Consolidating eliminations for total Citigroup and Citigroup parent company items are recorded within All Other.
(3) The majority of long-term debt of Citigroup is reflected on the Citigroup parent company balance sheet (see Notes 19 and 31). Citigroup allocates stockholders’
equity and long-term debt to its businesses.
13
SERVICES
Services includes Treasury and Trade Solutions (TTS) and Securities Services. TTS provides an integrated suite of tailored cash
management, trade and working capital solutions to multinational corporations, financial institutions and public sector organizations.
Securities Services provides cross-border support for clients, providing on-the-ground local market expertise, post-trade technologies,
customized data solutions and a wide range of securities services solutions that can be tailored to meet clients’ needs.
Services revenue is generated primarily from fees and spreads associated with these activities. Services earns fee income for
assisting clients with transactional services and clearing. Revenue generated from these activities is recorded in Commissions and fees.
Revenue is also generated from assets under custody and administration and is recognized when the associated service is satisfied,
which normally occurs at the point in time the service is requested by the client 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. Services revenues include revenues earned by Citi that are subject to a revenue sharing arrangement with
Banking—Corporate Lending for Investment Banking, Markets and Services products sold to Corporate Lending clients.
At December 31, 2023, Services had $585 billion in assets and $779 billion in deposits. Securities Services managed $25.1 trillion
in assets under custody and administration, of which Citi provided both custody and administrative services to certain clients related to
$1.8 trillion of such assets. Managed assets under trust were $4.1 trillion.
In millions of dollars, except as otherwise noted
2023
2022
2021
% Change
2023 vs. 2022
% Change
2022 vs. 2021
Net interest income (including dividends)
$
13,198
$
10,318
$
6,821
28 %
51 %
Fee revenue
Commissions and fees
Other
Total fee revenue
Principal transactions
All other(1)
Total 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 credit losses for other assets and HTM debt
securities
Provision (release) for credit losses
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
Efficiency ratio
Revenue by component
Net interest income
Non-interest revenue
Treasury and Trade Solutions (TTS)
Net interest income
Non-interest revenue
Securities Services
Total Services
3,118
2,508
2,882
2,490
$
5,626
$
5,372
$
1,006
(1,780)
4,852
18,050
10,024
40
47
(18)
881
950
7,076
2,405
$
$
$
$
$
854
(925)
5,301
15,619
8,728
$
$
$
51
128
24
4
207
6,684
1,760
$
$
4,671
$
4,924
$
66
36
2,550
2,447
4,997
782
(77)
5,702
12,523
7,706
42
(248)
(61)
4
(263)
5,080
1,312
3,768
6
4,605
$
4,888
$
3,762
$
585
582
56 %
$
599
545
56 %
547
556
62 %
$
$
$
$
$
$
$
$
$
11,027
$
8,832
$
2,947
11,779
1,486
2,354
3,840
15,619
$
$
$
$
$
$
$
$
$
$
$
$
2,625
13,652
2,171
2,227
4,398
18,050
14
5,913
3,247
9,160
908
2,455
3,363
12,523
8
1
5 %
18
(92)
(8) %
16 %
15 %
(22)
(63)
NM
NM
NM
6 %
37
(5) %
83
(6) %
(2) %
7
25 %
(11)
16 %
46 %
(5)
15 %
16 %
13
2
8 %
9
NM
(7) %
25 %
13 %
21
NM
NM
—
NM
32 %
34
31 %
NM
30 %
10 %
(2)
49 %
(9)
29 %
64 %
(4)
14 %
25 %
Revenue by geography
North America
International
Total
Key drivers(2)
Average loans by reporting unit (in billions of dollars)
TTS
Securities Services
Total
ACLL as a percentage of EOP loans(3)
Average deposits by reporting unit and selected
component (in billions of dollars)
TTS
Securities Services
Total
$
5,132
$
4,782
$
12,918
10,837
3,748
8,775
$
18,050
$
15,619
$
12,523
$
$
$
$
80
1
81
0.47 %
687
123
810
$
$
$
$
80
2
82
0.46 %
675
133
808
$
$
$
$
72
2
74
0.24 %
670
135
805
7 %
19
16 %
— %
(50)
(1) %
2 %
(8)
— %
28 %
23
25 %
11 %
—
11 %
1 %
(1)
— %
(1)
Includes revenues earned by Citi that are subject to a revenue sharing arrangement with Banking—Corporate Lending for Investment Banking, Markets and
Services products sold to Corporate Lending clients.
(2) Management uses this information in reviewing the segment’s results and believes it is useful to investors concerning underlying segment performance and trends.
(3) Excludes loans that are carried at fair value for all periods.
NM Not meaningful
2023 vs. 2022
Net income of $4.6 billion decreased 6%, primarily driven by
higher expenses and higher cost of credit, partially offset by
higher revenues.
Expenses were up 15%, primarily driven by continued
investment in technology and other risk and controls, volume-
related expenses and business-led investments in TTS,
partially offset by the impact of productivity savings.
Revenues increased 16%, driven by higher revenues in
Provisions were $950 million, compared to $207 million
both TTS and Securities Services, largely driven by net
interest income growth, partially offset by lower non-interest
revenue due to the impact of the Argentine peso devaluations.
TTS revenues increased 16%, reflecting 25% growth in
net interest income, partially offset by an 11% decrease in
non-interest revenue. The increase in net interest income was
primarily driven by higher interest rates and cost of funds
management across currencies as well as growth in deposits.
Average deposits increased 2%, largely driven by growth in
international markets. The decrease in non-interest revenue
was driven by approximately $1.0 billion in translation losses
in revenues in Argentina due to devaluations of the Argentine
peso, including a $0.5 billion translation loss in the fourth
quarter of 2023. Excluding these translation losses, non-
interest revenue grew 10%, reflecting continued growth in
underlying drivers, including higher cross-border flows (up
15%), U.S. dollar clearing volumes (up 6%) and commercial
card spend (up 16%).
Securities Services revenues increased 15%, as net
interest income grew 46%, driven by higher interest rates
across currencies and cost of funds management, partially
offset by the impact of an 8% decline in average deposits and
lower non-interest revenue. The decline in average deposits
largely reflected the impact of monetary tightening. The
decrease in non-interest revenue was driven by approximately
$0.2 billion in translation losses in revenues in Argentina due
to the Argentine peso devaluations, including a $0.1 billion
translation loss in the fourth quarter of 2023. The decline in
non-interest revenues was partially offset by increased fees
from higher AUC/AUA balances from new client business and
deepening share of existing client wallet, as well as continued
elevated levels of corporate activity in Issuer Services.
in the prior year, primarily driven by an ACL build in other
assets.
The net ACL build was $910 million, compared to $156
million in the prior year, primarily due to an ACL build in
other assets related to transfer risk associated with exposures
in Russia and Argentina, driven by safety and soundness
considerations under U.S. banking law. For additional
information on Citi’s ACL, see “Significant Accounting
Policies and Significant Estimates” below.
For additional information on Services’ corporate credit
portfolio, see “Managing Global Risk—Credit Risk—
Corporate Credit” below.
For additional information on trends in Services’ deposits
and loans, see “Managing Global Risk—Liquidity Risk—
Loans” and “—Deposits” below.
For additional information about trends, uncertainties and
risks related to Services’ future results, see “Executive
Summary” above and “Risk Factors” and “Managing Global
Risk—Other Risks—Country Risk—Argentina” and “—
Russia” below.
2022 vs. 2021
Net income of $4.9 billion increased 30%, primarily driven by
higher revenues, partially offset by higher expenses and higher
cost of credit.
Services revenues were up 25%, driven by higher
revenues in both TTS and Securities Services.
TTS revenues increased 29%, largely due to 49% growth
in net interest income, reflecting deepening of existing client
relations and gaining new clients across segments. The
increase in net interest income was also driven by the benefits
from higher interest rates, balance sheet optimization, higher
15
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 International,
partially offset by loan sales in North America.
Securities Services revenues increased 14%, 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 4%,
due to the impact of foreign exchange translation and lower
fees in the custody business due to lower AUC/AUA (decline
of 6%), 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 AUC/
AUA. Average deposits declined 1%, due to clients seeking
higher rate alternatives.
Expenses were up 13%, primarily driven by continued
investment in Citi’s technology and other risk and controls,
volume-related expenses and business-led investments in TTS.
Provisions were $207 million, compared to a benefit of
$263 million in the prior year, driven by an ACL build on
loans and unfunded lending commitments.
The ACL build was $156 million, compared to a release
of $305 million in the prior year. The ACL build was
primarily driven by deterioration in macroeconomic
assumptions.
16
MARKETS
Markets provides corporate, institutional and public sector clients around the world with a full range of sales and trading services
across equities, foreign exchange, rates, spread products and commodities. The range of services includes market-making across asset
classes, risk management solutions, financing, prime brokerage, research, securities clearing and settlement.
As a market maker, Markets 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. 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 customer 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. Markets revenues include revenues earned by Citi that
are subject to a revenue sharing arrangement with Banking—Corporate Lending for Investment Banking, Markets and Services
products sold to Corporate Lending clients.
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. Management of the Markets businesses involves daily monitoring and evaluation of the above factors.
Markets international presence is supported by trading floors in approximately 80 countries and a proprietary network in 95
countries and jurisdictions.
In millions of dollars, except as otherwise noted
2023
2022
2021
% Change
2023 vs. 2022
% Change
2022 vs. 2021
Net interest income (including dividends)
$
7,265
$
5,819
$
6,147
25 %
(5) %
Fee revenue
Brokerage and fees
Investment banking fees(1)
Other
Total fee revenue
Principal transactions
All other(2)
Total non-interest revenue
Total revenues, net of interest expense(3)
Total operating expenses
Net credit losses (recoveries) on loans
Credit reserve build (release) for loans
Provision for credit losses (release) on unfunded lending
commitments
Provisions for credit losses for other assets and HTM debt
securities
Provision (release) for credit losses
Income (loss) from continuing operations before taxes
Income taxes (benefits)
Income (loss) from continuing operations
Noncontrolling interests
Net income (loss)
Balance Sheet data (in billions of dollars)
EOP assets
Average assets
Efficiency ratio
Revenue by component
Fixed Income markets
Equity markets
Total
1,381
392
150
1,452
481
139
$
1,923
$
2,072
$
10,562
(893)
11,592
18,857
13,238
32
204
1
200
437
5,182
1,162
$
$
$
$
$
13,087
(817)
14,342
20,161
12,413
(5)
80
10
70
155
7,593
1,669
$
$
$
$
$
4,020
$
5,924
$
67
52
$
$
$
$
$
$
$
$
1,530
656
176
2,362
9,647
1,243
13,252
19,399
11,372
97
(325)
(101)
—
(329)
8,356
1,695
6,661
38
3,953
$
5,872
$
6,623
995
$
1,018
70 %
$
950
984
62 %
895
935
59 %
$
14,820
$
15,710
$
14,345
4,037
4,451
5,054
$
18,857
$
20,161
$
19,399
17
(5)
(19)
8
(7) %
(19)
(9)
(19) %
(6) %
7 %
NM
NM
(90)
NM
NM
(32) %
(30)
(32) %
29
(33) %
5 %
3
(6) %
(9)
(6) %
(5)
(27)
(21)
(12) %
36
100
8 %
4 %
9 %
NM
NM
NM
100
NM
(9) %
(2)
(11) %
37
(11) %
6 %
5
10 %
(12)
4 %
Rates and currencies
$
10,885
$
11,556
$
Spread products/other fixed income
3,935
4,154
8,838
5,507
Total Fixed Income markets revenues
$
14,820
$
15,710
$
14,345
Revenue by geography
North America
International
Total
Key drivers(4) (in billions of dollars)
Average loans
NCLs as a percentage of average loans
ACLL as a percentage of EOP loans(5)
Average trading account assets
Average deposits
(6) %
(5)
(6) %
2 %
(11)
(6) %
31 %
(25)
10 %
(9) %
12
4 %
$
6,956
$
6,846
$
7,520
11,901
13,315
11,879
$
18,857
$
20,161
$
19,399
$
110
$
111
$
112
(1) %
(1) %
0.03 %
0.71 %
379
23
— %
0.58 %
334
21
0.09 %
0.54 %
342
22
13
10
(2)
(5)
(1)
(2)
Investment banking fees are primarily composed of underwriting, advisory, loan syndication structuring and other related financing activity.
Includes revenues earned by Citi that are subject to a revenue sharing arrangement with Banking—Corporate Lending for Investment Banking, Markets and
Services products sold to Corporate Lending clients.
(3) Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net
interest 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.
(4) Management uses this information in reviewing the segment’s results and believes it is useful to investors concerning underlying segment performance and trends.
(5) Excludes loans that are carried at fair value for all periods.
NM Not meaningful
2023 vs. 2022
Net income of $4.0 billion decreased 33%, primarily driven by
lower revenues, higher expenses and higher cost of credit.
Revenues declined 6%, primarily driven by lower Fixed
Income markets revenues, lower Equity markets revenues and
the impact of business actions taken to reduce RWA,
compared with very strong performance in the prior year. Citi
expects that revenues in its Markets business will continue to
reflect the overall market environment during 2024.
net ACL build for other assets was $200 million, primarily
driven by transfer risk associated with exposures in Russia and
Argentina, driven by safety and soundness considerations
under U.S. banking law. For additional information on Citi’s
ACL, see “Significant Accounting Policies and Significant
Estimates” below.
For additional information on Markets’ corporate credit
portfolio, see “Managing Global Risk—Credit Risk—
Corporate Credit” below.
Fixed Income markets revenues decreased 6%. Rates and
For additional information on trends in Markets’ deposits
currencies revenues decreased 6%, primarily driven by a
decline in the currencies business, reflecting lower volatility, a
strong prior-year comparison and a significant slowdown in
activity in December 2023. The decline in rates and currencies
revenues also reflected $526 million in translation losses in
revenues in Argentina due to the Argentine peso devaluations,
including $236 million in translation loss in the fourth quarter
of 2023. Spread products and other fixed income revenues
decreased 5%, largely driven by lower client activity, lower
volatility and a strong prior-year comparison.
Equity markets revenues decreased 9%, primarily due to a
decline in equity derivatives, due to lower institutional
activity, spread compression and lower volatility. Prime
services revenues increased modestly, as prime finance
balances grew, reflecting continued client momentum.
Expenses increased 7%, primarily driven by investments
in transformation, technology and other risk and controls,
partially offset by productivity savings.
Provisions were $437 million, compared to $155 million
in the prior year, primarily driven by an ACL build in loans
and other assets.
The net ACL build was $405 million, compared to $160
million in the prior year. The ACL build for loans was $204
million, primarily driven by risks and uncertainties impacting
vulnerable industries, including commercial real estate. The
and loans, see “Managing Global Risk—Liquidity Risk—
Loans” and “—Deposits” below.
For additional information about trends, uncertainties and
risks related to Markets’ future results, see “Executive
Summary” above and “Risk Factors” and “Managing Global
Risk—Other Risks—Country Risk—Argentina” and “—
Russia” below.
2022 vs. 2021
Net income of $5.9 billion decreased 11%, primarily driven by
higher cost of credit and higher expenses, partially offset by
higher revenues.
Revenues increased 4%, 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.
Fixed Income markets revenues increased 10%. Rates and
currencies revenues increased 31%, 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 25%, 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
18
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 12%, 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.
Expenses increased 9%, primarily driven by volume-
related costs and investment in transformation, technology and
other risk and controls.
Provisions were $155 million, compared to a benefit of
$329 million in the prior year, driven by a net ACL build,
partially offset by lower net credit losses.
Net credit losses were a benefit of $5 million, compared
to $97 million in the prior year, largely driven by
improvements in portfolio credit quality.
The net ACL build was $160 million, compared to a net
release of $426 million in the prior year. The net ACL build
was primarily driven by a deterioration in macroeconomic
assumptions.
19
BANKING
Banking includes Investment Banking, which supports clients’ capital-raising needs to help strengthen and grow their businesses,
including equity and debt capital markets-related strategic financing solutions, as well as advisory services related to mergers and
acquisitions, divestitures, restructurings and corporate defense activities; and Corporate Lending, which includes corporate and
commercial banking, serving as the conduit of Citi’s full product suite to clients.
Banking revenues include revenues earned by Citi that are subject to a revenue sharing arrangement with Banking—Corporate
Lending for Investment Banking, Markets and Services products sold to Corporate Lending clients.
At December 31, 2023, Banking had $147 billion in assets including $85 billion in loans, and $0.7 billion in deposits.
In millions of dollars, except as otherwise noted
2023
2022
2021
% Change
2023 vs. 2022
% Change
2022 vs. 2021
Net interest income (including dividends)
$
2,094
$
2,057
$
2,204
2 %
(7) %
Fee revenue
Investment banking fees(1)
Other
Total fee revenue
Principal transactions
All other(2)
Total 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 (releases) for credit losses for other assets and
HTM debt securities
Provisions (releases) for credit losses
Income (loss) from continuing operations before taxes
Income taxes (benefits)
Income (loss) from continuing operations
Noncontrolling interests
Net income (loss)
Balance Sheet data (in billions of dollars)
EOP assets
Average assets
Efficiency ratio
Revenue by component
Total Investment Banking
Corporate Lending (excluding gain (loss) on loan hedges)(2)(3)
Total Banking revenues (excluding gain (loss) on loan
hedges)(2)(3)
Gain (loss) on loan hedges(2)(3)
Total Banking revenues (including gain (loss) on loan
hedges)(2)(3)
Business metrics—investment banking fees
Advisory
Equity underwriting (Equity Capital Markets (ECM))
Debt underwriting (Debt Capital Markets (DCM))
2,713
158
3,053
174
$
2,871
$
3,227
$
(936)
539
(133)
245
2,474
$
3,339
$
4,568
5,396
4,869
$
4,471
$
169
(370)
(353)
389
(165)
(136)
(92)
(44)
4
$
$
$
106
270
153
20
549
376
$
$
(7)
383
$
(3)
6,018
330
6,348
(501)
(268)
5,579
7,783
4,406
217
(1,520)
(591)
(4)
(1,898)
5,275
1,170
4,105
8
(48)
$
386
$
4,097
$
147
152
107 %
$
152
159
83 %
145
155
57 %
$
2,538
$
2,510
$
2,473
2,579
6,089
1,834
$
5,011
$
5,089
$
7,923
(443)
307
(140)
$
$
$
$
$
$
$
$
$
Total
$
2,713
$
3,053
$
20
4,568
$
5,396
$
7,783
(15) %
1,017
$
1,332
$
500
1,196
621
1,100
1,785
2,152
2,081
6,018
(24) %
(19)
9
(11) %
(11)
(9)
(11) %
NM
NM
(26) %
(15)
9 %
59
NM
NM
NM
NM
NM
NM
NM
NM
NM
(3) %
(4)
1 %
(4)
(2) %
NM
(49)
(47)
(49) %
73
NM
(40) %
(31)
1 %
(51)
NM
NM
NM
NM
(93) %
(101)
(91) %
NM
(91) %
5 %
3
(59) %
41
(36) %
NM
(31) %
(25) %
(71)
(47)
(49) %
Revenue by geography
North America
International
Total
Key drivers(4) (in billions of dollars)
Average loans
NCLs as a percentage of average loans
ACLL as a percentage of EOP loans(5)
Average deposits
$
$
$
1,775
$
2,453
$
2,793
2,943
4,568
$
5,396
$
3,956
3,827
7,783
(28) %
(5)
(15) %
(38) %
(23)
(31) %
90
$
98
$
0.19 %
1.60 %
1
0.11 %
1.89 %
1
101
0.21 %
1.56 %
1
(8) %
(3) %
—
—
(1)
(2)
Investment banking fees are primarily composed of underwriting, advisory, loan syndication structuring and other related financing activity.
Includes revenues earned by Citi that are subject to a revenue sharing arrangement with Banking—Corporate Lending for Investment Banking, Markets and
Services products sold to Corporate Lending clients.
(3) 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 includes the mark-to-market on the credit derivatives, partially offset by the mark-to-market on the loans in the portfolio that are at fair value. Hedges
on accrual loans reflect the mark-to-market on credit derivatives used to economically hedge the corporate loan accrual portfolio. 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 is a non-GAAP financial measure.
(4) Management uses this information in reviewing the segment’s results and believes it is useful to investors concerning underlying segment performance and trends.
(5) Excludes loans that are carried at fair value for all periods.
NM Not meaningful
21
The discussion of the results of operations for Banking 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.
2023 vs. 2022
Net loss was $48 million, compared to net income of $386
million in the prior year, primarily driven by lower revenues
and higher expenses, partially offset by lower cost of credit.
Revenues decreased 15% (including gain (loss) on loan
hedges), primarily reflecting the loss on loan hedges ($443
million loss versus $307 million gain in the prior year) and
lower revenues in Corporate Lending, as well as the
contraction of global investment banking wallet.
Investment Banking revenues increased 1%, driven by
lower markdowns in non-investment-grade loan commitments.
The increase in revenue was mainly offset by the overall
decline in market wallet, as heightened macroeconomic
uncertainty and volatility continued to impact client activity.
Advisory fees decreased 24%, primarily driven by a decline in
the market wallet. Equity underwriting fees decreased 19%,
driven by overall softness in equity issuance activity. Debt
underwriting fees increased 9%, driven by increased client
activity, partially offset by a decline in the market wallet.
Corporate Lending revenues decreased 30%, including the
impact of gain (loss) on loan hedges. Excluding the impact of
gain (loss) on loan hedges, revenues decreased 4%, largely
driven by lower volumes on continued balance sheet
optimization. The decline in revenues also reflected
approximately $134 million in translation losses in non-
interest revenue in Argentina due to devaluations of the
Argentine peso, including a $64 million translation loss in the
fourth quarter of 2023.
Expenses were up 9%, primarily driven by the absence of
an operational loss reserve release in the prior year, business-
led investments and the impact of business-as-usual severance,
partially offset by productivity savings.
Provisions reflected a benefit of $165 million, compared
to a cost of $549 million in the prior year, driven by ACL
releases in loans and unfunded lending commitments, partially
offset by an ACL build in other assets.
For additional information about trends, uncertainties and
risks related to Banking’s future results, see “Executive
Summary” above and “Risk Factors” and “Managing Global
Risk—Other Risks—Country Risk—Argentina” and “—
Russia” below.
2022 vs. 2021
Net income of $386 million decreased 91%, primarily driven
by lower revenues and higher cost of credit.
Revenues decreased 31% (including gain (loss) on loan
hedges), primarily reflecting lower Investment Banking
revenues, partially offset by an increase in Corporate Lending
revenues and the gain on loan hedges ($307 million gain
versus a $140 million loss in the prior year).
Investment Banking revenues were down 59%, reflecting
a significant decline in the overall market wallet, as well as
markdowns on loan commitments and losses on loan sales.
Advisory, equity and debt underwriting fees decreased 25%,
71% and 47%, respectively, primarily driven by the decline in
the market wallet.
Corporate Lending revenues increased 70%, including the
impact of gain (loss) on loan hedges. Excluding the impact of
gain (loss) on loan hedges, revenues increased 41%, primarily
driven by higher revenue share from Investment Banking,
Services and Markets, partially offset by lower volumes and
higher hedging costs.
Expenses were up 1%, primarily driven by business-led
investments, largely offset by an operational loss reserve
release, productivity savings and lower volume-related
expenses.
Provisions were $549 million, compared to a benefit of
$1.9 billion in the prior year, driven by a net ACL build,
partially offset by lower net credit losses.
Net credit losses were $106 million, compared to $217
million in the prior year, driven by improvements in portfolio
credit quality.
Net credit losses increased to $169 million, compared to
The net ACL build was $443 million, compared to a net
release of $2.1 billion in the prior year. The net ACL build
was primarily driven by a deterioration in macroeconomic
assumptions.
$106 million in the prior year, driven by higher episodic write-
offs.
The net ACL release was $334 million, compared to a net
build of $443 million in the prior year. The ACL releases in
loans and unfunded lending commitments were driven by an
improved macroeconomic outlook. These releases were
partially offset by an ACL build in other assets, primarily
related to transfer risk associated with exposures in Argentina
and Russia, driven by safety and soundness considerations
under U.S. banking law. For additional information on Citi’s
ACL, see “Significant Accounting Policies and Significant
Estimates” below.
For additional information on Banking’s corporate credit
portfolio, see “Managing Global Risk—Credit Risk—
Corporate Credit” below.
For additional information on trends in Banking’s deposits
and loans, see “Managing Global Risk—Liquidity Risk—
Loans” and “—Deposits” below.
22
U.S. PERSONAL BANKING
U.S. Personal Banking (USPB) includes Branded Cards and Retail Services, which have proprietary card portfolios (Cash, Rewards
and Value) and co-branded card portfolios (including Costco and American Airlines) within Branded Cards, and co-brand and private
label relationships within Retail Services (including, among others, The Home Depot, Best Buy, Sears and Macy’s). USPB also
includes Retail Banking, which provides traditional banking services to retail and small business customers.
At December 31, 2023, USPB had 647 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago,
Los Angeles, San Francisco, Miami and Washington, D.C. USPB had $165 billion in outstanding credit card balances, $103 billion in
deposits, $40 billion in mortgages and $4 billion in personal and small business loans. For additional information on USPB’s end-of-
period consumer loan portfolios and metrics, see “Managing Global Risk—Credit Risk—Consumer Credit” below.
In millions of dollars, except as otherwise noted
2023
2022
2021
% Change
2023 vs. 2022
% Change
2022 vs. 2021
$
20,150
$
18,062
$
16,285
12 %
11 %
Total revenues, net of interest expense
19,187
16,872
Net interest income
Fee revenue
Interchange fees
Card rewards and partner payments
Other
Total fee revenue
All other
Total non-interest revenue
Total operating expenses
Net credit losses on loans
Credit reserve build (release) for loans
Provision for credit losses on unfunded lending commitments
Provisions for benefits and claims (PBC), and other assets
Provisions 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
Efficiency ratio
Revenue by component
Branded Cards
Retail Services
Retail Banking
Total
Average loans and deposits (in billions of dollars)
Average loans
ACLL as a percentage of EOP loans(1)
Average deposits
(1) Excludes loans that are carried at fair value for all periods.
NM Not meaningful
9,674
9,190
(11,083)
(10,862)
349
462
$
$
(1,060)
$
(1,210) $
97
20
(963)
$
(1,190) $
$
10,102
$
9,782
$
5,234
1,464
1
8
6,707
2,378
558
$
$
2,918
517
(1)
14
3,448
3,642
872
$
$
1,820
$
2,770
$
—
—
7,894
(9,105)
527
(684)
244
(440)
15,845
8,854
2,939
(3,953)
(1)
17
(998)
7,989
1,890
6,099
—
1,820
$
2,770
$
6,099
$
242
231
53 %
$
231
213
58 %
211
210
56 %
$
$
$
$
$
$
9,988
$
8,962
$
6,617
2,582
5,469
2,441
8,236
5,106
2,503
$
19,187
$
16,872
$
15,845
$
193
$
171
$
6.28 %
110
6.31 %
115
159
6.80 %
112
23
5
(2)
(24)
12 %
NM
19 %
14
3 %
79
NM
NM
(43)
95 %
(35) %
(36)
(34) %
—
(34) %
5 %
8
11 %
21
6
14 %
13 %
(4)
16
(19)
(12)
(77) %
(92)
NM
6 %
10 %
(1)
NM
—
(18)
NM
(54) %
(54)
(55) %
—
(55) %
9 %
1
9 %
7
(2)
6 %
8 %
3
For additional information about trends, uncertainties and
risks related to USPB’s future results, see “Executive
Summary” above and “Risk Factors” below.
2022 vs. 2021
Net income was $2.8 billion, compared to $6.1 billion in the
prior year, reflecting higher cost of credit and higher expenses,
partially offset by higher revenues.
Revenues increased 6%, primarily due to higher net
interest income (up 11%), driven by strong loan growth in
Branded Cards and Retail Services and the impact of higher
interest rates in Retail Banking. The increase in revenues was
partially offset by lower non-interest revenue, largely
reflecting higher partner payments in Retail Services resulting
from higher revenues.
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 volumes 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 card 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. Retail
Services card spend volumes increased 8% and average loans
increased 6%, reflecting the higher card spend volumes.
Retail Banking revenues decreased 2%, as the higher
interest rates and modest deposit growth were more than 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.
Expenses increased 10%, 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 $3.4 billion, compared to a benefit of
$1.0 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, partially
offset by higher losses in the second half of the year,
particularly in Retail Services (net credit losses up 7% to $1.3
billion). Branded Cards net credit losses declined 17% to $1.4
billion.
The net ACL build was $0.5 billion, compared to a net
release of $3.9 billion in the prior year, primarily driven by
U.S. cards loan growth and a deterioration in macroeconomic
assumptions.
2023 vs. 2022
Net income was $1.8 billion, compared to $2.8 billion in the
prior year, reflecting higher cost of credit and higher expenses,
partially offset by higher revenues.
Revenues increased 14%, due to higher net interest
income (up 12%), driven by strong loan growth and higher
deposit spreads, as well as higher non-interest revenue (up
19%). The increase in non-interest revenue was largely driven
by lower partner payments in Retail Services, due to higher
net credit losses, and an increase in interchange fees, driven by
higher card spend volumes in Branded Cards. The increase in
non-interest revenue was partially offset by an increase in
rewards costs in Branded Cards, driven by the higher card
spend volumes.
Cards revenues increased 15%. Branded Cards revenues
increased 11%, primarily driven by the higher net interest
income, reflecting the strong loan growth. Branded Cards new
account acquisitions increased 9% and card spend volumes
increased 5%. Branded Cards average loans increased 13%,
reflecting the higher card spend volumes and lower card
payment rates.
Retail Services revenues increased 21%, primarily driven
by higher net interest income on higher loan balances, as well
as higher non-interest revenue due to the lower partner
payments, driven by the higher net credit losses (see Note 5).
Retail Services credit card spend volumes decreased 4% and
average loans increased 9%, largely reflecting lower card
payment rates.
Retail Banking revenues increased 6%, primarily driven
by higher deposit spreads and mortgage loan growth, partially
offset by the impact of the transfer of certain relationships and
the associated deposit balances to Wealth. Average mortgage
loans increased 16%, primarily driven by lower refinancings
due to high interest rates and higher mortgage originations.
Average deposits decreased 4%, largely reflecting the transfer
of certain relationships and the associated deposit balances to
Wealth.
Expenses increased 3%, primarily driven by continued
investments in other risk and controls, technology, business-
led investments and business-as-usual severance costs,
partially offset by productivity savings.
Provisions were $6.7 billion, compared to $3.4 billion in
the prior year, largely driven by higher net credit losses and a
higher ACL build for loans. Net credit losses increased 79%,
primarily reflecting higher losses in cards in line with
expectations, with Branded Cards net credit losses up 93% to
$2.7 billion and Retail Services net credit losses up 84% to
$2.3 billion. Both Branded Cards and Retail Services net
credit losses reached pre-pandemic levels at the end of 2023.
The net ACL build was $1.5 billion, compared to $0.5
billion in the prior year, primarily reflecting growth in loan
balances in Branded Cards and Retail Services. For additional
information on Citi’s ACL, see “Significant Accounting
Policies and Significant Estimates” below.
For additional information on USPB’s Branded Cards,
Retail Services and Retail Banking loan portfolios, see
“Managing Global Risk—Credit Risk—Consumer Credit”
below.
24
WEALTH
Wealth includes Private Bank, Wealth at Work and Citigold and provides financial services to a range of client segments including
affluent, high net worth and ultra-high net worth clients 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. Private Bank provides financial services to ultra-high net worth clients through customized product offerings. Wealth at
Work provides financial services to professional industries (including law firms, consulting groups, accounting and asset management)
through tailored solutions. Citigold includes Citigold and Citigold Private Clients, which both provide financial services to affluent
and high net worth clients through elevated product offerings and financial relationships.
At December 31, 2023, Wealth had $323 billion in deposits and $152 billion in loans, including $90 billion in mortgage loans,
$29 billion in margin loans, $27 billion in personal and small business loans and $5 billion in outstanding credit card balances. For
additional information on Wealth’s end-of-period consumer loan portfolios and metrics, see “Managing Global Risk—Credit Risk—
Consumer Credit” below.
In millions of dollars, except as otherwise noted
Net interest income
Fee revenue
Commissions and fees
Other
Total fee revenue
All other
Total 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 (release) for benefits and claims (PBC), and other
assets
Provisions (releases) 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
Efficiency ratio
Revenue by component
Private Bank
Wealth at Work
Citigold
Total
Revenue by geography
North America
International
Total
Key drivers(1) (in billions of dollars)
EOP client balances
Client investment assets(2)
Deposits
Loans
Total
ACLL as a percentage of EOP loans
2023
2022
2021
$
4,460
$
4,744
$
4,491
% Change
2023 vs. 2022
(6) %
% Change
2022 vs. 2021
6 %
1,218
866
2,084
620
2,704
7,448
6,058
103
190
12
1
306
1,084
134
950
—
950
259
259
81 %
2,812
730
3,906
7,448
3,927
3,521
7,448
443
325
149
917
0.59 %
$
$
$
$
$
$
$
$
$
$
$
$
$
$
1,608
899
2,507
544
3,051
7,542
5,381
122
(331)
(15)
(2)
(226)
2,387
419
1,968
—
1,968
250
253
71 %
2,970
691
3,881
7,542
3,767
3,775
7,542
507
329
151
987
0.44 %
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
1,211
808
2,019
612
2,631
7,091
6,644
98
(85)
(12)
(3)
(2)
449
103
346
—
346
232
247
94 %
2,332
862
3,897
7,091
3,615
3,476
7,091
498
323
152
973
0.51 %
25
(1)
(7)
(3) %
(1)
(3) %
(5)
10 %
(5)
NM
NM
NM
(101) %
(59) %
(23)
(64) %
—
(64) %
(10) %
(5)
(17) %
18
—
(5) %
(8) %
(1)
(5) %
12 %
(1)
2
6 %
(24)
(4)
(17) %
14
(11) %
(1)
13 %
(16)
NM
NM
NM
NM
(55) %
(68)
(52) %
—
(52) %
4 %
2
(5) %
6
1
(1) %
4 %
(7)
(1) %
(13) %
(1)
(1)
(7) %
(1) Management uses this information in reviewing the segment’s results and believes it is useful to investors concerning underlying segment performance and trends.
(2)
NM Not meaningful
Includes assets under management, and trust and custody assets.
2022 vs. 2021
Net income was $950 million, compared to $2.0 billion in the
prior year, reflecting higher expenses, higher cost of credit and
lower revenues.
Revenues decreased 1%, 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 balances decreased 7%,
primarily driven by a decline in client investment assets.
Private Bank revenues decreased 5%, primarily driven by
the investment product revenue headwinds.
Wealth at Work revenues increased 6%, driven by
improved lending spreads, primarily in mortgages, partially
offset by lower deposit revenues.
Citigold revenues increased 1%, primarily driven by
higher deposit revenues, partially offset by lower investment
revenues in Asia and North America due to lower client
investment assets and client activity.
Expenses increased 13%, primarily driven by continued
investments in other risk and controls, technology and
business-led investments, partially offset by productivity
savings.
Provisions were $306 million, compared to a benefit of
$226 million in the prior year, largely driven by a net ACL
build.
The net ACL build was $202 million, compared to a net
release of $346 million in the prior year, primarily driven by
deteriorations in macroeconomic assumptions.
2023 vs. 2022
Net income was $346 million, compared to $950 million in the
prior year, reflecting lower revenues and higher expenses,
partially offset by lower cost of credit.
Revenues decreased 5%, largely driven by lower net
interest income (down 6%), due to lower deposit spreads, as
well as lower non-interest revenue (down 3%), largely driven
by investment product revenue headwinds, partially offset by
the benefits of the transfer of certain relationships and the
associated deposit balances from USPB. Average loans were
largely unchanged. Average deposits decreased 1%, reflecting
transfers to higher-yielding investments on Citi’s platform.
Client balances increased 6%, primarily driven by higher
client investment assets, partially offset by lower deposit
balances.
Private Bank revenues decreased 17%, primarily driven
by lower deposit spreads, lower deposit and loan volumes and
the investment product revenue headwinds.
Wealth at Work revenues increased 18%, driven by
improved lending spreads, primarily in mortgages, and higher
investment product revenues, partially offset by lower deposit
revenues.
Citigold revenues were largely unchanged, as higher
deposit revenues internationally were offset by lower deposit
revenues in North America and lower lending revenues
globally.
Expenses increased 10%, primarily driven by continued
investments in other risk and controls and technology,
partially offset by productivity savings and re-pacing of
strategic investments.
Provisions were a benefit of $2 million, compared to
provisions of $306 million in the prior year, largely driven by
a net ACL release.
The net ACL release was $97 million, compared to a net
build of $202 million in the prior year, primarily driven by
improvements in macroeconomic assumptions. For additional
information on Citi’s ACL, see “Significant Accounting
Policies and Significant Estimates” below.
For additional information on Wealth’s loan portfolios,
see “Managing Global Risk—Credit Risk—Consumer Credit”
below.
For additional information about trends, uncertainties and
risks related to Wealth’s future results, see “Executive
Summary” above and “Risk Factors” below.
26
ALL OTHER—Divestiture-Related Impacts (Reconciling Items)
All Other includes activities not assigned to the reportable operating segments (Services, Markets, Banking, USPB and Wealth),
including Legacy Franchises and Corporate/Other. For additional information about Legacy Franchises and Corporate/Other, see “All
Other (Managed Basis)” below.
All Other (managed basis) results exclude divestiture-related impacts (see the “Reconciling Items” column in the table below)
related to (i) Citi’s divestitures of its Asia consumer banking businesses and (ii) the planned divestiture or IPO of Mexico consumer
banking and small business and middle-market banking, within Legacy Franchises. Legacy Franchises (managed basis) results also
exclude these divestiture-related impacts. Certain of the results of operations of All Other (managed basis) and Legacy Franchises
(managed basis) are non-GAAP financial measures (see “Overview—Non-GAAP Financial Measures” above).
The table below presents a reconciliation from All Other (U.S. GAAP) to All Other (managed basis). All Other (U.S. GAAP), less
Reconciling Items, equals All Other (managed basis). The Reconciling Items are fully reflected on each respective line item in Citi’s
Consolidated Statement of Income.
In millions of dollars, except as
otherwise noted
Net interest income
Non-interest revenue
Total revenues, net of interest
expense
2023
2022
2021
All Other
(U.S.
GAAP)
Reconciling
Items(1)
All Other
(managed
basis)
All Other
(U.S.
GAAP)
Reconciling
Items(2)
All Other
(managed
basis)
All Other
(U.S.
GAAP)
Reconciling
Items(3)
All Other
(managed
basis)
$
7,733 $
— $
7,733 $
7,668 $
— $
7,668 $
6,546 $
— $
6,546
2,976
1,346
1,630
2,174
854
1,320
2,246
(670)
2,916
$ 10,709 $
1,346 $
9,363 $
9,842 $
854 $
8,988 $
8,792 $
(670) $
9,462
Total operating expenses
$ 11,489 $
372 $ 11,117 $
9,840 $
696 $
9,144 $ 10,474 $
1,171 $
9,303
Net credit losses on loans
864
(6)
870
616
(156)
772
1,478
(6)
1,484
Credit reserve build (release)
for loans
Provision for credit losses on
unfunded lending
commitments
Provisions for benefits and
claims (PBC), other assets
and HTM debt securities
Provisions (benefits) for credit
losses and PBC
Income (loss) from continuing
operations before taxes
Income (loss) from continuing
operations
Income (loss) from
discontinued operations, net of
taxes
Noncontrolling interests
Net income (loss)
Asia Consumer revenues
$
$
89
(61)
150
(229)
259
(488)
(1,621)
30
(1,651)
(44)
—
(44)
93
(27)
120
(19)
—
(19)
350
—
350
94
—
94
98
—
98
$
1,259 $
(67) $
1,326 $
574 $
76 $
498 $
(64) $
24 $
(88)
Income taxes (benefits)
(608)
382
(990)
(786)
266
(1,052)
(1,035)
(223)
$
(2,039) $
1,041 $
(3,080) $
(572) $
82 $
(654) $
(1,618) $
(1,865) $
247
(812)
$
(1,431) $
659 $
(2,090) $
214 $
(184) $
398 $
(583) $
(1,642) $
1,059
(1)
16
—
—
(1)
16
(231)
4
—
—
(231)
4
7
21
—
—
7
21
(1,448) $
659 $
(2,107) $
(21) $
(184) $
163 $
(597) $
(1,642) $
1,045
2,870 $
1,346 $
1,524 $
3,780 $
854 $
2,926 $
3,244 $
(670) $
3,914
(1) 2023 includes (i) an approximate $1.059 billion gain on sale recorded in revenue (approximately $727 million after-tax) related to the India consumer banking
business sale; (ii) an approximate $403 million gain on sale recorded in revenue (approximately $284 million after-tax) related to the Taiwan consumer banking
business sale; and (iii) approximately $372 million (approximately $263 million after-tax) in operating expenses primarily related to separation costs in Mexico
and severance costs in the Asia exit markets.
(2) 2022 includes (i) an approximate $535 million (approximately $489 million after-tax) goodwill write-down due to resegmentation and the timing of Asia
consumer banking business divestitures; (ii) an approximate $616 million gain on sale recorded in revenue (approximately $290 million after-tax) related to the
Philippines consumer banking business sale; and (iii) an approximate $209 million gain on sale recorded in revenue (approximately $115 million after-tax) related
to the Thailand consumer banking business sale.
(3) 2021 includes (i) an approximate $680 million loss on sale (approximately $580 million after-tax) related to Citi’s agreement to sell its Australia consumer
banking business; and (ii) an approximate $1.052 billion in expenses (approximately $792 million after-tax) primarily related to charges incurred from the
voluntary early retirement program (VERP) in connection with the wind-down of Citi’s consumer banking business in Korea.
27
ALL OTHER—Managed Basis
At December 31, 2023, All Other (managed basis) had $211 billion in assets, primarily related to Mexico Consumer/SBMM and Asia
Consumer reported within Legacy Franchises (managed basis), as well as Corporate Treasury investment securities and the
Company’s deferred tax assets (DTAs) reported within Corporate/Other.
Legacy Franchises (Managed Basis)
Legacy Franchises (managed basis) includes (i) Mexico Consumer Banking (Mexico Consumer) and Mexico Small Business and
Middle-Market Banking (Mexico SBMM), collectively Mexico Consumer/SBMM, (ii) Asia Consumer Banking (Asia Consumer),
representing the consumer banking operations of the remaining four exit countries (Korea, Poland, China and Russia), and (iii) Legacy
Holdings Assets, primarily legacy consumer mortgage loans in North America that the Company continues to wind down.
Mexico Consumer/SBMM operates in Mexico through Citibanamex and 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. As previously disclosed, Citi intends to pursue an IPO of its consumer, small business and middle-market banking
operations in Mexico. Citi will retain its Services, Markets, Banking and Wealth businesses in Mexico. Citi currently expects that the
separation of the businesses will be completed in the second half of 2024 and that the IPO will take place in 2025.
Legacy Franchises (managed basis) also included the following nine Asia Consumer businesses prior to their sales: Australia,
until its closing in June 2022; the Philippines, until its closing in August 2022; Thailand and Malaysia, until their closings in
November 2022; Bahrain, until its closing in December 2022; India and Vietnam, until their closings in March 2023; Taiwan, until its
closing in August 2023; and Indonesia until its closing in November 2023.
Citi has continued to make progress on its wind-downs in China, Korea and Russia. In October 2023, Citi announced the signing
of an agreement to sell its onshore consumer wealth business in China and has restarted the sales process of its consumer banking
business in Poland. See Note 2 for additional information on Legacy Franchises’ consumer banking business sales and wind-downs.
For additional information about Citi’s continued efforts to reduce its operations and exposures in Russia, see “Risk Factors” and
“Managing Global Risk—Other Risks—Country Risk—Russia” below.
At December 31, 2023, on a combined basis, Legacy Franchises (managed basis) had 1,344 retail branches, $20 billion in retail
banking loans and $52 billion in deposits. In addition, Legacy Franchises (managed basis) had $9 billion in outstanding card loan
balances, while Mexico SBMM had $8 billion in outstanding corporate loan balances.
Corporate/Other
Corporate/Other includes 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.
28
In millions of dollars, except as otherwise noted
2023
2022
2021
% Change
2023 vs. 2022
% Change
2022 vs. 2021
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), other assets and
HTM debt securities
Provisions (releases) for credit losses and PBC
Income (loss) from continuing operations before taxes
Income taxes (benefits)
Income (loss) from continuing operations
Income (loss) from discontinued operations, net of taxes
Noncontrolling interests
Net income (loss)
Balance Sheet data (in billions of dollars)
EOP assets
Average assets
Revenue by reporting unit and component
Mexico Consumer/SBMM
Asia Consumer
Legacy Holdings Assets
Corporate/Other
Total
Mexico Consumer/SBMM—key indicators (in billions of
dollars)
EOP loans
EOP deposits
Average loans
NCLs as a percentage of average loans
(Mexico Consumer only)
Loans 90+ days past due as a percentage of EOP loans
(Mexico Consumer only)
Loans 30–89 days past due as a percentage of EOP loans
(Mexico Consumer only)
Asia Consumer—key indicators(1) (in billions of dollars)
EOP loans
EOP deposits
Average loans
Legacy Holdings Assets—key indicators (in billions of dollars)
7,733
$
7,668
$
1,630
9,363
11,117
870
150
(44)
350
1,326
(3,080)
(990)
$
$
$
$
$
$
1,320
8,988
9,144
772
(488)
120
94
498
$
(654) $
(1,052)
6,546
2,916
9,462
9,303
1,484
(1,651)
(19)
98
(88)
247
(812)
(2,090)
$
398
$
1,059
(1)
16
(231)
4
7
21
(2,107)
$
163
$
1,045
$
$
$
$
$
$
$
$
$
211
212
$
226
236
$
5,678
$
4,622
$
1,524
(4)
2,165
2,926
(81)
1,521
243
239
4,537
3,914
186
825
$
9,363
$
8,988
$
9,462
$
$
$
27.1
42.2
24.8
$
21.9
36.5
20.5
20.0
32.7
20.0
4.01 %
3.50 %
6.87 %
1.35
1.35
7.4
9.5
9.5
$
1.28
1.26
13.3
14.5
17.4
$
1.38
1.30
41.1
43.3
49.5
1 %
23
4 %
22 %
13
NM
NM
NM
NM
NM
6 %
NM
100 %
NM
NM
(7) %
(10)
23 %
(48)
95
42
4 %
24 %
16
21
17 %
(55)
(5) %
(2) %
(48)
70
NM
(4)
NM
NM
(30) %
(62) %
NM
(81)
(84) %
(7) %
(1)
2 %
(25)
NM
84
(5) %
10 %
12
3
(44) %
(34)
(45)
(68) %
(67)
(65)
EOP loans
$
2.5
$
3.0
$
3.9
(17) %
(23) %
(1) The key indicators for Asia Consumer reflect the reclassification of loans and deposits to Other assets and Other liabilities under HFS accounting on Citi’s
Consolidated Balance Sheet.
NM Not meaningful
29
2023 vs. 2022
Net loss was $2.1 billion, compared to net income of $163
million in the prior year, driven by higher expenses (largely
related to the FDIC special assessment and Citi’s restructuring
charge) and higher cost of credit. The higher expenses and
cost of credit were partially offset by higher revenues and the
prior-year release of CTA losses (net of hedges) from AOCI,
consisting of approximately $140 million recorded in revenues
and approximately $260 million pretax recorded in
discontinued operations, related to the substantial liquidation
of a U.K. consumer legacy operation (see Note 2).
All Other (managed basis) revenues increased 4%, driven
by higher revenues in Corporate/Other, partially offset by
lower revenues in Legacy Franchises (managed basis).
2022 vs. 2021
Net income was $163 million, compared to net income of $1.0
billion in the prior year, primarily driven by lower revenues,
higher cost of credit and the release of the CTA losses (net of
hedges) from AOCI.
All Other (managed basis) revenues decreased 5%, driven
by lower revenues in Legacy Franchises (managed basis), and
lower non-interest revenue in Corporate/Other, partially offset
by higher net interest income in Corporate/Other.
Legacy Franchises (managed basis) revenues decreased
14%, primarily driven by lower revenues in Asia Consumer
(managed basis) and Legacy Holdings Assets, partially offset
by higher revenues in Mexico Consumer/SBMM (managed
basis).
Legacy Franchises (managed basis) revenues decreased
Mexico Consumer/SBMM (managed basis) revenues
increased 2%, as cards revenues in Mexico Consumer
increased 6% and SBMM revenues increased 10%, 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.
Asia Consumer (managed basis) revenues decreased 25%,
primarily driven by the loss of revenues from the closing of
the exit markets and the impacts of the ongoing Korea wind-
down.
Legacy Holdings Assets revenues of $(81) million
decreased from $186 million in the prior year, largely driven
by the CTA loss (net of hedges) recorded in AOCI, as well as
the continued wind-down of Legacy Holdings Assets.
Corporate/Other revenues were $1.5 billion, compared to
$825 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 2%, primarily driven by lower
consulting expenses, the impact of certain legal settlements
and lower expenses in both wind-down and exit markets.
Provisions were $498 million, compared to a benefit of
$88 million in the prior year, primarily driven by a lower net
ACL release, partially offset by lower net credit losses. Net
credit losses decreased 48%, primarily reflecting improved
delinquencies in both Asia Consumer and Mexico Consumer.
The net ACL release was $368 million, compared to a net
ACL release of $1.7 billion in the prior year, driven by further
improvement in portfolio credit quality.
4%, primarily driven by lower revenues in Asia Consumer
(managed basis), partially offset by higher revenues in Mexico
Consumer/SBMM (managed basis).
Mexico Consumer/SBMM (managed basis) revenues
increased 23%, as cards revenues in Mexico Consumer
increased 31%, SBMM revenues increased 28% and retail
banking revenues increased 19%, mainly due to the benefit of
FX translation as well as higher interest rates and higher
deposit and loan growth.
Asia Consumer (managed basis) revenues decreased 48%,
primarily driven by the reduction from exited markets and
wind-downs.
Corporate/Other revenues were $2.2 billion, compared to
$1.5 billion in the prior year, driven by higher net interest
income. The higher net interest income was primarily due to
higher interest rates on deposits with banks and the investment
portfolio, partially offset by higher cost of funds.
Expenses increased 22%, primarily driven by the $1.7
billion FDIC special assessment related to regional bank
failures, restructuring charges and higher business-as-usual
severance costs, partially offset by lower consulting expenses
and lower expenses in both wind-down and exit markets. The
restructuring charges were recorded in the fourth quarter and
primarily consisted of severance costs associated with
headcount reductions related to the organizational
simplification initiatives (see Note 9).
Provisions were $1.3 billion, compared to $498 million in
the prior year, driven by a higher net ACL build for loans and
other assets and higher net credit losses. Net credit losses
increased 13%, primarily driven by higher lending volumes in
Mexico Consumer.
The net ACL build for loans was $106 million, compared
to a net release of $368 million in the prior year, primarily
driven by higher lending volumes in Mexico Consumer. The
net ACL build in other assets was primarily due to the reserve
build for transfer risk associated with exposures in Russia,
driven by safety and soundness considerations under U.S.
banking law. 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 All Other’s (managed basis) future results, see
“Executive Summary” above and “Risk Factors” and
“Managing Global Risk—Other Risks—Country Risk—
Russia” below.
30
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 2023, Citi returned a total of $6.1 billion of capital
to common shareholders in the form of $4.1 billion in
dividends and $2.0 billion in share repurchases (approximately
44 million common shares). For additional information, see
“Unregistered Sales of Equity Securities, Repurchases of
Equity Securities and Dividends” below.
Citi paid common dividends of $0.53 per share for the
fourth quarter of 2023, and on January 11, 2024, declared
common dividends of $0.53 per share for the first quarter of
2024. Citi intends to maintain a quarterly common dividend of
at least $0.53 per share, subject to financial and
macroeconomic conditions as well as its Board of Directors’
approval. In addition, as previously announced, Citi will
continue to assess common share repurchases on a quarter-by-
quarter basis given uncertainty regarding regulatory capital
requirements. For additional information on capital-related
risks, trends and uncertainties, see “Regulatory Capital
Standards and Developments” as well as “Risk Factors—
Strategic Risks,” “—Operational Risks” and “—Compliance
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’s 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
“Regulatory Capital Standards and Developments” and “Risk
Factors—Strategic Risks” 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 2023,
Citigroup’s required regulatory CET1 Capital ratio was 12.3%
under the Standardized Approach (incorporating its Stress
Capital Buffer of 4.3% and GSIB (Global Systemically
Important Bank) surcharge of 3.5%) and 10.5% under the
Advanced Approaches (inclusive of the fixed 2.5% Capital
Conservation Buffer and GSIB surcharge of 3.5%).
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.
31
Leverage Ratio
Under the U.S. Basel III rules, Citigroup is also required to
maintain a minimum Leverage ratio of 4.0%. Similarly,
Citibank is required to maintain a minimum Leverage ratio of
5.0% to be considered “well capitalized” under the Prompt
Corrective Action framework. The 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 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
32
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, 2023, Citigroup’s reported
Standardized Approach CET1 Capital ratio of 13.4% benefited
from the deferrals of the CECL transition provision by 16
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 on 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, 2023, 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 (see below).
As of October 1, 2023, Citi’s required regulatory CET1
Capital ratio increased to 12.3% from 12.0% under the
Standardized Approach, incorporating the 4.3% SCB through
September 30, 2024 and Citi’s current GSIB surcharge of
3.5%. Citi’s required regulatory CET1 Capital ratio under the
Advanced Approaches (using the fixed 2.5% Capital
Conservation Buffer) remains unchanged at 10.5%. 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 (for information on potential changes to the
GSIB surcharge, see “Regulatory Capital Standards and
Developments” and “Risk Factors—Strategic Risks” below).
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 2024 will be based on 2023
systemic indicator data). Generally, Citi’s surcharge
determined under method 2 will be higher 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
effective January 1, 2025).
The following table presents Citi’s effective GSIB
surcharge as determined under method 1 and method 2 during
2023 and 2022:
Method 1
Method 2
2023
2022
2.0 %
3.5
2.0 %
3.0
Citi’s GSIB surcharge effective during 2023 was 3.5%
and during 2022 was 3.0%, as derived under the higher
method 2 result. Citi’s GSIB surcharge effective for 2024
remains unchanged at 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, 2022 and its estimated method 2 result as of
December 31, 2023, Citi’s GSIB surcharge is expected to
remain at 3.5% effective January 1, 2025.
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 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, 2023.
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.
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
33
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.
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.
DFAST is a forward-looking quantitative evaluation of
Citigroup and Citibank are required to disclose the results
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.
of their company-run stress tests.
34
Citigroup’s Capital Resources
The following table presents Citi’s required risk-based capital ratios as of December 31, 2023, September 30, 2023 and December 31,
2022:
Advanced Approaches
December 31,
2023
September 30,
2023
December 31,
2022
Standardized Approach(1)
September 30,
2023
December 31,
2023
December 31,
2022
CET1 Capital ratio(2)
Tier 1 Capital ratio(2)
Total Capital ratio(2)
10.5 %
12.0
14.0
10.5 %
12.0
14.0
10.0 %
12.3 %
11.5
13.5
13.8
15.8
12.0 %
13.5
15.5
11.5 %
13.0
15.0
(1) As of October 1, 2023, Citi’s required regulatory CET1 Capital ratio increased from 12.0% to 12.3% under the Standardized Approach, incorporating the 4.3%
SCB and its current GSIB surcharge of 3.5%.
(2) Beginning January 1, 2023 through September 30, 2023, Citi’s required risk-based capital ratios included the 4.0% SCB and 3.5% GSIB surcharge under the
Standardized Approach, and the 2.5% Capital Conservation Buffer and 3.5% GSIB surcharge under the Advanced Approaches (all of which must be composed of
CET1 Capital). 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, 2023, September 30, 2023 and December 31,
2022:
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,
2023
September 30,
2023
December 31,
2022
December 31,
2023
September 30,
2023
December 31,
2022
$
153,595
$
156,134
$
148,930
$
153,595
$
156,134
$
148,930
172,504
176,878
169,145
172,504
176,878
169,145
191,919
197,219
188,839
201,768
205,932
197,543
1,268,723
1,249,606
1,221,538
1,148,608
1,148,550
1,142,985
$
910,226
$
892,423
$
851,875
$ 1,087,019
$ 1,087,701
$ 1,069,992
61,194
297,303
59,880
297,303
71,889
297,774
61,589
—
60,849
—
72,993
—
12.11 %
12.49 %
12.19 %
13.37 %
13.59 %
13.03 %
13.60
15.13
14.15
15.78
13.85
15.46
15.02
17.57
15.40
17.93
14.80
17.28
In millions of dollars, except ratios
Quarterly Adjusted Average Total Assets(1)(3)
Total Leverage Exposure(1)(4)
Leverage ratio
Supplementary Leverage ratio
Required
Capital Ratios
December 31, 2023
September 30, 2023
December 31, 2022
$
2,394,272
$
2,378,887
$
4.0%
5.0
2,964,954
2,927,392
7.20 %
5.82
7.44 %
6.04
2,395,863
2,906,773
7.06 %
5.82
(1) Citi’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the CECL standard.
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) Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(4) Supplementary Leverage ratio denominator.
As indicated in the table above, Citigroup’s capital ratios
at December 31, 2023 were in excess of the regulatory capital
requirements under the U.S. Basel III rules. In addition, Citi
was “well capitalized” under current federal bank regulatory
agencies definitions as of December 31, 2023.
35
Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 (CET1) Capital ratio under the
Basel III Standardized Approach was 13.4% as of
December 31, 2023, relative to a required regulatory CET1
Capital ratio of 12.3% as of such date under the Standardized
Approach. This compares to a CET1 Capital ratio of 13.6% as
of September 30, 2023 and 13.0% as of December 31, 2022,
relative to a required regulatory CET1 Capital ratio of 12.0%
and 11.5% as of such respective dates under the Standardized
Approach.
Citi’s CET1 Capital ratio under the Basel III Advanced
Approaches was 12.1% as of December 31, 2023, compared to
12.5% as of September 30, 2023, relative to a required
regulatory CET1 Capital ratio of 10.5% as of such dates under
the Advanced Approaches framework. This compares to a
CET1 Capital ratio of 12.2% as of December 31, 2022,
relative to a required regulatory CET1 Capital ratio of 10.0%
as of such date under the Advanced Approaches framework.
Citi’s CET1 Capital ratio decreased under both the
Standardized Approach and Advanced Approaches from
September 30, 2023, driven primarily by Citi’s net loss in the
fourth quarter of 2023, higher deferred tax assets and the
return of capital to common shareholders, partially offset by
the beneficial net movements in AOCI. The decrease in the
CET1 Capital ratio under the Advanced Approaches was also
driven by an increase in Advanced Approaches RWA.
Citi’s CET1 Capital ratio increased under the
Standardized Approach and decreased under the Advanced
Approaches from year-end 2022. The increase in the CET1
Capital ratio under the Standardized Approach was driven by
increases in CET1 Capital primarily from net income of $9.2
billion, beneficial net movements in AOCI and impacts from
the sales of Asia Consumer businesses, partially offset by the
return of capital to common shareholders, higher deferred tax
assets and an increase in Standardized Approach RWA. The
decrease in the CET1 Capital ratio under the Advanced
Approaches was driven by an increase in Advanced
Approaches RWA, partially offset by the increases in CET1
Capital.
36
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 and 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 noncontrolling interests
Eligible allowance for credit losses(2)(7)
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)(7)
Total Tier 2 Capital (Advanced Approaches)
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)
December 31,
2023
December 31,
2022
$
187,937 $
182,325
153
128
1,514
(1,406)
2,271
(2,522)
(410)
1,441
18,778
3,349
1,317
19,007
3,411
1,935
12,075
12,197
2,306
325
153,595 $
148,930
17,516 $
1,413
29
49
18,864
1,406
30
85
18,909 $
20,215
172,504 $
169,145
16,137 $
37
13,703
613
29,264 $
201,768 $
(9,849) $
19,415 $
15,530
37
13,426
595
28,398
197,543
(8,704)
19,694
191,919 $
188,839
$
$
$
$
$
$
$
$
$
$
(1)
Issuance costs of $84 million and $131 million related to outstanding noncumulative perpetual preferred stock at December 31, 2023 and 2022, respectively, 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.
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)
(4) Of Citi’s $29.6 billion of net DTAs at December 31, 2023, $12.1 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit
tax carry-forwards, as well as $2.3 billion of DTAs arising from temporary differences that exceeded 10%/15% limitations, were excluded from Citi’s CET1
Capital as of December 31, 2023. 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, 2023 and 2022, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation.
(6) Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
37
(7) 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 $3.9 billion and $4.7 billion at December 31, 2023 and 2022, respectively.
38
Citigroup Capital Rollforward
In millions of dollars
CET1 Capital, beginning of period
Net income (loss)
Common and preferred dividends declared
Treasury stock
Common stock and additional paid-in capital
CTA net of hedges, net of tax
Unrealized gains (losses) on debt securities AFS, net of tax
Defined benefit plans liability adjustment, net of tax
Adjustment related to change in fair value of financial liabilities attributable to
own creditworthiness, net of tax
Other Accumulated other comprehensive income (loss)
Goodwill, net of related DTLs
Identifiable intangible assets other than MSRs, net of related DTLs
Defined benefit pension plan net assets
DTAs arising from net operating loss, foreign tax credit and general business
credit carry-forwards
Excess over 10%/15% limitations for other DTAs, certain common stock
investments and MSRs
CECL transition provision
Other
Net change in CET1 Capital
CET1 Capital, end of period
(Standardized Approach and Advanced Approaches)
Additional Tier 1 Capital, beginning of period
Qualifying perpetual preferred stock
Qualifying trust preferred securities
Other
Net change in Additional Tier 1 Capital
Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
Tier 2 Capital, beginning of period (Standardized Approach)
Qualifying subordinated debt
Eligible allowance for credit losses
Other
Net change 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)
Qualifying subordinated debt
Excess of eligible credit reserves over expected credit losses
Other
Net change in Tier 2 Capital (Advanced Approaches)
Tier 2 Capital, end of period (Advanced Approaches)
Total Capital, end of period (Advanced Approaches)
39
Three months ended
December 31, 2023
Twelve months ended
December 31, 2023
$
156,134 $
148,930
(1,839)
(1,334)
(500)
156
1,383
1,461
(367)
128
(46)
(226)
95
35
(856)
(520)
—
(109)
(2,539) $
153,595 $
20,744 $
(1,853)
1
17
(1,835) $
172,504 $
29,054 $
25
15
170
210 $
29,264 $
201,768 $
20,341 $
25
(1,121)
170
(926) $
19,415 $
191,919 $
9,228
(5,274)
(1,271)
450
752
2,254
(295)
298
(12)
229
62
639
122
(1,981)
(757)
221
4,665
153,595
20,215
(1,348)
7
35
(1,306)
172,504
28,398
607
277
(18)
866
29,264
201,768
19,694
607
(868)
(18)
(279)
19,415
191,919
$
$
$
$
$
$
$
$
$
$
$
$
$
Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
In millions of dollars
Total Risk-Weighted Assets, beginning of period
General credit risk exposures(1)
Derivatives(2)
Repo-style transactions(3)
Securitization exposures
Equity exposures(4)
Other exposures
Net change in Credit Risk-Weighted Assets
Risk levels
Model and methodology updates
Net change in Market Risk-Weighted Assets(5)
Total Risk-Weighted Assets, end of period
Three months ended
December 31, 2023
Twelve months ended
December 31, 2023
$
1,148,550 $
1,142,985
5,021
(4,961)
(927)
(684)
2,119
(1,250)
(682) $
1,452 $
(712)
740 $
(951)
4,063
9,546
(141)
4,604
(94)
17,027
(3,388)
(8,016)
(11,404)
1,148,608 $
1,148,608
$
$
$
$
(1) General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased
during the three months ended December 31, 2023, primarily driven by card and mortgage activities as well as corporate lending, partially offset by divestitures
and non-strategic portfolio exits.
(2) Derivative exposures decreased during the three months ended December 31, 2023, primarily driven by reduced exposures and hedging activities. Derivative
exposures increased during the 12 months ended December 31, 2023, mainly driven by increased exposures.
(3) Repo-style transactions include repurchase and reverse repurchase transactions, as well as securities borrowing and securities lending transactions. Repo-style
transactions increased during the 12 months ended December 31, 2023, mainly due to increased business activities.
(4) Equity exposures increased during the 12 months ended December 31, 2023, primarily due to increased investment market values.
(5) Market risk-weighted assets decreased during the 12 months ended December 31, 2023, primarily due to exposure changes and changes in model inputs related to
volatility and correlation between market risk factors.
40
Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
In millions of dollars
Total Risk-Weighted Assets, beginning of period
General credit risk exposures(1)
Derivatives(2)
Repo-style transactions(3)
Securitization exposures
Equity exposures(4)
Other exposures(5)
Net change in Credit Risk-Weighted Assets
Risk levels
Model and methodology updates
Net change in Market Risk-Weighted Assets(6)
Net change in Operational Risk-Weighted Assets
Total Risk-Weighted Assets, end of period
Three months ended
December 31, 2023
Twelve months ended
December 31, 2023
$
1,249,606 $
1,221,538
18,587
(3,795)
1,331
(854)
2,260
274
17,803 $
2,026 $
(712)
1,314 $
— $
47,594
(2,000)
4,023
124
5,011
3,599
58,351
(2,679)
(8,016)
(10,695)
(471)
1,268,723 $
1,268,723
$
$
$
$
$
(1) General credit risk exposures increased during the three and 12 months ended December 31, 2023, mainly driven by card and mortgage activities as well as
corporate lending, accompanied by parameter updates.
(2) Derivative exposures decreased during the three and 12 months ended December 31, 2023, primarily driven by reduced exposures.
(3) Repo-style transactions increased during the 12 months ended December 31, 2023, primarily driven by business activities and parameter updates.
(4) Equity exposures increased during the three and 12 months ended December 31, 2023, primarily due to increased investment market values.
(5) Other exposures decreased during the 12 months ended December 31, 2023, mainly driven by receivables and other assets.
(6) Market risk-weighted assets decreased during the 12 months ended December 31, 2023, primarily due to exposure changes and changes in model inputs related to
volatility and correlation between market risk factors.
41
Supplementary Leverage Ratio
The following table presents Citi’s Supplementary Leverage ratio and related components as of December 31, 2023, September 30,
2023 and December 31, 2022:
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,
2023
September 30,
2023
December 31,
2022
172,504
$
176,878
$
169,145
2,432,146
$
2,415,293
$
2,432,823
164,148
33,817
22,510
350,207
154,202
32,784
21,199
340,320
570,682
$
548,505
$
37,874
36,406
133,071
34,117
17,169
326,553
510,910
36,960
2,964,954
$
2,927,392
$
2,906,773
5.82 %
6.04 %
5.82 %
$
$
$
$
(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.
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,
2023, compared to 6.0% at September 30, 2023 and 5.8% at
December 31, 2022. The quarter-over-quarter decrease was
primarily driven by a reduction in Tier 1 Capital due to Citi’s
net loss in the fourth quarter of 2023, redemption of qualifying
perpetual preferred stock, the return of capital to common
shareholders and an increase in Total Leverage Exposure,
partially offset by beneficial net movements in AOCI.
42
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, 2023, September 30, 2023 and
December 31, 2022:
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,
2023
September 30,
2023
December 31,
2022
December 31,
2023
September 30,
2023
December 31,
2022
$ 147,109
$ 150,635
$ 149,593
147,109
$ 150,635
$ 149,593
149,238
152,763
151,720
149,238
152,763
151,720
160,706
165,977
165,131
1,057,194
1,027,427
1,003,747
168,571
983,960
173,610
976,833
172,647
982,914
$ 769,940
$ 750,046
$ 728,082
$ 937,319
$ 940,019
$ 948,150
46,540
240,714
36,667
240,714
34,403
241,262
46,641
—
36,814
34,764
—
—
7.0 %
13.92 %
14.66 %
14.90 %
14.95 %
15.42 %
15.22 %
8.5
10.5
14.12
15.20
14.87
16.15
15.12
16.45
15.17
17.13
15.64
17.77
15.44
17.56
In millions of dollars, except ratios
Quarterly Adjusted Average Total Assets(2)(6)
Total Leverage Exposure(2)(7)
Leverage ratio(5)
Supplementary Leverage ratio(5)
Required
Capital Ratios December 31, 2023
September 30, 2023 December 31, 2022
$
1,666,609
$
1,666,706
$
2,166,334
2,139,843
5.0 %
6.0
8.95 %
6.89
9.17 %
7.14
1,738,744
2,189,541
8.73 %
6.93
(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. See “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” above.
(3) 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.
(4) Citibank’s binding CET1 Capital, Tier 1 Capital and Total Capital ratios were 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 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) Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(7) Supplementary Leverage ratio denominator.
As presented in the table above, Citibank’s capital ratios
at December 31, 2023 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, 2023.
Citibank’s Supplementary Leverage ratio was 6.9% at
December 31, 2023, compared to 7.1% at September 30, 2023
and 6.9% at December 31, 2022. The quarter-over-quarter
decrease was primarily driven by a reduction in Tier 1 Capital
resulting from dividends, Citibank’s net loss and an increase in
Total Leverage Exposure, partially offset by beneficial net
movements in AOCI.
43
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, 2023.
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.
CET1 Capital ratio
Tier 1 Capital ratio
Total Capital ratio
Impact of
$100 million
change in
CET1 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
0.9
1.0
1.0
1.2
1.3
1.5
0.8
0.9
0.9
1.0
1.1
1.3
1.3
1.5
0.8
0.9
0.9
1.0
1.2
1.5
1.4
1.7
Leverage ratio
Supplementary Leverage ratio
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion change in
quarterly adjusted
average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion change
in Total Leverage
Exposure
0.4
0.6
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, 2023, 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
$18 billion, which exceeded the minimum requirement by $13
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, 2023, 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, 2023.
44
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 2023). Accordingly, Citi’s
total current minimum TLAC requirement was 22.5% of
RWA for 2023.
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 (3.5% for Citi for 2023),
for a total current requirement of 9.5% 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, 2023
External
TLAC
LTD
$
331
$
151
26.1 %
11.9 %
22.5
$
46
$
9.5
30
% of Total Leverage Exposure
11.2 %
5.1 %
Regulatory requirement
Surplus amount
9.5
50
$
4.5
17
$
(1) External TLAC includes method 1 GSIB surcharge of 2.0%.
(2) LTD includes method 2 GSIB surcharge of 3.5%.
As of December 31, 2023, Citi exceeded each of the
TLAC and LTD regulatory requirements, resulting in a $17
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, 2023:
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
10.5 %
12.3 %
11.95 %
13.21 %
7.0 %
13.78 %
14.81 %
12.0
14.0
13.8
15.8
13.44
15.07
14.86
17.42
8.5
10.5
13.98
15.10
15.03
17.00
Leverage ratio
Supplementary Leverage ratio
Required
Capital Ratios
4.0 %
5.0
Citigroup
7.12 %
5.75
Required
Capital Ratios
5.0 %
6.0
Citibank
8.87 %
6.83
(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.
45
GSIB Surcharge
Separately on July 27, 2023, the Federal Reserve Board
proposed changes to the GSIB surcharge rule that aim to make
it more risk sensitive. Proposed changes include measuring
certain systemic indicators on a daily versus quarterly average
basis, changing certain of the risk indicators and shortening
the time to come into compliance with each year’s surcharge.
In addition, the proposal would narrow surcharge bands under
method 2 from 50 bps to 10 bps to reduce cliff effects when
moving between bands.
Long-Term Debt Requirements
On August 29, 2023, the Federal Reserve Board issued a
notice of proposed rulemaking to amend the TLAC rule to
change the haircuts (i.e., the percentage reductions) that are
applied to eligible long-term debt. Under the proposed rule,
only 50% of eligible long-term debt with a maturity of one
year or more but less than two years would count toward the
TLAC requirement, instead of the current 100%. These
proposed revisions are estimated to decrease the TLAC
percentage of Advanced Approaches RWA as well as the
TLAC percentage of Total Leverage Exposure. The proposed
rule in its current form has no proposed transition period for
its implementation and is not expected to be material to Citi.
Regulatory Capital Standards Developments
Basel III Revisions
On July 27, 2023, the U.S. banking agencies issued a notice of
proposed rulemaking, known as the Basel III Endgame
(capital proposal), that would amend U.S. regulatory capital
requirements.
The capital proposal would maintain the current capital
rule’s dual-requirement structure for risk-weighted assets, but
would eliminate the use of internal models to calculate credit
risk and operational risk components of risk-weighted assets.
Large banking organizations, such as Citi, would be required
to calculate their risk-based capital ratios under both the new
expanded risk-based approach and the Standardized Approach
and use the lower of the two for each risk-based capital ratio
for determining the binding constraints.
The expanded risk-based approach is designed to align
with the international capital standards adopted by the Basel
Committee on Banking Supervision (Basel Committee). The
Basel Committee finalized the Basel III reforms in December
2017, which included revisions to the methodologies to
determine credit, market and operational risk-weighted asset
amounts.
If adopted as proposed, the capital proposal’s impact on
risk-weighted asset amounts would also affect several other
requirements including TLAC, external long-term debt and the
short-term wholesale funding score included in the GSIB
surcharge under method 2 (see “GSIB Surcharge” below). The
proposal has a three-year transition period that would begin on
July 1, 2025. If finalized as proposed, the capital proposal
would have a material adverse impact on Citi’s required
regulatory capital.
For information about risks related to changes in
regulatory capital requirements, see “Risk Factors—Strategic
Risks,” “—Operational Risks” and “—Compliance Risks”
below.
46
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)). Return on tangible common equity (RoTCE)
represents annualized net income available to common
shareholders as a percentage of average TCE. Tangible book
value per share (TBVPS) represents average TCE divided by
average common shares outstanding. Other companies may
calculate these measures differently. TCE, RoTCE and
TBVPS are non-GAAP financial measures. Citi believes TCE,
TBVPS 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
2023
2022
2021
2020
2019
Total Citigroup stockholders’ equity
$
205,453
$
201,189
$
201,972
$
199,442
$
193,242
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)
17,600
18,995
18,995
19,480
17,980
$
187,853
$
182,194
$
182,977
$
179,962
$
175,262
20,098
3,730
19,691
3,763
21,299
4,091
22,162
4,411
22,126
4,327
—
589
510
—
—
$
164,025
$
158,151
$
157,077
$
153,389
$
148,809
1,903.1
1,937.0
1,984.4
2,082.1
2,114.1
Book value per share (common stockholders’ equity/
CSO)
Tangible book value per share (TCE/CSO)
$
98.71
86.19
$
94.06
$
92.21
$
86.43
$
81.65
79.16
73.67
In millions of dollars
2023
2022
2021
2020
Net income available to common shareholders
Average common stockholders’ equity
$
$
8,030
187,730
$
$
13,813
180,093
$
$
20,912
182,421
$
$
9,952
175,508
$
$
For the year ended December 31,
Less:
Average goodwill
Average intangible assets (other than MSRs)
Average goodwill and identifiable intangible assets
(other than MSRs) related to assets HFS
20,313
3,835
19,354
3,924
21,771
4,244
21,315
4,301
226
872
153
—
—
Average TCE
$
163,356
$
155,943
$
156,253
$
149,892
$
150,994
Return on average common stockholders’ equity
RoTCE
4.3 %
4.9
7.7 %
8.9
11.5 %
13.4
5.7 %
6.6
10.3 %
12.1
47
82.90
70.39
2019
18,292
177,363
21,903
4,466
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’s 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, government fiscal and
monetary actions or expected actions, including continued
high interest rates, reductions in central bank balance sheets,
or other restrictive interest rate or other monetary policies;
potential recessions in the U.S., Europe and other regions or
countries; and elevated levels of inflation.
For example, in 2023, the U.S., the U.K., the EU and
other economies continued to experience elevated levels of
inflation. As a result, the Federal Reserve Board (FRB) and
other central banks substantially raised interest rates, reduced
the size of their balance sheets and took other actions in an
aggressive effort to curb inflation. These actions may continue
to adversely impact certain sectors sensitive to interest rates
and consumer discretionary spending. They may also 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. In
addition, inflation may continue to result in higher labor and
other costs, thus putting further pressure on Citi’s expenses.
More recently, the FRB has signaled that it expects to reduce
the benchmark U.S. interest rate in 2024. If the FRB were to
reduce interest rates prematurely, inflation could resurge.
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. For example, while a decline in interest rates
would generally be expected to result in lower overall net
interest income, it could improve Citi’s funding costs.
Although higher interest rates would generally be expected to
48
increase overall net interest income, higher rates could
adversely affect funding costs, levels of deposits in its
consumer and institutional businesses and certain business or
product revenues. In addition, 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 typically pays 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 higher-rate environment and/or whose hedging
costs may increase.
Additional areas of uncertainty include, among others,
geopolitical challenges, tensions and conflicts, including those
related to Russia’s war in Ukraine (see discussion below), as
well as a persistent and/or escalating conflict in the Middle
East, particularly if the conflict were to widen to involve
additional combatants, countries or regions; economic and
other geopolitical challenges related to China, including weak
economic growth, related policy actions, challenges in the
Chinese real estate sector, banking and credit markets, and
tensions or conflicts between China and Taiwan and/or 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; protracted or
widespread trade tensions; natural disasters; new pandemics,
including new COVID-19 variants; and political polarization,
election outcomes and the effects of divided government, such
as with respect to any extended government shutdown in the
U.S. 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.
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 has customers,
clients or employees. 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 remaining businesses,
including, without limitation, its provision to its customers of
certain securities services; sanctions or asset freezes; and other
deconsolidation events. 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. 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.
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, and Other Factors.
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 its 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,as well as the
supervisory expectations and assessments regarding individual
institutions.
The FRB’s annual stress testing requirements are
integrated into ongoing regulatory capital requirements. Citi’s
SCB equals the maximum projected 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 as a percentage
of Citi’s risk-weighted assets, 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
variability in the calculation of Citi’s required regulatory
CET1 Capital ratio under the Standardized Approach. On
October 1, 2023, Citi’s required regulatory CET1 Capital ratio
increased to 12.3% from 12% under the Standardized
Approach, reflecting the increase in the SCB requirement to
4.3% from 4.0%. In addition, a breach of the SCB and other
regulatory capital buffers may result in gradual limitations on
capital distributions and discretionary bonus payments to
executive officers. For additional information on the SCB, see
“Capital Resources—Regulatory Capital Buffers” above.
Moreover, changes in regulatory capital rules,
requirements or interpretations could materially increase Citi’s
required regulatory capital. For example, the U.S. banking
regulators have proposed a number of changes to the U.S.
regulatory capital framework, including, but not limited to,
significant revisions to the U.S. Basel III rules, known as the
Basel III Endgame (capital proposal); changes to the method
for calculating the GSIB surcharge; and changes to aspects of
the total loss-absorbing capacity (TLAC) requirements. The
capital proposal would replace the Advanced Approaches with
a new Expanded Risk-based Approach for calculating risk-
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weighted assets. Under the capital proposal, a single capital
buffer, including the SCB, would apply to a firm’s risk-based
capital ratios, regardless of whether the applicable ratios result
from the Expanded Risk-based Approach or the Modified
Standardized Approach. Additionally, the capital proposal
would make various changes to the calculations of credit risk,
market risk and operational risk components of risk-weighted
assets (see “Capital Resources—Regulatory Capital Standards
and Developments” above). All of these potential changes, if
adopted as proposed, would likely materially impact Citi’s
regulatory capital position and substantially increase Citi’s
regulatory capital requirements, and thus adversely impact the
extent to which Citi is able to return capital to shareholders.
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 (see
the continued investments and the incorrect assumptions or
estimates risk factors below); Citi’s effectiveness in planning,
managing and calculating its level of regulatory capital and
risk-weighted assets under both the Advanced Approaches and
the Standardized Approach, as well as the Supplementary
Leverage ratio (SLR); 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). The FRB could also limit or prohibit
capital actions, such as paying or increasing dividends or
repurchasing common stock due to macroeconomic
disruptions or events, some of which occurred for a period of
time during the COVID-19 pandemic.
All firms subject to CCAR requirements, including Citi,
will continue to be subject to a rigorous regulatory evaluation
of capital planning practices and other reviews and
examinations, including, but not limited to data quality, which
is a key regulatory focus, governance, risk management and
internal controls. For example, 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
number and severity of the stress test scenarios, 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. Additionally, Citi’s ability to return
capital may be adversely impacted if a regulatory evaluation
or examination results in negative findings regarding absolute
capital levels or other aspects of Citi’s operations, including as
a result of the imposition of additional capital buffers,
limitations on capital distributions or otherwise. 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.
In December 2023, the FRB announced that it will
maintain its current framework for calculating allowances on
loans in the supervisory stress test through the 2024 stress test
cycle, while continuing to evaluate appropriate future
enhancements to this framework. The impacts on Citi’s capital
adequacy of any potential incorporation by the FRB of CECL
into its supervisory stress tests in future stress test cycles, 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.
Although various uncertainties exist regarding the extent
of, and the ultimate impact to Citi from, changes to regulatory
capital, results from the FRB’s stress testing and CCAR
regimes, and regulatory evaluation or examination findings,
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 adversely 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
regulatory and legislative uncertainties and changes, both in
the U.S. and globally. While the ongoing regulatory and
legislative uncertainties and changes facing Citi are too
numerous to list completely, examples include, but are not
limited to (i) potential changes to various aspects of the U.S.
regulatory capital framework and requirements applicable to
Citi, including, among others, significant revisions to the U.S.
Basel III rules, known as the Basel III Endgame (for
information about the Basel III Endgame, see the capital return
risk factor and “Capital Resources—Regulatory Capital
Standards Developments” above); (ii) potential fiscal,
monetary, tax, sanctions and other changes promulgated by the
U.S. federal government and other governments, including
potential changes in regulatory requirements relating to
interest rate risk management; and (iii) rapidly evolving
legislative and regulatory requirements and other government
initiatives in the EU, 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 and heightened
regulatory scrutiny and ongoing interpretation of regulatory
changes risk factors below). References to “regulatory” refer
to both formal regulation and the views and expectations of
Citi’s regulators in their supervisory roles, which, as they
change over time, can have a major impact. In particular, the
U.S. regulators have indicated that the level of their
expectations is increasing and prompt negative examination
findings/ratings and enforcements actions are more likely.
For example, in February 2023, the Consumer Financial
Protection Bureau (CFPB) proposed significant changes to the
maximum amounts on credit card late fees, which, if adopted
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as proposed, would reduce credit card fee revenues in Branded
Cards and Retail Services in USPB. 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
conflicting requirements, including within a single
jurisdiction.
Further, ongoing regulatory and legislative uncertainties
and changes make Citi’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. Business planning must
necessarily be based on possible or proposed rules or
outcomes, which can change significantly 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 competitive
position, as well as its businesses, results of operations and
financial condition.
Citi’s Ability to Achieve Its Objectives from Its
Transformation, Organizational, Simplification and Other
Strategic and Other Initiatives May Not Be as Successful as
It Projects or Expects.
As part of its transformation initiatives, Citi continues to make
significant investments to improve its risk and controls
environment, modernize its data and technology infrastructure
and further enhance safety and soundness (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 initiatives.
For example, Citi has been making investments across the
Company, including hiring front office colleagues in key
strategic markets and businesses; enhancing product
capabilities and platforms to grow key businesses, improve
client digital experiences and add scalability; and
implementing new capabilities and partnerships. These
business-led investments are designed to grow revenues as
well as result in retention and efficiency improvements.
Additionally, Citi has been pursuing overall simplification
initiatives that include management and operating model
changes and actions to enhance focus on clients and reduce
expenses. Citi’s simplification actions also include divestiture
of the Mexico Consumer/SBMM operations and completing
other exits and wind-downs in order to streamline Citi and
assist in optimizing its allocation of resources. These overall
simplification initiatives involve various execution challenges
and may result in higher than expected expenses, litigation and
regulatory scrutiny, CTA and other losses or other negative
financial or strategic impacts, which could be material (for
information about potential CTA impacts, see the capital
return risk factor above and the incorrect assumptions or
estimates risk factor below).
Citi’s multiyear transformation, as well as its
simplification initiatives, involve significant complexities and
uncertainties. In addition, there is inherent risk that Citi’s
transformation and simplification initiatives will not be as
productive or effective as Citi expects, or at all. Conversely,
failure to adequately invest in and upgrade Citi’s technology
and processes or properly implement its enterprise-wide
simplification could result in Citi’s inability to meet regulatory
expectations, be sufficiently competitive, serve clients
effectively and avoid disruptions to its businesses and
operational errors (see the operational processes and systems
and legal and regulatory proceedings risk factors below).
Citi’s ability to achieve expected returns and operational
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 transformation, strategic 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, floods and droughts, 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. For
example, 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 owned or leased properties and other assets, destruction or
deterioration of the value of collateral, such as real estate,
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,
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
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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.
Transition risks also include potential increased operational,
compliance and energy costs driven by government policies to
promote decarbonization.
Moreover, increasing legislative and regulatory changes
and uncertainties regarding climate-related risk management
and disclosures are likely to result in increased regulatory,
compliance, credit, reputational and other risks and costs for
Citi. New regulations have been enacted and/or are expected
in several jurisdictions, including the EU’s Corporate
Sustainability Reporting Directive (CSRD), the SEC climate-
related disclosures that could require disclosure of climate-
related information and the State of California’s legislation
enacted in October 2023 requiring broad disclosure of
greenhouse gas emissions and other climate-related
information largely beginning in 2026. In addition, Citi could
face increased regulatory scrutiny and reputation and litigation
risks as a result of its climate risk, sustainability and other
ESG-related commitments and disclosures.
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 time-lag, and variable in
quality. Modeling capabilities to analyze climate-related risks
and interconnections are improving, but remain incomplete.
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 October 2023, the FRB, FDIC and OCC jointly
released principles that provide a high-level framework for the
safe and sound management of exposures to climate-related
financial risks, including physical and transition risks, for
financial institutions with more than $100 billion in assets.
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, Citi's approach to supporting client
decarbonization in a gradual and orderly way, while
promoting energy security, may lead to both continued
exposure to carbon-intensive activity and increased reputation
risks from stakeholders with divergent points of view. Citi also
faces anti-ESG challenges from certain U.S. state and other
governments that may impact its ability to conduct certain
business within those jurisdictions.
For information on Citi’s climate and other sustainability
initiatives, see “Climate Change and Net Zero” below. For
additional information on Citi’s management of climate risk,
see “Managing Global Risk—Strategic Risk—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, 2023, Citi’s net DTAs were $29.6 billion,
net of a valuation allowance of $3.6 billion, of which $12.8
billion was deducted from Citi’s CET1 Capital under the U.S.
Basel III rules. Of this deducted amount, $12.1 billion related
to net operating losses, foreign tax credit and general business
credit carry-forwards, with $2.3 billion related to temporary
differences in excess of the 10%/15% regulatory limitations,
reduced by $1.6 billion of deferred tax liabilities, primarily
associated with goodwill and certain other intangible assets
that were separately deducted from capital.
Citi’s overall ability to realize its DTAs will primarily be
dependent upon Citi’s ability to generate U.S. taxable income
in the relevant reversal periods. Failure to realize any portion
of the net DTAs would have a corresponding negative impact
on Citi’s net income and financial returns.
The accounting treatment for realization of DTAs 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 DTAs, which may subject more
of Citi’s DTAs to exclusion from regulatory capital.
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 10.
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
country. EU member states were required to adopt the OECD
Pillar 2 rules in 2023, with an effective date of January 1, 2024
(unless an exception applied), and other non-U.S. countries
have similarly adopted or are expected to adopt the rules.
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%. Beginning in 2024, countries that adopted the
OECD Pillar 2 rules in 2023 can collect the top-up tax only
with respect to earnings of entities in their jurisdiction or
subsidiaries of such entities. Beginning in 2025, all countries
52
that have adopted the OECD Pillar 2 rules can collect a share
of the top-up tax owed with respect to any member of the
Pillar 2 multinational group. While Citi does not currently
expect the rules to have a material impact on its earnings,
many aspects of the application of the rules remain uncertain.
Additionally, 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
reasonably possible losses, the outcome of 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, the reduction of certain tax benefits or the
requirement to make adjustments to amounts recorded, which
could be material. See Note 30 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 consumers,
including customers of the retailers or merchants. The five
largest relationships across both businesses in USPB
constituted an aggregate of approximately 11% of Citi’s
revenues in 2023 (see “U.S. Personal Banking” 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 continued
elevated interest rates and inflation, and lower economic
growth rates, as well as a continuing 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 a 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 17 for
information on Citi’s credit card related intangibles generally).
The Application of U.S. Resolution Plan Requirements May
Pose a Greater Risk of Loss to Citi’s Debt and Equity
Securities Holders, and Citi’s Inability in Its Resolution Plan
Submissions to Address Any Shortcomings or Deficiencies or
Guidance 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.
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 2023 resolution
plan, which can be found on the FRB’s and FDIC’s websites)
would remain operational outside of any resolution or
insolvency proceedings. As a result, Citigroup’s losses and
any losses incurred by its material legal entity subsidiaries
would be imposed first on holders of Citigroup’s equity
securities and thereafter on its unsecured creditors, including
holders of eligible long-term debt and other debt securities.
In addition, a wholly owned, direct subsidiary of
Citigroup serves as a resolution funding vehicle (the IHC) to
which Citigroup has transferred, and has agreed to transfer on
an ongoing basis, certain assets. The obligations of Citigroup
and of the IHC, respectively, under the amended and restated
secured support agreement, are secured on a senior basis by
the assets of Citigroup (other than shares in subsidiaries of the
parent company and certain other assets), and the assets of the
IHC, as applicable. As a result, claims of the operating
material legal entities against the assets of Citigroup with
respect to such secured assets are effectively senior to
unsecured obligations of Citigroup. Citi’s single point of entry
resolution plan strategy and the obligations under the amended
and restated secured support agreement may result in the
recapitalization of and/or provision of liquidity to Citi’s
operating material legal entities, and the commencement of
bankruptcy proceedings by Citigroup at an earlier stage of
financial stress than might otherwise occur without such
mechanisms in place.
In line with the FRB’s TLAC rule, Citigroup’s
shareholders and unsecured creditors—including its unsecured
long-term debt holders—would 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. For
additional information on Citi’s single point of entry
resolution plan strategy and the IHC and secured support
agreement, see “Managing Global Risk—Liquidity Risk”
below.
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
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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 (see discussion below). Citi submitted its 2023
resolution plan in June 2023. More generally, data continues
to be a subject of regulatory focus, and Citi continues to work
on enhancing its data availability and quality.
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 understood 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 Strategic and Other Initiatives Could Be
Negatively Impacted if It Is Not Able to Hire and Retain
Qualified Employees.
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 strategic and other initiatives, including,
for example, hiring front office colleagues to grow businesses
or hiring colleagues to support Citi’s transformation and
strategic and other initiatives, depends on its ability to attract
new colleagues and to retain and motivate its existing
colleagues. If Citi is unable to continue to attract, retain and
motivate highly qualified colleagues, Citi’s performance,
including its competitive position, the execution of its
transformation and strategic and other 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
Citi’s control. For example, the competition for talent
continues to be particularly intense due to factors such as low
unemployment and changes in worker expectations, concerns
and preferences, 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. In addition, in 2023 Citi announced plans to
reduce management layers from 13 to a median of eight as
part of organizational simplification initiatives that also
involve significant reductions in functional roles, which could
also impact its ability to attract and retain colleagues. 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, 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, private credit and 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 have grown rapidly
over the last several years or have developed and introduced
new products and services. Potential mergers and acquisitions
involving traditional financial services companies such as
regional banks or credit card issuers, as well as networks and
merchant acquirers, may also increase competition and impact
Citi’s ability to offer competitive pricing and rewards. Non-
traditional financial services firms, such as private credit and
financial technology companies, are less regulated and
continue to expand their offerings of services traditionally
provided by financial institutions. The growth of certain of
these competitors has increased market and counterparty credit
risks, particularly in a more challenging macroeconomic
environment (see the risk factor on credit and concentrations
of risk below). In addition, emerging technologies have the
potential to intensify competition and accelerate disruption in
the financial services industry. For example, despite
difficulties and turmoil faced by the digital asset market in
recent years, clients and investors have exhibited a sustained
interest in digital assets. Financial services firms and other
market participants have begun to offer services related to
those assets. Citi may not be able to provide the same or
similar services for legal or regulatory reasons, which may be
exacerbated by rapidly evolving and conflicting regulatory
requirements, and due to increased compliance and other risks.
Further, 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, as well as invest in and develop related
infrastructure, to attract and retain customers or clients or to
compete more effectively with competitors, including new
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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, failure to strategically
embrace the potential of artificial intelligence (AI) may result
in a competitive disadvantage to Citi. At the same time, as a
new technology, use of AI without sufficient controls,
governance and risk management may result in increased risks
across all of Citi’s risk categories. As another 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 (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 services companies, including private credit and
financial technology companies, and non-financial services
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 systems
and infrastructure, including the accurate, timely and secure
processing, management, storage and transmission of data,
including confidential transactions, 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 account transactions.
Citi’s operations must also comply with complex and evolving
laws, regulations and heightened regulatory expectations in the
countries in which it operates (see the implementation and
interpretation of regulatory changes and legal proceedings risk
factors below). With the evolving proliferation of new
technologies and the increasing use of the internet, mobile
devices and cloud services 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.
Although Citi has continued to upgrade its technology,
including systems to automate processes and gain 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, operational or execution
failures, or deficiencies by third parties, including third parties
that provide products or services to Citi (e.g., cloud service
providers), other market participants or those that otherwise
have an ongoing partnership or business relationship with Citi;
deficiencies in processes or controls; inadequate management
of data governance practices, data controls and monitoring
mechanisms that may adversely impact internal or external
reporting and decision-making; cyber or information security
incidents (see the cybersecurity risk factor below); human
error, such as manual transaction processing errors (e.g.,
erroneous payments to lenders or manual errors by traders that
cause system and market disruptions or losses), which can be
exacerbated by staffing challenges and processing backlogs;
fraud or malice on the part of employees or third parties;
insufficient (or limited) straight-through processing between
legacy or bespoke systems and any failure to design and
effectively operate controls that mitigate operational risks
associated with those legacy or bespoke 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, including cloud services; or other
similar losses or damage to Citi’s property or assets (see also
the climate change risk factor above).
For example, operational incidents can 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. Failure by Citi to develop,
implement and operate a third-party risk management program
commensurate with the level of risk, complexity and nature of
its third-party relationships can also result in operational
incidents. In addition, 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 and other errors. 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.
Furthermore, when Citi introduces new products, systems or
processes, new operational risks that may arise from those
changes may not be identified, or adequate controls to mitigate
the identified risks may not be appropriately implemented or
operate as designed.
Incidents that impact information security, technology
operations or other operational processes may cause
disruptions and/or malfunctions within Citi’s businesses (e.g.,
the temporary loss of availability of Citi’s online banking
55
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 and other
costs 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, Non-Availability,
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 attempted cyberattacks, 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 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. Citi develops its own
software and relies on third-party applications and software,
which are susceptible to vulnerability exploitations. Software
leveraged in financial services and other industries continues
to be impacted by an increasing number of zero-day
vulnerabilities, thus increasing inherent cyber risk to Citi.
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 is also
susceptible to cyberattacks given, among other things, its size
and scale, high-profile brand, global footprint and prominent
role in the financial system, as well as the ongoing wind-down
of its businesses in Russia (see the macroeconomic and
geopolitical risk factor above and “Managing Global Risk—
Other Risks—Country Risk—Russia” below). Additionally,
Citi continues to operate in multiple jurisdictions in the midst
of geopolitical unrest, including active conflicts in Ukraine
and the Middle East, which could expose Citi to heightened
risk of insider threat, politically motivated hacktivism or other
cyber threats.
Citi continues to experience increased exposure to
cyberattacks through third parties, in part because financial
institutions are becoming increasingly interconnected with
central agents, exchanges and clearing houses. Third parties
with which Citi does business, as well as retailers and other
third parties with which Citi’s customers do business, and any
such third parties’ downstream service providers, also pose
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. This could lead to compromise or
the potential to introduce vulnerable or malicious code,
resulting in security breaches or business disruptions
impacting Citi customers, employees or operations. 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 and other adverse impacts Citi may incur
from third-party cyber incidents.
Citi and some of its third-party partners have been
subjected to attempted and sometimes successful cyberattacks
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 and/or impact availability or privacy
of confidential data, with objectives including, but not limited
to, extortion payments or causing reputational damage; (iii)
data breaches due to unauthorized access to customer account
or other 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 have
historically generally succeeded in detecting, thwarting and/or
responding to attacks targeting its systems before they become
significant, certain past incidents resulted in limited losses, 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, including leveraging
of tools made possible by emerging technologies, and on a
more significant scale. Despite the significant resources Citi
allocates to implement, maintain, monitor and regularly
upgrade its systems and networks with measures such as
intrusion detection and prevention systems and firewalls to
safeguard critical business applications, there is no guarantee
that these measures or any other measures can provide
sufficient 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, cyber threats
and cyberattack techniques change, develop and evolve
rapidly, including from emerging technologies such as
artificial intelligence, cloud computing and quantum
56
computing. Given the frequency and sophistication of
cyberattacks, the determination of the severity and potential
impact of a cyber incident may not become apparent for a
substantial period of time following detection of the incident.
Also, while Citi strives to implement measures to reduce the
exposure resulting from outsourcing risks, 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 measures cannot
prevent all third-party related cyberattacks or data breaches. In
addition, the risk of insider threat may be elevated in the near
term due to Citi’s overall simplification initiatives, including
streamlining its global staff functions.
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, other
counterparties and the market; customer dissatisfaction; and
additional costs to Citi, including expenses such as repairing
or replacing 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, deposit flight, 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 (see the operational processes and systems
risk factor above). Moreover, the increasing risk of cyber
incidents has resulted in increased legislative and regulatory
action on cybersecurity, including, among other things,
scrutiny of firms’ cybersecurity protection services, laws and
regulations to enhance protection of consumers’ personal data
and mandated disclosure on cybersecurity matters. For
example, in July 2023, the SEC finalized new rules requiring
timely disclosure of material cybersecurity incidents as well as
other annual cyber-related disclosures (see “Managing Global
Risk—Operational Risk—Cybersecurity Risk” below).
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 16. 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 (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, Citi could incur a significant loss on sale due to CTA
losses related to any signing of a sale agreement for its
remaining consumer banking divestitures (see the capital
return and continued investments risk factors above). The
majority of these losses would be regulatory capital neutral at
closing. For additional information on Citi’s accounting policy
for foreign currency translation and its foreign CTA
components of AOCI, see Notes 1 and 21.
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
57
reporting standards or interpretations, whether promulgated or
required by the FASB, the SEC, U.S. 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 and Other 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 other processes and strategies, including the use of models
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
and the reliability of the data are made more challenging
within a large, global financial institution, such as Citi,
particularly due to complex, diverse and rapidly changing
financial markets and conditions in which Citi operates.
Unexpected losses can result 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 and other 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, particularly given various macroeconomic,
geopolitical and other challenges and uncertainties (see the
macroeconomic challenges and uncertainties risk factor
above), 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, or identify
changes in markets or client behaviors not yet inherent in
historical data. Citi could incur significant losses, receive
negative regulatory evaluation or examination findings or be
subject to additional enforcement actions, and its regulatory
capital, capital ratios and ability to return capital could be
negatively impacted, if Citi’s risk management and other
processes, including its ability to manage and aggregate data
in a timely and accurate manner, strategies or models are
deficient or ineffective. For additional information, see the
capital return risk factor above and the heightened regulatory
scrutiny and ongoing interpretation of regulatory changes risk
factor below. 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
regulators regarding the U.S. regulatory capital framework
applicable to Citi, including, but not limited to, potential
revisions to the U.S. Basel III rules, known as the Basel III
Endgame (for information about the Basel III Endgame, see
the capital return risk factor and “Capital Resources—
Regulatory Capital Standards Developments” above), 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 meet 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 $389 billion and end-of-period
corporate loans of $300 billion at December 31, 2023. For
additional information on Citi’s corporate and consumer loan
portfolios, see “Managing Global Risk—Corporate Credit”
and “—Consumer Credit” below.
A default by or a significant downgrade in the credit
ratings of 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, market and other factors, among
other things, can increase Citi’s credit risk and credit costs,
particularly for vulnerable sectors, industries or countries (see
the macroeconomic challenges and uncertainties and co-
branding and private label credit card 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 and disruption.
58
For example, the failure of regional banks and other banking
stresses in the first half of 2023 resulted in market volatility
across the financial sector.
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 (including provisions for loans and unfunded
lending commitments, and ACL builds for Other assets) 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 16. For additional information on
Citi’s credit and country risk, see also each respective
business’s results of operations above, “Managing Global Risk
—Credit Risk” and “Managing Global Risk—Other Risks—
Country Risk” below and Notes 15 and 16.
Concentrations of risk to clients or counterparties engaged
in the same or related industries or doing business in a
particular geography, or to a particular product or asset class,
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 (see Note 28). 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 a certain geography and 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, sources of funding and costs of funding can be
significantly and negatively impacted by factors it cannot
control, such as general disruptions in the financial markets
(e.g., the failure of regional banks and other banking stresses
in the first half of 2023); changes in fiscal and monetary
policies and regulatory requirements; negative investor
perceptions of Citi’s creditworthiness; deposit outflows or
unfavorable changes in deposit mix; unexpected increases in
cash or collateral requirements; credit ratings; and the
consequent inability to monetize available liquidity resources.
In addition, 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, including as a result of quantitative tightening by
central banks, the current higher interest rate environment and
fixed income alternatives for customer funds.
Further, Citi’s costs to obtain and access wholesale
funding are directly related to changes in interest and currency
exchange rates and its credit spreads. 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. Additionally, unexpected
changes in client needs due to idiosyncratic events or market
conditions could result in greater than expected drawdowns
from off-balance sheet committed facilities. A sudden drop in
market liquidity could also cause a temporary or protracted
dislocation of 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.
Limitations on the payments that Citigroup Inc. receives
from its subsidiaries could also impact its liquidity. 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.
A bank holding company is also 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.
A Ratings Downgrade Could Adversely Impact Citi’s
Funding and Liquidity.
The credit rating agencies, such as Fitch Ratings, Moody’s
Investors Service 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 firm-specific 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, potential impact from
negative actions on U.S. sovereign ratings 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 increase credit spreads and 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 or permit counterparties to terminate certain
contracts. 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.
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
market instruments, and limit or withdraw deposits placed
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
Significantly Heightened Regulatory Expectations and
Scrutiny in the U.S. and Globally and Ongoing
Interpretation and Implementation of Regulatory and
Legislative Requirements and Changes Have Increased
Citi’s Compliance, Regulatory and Other Risks and Costs.
Large financial institutions, such as Citi, face significantly
heightened regulatory expectations and scrutiny in the U.S.
and globally, including with respect to, among other things,
governance, infrastructure, data and risk management
practices and controls. These regulatory expectations extend to
their employees and agents and also include, among other
things, those related to customer and client protection, market
practices, anti-money laundering, increasingly complex
sanctions and disclosure regimes and various regulatory
59
reporting requirements. U.S. financial institutions also face
increased expectations and scrutiny in the wake of the failures
of several regional banks and other banking stresses in the first
half of 2023. In addition, 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.
A failure to comply with these expectations and
requirements, even if inadvertent, or resolve any identified
deficiencies in a timely and sufficiently satisfactory manner to
regulators, could result in increased regulatory oversight;
material restrictions, including, among others, imposition of
additional capital buffers and limitations on capital
distributions; enforcement proceedings; penalties; and fines
(see the capital return risk factor above and legal and
regulatory proceedings risk factor below).
Over the past several years, Citi has been required to
implement a large 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 result in changes to Citi’s
businesses. In addition, the changes require continued
substantial technology and other investments. In some cases,
Citi’s implementation of a regulatory or legislative
requirement is occurring simultaneously with changing or
conflicting regulatory guidance from multiple jurisdictions
(including various U.S. states) and regulators, 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) the
U.S. regulatory capital framework and requirements, which
have continued to evolve (see the capital return risk factor and
“Capital Resources” above); (ii) 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 (iii) the EU’s
Corporate Sustainability Reporting Directive, which may
overlap but also diverge from climate-related disclosure
requirements expected to come into effect in other
jurisdictions, including in the U.S. In addition, certain U.S.
regulatory agencies and states 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 certain U.S. state and other
governments are pursuing and signaling challenges that may
conflict with corporate ESG initiatives.
Citi Is Subject to Extensive Legal and Regulatory
Proceedings, Examinations, Investigations, Consent Orders
and Related Compliance Efforts and Other Inquiries That
Could Result in Large 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 (see discussion below) and related compliance
efforts, and other inquiries. Citi could also be subject to
enforcement proceedings and negative regulatory evaluation
or examination findings 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 (see also the capital
return and resolution plan risk factors above). Citi’s regulators
have broad powers and discretion under their prudential and
supervisory authority, and have pursued active inspection and
investigatory oversight.
As previously disclosed, the October 2020 FRB and OCC
consent orders require Citigroup and Citibank to implement
extensive targeted action plans and submit quarterly progress
reports on a timely and sufficient basis 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 2024 and beyond, as an essential
part of Citi’s broader transformation efforts to enhance its risk,
controls, data and finance infrastructure and compliance.
There can be no assurance that such improvements will be
implemented in a manner satisfactory, in both timing and
sufficiency, to the FRB and OCC.
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,
which have been subject to increased 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
60
inquiries and proceedings can be time consuming and costly,
and divert management attention from Citi’s businesses.
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, regulatory restrictions, structural
changes, more regulatory or other enforcement proceedings,
civil litigation and higher compliance and other risks and
costs. For additional information, see the capital return and
heightened regulatory scrutiny and ongoing interpretation of
regulatory changes risk factors above. 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.
Moreover, the severity of the remedies sought in legal and
regulatory proceedings to which Citi is subject has remained
elevated. For example, U.S. and certain non-U.S.
governmental entities have increasingly brought criminal
actions against, or have sought and obtained criminal guilty
pleas or deferred prosecution agreements from, financial
institutions and individual employees. These types of actions
by U.S. and other governments may, in the future, have
significant collateral consequences for Citi, including loss of
customers and business, operational loss, 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 substantial
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 30.
61
OTHER RISKS
Citi’s Emerging Markets Presence Subjects It to Various
Risks as well as Increased Compliance and Regulatory Risks
and Costs.
During 2023, emerging markets revenues accounted for
approximately 40% 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). Citi’s
presence in the emerging markets subjects it to various risks.
Emerging market risks include, among others, limitations
or unavailability of hedges on foreign investments; foreign
currency volatility, including devaluations and strength in the
U.S. dollar; sustained elevated interest rates and quantitative
tightening; elevated inflation and hyperinflation; foreign
exchange controls, including an inability to access indirect
foreign exchange mechanisms; macroeconomic, geopolitical
and domestic political challenges, uncertainties and volatility,
including with respect to Russia (see the macroeconomic and
geopolitical risk factor above and “Managing Global Risk—
Other Risks—Country Risk—Russia” and “—Ukraine”
below); cyberattacks; restrictions arising from retaliatory laws
and regulations; sanctions or asset freezes; sovereign debt
volatility; fluctuations in commodity prices; election
outcomes; regulatory changes, including potential conflicts
among regulations with other jurisdictions where Citi does
business; limitations on foreign investment; sociopolitical
instability; civil unrest; crime, corruption and fraud;
nationalization or loss of licenses; 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 the relationship 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, Citi
may need to record additional translation losses due to
currency controls in Argentina (see “Managing Global Risk—
Other Risks—Country Risk—Argentina” below). Moreover,
Citi may need to record additional reserves for expected losses
for its credit exposures based on the transfer risk associated
with exposures outside the U.S., driven by safety and
soundness considerations under U.S. banking law (see
“Managing Global Risk—Other Risks—Country Risk—
Argentina” and “—Russia” and “Significant Accounting
Policies and Significant Estimates” below).
In addition, political turmoil and instability; geopolitical
challenges, tensions and conflicts (including those related to
Russia’s war in Ukraine as well as a persistent and/or
escalating conflict in the Middle East); terrorism; and other
instabilities have occurred in various regions and emerging
market countries across the globe, which impact Citi’s
businesses, results of operations and financial conditions in
affected countries and have required, and may continue to
require, management time and attention and other resources,
such as managing the impact of sanctions and their effect on
Citi’s operations in certain emerging market countries. For
additional information, see the macroeconomic challenges and
uncertainties risk factor above.
CLIMATE CHANGE AND NET ZERO
Introduction
This section summarizes Citi’s Operational Footprint goals
and Net Zero commitment.
Citi’s annual ESG Report provides information on a
broad set of ESG-related efforts. The upcoming Citi Climate
Report, formerly named the Task Force on Climate-Related
Financial Disclosures (TCFD) Report, provides information
on Citi’s continued progress to manage climate risk and its Net
Zero plan, including information on financed emissions and
2030 interim emissions reduction targets.
For information regarding Citi’s management of climate
risk, see “Managing Global Risk—Strategic Risk—Climate
Risk” below.
ESG and Climate-Related Governance
Citi’s Board of Directors (Board) provides oversight of Citi’s
management activities (see “Managing Global Risk—Risk
Governance” below).
•
•
•
The Nomination, Governance and Public Affairs
Committee of the Board provides oversight and receives
updates on Citi’s environmental and social policies and
commitments.
The Risk Management Committee of the Board provides
oversight of Citi’s Risk Management Framework and risk
culture and reviews Citi’s key risk policies and
frameworks, including receiving climate risk-related
updates.
The Audit Committee of the Board provides oversight of
controls and procedures pertaining to the ESG-related
metrics and related disclosures in Citi’s SEC filed reports
and group-level voluntary ESG reporting, as well as
management’s evaluation of the effectiveness of Citi’s
disclosure controls and procedures for group-level ESG
reporting.
Additionally, Citi’s ESG Council consists of senior
members of the management team and certain subject matter
experts who provide oversight of Citi’s ESG goals and
activities.
Sustainable Finance
Citi’s Sustainable Finance Goal, as previously disclosed,
supports a combination of environmental and social finance
activities. Delivering on the sustainable finance goal is an
integrated effort across the organization with products and
service offerings across multiple lines of business.
Net Zero Emissions by 2050
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’s Net Zero plan includes:
•
•
•
•
•
•
Net Zero Metrics and Target Setting: Calculate metrics
and assess targets for carbon-intensive sectors
Client Engagement and Assessment: Seek to understand
client GHG emissions and 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 products and services
Portfolio Management: Active portfolio management of
Citi financings to align with net zero targets, including
considerations of transition measures taken by clients
Public Policy and Regulatory Engagement: Contribute to
an enabling public policy and regulatory environment
which is essential to stimulating demand for clean
technologies and helping ensure a responsible transition
Progress on Citi’s Net Zero plan:
•
•
Citi has published interim 2030 emissions targets for six
loan portfolios: auto manufacturing, commercial real
estate (North America), energy, power, steel and thermal
coal mining.
Citi has developed a client transition assessment process
to help internal teams better understand the alignment of
clients’ strategies with transition or decarbonization
pathways applicable to their respective sectors. In 2022–
2023, Citi completed the initial assessment process for
energy and power clients, and in 2023 began the transition
assessment process for auto manufacturing and steel
clients. The assessment process focuses on clients with
material emissions relative to each sector’s baseline
emission profiles.
Operational Footprint Goals
Citi measures progress against operational footprint goals,
which include efforts to reduce the environmental impact of its
facilities through reductions in emissions, energy, water
consumption and waste generation. Citi’s efforts to integrate
sustainable practices include sustainable building
certifications, renewable electricity sourcing, employee
engagement and seeking opportunities for efficiency in
business travel. In 2023, Citi made progress toward these
goals by increasing on-site solar generation, promoting
initiatives on waste diversion and recycling, mapping weather-
62
In 2023, Citi undertook significant changes to simplify the
Company and accelerate the progress it is making in executing
its strategy. As previously disclosed, Citi aligned its
organizational structure to its business strategy—making the
Company more client centric and agile, speeding up decision-
making, improving productivity to deliver efficiency and
driving increased accountability across the organization. Citi is
aligned around five businesses—Services, Markets, Banking,
USPB and Wealth—focusing on a streamlined client
organization to strengthen how Citi delivers for clients across
the Company and around the globe.
Workforce Size and Distribution
As of December 31, 2023, Citi employed approximately
239,000 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 2023, Citi welcomed over 38,000 new
colleagues in addition to 44,600 roles filled by colleagues
through internal mobility and promotions. Citi also sustains
connections with former colleagues through its Alumni
Network, and in 2023 hired more than 3,000 “returnees” back
to Citi.
related risk at its facilities and employing carbon-reduction
techniques for building renovations.
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 2024 Annual Meeting Proxy Statement to be filed with
the SEC in March 2024.
Citi’s climate reporting and any other ESG-related reports
and information included elsewhere on Citi’s website are not
incorporated by reference into, and do not form any part of,
this 2023 Annual Report on Form 10-K.
HUMAN CAPITAL RESOURCES AND
MANAGEMENT
Citi strives to deliver to its full potential by focusing on its
strategic priority of attracting and retaining highly qualified
and motivated colleagues. Citi seeks to enhance the
competitive strength of its workforce through the following
efforts:
•
•
•
•
Continuously innovating its efforts to recruit, train,
develop, compensate, promote and engage 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
The following table presents the geographic distribution of Citi’s colleagues by segment or component and gender:
Segment or component(1) (in thousands)
Services
Markets
Banking
USPB
Wealth
All Other, including Legacy Franchises,
Operations and Technology, and Global Staff
Functions
Total
4
3
3
21
6
54
91
North
America
International(2)
Total(3)
Women(4)
Men(4)
20
7
6
—
8
24
10
9
21
14
52.4 %
47.6 %
38.9
43.2
65.3
49.9
61.1
56.8
34.7
50.1
Unspecified(4)
— %
—
0.01
—
—
107
148
161
239
47.8
49.4 %
52.2
50.6 %
—
0.01 %
(1) Colleague distribution is based on assigned region, which may not reflect where the colleague physically resides.
(2) Mexico is included in International.
(3) Part-time colleagues represented less than 0.9% of Citi’s global workforce.
(4)
Information regarding gender is self-identified by colleagues.
63
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 Leadership Principles of “taking ownership,
delivering with pride and succeeding together” have been
reinforced through a behavioral science-led campaign, referred
to as 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 four-pillar
system, evaluating colleagues 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
enhanced accountability through increased rigor and
consistency, in particular for risk and controls.
The culture shift is supported by changes in the way Citi
identifies, assesses, develops and promotes talent, particularly
at senior levels of the Company. Citi promotes a new class of
managing directors each year. This is a testament to these
individuals’ performance and commitment to living the
Leadership Principles and instilling them throughout their
teams and the entire company. 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 continued its efforts to support its globally diverse
workforce, including, among other things, taking actions with
respect to pay equity, setting aspirational representation goals
and the use of diverse slates and hiring panels in recruiting.
Citi’s commitment to diversity, equity and inclusion
continues to reflect a workforce that represents the clients it
serves globally from all walks of life, backgrounds and
origins. Understanding that diversity fuels the Company’s
culture and business success, Citi’s 2025 aspirational
representation goals are embedded in its business strategy.
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 build a
diverse talent pipeline for the future.
The Company constantly strives to ensure Citi remains a
great place to work, where people can thrive professionally
and personally. In 2023, Citi increased its unique Inclusion
Network membership by 23.8% and added 15 new global
Inclusion Network chapters. The Company launched the
Allyship 365 initiative, focused on cultivating allyship year
round and educating colleagues on its diversity, equity and
inclusion efforts.
Citi values pay transparency and has taken significant
action to provide both managers and colleagues with greater
clarity around Citi’s compensation philosophy. Citi has
introduced market-based salary structures and bonus
opportunity guidelines in various countries worldwide, and
64
posts salary ranges on all 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.
In addition, 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.
In 2023, due to its organizational and management
simplification initiatives, Citi paused its annual pay equity
analysis, as the Company continues the process of
aligning roles to its new organizational structure. Citi
looks forward to resuming routine pay equity reviews
once that work is complete.
For historical context, 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 was 78% of the median for men,
up from 74% in 2021 and 2020. The median pay for U.S.
minorities was more than 97% of the median for non-
minorities, which was up from just above 96% in 2021
and 94% in 2020.
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
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 continues to focus on internal talent development and
aims to provide colleagues with career growth
opportunities. Of the 44,600 mobility opportunities filled
in 2023, 14% were open roles applied for and filled by
internal candidates, and 38% were filled by colleagues
who applied for, and were promoted into, new
opportunities. 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 within the organization.
Citi enabled Development Plans for colleagues of all
levels. Last year, more than 100,000 employees
completed a plan, setting a roadmap for how they can
achieve their career aspirations.
Well-being and Benefits
Citi is proud to provide a wide range of benefits that support
its colleagues’ mental, emotional, physical and financial well-
being through various life stages and events. Citi 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, accessible counseling sessions for
colleagues and their family members, 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 offers instructor-led mental health training for people
managers to equip them in supporting their team members.
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 to make modern telemedicine
programs increasingly available to colleagues and their family
members through programs like Sword Health’s digital
physical therapy, which rolled out in the U.S. in 2022.
In 2023, one year after the Company became the first
major U.S. bank to publicly embrace a flexible, hybrid work
model, Citi fully implemented it across the organization. Most
of Citi’s colleagues now work in hybrid roles, working
remotely up to two days a week. How We Work provides the
majority of colleagues with the ability to balance the demands
of their home lives with the work commitments that are
necessary for success. The program includes three role
designations for colleagues globally: Resident, Hybrid or
Remote. The implementation and continuation of this program
differentiates Citi from other financial organizations with
respect to flexible working arrangements. 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 2022 ESG Report
available at www.citigroup.com. The 2022 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 2023 Annual Report on Form 10-
K.
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66
Managing Global Risk Table of Contents
MANAGING GLOBAL RISK
Overview
CREDIT RISK(1)
Overview
Loans
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
LIQUIDITY RISK
Overview
Liquidity Monitoring and Measurement
High-Quality Liquid Assets (HQLA)
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 Income/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
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(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.
67
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 (see below) 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 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 and establishes Citi’s Lines of
Defense model;
68
•
•
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.
Each of these pillars is underpinned by supporting
capabilities covering people, infrastructure and tools 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. Risk appetite is the
aggregate level of risk that Citi is willing to tolerate in order to
achieve its strategic objectives and business plan. Risk limits
and thresholds represent allocations of Citi’s risk appetite to
businesses and risk categories. Concentration risks are
controlled through a subset of these limits and thresholds.
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. Risk may be exacerbated by the inability of the
Company to access funding sources or monetize assets
and the composition of liability funding and liquid assets.
•
• 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, equity
and commodity prices, foreign exchange rates or credit
spreads. Market risk of non-trading portfolios is the
impact of adverse changes in market variables such as
interest rates, foreign exchange rates, credit spreads and
equity prices on Citi’s net interest income, economic
value of equity, or AOCI.
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. This risk may impair Citi’s competitiveness
by affecting its ability to establish new relationships or
services or continue servicing existing relationships.
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 the 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 operating
segments (i.e., Services, Markets, Banking, U.S. Personal
Banking, Wealth), as well as Client, Legacy Franchises and
certain corporate functions (i.e., Chief Operating Office,
Enterprise Services and Public Affairs, Finance, Operations
and Technology). In addition, the first line of defense includes
the front line unit activities of other organizational units. 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 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.
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
current and evolving risks and enhance the control culture
within Citi. The Citi Chief Auditor manages Internal Audit
69
and reports functionally to the Chair 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 Global Legal Affairs and Compliance
(exclusive of ICRM, which is part of the second line of
defense). 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 and meeting strategic objectives within
Citi’s risk appetite.
Executive Management Team
The Citigroup CEO directs and oversees the day-to-day
management of Citi as delegated by the Board of Directors.
The CEO leads the Company through the Executive
Management Team and provides oversight of group activities,
both directly and through authority delegated to committees
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 and risk culture,
including the significant policies and practices used in
managing credit, market (trading and non-trading),
liquidity, strategic, operational, compliance, reputation
and certain other risks, including those pertaining to
•
•
•
•
capital management, and (ii) oversight of the Global Risk
Review—credit, capital and collateral review functions.
Audit Committee: provides oversight of Citi’s financial
and regulatory 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:
responsible for (i) identifying individuals qualified to
become Board members and recommending to the Board
the director nominees for the next annual meeting of
stockholders, (ii) leading the Board in its annual review of
the Board’s performance, (iii) recommending to the Board
directors for each committee for appointment by the
Board, (iv) reviewing the Company’s policies and
programs that relate to public issues of significance to the
Company and the public at large, including but not
limited to Environmental, Social and Corporate
Governance (ESG) matters and (v) reviewing the
Company’s relationships with external constituencies and
issues that impact the Company’s reputation, and advising
management as to its approach to each.
Technology Committee: assists the Board in fulfilling its
responsibility with respect to oversight of (i) the planning
and execution of Citigroup’s technology, strategy and
operating plan, (ii) the development of Citi’s target state
operating model and architecture, including the
incorporation of Global Business Services, (iii)
technology-based risk management, including risk
management framework, risk appetite and risk exposures
of the Company, (iv) resource and talent planning of the
Technology function and (v) the Company’s third-party
management policies, practices and standards that relate
to Technology.
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 FRB and OCC consent
orders (see “Citi’s Consent Order Compliance” above).
The Citigroup CEO has established four standing
committees that cover the primary risks to which Citi (i.e.,
Group) is exposed. These consist of:
•
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
70
•
•
•
risk categories, including Credit Risk, Market Risk
(trading) and Strategic Risk.
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 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:
71
Loans
The table below details the average loans, by business and/or
segment, and the total Citigroup end-of-period loans for each
of the periods indicated:
In billions of dollars
4Q23
3Q23
4Q22
Services
Markets
Banking
USPB
Branded Cards
Retail Services
Retail Banking
Total USPB
Wealth
All Other(1)
Total Citigroup loans (AVG)
Total Citigroup loans (EOP)
$
83 $
83 $
115
108
87
87
$
107 $
103 $
52
43
50
43
202 $
196 $
150 $
151 $
38 $
37 $
675 $
662 $
689 $
666 $
$
$
$
$
$
78
111
96
95
48
37
180
150
38
653
657
(1) See footnote 2 to the table in “Credit Risk—Consumer Credit—
Consumer Credit Portfolio” below.
End-of-period loans increased 5% year-over-year, largely
reflecting growth in cards in USPB. End-of-period loans
increased 3% sequentially.
On an average basis, loans increased 3% year-over-year
and 2% sequentially. The year-over-year increase was largely
due to growth in USPB, Services and Markets, partially offset
by a decline in Banking.
As of the fourth quarter of 2023, average loans for:
•
USPB increased 12% year-over-year, driven by growth in
Branded Cards, Retail Banking and Retail Services.
• Wealth were largely unchanged.
•
Services increased 6% year-over-year, primarily driven by
strong demand for working capital loans in TTS in North
America and internationally.
• Markets increased 4% year-over-year, reflecting increased
•
client demand in warehouse lending.
Banking decreased 9% year-over-year, primarily driven
by capital optimization efforts.
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 (see “Risk Factors—Credit Risks”
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.
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 16), 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 15 for additional information on
Citi’s credit risk management.
72
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 Services, Markets, Banking and the Mexico SBMM component of
All Other—Legacy Franchises (excluding 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, 2023
September 30, 2023
December 31, 2022
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
$ 132 $
122 $
39 $
293 $ 125 $
118 $
38 $
281 $ 135 $
122 $
27 $
284
134
268
18
420 144
259
19
422 140
256
10
$ 266 $
390 $
57 $
713 $ 269 $
377 $
57 $
703 $ 275 $
378 $
37 $
406
690
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 presents the percentage
of this portfolio by region based on Citi’s internal
management geography:
December 31,
2023
September 30,
2023
December 31,
2022
North America
International
Total
56 %
44
100 %
56 %
44
100 %
56 %
44
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.
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,
2023
September 30,
2023
December 31,
2022
AAA/AA/A
50 %
49 %
50 %
BBB
BB/B
CCC or below
Total
33
16
1
34
15
2
34
14
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.
73
Citi believes the corporate credit portfolio to be
appropriately rated and classified as of December 31, 2023.
Citi 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,
appetite per obligor is reduced consistent with the ratings, and
downgrades may result in the purchase of additional credit
derivatives or other risk/structural 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 15 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,
2023
September 30,
2023
December 31,
2022
21 %
21 %
20 %
12
12
11
10
8
2
8
7
5
4
3
3
3
1
12
10
12
10
8
2
9
7
5
4
3
3
3
1
12
10
11
10
8
2
9
7
6
4
3
5
2
1
100 %
100 %
100 %
Transportation and
industrials
Technology, media
and telecom
Banks and finance
companies(1)
Consumer retail
Real estate
Commercial
Residential
Power, chemicals,
metals and mining
Energy and
commodities
Health
Insurance
Public sector
Asset managers
and funds
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.
74
The following table details Citi’s corporate credit portfolio by industry as of December 31, 2023:
Total
credit
exposure Funded(1) Unfunded
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
$ 149,429 $ 59,917 $
89,512 $ 118,380 $ 26,345 $
4,469 $
235 $
125 $
39 $
(7,060)
49,443
22,843
28,448
11,996
71,538
25,078
26,600
16,452
46,460
43,008
21,223
5,376
6,208
999
952
54,149
14,761
2,518
84,409
29,832
54,577
67,077
13,637
3,212
60
65
110
483
103
181
915
859
56
227
159
44
24
138
162
—
13
20
—
—
27
7
3
115
112
7
130
69
69
—
36
1
34
1
5
16
7
36
4
—
2
45
19
5
15
56
37
57
31
31
—
4
4
1
(2,304)
(1,185)
(3,571)
(5,546)
(638)
(5,360)
(608)
(608)
—
(4,884)
(2,280)
(2,019)
(1)
(585)
(15)
(3,090)
22
—
15
—
—
—
4
(3,023)
(4,516)
(1,092)
(65)
(7)
(2)
(6)
30,943
48,251
21,167
19,785
1,382
40,568
19,315
13,676
7,577
33,684
27,095
24,826
12,115
15,449
74,364
7,768
63,017
15,259
61,226
43,340
17,886
7,084
7,042
42
46,551
10,098
20,967
16,418
9,166
40,081
30,099
25,580
21,845
17,826
3,200
3,888
3,010
5,528
4,871
1,607
2,399
1,723
—
822
18,549
18,705
1,003
2,512
870
5,079
1,629
1,277
3,342
3,602
3,602
—
2,696
209
1,613
874
543
1,098
29
479
112
—
45
257
In millions of dollars
Transportation and
industrials
Autos(4)
Transportation
Industrials
Technology, media and
telecom
Banks and finance
companies
Consumer retail
Real estate
Commercial
Residential
Power, chemicals, metals
and mining
Power
Chemicals
Metals and mining
83,512
52,569
81,799
33,548
72,827
51,660
54,843
35,058
17,984
16,602
59,572
19,004
24,535
21,963
13,074
5,220
8,287
5,497
Energy and commodities(5)
46,290
12,606
Health
Insurance
Public sector
36,230
27,216
9,135
2,390
24,736
12,621
Asset managers and funds
19,681
4,232
Financial markets
infrastructure
Securities firms
Other industries(6)
18,705
1,737
6,992
156
734
4,480
Total
$ 713,135 $ 292,884 $ 420,251 $ 590,700 $ 98,770 $
21,161 $
2,504 $
594 $
250 $ (35,897)
(1) Funded excludes loans carried at fair value of $7.3 billion at December 31, 2023.
(2)
(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $35.9 billion of
Includes non-accrual loan exposures and related criticized unfunded exposures.
purchased credit protection, $33.7 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.2
billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.7 billion, where the protection seller absorbs the
first loss on the referenced loan portfolios.
(5)
(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of
global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $16.9 billion ($10.6 billion in funded, with 100% rated
investment grade) as of December 31, 2023.
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, 2023, Citi’s total exposure to these energy-related entities was
approximately $4.9 billion, of which approximately $2.5 billion consisted of direct outstanding funded loans.
Includes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2023, respectively, primarily related to commercial credit card
delinquency-managed loans.
(6)
Exposure to Commercial Real Estate
As of December 31, 2023, Citi’s total credit exposure to
commercial real estate (CRE) was $66 billion, including $8
billion of exposure related to office buildings. This total CRE
exposure consisted of approximately $55 billion related to
corporate clients, included in the real estate category in the
table above, and approximately $11 billion related to Wealth
clients that is not in the table above as they are not considered
corporate exposures.
In addition, as of December 31, 2023, approximately 80%
of Citi’s total CRE exposure was rated investment grade and
more than 77% was to borrowers in the U.S.
As of December 31, 2023, the ACLL attributed to the
total funded CRE exposure (including the Private Bank) was
approximately 1.49%, and there were $759 million of non-
accrual CRE loans.
75
The following table details Citi’s corporate credit portfolio by industry as of December 31, 2022:
Total credit
exposure
Funded(1)
Unfunded
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)
47,482
24,843
66,900
21,995
10,374
24,902
25,487
14,469
41,998
40,795
18,078
50,324
5,171
3,156
11,370
1,391
3,444
5,015
81,211
28,931
52,280
65,386
12,308
3,308
65,623
78,255
70,676
54,139
16,537
59,404
22,718
23,147
13,539
46,309
41,836
29,932
23,705
42,276
32,687
48,539
34,112
14,427
18,326
4,827
7,765
5,734
13,069
8,771
4,417
11,736
23,347
45,568
22,137
20,027
2,110
41,078
17,891
15,382
7,805
33,240
33,065
25,515
11,969
57,368
60,215
63,023
46,670
16,353
47,395
18,822
19,033
9,540
38,918
36,954
29,090
20,663
35,983
13,162
22,821
34,431
1,492
8,742
1,462
7,374
60
569
4,217
8,682
893
3,157
8,672
625
4,842
70
678
2,245
5,718
14,830
4,722
4,716
6
2,387
2,910
2,881
2,703
178
10,466
1,437
3,325
3,534
3,607
6,076
3,737
801
2,084
512
564
361
1,200
978
41
956
60
—
157
238
125
165
191
209
150
300
50
50
—
106
59
16
31
115
167
—
2
—
—
2
49
52
57
294
169
266
195
138
96
42
226
129
55
42
180
84
44
77
95
—
2
19
—
(3,084)
(30)
(1,270)
30
11
65
28
2
2
—
34
(4,105)
(6,050)
(1,113)
(5,395)
(739)
(739)
—
(5,063)
(3)
(2,306)
30
7
11
7
—
4
—
—
—
16
(2,098)
(659)
(3,852)
(2,855)
(3,884)
(1,633)
(759)
(18)
(2)
(8)
In millions of dollars
Transportation and
industrials
Autos(4)
Transportation
Industrials
Technology, media
and telecom
Banks and finance
companies
Consumer retail
Real estate
Commercial
Residential
Power, chemicals,
metals and mining
Power
Chemicals
Metals and mining
Energy and
commodities(5)
Health
Insurance
Public sector
Asset managers and
funds
Financial markets
infrastructure
Securities firms
Other industries(6)
Total
$ 689,737 $ 284,031 $ 405,706 $ 576,779 $
84,924 $
26,403 $
1,631 $
1,898 $
178 $
(39,830)
(1) Funded excludes loans carried at fair value of $5.1 billion at December 31, 2022.
(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
Includes non-accrual loan exposures and related criticized unfunded exposures.
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.
(5)
(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) at 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.
Includes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2022, respectively, primarily related to commercial credit card
delinquency-managed loans.
(6)
76
Credit Risk Mitigation
As part of its overall risk management activities, Citigroup
uses credit derivatives, both partial and full term, and other
risk mitigants to economically hedge portions of the credit risk
in its corporate credit portfolio, in addition to outright asset
sales. In advance of the expiration of partial-term economic
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, 2023, September 30, 2023 and
December 31, 2022, Banking had economic hedges on the
corporate credit portfolio of $35.9 billion, $36.0 billion and
$39.8 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 Banking corporate credit portfolio exposures with
the following risk rating distribution:
Rating of Hedged Exposure
December 31,
2023
September 30,
2023
December 31,
2022
AAA/AA/A
45 %
45 %
39 %
BBB
BB/B
CCC or below
Total
44
10
1
43
10
2
45
12
4
100 %
100 %
100 %
77
Loan Maturities and Fixed/Variable Pricing of Corporate Loans
In millions of dollars at December 31, 2023
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)(4) $
Loans at fixed interest rates(5)
Commercial and industrial loans
Financial institutions
Mortgage and real estate(2)
Other(6)
Lease financing
Total
Loans at floating or adjustable interest
rates(4)
Commercial and industrial loans
Financial institutions
Mortgage and real estate(2)
Other(6)
Lease financing
Total
Total fixed/variable pricing of corporate
loans with maturities due after one year, net
of unearned income(3)(4)
Due within
1 year
Over 1 year
but within
5 years
Over 5 years
but within
15 years
Over
15 years
Total
25,045 $
17,435
7,908
9,461
—
34,304 $
21,388
4,185
12,947
227
1,602 $
424
4,736
775
—
57 $
146
984
152
—
61,008
39,393
17,813
23,335
227
59,849 $
73,051 $
7,537 $
1,339 $
141,776
69,811 $
18,128 $
5,425 $
18,449
2,639
16,081
6
632
6,577
3,600
7,960
26
670
107,618 $
167,467 $
36,961 $
110,012 $
$
6,636 $
3,363
1,311
4,792
240
16,342 $
907
888
1,337
16
1,630
10,203 $
17,740 $
883 $
62
4,531
170
—
5,646 $
$
$
$
$
45,796 $
6,144 $
24,602
6,474
16,785
13
1,269
1,093
3,572
16
93,670 $
12,094 $
110,012 $
17,740 $
4,853
93,402
26,143
7,197
27,907
48
3,599
158,296
300,072
38 $
210
70
2,529
—
667
3,514 $
4,853 $
17
12
846
7
—
882
78
344
208
3,341
—
3,971
(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 ($917) million. Unearned income on corporate loans primarily represents loan origination fees, net of certain direct
origination costs, that are deferred and recognized as Interest income over the lives of the related loans.
(4) Excludes $93 million of unallocated portfolio layer cumulative basis adjustments at December 31, 2023.
(5) Based on contractual terms. Repricing characteristics may effectively be modified from time to time using derivative contracts. See Note 24.
(6) Other includes installment and other and loans to government and official institutions.
78
All Other—Legacy Franchises also provides such
products in its remaining markets through Mexico Consumer
and Asia Consumer (Korea, Poland, China and Russia).
CONSUMER CREDIT
Citi's consumer credit risk management framework is designed
for a variety of environments. Underwriting and portfolio
management policies are calibrated based on risk-return trade-
offs by product and segment and changes are made based on
performance against benchmarks as well as environmental
stress. As warranted, Citi adjusts underwriting criteria to
address consumer credit risks and macroeconomic challenges
and uncertainties.
USPB provides credit cards, mortgages, personal loans,
small business banking and retail banking, and Wealth offers
wealth management lending and other products globally that
range from the affluent to ultra-high net worth customer
segments through the Private Bank, Wealth at Work and
Citigold. USPB’s retail banking products include a generally
prime portfolio built through well-defined lending parameters
within Citi’s risk appetite framework.
Consumer Credit Portfolio
The following table presents Citi’s quarterly end-of-period consumer loans(1):
In billions of dollars
USPB
Branded Cards
Retail Services
Retail Banking
Mortgages(2)
Personal, small business and other
Total
Wealth(3)(4)
Mortgages(2)
Margin lending(5)
Personal, small business and other(6)
Cards
Total
All Other—Legacy Franchises
Mexico Consumer (excludes Mexico SBMM)
Asia Consumer(7)
Legacy Holdings Assets(8)
Total
Total consumer loans
4Q22
1Q23
2Q23
3Q23
4Q23
$
100.2 $
97.1 $
103.0 $
105.2 $
111.1
50.5
37.1
33.4
3.7
48.4
39.2
35.3
3.9
50.0
41.5
37.4
4.1
50.5
43.1
38.8
4.3
53.6
44.4
39.9
4.5
187.8 $
184.7 $
194.5 $
198.8 $
209.1
84.0 $
28.9
31.7
4.6
85.2 $
29.3
31.0
4.4
87.0 $
29.6
29.4
4.5
88.8 $
28.7
28.5
4.6
89.9
29.4
27.2
5.0
149.2 $
149.9 $
150.5 $
150.6 $
151.5
14.8 $
13.3
3.0
31.1 $
368.1 $
16.3 $
10.0
2.8
29.1 $
363.7 $
17.8 $
17.8 $
9.1
2.7
29.6 $
374.6 $
8.0
2.5
28.3 $
377.7 $
18.7
7.4
2.5
28.6
389.2
$
$
$
$
$
$
(1) End-of-period loans include interest and fees on credit cards.
(2) See Note 15 for details on loan-to-value ratios for the portfolios and FICO scores for the U.S. portfolio.
(3) Consists of $101.6 billion, $101.1 billion, $99.5 billion, $98.9 billion and $98.2 billion of loans in North America as of December 31, 2023, September 30, 2023,
June 30, 2023, March 31, 2023 and December 31, 2022, respectively. For additional information on the credit quality of the Wealth portfolio, see Note 15.
(4) Consists of $49.9 billion, $49.5 billion, $51.0 billion, $51.0 billion and $51.0 billion of loans outside North America as of December 31, 2023, September 30,
2023, June 30, 2023, March 31, 2023 and December 31, 2022, respectively.
(5) At December 31, 2023, includes approximately $24 billion of classifiably managed loans fully collateralized by eligible financial assets and securities that have
experienced very low historical net credit losses (NCLs). Approximately 85% of the classifiably managed portion of these loans are investment grade.
(6) At December 31, 2023, includes approximately $22 billion of classifiably managed loans. Approximately 87% of these loans are fully collateralized (consisting
primarily of commercial real estate and limited partner capital commitments in private equity) and have experienced very low historical net credit losses (NCLs).
Approximately 85% of the classifiably managed portion of these loans are investment grade.
(7) Asia Consumer loan balances, reported within All Other—Legacy Franchises, include the four remaining Asia Consumer loan portfolios: Korea, Poland, China
and Russia.
(8) Primarily consists of certain North America consumer mortgages.
For information on changes to Citi’s consumer loans, see
“Credit Risk—Loans” above.
79
Consumer Credit Trends
U.S. Personal Banking
Branded Cards
As indicated above, USPB provides card products through
Branded Cards and Retail Services, and mortgages and home
equity, small business and personal consumer loans through
Citi’s Retail Banking network. Retail Banking is concentrated
in six major U.S. metropolitan areas. USPB also provides
mortgages through correspondent channels.
As of December 31, 2023, approximately 79% of USPB
EOP loans consisted of Branded Cards and Retail Services
card loans, which generally drives the overall credit
performance of USPB, as U.S. cards net credit losses
represented approximately 96% of total USPB net credit losses
for the fourth quarter of 2023. As of December 31, 2023,
Branded Cards represented 67% of total U.S. cards EOP loans
and Retail Services represented 33% of U.S. cards EOP loans.
As presented in the chart above, the fourth quarter of 2023
net credit loss rate and 90+ days past due delinquency rate in
USPB increased quarter-over-quarter and year-over-year,
largely driven by a continued increase in net flow rates,
primarily reflecting normalization to pre-pandemic levels in
Branded Cards and Retail Services as well as the impact of
macroeconomic pressures related to the higher inflationary
and interest rate environment. Citi expects the net credit loss
rate for both Branded Cards and Retail Services to continue to
rise above pre-pandemic levels and, on a full-year basis, peak
in 2024. The higher net credit losses expectation is already
reflected in the Company’s ACL on loans for outstanding
balances at December 31, 2023.
USPB’s Branded Cards portfolio includes proprietary and
co-branded cards.
As presented in the chart above, the fourth quarter of 2023
net credit loss rate and 90+ days past due delinquency rate in
Branded Cards increased quarter-over-quarter and year-over-
year, largely driven by a continued increase in net flow rates,
primarily reflecting normalization to pre-pandemic levels as
well as the impact of macroeconomic pressures related to the
higher inflationary and interest rate environment.
Retail Services
USPB’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 presented in the chart above, the fourth quarter of 2023
net credit loss rate and 90+ days past due delinquency rate in
Retail Services increased quarter-over-quarter and year-over-
year, largely driven by a continued increase in net flow rates,
primarily reflecting normalization to pre-pandemic levels as
well as the impact of macroeconomic pressures related to the
higher inflationary and interest rate environment.
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 15.
80
risk based on their internal risk rating, of which 85% 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 presented in the chart above, the net credit loss rate
and 90+ days past due delinquency rate in Wealth for the
fourth quarter of 2023 were broadly stable quarter-over-
quarter and year-over-year. The low net credit loss and the
90+ days past due delinquency rates continued to reflect the
strong credit profiles of the portfolios.
Mexico Consumer
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 presented in the chart above, the fourth quarter of 2023
net credit loss rate in Mexico Consumer increased quarter-
over-quarter and year-over-year, primarily driven by the
ongoing normalization of loss rates from post-pandemic lows.
The 90+ days past due delinquency rate was relatively
stable quarter-over-quarter and year-over-year.
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 15.
Retail Banking
USPB’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 15.
As presented in the chart above, the net credit loss rate in
Retail Banking for the fourth quarter of 2023 was broadly
stable quarter-over-quarter and increased year-over-year,
primarily driven by the growth and seasoning of personal
loans.
The 90+ days past due delinquency rate was broadly
stable quarter-over-quarter and decreased year-over-year,
primarily driven by lower delinquencies in U.S. mortgages.
Wealth
As indicated above, Wealth provides consumer
mortgages, margin lending, cards and other lending products
to customer segments that range from 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 and includes loans that are delinquency
managed or classifiably managed. The delinquency-managed
portfolio consists primarily of mortgages, margin lending and
cards.
As of December 31, 2023, approximately $46 billion, or
30%, 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
81
U.S. Cards FICO Distribution
The following tables present 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,
2023
Sept. 30,
2023
Dec. 31,
2022
> 760
680–760
< 680
Total
Retail Services
46 %
46 %
48 %
38
16
39
15
38
14
100 %
100 %
100 %
FICO distribution(1)
Dec. 31,
2023
Sept. 30,
2023
Dec. 31,
2022
> 760
680–760
< 680
Total
27 %
26 %
27 %
41
32
42
32
42
31
100 %
100 %
100 %
(1) The FICO bands in the tables are consistent with general industry peer
presentations.
The FICO distribution of both card portfolios declined
slightly during 2023, primarily reflecting the normalization in
net credit loss and delinquency rates. The FICO distribution
continued to reflect strong underlying credit quality of the
portfolios. See Note 15 for additional information on FICO
scores.
82
Additional Consumer Credit Details
Consumer Loan Delinquencies Amounts and Ratios
In millions of dollars,
except EOP loan amounts in billions
USPB(3)(4)
Total
Ratio
Cards(4)
Total
Ratio
Branded Cards
Ratio
Retail Services
Ratio
Retail Banking(3)
Ratio
Wealth delinquency-managed
loans(5)
Ratio
Wealth classifiably managed
loans(6)
All Other
Total
Ratio
$
$
$
Mexico Consumer
Ratio
Asia Consumer(7)(8)
Ratio
Legacy Holdings Assets
(consumer)(9)
Ratio
EOP
loans(1)
December
31,
90+ days past due(2)
30–89 days past due(2)
December 31,
December 31,
2023
2023
2022
2021
2023
2022
2021
$
209.1 $
2,635
$
1,578
$
1,069
$
2,563
$
1,720
$
1,130
1.26 %
0.84 %
0.64 %
1.23 %
0.92 %
0.68 %
164.7
2,461
1,415
1.49 %
111.1
1,194
1.07 %
53.6
1,267
2.36 %
44.4
174
0.40 %
0.94 %
629
0.63 %
786
1.56 %
163
0.45 %
871
0.65 %
389
0.44 %
482
1.05 %
198
0.62 %
2,293
1.39 %
1,143
1.03 %
1,150
2.15 %
270
0.62 %
1,511
1.00 %
693
0.69 %
818
1.62 %
209
0.57 %
947
0.71 %
408
0.46 %
539
1.17 %
183
0.57 %
105.3 $
191
$
186
$
281
$
312
$
317
$
323
0.18 %
0.19 %
0.31 %
0.30 %
0.32 %
0.35 %
46.2
N/A
N/A
N/A
N/A
N/A
N/A
28.6 $
407
$
389
$
613
$
384
$
335
$
546
1.43 %
18.7
252
1.35 %
7.4
51
0.69 %
2.5
104
4.52 %
1.26 %
190
1.28 %
49
0.37 %
150
5.56 %
1.06 %
183
1.38 %
209
0.51 %
221
6.31 %
1.35 %
252
1.35 %
59
0.80 %
73
3.17 %
1.09 %
186
1.26 %
70
0.53 %
79
2.93 %
0.94 %
173
1.30 %
285
0.69 %
88
2.51 %
Total Citigroup consumer
$
389.2 $
3,233
$
2,153
$
1,963
$
3,259
$
2,372
$
1,999
Ratio
0.94 %
0.68 %
0.62 %
0.95 %
0.75 %
0.63 %
(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 $63 million ($0.5 billion), $89 million ($0.6 billion) and $185 million ($1.1 billion) at December 31, 2023, 2022 and 2021, respectively. The amounts
excluded for loans 30–89 days past due (the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $73 million,
$70 million and $74 million at December 31, 2023, 2022 and 2021, respectively. The EOP loans in the table include the guaranteed loans.
(4) The 90+ days past due balances for Branded Cards and Retail Services are generally still accruing interest. Citi’s policy is generally to accrue interest on credit
card loans until 180 days past due, unless 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, 2023, 2022 and 2021, 85%, 96% and 94% of Wealth classifiably managed loans
were rated investment grade. For additional information on the credit quality of the Wealth portfolio, including classifiably managed portfolios, see “Consumer
Credit Trends” above.
(7) Asia Consumer includes delinquencies and loans in Poland and Russia for all periods presented and in Bahrain for 2021 only.
(8) Citi has 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: Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam in 1Q22 (Bahrain, Malaysia and Thailand closed in 4Q22; India and
Vietnam closed in 1Q23; Taiwan closed in 3Q23; and Indonesia closed in 4Q23); Australia in 3Q21 (closed in 2Q22); and the Philippines in 4Q21 (closed in
3Q22). In addition, a portfolio was reclassified to HFS in the first quarter of 2023 and subsequently sold in the second quarter of 2023. See Note 2.
83
(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 $67 million ($0.2 billion), $90 million ($0.3 billion) and $138 million ($0.4 billion) at December 31, 2023, 2022 and 2021, respectively. The
amounts excluded for loans 30–89 days past due (the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $36
million, $37 million and $35 million at December 31, 2023, 2022 and 2021, 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
USPB
Total
Ratio
Cards
Total
Ratio
Branded Cards
Ratio
Retail Services
Ratio
Retail Banking
Ratio
Wealth
Ratio
All Other—Legacy Franchises (managed basis)(3)
Total
Ratio
Mexico Consumer
Ratio
Asia Consumer (managed basis)(3)(4)(5)
Ratio
Legacy Holdings Assets (consumer)
Ratio
Reconciling Items(3)
Total Citigroup
Ratio
Average
loans(1)
2023
Net credit losses(2)
2022
2021
2023
$
192.6 $ 5,234
$
2,918
$
2,939
2.72 %
1.71 %
1.85 %
151.5
4,981
2,640
2,828
3.29 %
1.95 %
2.28 %
101.6
2,664
1,384
1,659
2.62 %
1.54 %
2.05 %
49.9
2,317
1,256
1,169
4.64 %
2.74 %
2.71 %
41.1
253
278
111
0.62 %
0.79 %
0.32 %
$
150.1 $
98
$
103
$
122
0.07 %
0.07 %
0.08 %
$
29.2 $
861
$
746
$
1,454
2.95 %
2.16 %
2.13 %
17.0
682
476
920
4.01 %
3.50 %
6.87 %
9.5
198
2.08 %
2.7
(19)
316
1.82 %
(46)
616
1.24 %
(82)
(0.70) %
(1.35) %
(1.53) %
$
(6)
$
371.9 $ 6,187
$
$
(156) $
(6)
3,611
$
4,509
1.66 %
1.02 %
1.20 %
(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) All Other (managed basis) excludes divestiture-related impacts (Reconciling Items) related to (i) Citi’s divestitures of its Asia Consumer businesses and (ii) the
planned divestiture of Mexico consumer banking and small business and middle-market banking within Legacy Franchises. The Reconciling Items are fully
reflected in the various line items in Citi’s Consolidated Statement of Income. See “All Other—Divestiture-Related Impacts (Reconciling Items)” below.
(4) Asia Consumer also includes NCLs and average loans in Poland and Russia for all periods presented and in Bahrain for 2021 only.
(5) Approximately $25 million, $155 million and $6 million in NCLs relating to certain Asia Consumer businesses classified as held-for-sale in Other assets and
Other liabilities on the Consolidated Balance Sheet were recorded as a reduction in revenue (Other revenue) in 2023, 2022 and 2021, respectively. Accordingly,
these NCLs are not included in this table. See footnote 3 to this table.
84
Loan Maturities and Fixed/Variable Pricing of Consumer Loans
Loan Maturities
In millions of dollars at December 31, 2023
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
Total Consumer
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
$
$
$
$
$
3 $
5
163,563
31,202
194,773 $
1,179 $
14,184
27,508
42,871 $
237,644 $
281 $
27
1,157
4,673
6,138 $
273 $
49
7,159
7,481 $
13,619 $
3,017 $
1,519
—
222
105,410 $
2,041
—
38
4,758 $
107,489 $
4,073 $
20,901 $
—
214
4,287 $
9,045 $
—
499
21,400 $
128,889 $
108,711
3,592
164,720
36,135
313,158
26,426
14,233
35,380
76,039
389,197
(1) Credit card loans with maturities greater than one year represent loan modifications to borrowers experiencing financial difficulty and are at fixed interest rates.
Fixed/Variable Pricing
In millions of dollars at December 31, 2023
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
Total
Total Consumer
$
$
$
$
$
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
460 $
5
50,435
13,185
64,085 $
722 $
—
127,312
45,525
173,559 $
237,644 $
366 $
25
1,206
8,869
2,620 $
70,126 $
272
—
376
85
—
366
73,572
387
51,641
22,796
10,466 $
3,268 $
70,577 $
148,396
188 $
2
—
2,963
3,153 $
13,619 $
4,470 $
1,247
—
60
5,777 $
9,045 $
56,185 $
1,956
—
171
58,312 $
128,889 $
61,565
3,205
127,312
48,719
240,801
389,197
(1) Credit card loans with maturities greater than one year represent loan modifications to borrowers experiencing financial difficulty and are at fixed interest rates.
85
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, excluding
portfolio layer cumulative basis adjustments(4)
Unallocated portfolio layer cumulative basis adjustments
Corporate loans, net of unearned income(4)
Total loans—net of unearned income
2023
2022
December 31,
2021
2020
2019
$
108,711
$
96,039
$
83,361
$
83,956
$
78,664
3,592
164,720
36,135
4,580
150,643
37,752
5,745
133,868
40,713
7,890
130,385
39,259
10,174
149,163
36,548
$
313,158
$
289,014
$
263,687
$
261,490
$
274,549
$
26,426
$
28,114
$
37,889
$
42,817
$
40,467
14,233
35,380
76,039
389,197
$
$
12,955
37,984
79,053
368,067
$
$
17,808
57,150
22,692
59,475
25,909
60,013
$
$
112,847
376,534
$
$
124,984
386,474
$
$
126,389
400,938
$
61,008
$
56,176
$
48,364
$
53,930
$
52,229
39,393
17,813
23,335
227
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
$
141,776
$
141,479
$
134,691
$
127,877
$
128,216
$
93,402
$
93,967
$
102,735
$
103,234
$
112,332
26,143
7,197
27,907
48
3,599
$
158,296
$
$
$
$
300,072
93
300,165
689,362
$
$
$
$
$
21,931
4,179
23,347
46
4,205
147,675
289,154
—
289,154
657,221
22,158
4,374
22,812
40
4,423
156,542
291,233
—
291,233
667,767
$
$
$
$
$
25,111
5,277
24,034
65
3,811
161,532
289,409
—
289,409
675,883
$
$
$
$
$
28,176
4,325
21,273
95
4,128
170,329
298,545
—
298,545
699,483
$
$
$
$
$
Allowance for credit losses on loans (ACLL)
(18,145)
(16,974)
(16,455)
(24,956)
(12,783)
Total loans—net of unearned income and ACLL
$
671,217
$
640,247
$
651,312
$
650,927
$
686,700
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)
2.66 %
2.60 %
2.49 %
3.73 %
1.84 %
3.97 %
3.84 %
3.73 %
5.22 %
2.51 %
0.93 %
1.01 %
0.85 %
1.69 %
0.93 %
(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.
86
(3) Consumer loans are net of unearned income of $802 million, $712 million, $629 million, $692 million and $732 million at December 31, 2023, 2022, 2021, 2020
and 2019, respectively. Unearned income on consumer loans primarily represents loan origination fees, net of certain direct origination costs, that are deferred and
recognized as Interest income over the lives of the related loans.
(4) Corporate loans include Mexico SBMM loans and are net of unearned income of $(917) million, $(797) million, $(770) million, $(787) million and $(763) million
at December 31, 2023, 2022, 2021, 2020 and 2019, respectively. Unearned income on corporate loans primarily represents loan origination fees, net of certain
direct origination costs, that are deferred and recognized as Interest income over the lives of the related loans.
(5) Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
Details of Credit Loss Experience
In millions of dollars
2023
2022
2021
2020
2019
Allowance for credit losses on loans (ACLL) at beginning of year $
16,974
$
16,455
$
24,956
$
12,783
$
12,315
Adjustments to opening balance:
Financial instruments—TDRs and vintage disclosures(1)
Financial instruments—credit losses (CECL)(2)
Variable post-charge-off third-party collection costs(3)
(352)
—
—
—
—
—
—
—
—
—
4,201
(443)
—
—
—
Adjusted ACLL at beginning of year
$
16,622
$
16,455
$
24,956
$
16,541
$
12,315
Provision for credit losses on loans (PCLL)
Consumer
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
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
$
7,665
$
4,128
$
(1,159) $
12,222
$
7,788
121
617
(1,944)
3,700
430
$
7,786
$
4,745
$
(3,103) $
15,922
$
8,218
$
6,339
$
3,944
$
4,076
$
6,141
$
1,214
934
2,144
2,146
129
119
4
36
31
9
110
81
—
80
—
7
228
259
1
1
10
1
466
409
14
12
71
4
6,590
2,316
213
196
—
3
23
—
$
7,881
$
5,156
$
6,720
$
9,263
$
9,341
$
1,124
$
1,045
$
1,215
$
1,094
$
242
222
496
482
38
37
—
—
—
3
44
46
6
3
—
1
57
54
2
1
—
—
34
27
—
14
—
1
988
504
15
58
—
—
8
—
$
1,444
$
1,367
$
1,825
$
1,652
$
1,573
$
5,341
$
2,959
$
3,041
$
5,564
$
5,815
87
In offices outside the U.S.
Total
Other—net(4)(5)(6)(7)(8)(9)
Allowance for credit losses on loans (ACLL) at end of year
ACLL as a percentage of EOP loans(10)
Allowance for credit losses on unfunded lending commitments
(ACLUC)(11)(12)
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(13)
Consumer
Corporate
Total
$
$
$
$
$
$
$
1,096
6,437
174
18,145
2.66 %
1,728
19,873
6,187
$
$
$
$
$
$
830
1,854
3,789
$
4,895
$
(437) $
(503) $
2,047
7,611
104
16,974
$
16,455
$
24,956
2.60 %
2.49 %
3.73 %
2,151
19,125
3,611
$
$
$
1,871
18,326
4,509
$
$
$
2,655
27,611
6,711
1,953
7,768
18
12,783
1.84 %
1,456
14,239
7,414
$
$
$
$
$
$
1.66 %
1.02 %
1.20 %
1.77 %
1.94 %
250
$
178
$
386
$
900
$
354
0.09 %
0.06 %
0.13 %
0.29 %
0.12 %
$
15,431
$
14,119
$
14,040
$
20,180
$
10,056
2,714
2,855
2,415
4,776
2,727
$
18,145
$
16,974
$
16,455
$
24,956
$
12,783
(1) On January 1, 2023, Citi adopted Accounting Standards Update (ASU) 2022-02, Financial Instruments—Credit Losses (Topic 326): TDRs and Vintage
Disclosures. The ASU eliminated the accounting and disclosure requirements for TDRs, including the requirement to measure the ACLL for TDRs using a
discounted cash flow (DCF) approach. On January 1, 2023, Citi recorded a $352 million decrease in the Allowance for loan losses, along with a $290 million
after-tax increase to Retained earnings. See Note 1.
(2) 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.
(3) 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
(4)
(5)
(6)
(7)
(8)
(9)
allowance for credit losses on loans of $443 million.
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.
2023 includes an approximate $175 million increase related to FX translation.
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.
(10) December 31, 2023, 2022, 2021, 2020 and 2019 exclude $7.6 billion, $5.4 billion, $6.1 billion, $6.9 billion and $4.1 billion, respectively, of loans that are carried
at fair value.
(11) Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(12) 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.
(13) 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.” 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.
88
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, 2023
ACLL
EOP loans, net of
unearned income
ACLL as a
% of EOP loans(1)
12.6 $
0.2
0.7
0.9
1.0
15.4 $
1.7 $
0.3
0.6
0.1
2.7 $
N/A $
18.1 $
164.7
112.0
36.2
14.2
61.8
388.9
151.5
65.1
24.9
51.3
292.9
7.6
689.4
7.7 %
0.2
1.9
6.3
1.6
4.0 %
1.1 %
0.5
2.4
0.2
0.9 %
N/A
2.7 %
December 31, 2022
ACLL
EOP loans, net of
unearned income
ACLL as a
% 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 %
$
$
$
$
$
$
$
$
$
$
(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, 2023, the $12.6 billion of ACLL represented approximately 25 months of coincident net
credit loss coverage (based on 4Q23 NCLs). As of December 31, 2023, Branded Cards ACLL as a percentage of EOP loans was 6.0% and Retail Services ACLL
as a percentage of EOP loans was 11.1%. 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). The decrease in the coincident coverage ratio at December 31, 2023 was primarily due to the higher levels of NCLs in 4Q23
versus 4Q22. 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%.
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
89
The following table details Citi’s corporate credit ACLL by industry exposure:
In millions of dollars, except percentages
Transportation and industrials
Banks and finance companies
Real estate(2)
Commercial
Residential
Consumer retail
Technology, media and telecom
Power, chemicals, metals and mining
Public sector
Energy and commodities
Health
Asset managers and funds
Insurance
Securities firms
Financial markets infrastructure
Other industries(3)
Total(4)
December 31, 2023
Funded
exposure(1)
ACLL
ACLL as a % of
funded exposure
$
59,917 $
52,569
51,660
35,058
16,602
33,548
29,832
19,004
12,621
12,606
9,135
4,232
2,390
734
156
4,480
453
179
663
599
64
282
376
270
102
166
72
36
14
23
—
78
$
292,884 $
2,714
0.8 %
0.3
1.3
1.7
0.4
0.8
1.3
1.4
0.8
1.3
0.8
0.9
0.6
3.1
—
1.7
0.9 %
(1) Funded exposure excludes loans carried at fair value of $7.3 billion that are not subject to ACLL under the CECL standard.
(2) As of December 31, 2023, the portion of the ACLL attributed to the total funded CRE exposure (including the Private Bank) was approximately 1.49%.
(3)
(4) As of December 31, 2023, the ACLL above reflects coverage of 0.3% of funded investment-grade exposure and 2.9% of funded non-investment-grade
Includes $0.6 billion of funded exposure at December 31, 2023, primarily related to commercial credit card delinquency-managed loans.
exposure.
The following table details Citi’s corporate credit ACLL by industry exposure:
In millions of dollars, except percentages
Transportation and industrials
Banks and finance companies
Real estate
Commercial
Residential
Consumer retail
Technology, media and telecom
Power, chemicals, metals and mining
Public sector
Energy and commodities
Health
Asset managers and funds
Insurance
Securities firms
Financial markets infrastructure
Other industries(2)
Total(3)
December 31, 2022
Funded
exposure(1)
ACLL
ACLL as a % of
funded exposure
$
57,271 $
42,276
48,539
34,112
14,427
32,687
28,931
18,326
11,736
13,069
8,771
13,162
4,417
569
60
4,217
699
225
500
428
72
358
330
288
58
188
81
38
11
11
—
68
$
284,031 $
2,855
1.2 %
0.5
1.0
1.3
0.5
1.1
1.1
1.6
0.5
1.4
0.9
0.3
0.2
1.9
—
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)
(3) As of December 31, 2022, the ACLL above reflects coverage of 0.4% of funded investment-grade exposure and 3.0% of funded non-investment-grade exposure.
Includes $0.6 billion of funded exposure at December 31, 2022, primarily related to commercial credit card delinquency-managed loans.
90
Non-Accrual Loans and Assets
There is a certain amount of overlap among non-accrual loans
and assets. The following summary provides a general
description of each category:
•
•
•
•
•
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 current on principal and interest payments under the
terms of the loan structure. Citi’s corporate non-accrual
loans were $1.9 billion, $2.0 billion and $1.1 billion as of
December 31, 2023, September 30, 2023 and December
31, 2022, 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.
U.S. 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.
91
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)(3)
North America(4)
International
Total
Corporate non-accrual loans(1)(2)(3)
Banking
Services
Markets(4)
Mexico SBMM
Total
Consumer non-accrual loans(1)
USPB
Wealth
Asia Consumer(5)
Mexico Consumer
Legacy Holdings Assets (consumer)
Total
Total non-accrual loans
2023
2022
2021
2020
2019
December 31,
$
$
$
$
$
$
$
978 $
904
138 $
984
1,882 $
1,122 $
510 $
1,043
1,553 $
1,486 $
1,560
3,046 $
1,082
942
2,024
799 $
757 $
1,166 $
2,595 $
1,565
103
791
189
153
13
199
70
85
232
79
193
179
113
179
167
1,882 $
1,122 $
1,553 $
3,046 $
2,024
291 $
282 $
344 $
456 $
288
22
479
235
259
30
457
289
336
209
524
413
494
296
774
602
1,315 $
3,197 $
1,317 $
2,439 $
1,826 $
3,379 $
2,622 $
5,668 $
269
174
267
632
638
1,980
4,004
(1) Corporate loans are placed on non-accrual status based on a review by Citigroup’s risk officers. Corporate non-accrual loans may still be current on interest
payments. With limited exceptions, the following practices are applied for consumer loans: consumer loans, excluding credit cards and mortgages, are placed on
non-accrual status at 90 days past due and are charged off at 120 days past due; residential mortgage loans are placed on non-accrual status at 90 days past due and
written down to net realizable value at 180 days past due. Consistent with industry conventions, Citigroup generally accrues interest on credit card loans until such
loans are charged off, which typically occurs at 180 days contractual delinquency. As such, the non-accrual loan disclosures do not include credit card loans. The
balances above represent non-accrual loans within Corporate loans and Consumer loans on the Consolidated Balance Sheet.
(2) Approximately 50%, 50%, 56%, 64% and 44% of Citi’s corporate non-accrual loans remain current on interest and principal payments at December 31, 2023,
2022, 2021, 2020 and 2019, respectively.
(3) The December 31, 2023 total corporate non-accrual loans represented 0.63% of total corporate loans.
(4) The increase at December 31, 2023 was primarily related to two commercial real estate loans.
(5) Asia Consumer includes balances in Poland and Russia for all periods presented and in Bahrain for December 31, 2021, 2020 and 2019.
Modified Loans to Borrowers Experiencing Financial
Difficulty
On January 1, 2023, Citi adopted ASU 2022-02, which
eliminated the accounting and disclosure requirements for
TDRs (see Note 1). See Note 15 for information on loan
modifications during the year ended December 31, 2023.
92
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, 2023
Year ended
December 31, 2022
Non-accrual loans at beginning of year
$
Additions
Sales and transfers to HFS
Returned to performing
Paydowns/settlements
Charge-offs
Other
Ending balance
1,122 $
2,103
1,317 $
1,702
(110)
(141)
(819)
(264)
(9)
(22)
(315)
(476)
(851)
(40)
2,439 $
3,805
(132)
(456)
(1,295)
(1,115)
(49)
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)
(2,399)
(858)
(133)
$
1,882 $
1,315 $
3,197 $
1,122 $
1,317 $
2,439
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
International
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)
2023
2022
2021
2020
2019
December 31,
$
$
$
$
$
$
17
19
36
$
$
10
5
15
$
$
15
12
27
$
$
19
24
43
$
$
1,882
$
1,122
$
1,553
$
3,046
$
1,315
3,197
36
3,233
$
$
$
1,317
2,439
15
2,454
$
$
$
1,826
3,379
27
3,406
$
$
$
2,622
5,668
43
5,711
$
$
$
39
22
61
2,024
1,980
4,004
61
4,065
0.46 %
0.37 %
0.51 %
0.84 %
0.52 %
0.13
568
0.10
696
0.15
487
0.25
440
0.21
319
(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.
93
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 of 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 (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, helps ensure
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 (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.
94
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,
2023
Citibank
Sept. 30,
2023
Citi non-bank and other entities
Total
Dec. 31,
2022
Dec. 31,
2023
Sept. 30,
2023
Dec. 31,
2022
Dec. 31,
2023
Sept. 30,
2023
Dec. 31,
2022
$
200.6 $
203.1 $
241.2 $
5.6 $
5.4 $
4.3 $
206.2 $
208.5 $
131.6
134.2
130.0
51.0
76.0
0.2
48.5
74.3
0.3
46.3
59.1
1.7
74.3
3.1
18.0
0.1
79.3
3.6
19.9
0.7
68.7
4.0
19.4
0.5
205.9
213.5
54.1
94.0
0.3
52.1
94.2
1.0
245.5
198.7
50.3
78.5
2.2
Total HQLA (AVG)
$
459.4 $
460.4 $
478.3 $
101.1 $
108.9 $
96.9 $
560.5 $
569.3 $
575.2
Note: The amounts 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,
India 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 decreased
quarter-over-quarter as of the fourth quarter of 2023, primarily
driven by a reduction in average unsecured debt.
As of December 31, 2023, Citigroup had approximately
$965 billion of available liquidity resources to support client
and business needs, including end-of-period HQLA ($562
billion); additional unencumbered HQLA, including excess
liquidity held at bank entities that is non-transferable to other
entities within Citigroup ($232 billion); and unused borrowing
capacity from available assets not already accounted for within
Citi’s HQLA to support additional advances from the Federal
Home Loan Bank (FHLB) and the Federal Reserve Bank
discount window ($171 billion).
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,
2023
Sept. 30,
2023
Dec. 31,
2022
$ 560.5
$ 569.3
$ 575.2
482.7
485.3
489.0
LCR
HQLA in excess of net outflows
116 % 117 %
118 %
$ 77.8
$ 84.0
$ 86.2
Note: The amounts are presented on an average basis.
As of December 31, 2023, Citigroup’s average LCR
decreased from the quarter ended September 30, 2023. The
decrease was primarily driven by the reduction in average
HQLA.
In addition, considering Citi’s total available liquidity
resources at quarter end of $965 billion, Citi maintained
approximately $482 billion of excess liquidity above the
stressed average net outflow of approximately $483 billion,
shown in the LCR table above.
95
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%.
For the quarter ended December 31, 2023, Citigroup’s
consolidated NSFR was compliant with the rule. Refer to
Citi’s U.S. NSFR Disclosure report covering December 31,
2023 and September 30, 2023 on its website for additional
information.
Select Balance Sheet Items
This section provides details of select liquidity-related assets
and liabilities reported on Citigroup’s Consolidated Balance
Sheet on an average and end-of-period basis.
Cash and Investments
The table below details average and end-of-period Cash and
due from banks, Deposits with banks (collectively cash) and
Investment securities. Citi’s investment portfolio consists
largely of highly liquid U.S. Treasury, U.S. agency and other
sovereign bonds, with an aggregate duration of less than three
years. At December 31, 2023, Citi’s EOP cash and Investment
securities comprised approximately 32% of Citigroup’s total
assets:
In billions of dollars
4Q23
3Q23
4Q22
Cash and due from banks
$
27 $
27 $
Deposits with banks
Investment securities
252
516
260
509
30
306
519
Total Citigroup cash and
investment securities (AVG)
Total Citigroup cash and
investment securities (EOP)
$
$
795 $
796 $
855
780 $
763 $
869
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
4Q23
3Q23
4Q22
Services
TTS
Securities Services
Markets and Banking
USPB
Wealth
All Other—Legacy Franchises
All Other—Corporate/Other
$
802 $
796 $
680
122
24
105
312
49
28
676
120
25
110
311
52
21
825
694
131
23
111
320
50
32
Total Citigroup deposits (AVG)
$ 1,320 $ 1,315 $ 1,361
Total Citigroup deposits (EOP)
$ 1,309 $ 1,274 $ 1,366
End-of-period deposits decreased 4% year-over-year,
largely due to a reduction in Services reflecting quantitative
tightening, and a reduction in USPB and Wealth reflecting a
shift of deposits to higher-yielding products. End-of-period
deposits increased 3% sequentially.
On an average basis, deposits declined 3% year-over-year
and were largely unchanged sequentially.
As of the fourth quarter of 2023, average deposits for:
•
•
Services decreased 3% year-over-year, while TTS and
Securities Services decreased 2% and 7%, respectively.
These declines reflected the impact of quantitative
tightening that more than offset deposits from new client
acquisitions and deepening of relationships with existing
clients.
USPB decreased 5% year-over-year, driven by the
transfer of relationships and the associated deposits to
Wealth.
• Wealth decreased 3% year-over-year, reflecting the
continued mix shift of deposits to higher-yielding
investments on Citi’s platform, partially offset by the
benefits of the transfer of certain relationships and the
associated deposit balances from USPB.
96
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.
Weighted-Average Maturity (WAM)
The following table presents Citigroup and its affiliates’
(including Citibank) WAM of unsecured long-term debt
issued with a remaining life greater than one year:
WAM in years
Unsecured debt
Non-bank benchmark debt
Customer-related debt
TLAC-eligible debt
Dec. 31,
2023
Sept. 30,
2023
Dec. 31,
2022
7.5
7.0
8.6
8.6
7.4
7.1
8.2
8.7
7.6
7.4
8.1
9.0
The WAM is calculated based on the contractual maturity
of each security. For securities that are redeemable prior to
maturity where the option is not held by the issuer, the WAM
is calculated based on the earliest date an option becomes
exercisable.
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,
2023
Sept. 30,
2023
Dec. 31,
2022
$ 110.3 $ 110.3 $ 117.5
24.9
24.5
1.6
1.6
22.5
1.6
110.1
106.4
101.1
8.0
8.5
7.8
$ 254.9 $ 251.3 $ 250.5
FHLB borrowings
Securitizations(3)
Citibank benchmark senior debt
Local country and other(2)
Total bank
$
11.5 $
8.5 $
6.7
10.1
3.4
5.2
7.6
3.2
7.3
7.6
2.6
3.6
$
31.7 $
24.5 $
21.1
Total long-term debt
$ 286.6 $ 275.8 $ 271.6
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, 2023, non-bank included $92.6 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 6% year-
over-year, largely driven by issuance of customer-related debt
at the non-bank entities, as well as increased senior benchmark
debt and FHLB borrowings at the bank. The increase was
partially offset by a decline in senior benchmark debt at the
non-bank entities. Sequentially, long-term debt outstanding
also increased 4%, largely driven by an increase in customer-
related debt at the non-bank entities and increased FHLB
borrowings and benchmark senior debt at the bank.
As part of its liability management, Citi has considered,
and may continue to consider, opportunities to redeem or
repurchase its long-term debt pursuant to open market
purchases, tender offers or other means. Such redemptions and
repurchases help reduce Citi’s overall funding costs. During
2023, Citi redeemed or repurchased an aggregate of
approximately $32.0 billion of its outstanding long-term debt.
97
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
2023
2022
2021
Maturities
Issuances
Maturities
Issuances
Maturities
Issuances
$
10.2 $
— $
15.4 $
27.3 $
17.6 $
15.4
1.3
—
42.1
3.1
3.2
—
40.1
3.9
0.9
0.1
27.0
2.8
—
—
65.1
3.5
—
—
31.2
3.3
56.7 $
47.2 $
46.2 $
95.9 $
52.1 $
4.3 $
8.5 $
5.3 $
7.3 $
5.7 $
2.4
—
1.6
8.3 $
65.0 $
1.5
7.5
1.1
18.6 $
65.8 $
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 $
—
—
48.7
3.6
67.7
—
—
—
2.9
2.9
70.6
$
$
$
$
The table below details Citi’s aggregate long-term debt maturities (including repurchases and redemptions) in 2023, as well as its
aggregate expected remaining long-term debt maturities by year as of December 31, 2023:
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
2023
2024
2025
2026
2027
2028
Thereafter
Total
Maturities
$
10.2 $
5.5 $
12.0 $
24.2 $
7.1 $
15.2 $
46.3 $ 110.3
1.3
—
1.0
—
5.0
—
2.4
—
42.1
26.2
17.2
10.0
3.1
1.3
1.8
0.6
3.7
—
9.6
0.1
2.0
—
8.2
1.0
10.8
1.6
24.9
1.6
38.9
110.1
3.2
8.0
56.7 $
34.0 $
36.0 $
37.2 $
20.5 $
26.4 $
100.8 $ 254.9
4.3 $
7.0 $
4.5 $
— $ — $ — $
— $
11.5
2.4
—
1.6
1.1
2.6
1.1
3.1
2.5
0.3
—
2.5
0.7
0.8
—
—
1.0
2.5
0.2
0.7
—
1.1
6.7
10.1
3.4
8.3 $
11.8 $
10.4 $
3.2 $
0.8 $
3.7 $
1.8 $
31.7
65.0 $
45.8 $
46.4 $
40.4 $
21.3 $
30.1 $
102.6 $ 286.6
$
$
$
$
98
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.
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 2023 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 total loss-absorbing
capacity (TLAC) rule, 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) 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;
(ii) 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
that Citigroup were to enter bankruptcy proceedings (Citi
Support Agreement);
(iii) pursuant to the Citi Support Agreement:
•
•
•
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.
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.
99
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, with a smaller portion executed through
Citi’s bank entities to efficiently fund both (i) secured lending
activity and (ii) a portion of the securities inventory held in the
context of market making and customer activities. Secured
funding transactions are predominantly collateralized by
government debt securities. Generally, 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 changes in securities inventory. In order to
maintain reliable funding under a wide range of market
conditions, Citi manages risks related to its secured funding by
establishing secured funding limits and conducting daily stress
tests that account for risks related to capacity, tenor, haircut,
collateral type, counterparty and client actions.
Secured funding of $269 billion as of December 31, 2023
increased 33% year-over-year and 5% sequentially, largely
driven by additional financing to support increases in trading-
related assets within Citi’s broker-dealer subsidiaries. As of
the quarter ended December 31, 2023, on an average basis,
secured funding was $288 billion. The portion of secured
funding in the broker-dealer subsidiaries that funds secured
lending is commonly referred to as “matched book” activity
and is primarily secured by high-quality liquid securities such
as U.S. Treasury securities, U.S. agency securities and foreign
government debt securities. Other “matched book” activity 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 assets. As indicated above, the remaining
portion of secured funding is used to fund securities inventory
held in the context of market making and customer activities.
Short-Term Borrowings
Citi’s short-term borrowings of $37 billion as of the fourth
quarter of 2023 decreased 20% year-over-year, reflecting
lower commercial paper issuances at the broker-dealer
subsidiaries, 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).
100
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 presents the ratings for Citigroup and
Citibank as of December 31, 2023. 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, 2023.
Ratings as of December 31, 2023
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, 2023, 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 $0.2 billion, compared to $0.3
billion as of September 30, 2023. Other funding sources, such
as secured financing transactions and other margin
requirements, for which there are no explicit triggers, could
also be adversely affected.
101
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, 2023, 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 $0.3 billion, compared to
$0.4 billion as of September 30, 2023. 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, 2023, 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
$0.5 billion, compared to $0.7 billion as of September 30,
2023 (see also Note 20). 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, 2023, Citibank had liquidity commitments of
approximately $11.0 billion to consolidated asset-backed
commercial paper conduits, unchanged from December 31,
2022 (see Note 23).
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.
102
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 the second line of defense team
reporting to the 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 the level and/or shape of interest rate curves;
Client behavior in response to changes in interest rates
(e.g., mortgage prepayments, deposit betas); and
Changes in the maturity of instruments resulting from
changes in the interest rate environment.
103
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 the 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 value at risk (VAR). It excludes impacts from
any positions that are included in total trading and credit
portfolio VAR.
In addition to IRE, Citi analyzes economic value
sensitivity (EVS) as a longer-term interest rate risk metric.
EVS is a net present value (NPV)–based measure of the
lifetime cash flows of Citi’s Banking Book. It estimates the
interest rate sensitivity of the Banking Book’s economic value
from longer-term assets being potentially funded with shorter-
term liabilities, or vice versa. Citi manages EVS within risk
limits approved by Citigroup’s Board of Directors that are
aligned with Citi’s risk appetite.
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.
Citi uses 100 basis point (bps) shocks in each scenario to
reflect its net interest income sensitivity to unanticipated
changes in market interest rates, as potential monetary policy
decisions and changes in economic conditions may be
reflected in current market-implied forward rates. 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 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)(2)
Estimated initial impact on CET1 Capital ratio (bps) from AOCI scenario
Dec. 31, 2023
Sept. 30, 2023
Dec. 31, 2022
$
$
$
(33)
$
82
$
1,219
1,214
1,186
$
1,296
$
186
1,650
1,836
0.05 %
0.06 %
0.08 %
(829)
$
(807) $
(1,102)
(12)
(12)
(10)
(1) Excludes trading book and fair value option banking book portfolios and replaces them with the associated transfer pricing.
(2)
Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
The All other currencies of $1,219 billion as of
December 31, 2023 in the table above includes the impact
from the following top six non-U.S. dollar currencies, which
represents approximately 50% of the total non-U.S. dollar
currency impact: approximately $0.2 billion from the Japanese
yen, and approximately $0.1 billion each from the Indian
rupee, Singapore dollar, Korean won, Swiss franc and Chinese
yuan. These impacts per currency are generally in the same
direction (estimated positive impact in the +100 bps shock
scenario) and not offsetting.
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, 2023 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 $0.8 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.
104
Scenario Analysis
The following table presents the estimated impact to Citi’s net
interest income, AOCI and CET1 Capital ratio (on a fully
implemented basis) under six different scenarios of changes in
interest rates for the U.S. dollar and all other currencies in
which Citi has invested capital as of December 31, 2023. 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 interest rate scenarios are also
impacted by convexity related to mortgage products and
deposit pricing.
In millions of dollars, except as otherwise noted
Scenario 1
Scenario 2
Scenario 3
Scenario 4
Scenario 5
Scenario 6
Overnight rate change (bps)
10-year rate change (bps)
Interest rate exposure
U.S. dollar
All other currencies(1)
Total
Estimated initial impact to AOCI (after-tax)(2)
Estimated initial impact to CET1 Capital ratio (bps) from
AOCI scenario
100
100
100
—
$
$
$
(33) $
(112) $
1,219
1,186 $
1,039
927 $
(829) $
(1,157) $
—
100
109 $
183
292 $
296 $
—
(100)
(100)
—
(100)
(100)
(79) $
(180)
(343) $
(936)
(259) $
(1,279) $
(448)
(1,104)
(1,552)
(592) $
1,147 $
538
(12)
(10)
(3)
1
10
11
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. The interest rate exposure in the table above assumes no change in deposit size or mix from the baseline forecast included in the different interest scenarios
presented. As a result, in higher interest rate scenarios, customer activity resulting in a shift from non-interest-bearing and low interest rate deposit products to higher-
yielding deposits would reduce the expected benefit to net interest income. Conversely, in lower interest rate scenarios, customer activity resulting in a shift from
higher-yielding deposits to non-interest-bearing and low interest rate deposit products would reduce the expected decrease to net interest income.
(1) Scenario 1 includes the impact from the following top six non-U.S. dollar currencies, which represents approximately 50% of the total non-U.S. dollar currency
impact: approximately $0.2 billion from the Japanese yen, and approximately $0.1 billion each from the Indian rupee, Singapore dollar, Korean won, Swiss franc
and Chinese yuan. These impacts per currency are generally in the same direction (estimated positive impact in the +100 bps shock scenario) and not offsetting.
Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
(2)
As presented in the table above, the estimated impact to
Citi’s net interest income is 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
non-U.S. dollar 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 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.
105
Changes in Foreign Exchange Rates—Impacts on AOCI
and Capital
As of December 31, 2023, 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.
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)
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
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 presented in the table below. See Note 21 for
additional information on the changes in AOCI.
For the quarter ended
Dec. 31, 2023
Sept. 30, 2023
Dec. 31, 2022
3.2 %
(2.5) %
4.0 %
$
960
$
(1,314) $
1,193
0.6 %
(0.8) %
0.8 %
1
(1)
(3)
(1) FX spot rate change is a weighted average based on Citi’s quarterly average GAAP capital exposure to foreign countries.
106
Interest Income/Expense and Net Interest Margin (NIM)
In millions of dollars, except as otherwise noted
Interest income(1)
Interest expense(2)
Net interest income, taxable equivalent basis(1)
Interest income—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
2023
$ 133,359
78,358
$ 55,001
2022
$ 74,573
25,740
$ 48,833
2021
$ 50,667
7,981
$ 42,686
5.97 %
4.35
2.46
4.58 %
3.96
3.43 %
1.48
2.25
2.99 %
2.95
2.36 %
0.46
1.99
0.27 %
1.45
10-year vs. two-year spread
(62)
bps
(4) bps
118
bps
Change
2023 vs. 2022
Change
2022 vs. 2021
79 %
204
13 %
254
287
bps
bps
21
bps
159
101
bps
bps
47 %
223
14 %
107
102
26
272
150
bps
bps
bps
bps
bps
(1)
(2)
Interest income and Net interest income include the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged
loan programs of $101 million, $165 million and $192 million for 2023, 2022 and 2021, 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 income 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.
107
Non-Markets Net Interest Income
In millions of dollars
Net interest income—taxable equivalent basis(1) per above
Markets net interest income—taxable equivalent basis(1)
Non-Markets net interest income—taxable equivalent basis(1)
2023
2022
2021
$
$
55,001
$
48,833
$
7,267
5,828
47,734
$
43,005
$
42,686
6,153
36,533
(1)
Interest income and Net interest income include the taxable equivalent adjustments discussed in the table above.
Citi’s net interest income in the fourth quarter of 2023 was
$13.8 billion, on both a reported and taxable equivalent basis,
an increase of $0.6 billion versus the prior year, primarily
driven by Markets (up approximately $0.4 billion) and non-
Markets (up approximately $0.1 billion). The increase in
Markets net interest income was primarily driven by Fixed
Income. The increase in non-Markets primarily reflected
higher interest rates and growth in U.S. cards interest-earning
balances, partially offset by a reduction from the exited
markets and continued wind-downs in All Other—Legacy
Franchises. Citi’s net interest margin was 2.46% on a taxable
equivalent basis in the fourth quarter of 2023, a decrease of
three basis points from the prior quarter, largely driven by
higher deposit costs, partially offset by higher Markets net
interest margin.
Citi’s net interest income for 2023 increased 13%, or
approximately $6.2 billion, to $54.9 billion ($55.0 billion on a
taxable equivalent basis) versus the prior year. The increase
was primarily due to an increase in non-Markets net interest
income, largely reflecting higher interest rates and higher loan
balances in USPB. In 2023, Citi’s net interest margin
increased to 2.46% on a taxable equivalent basis, compared to
2.25% in 2022, primarily driven by higher interest rates and a
mix-shift in balances.
108
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109
Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3)
Taxable Equivalent Basis
In millions of dollars, except rates
2023
2022
2021
2023
2022
2021
2023
2022
2021
Average balance
Interest income
% 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
$
287,518 $
262,504 $
298,319 $ 11,238 $ 4,515 $
577
3.91 % 1.72 %
0.19 %
$
171,307 $
188,672 $
172,716 $ 13,194 $ 3,933 $
189,548
164,675
149,944 13,693
3,221
385
667
7.70 % 2.08 %
0.22 %
7.22
1.96
0.44
$
360,855 $
353,347 $
322,660 $ 26,887 $ 7,154 $ 1,052
7.45 % 2.02 %
0.33 %
$
187,318 $
142,146 $
140,215 $ 8,808 $ 4,005 $ 2,653
4.70 % 2.82 %
1.89 %
144,684
132,046
151,722
5,652
3,422
2,718
3.91
2.59
1.79
$
332,002 $
274,192 $
291,937 $ 14,460 $ 7,427 $ 5,371
4.36 % 2.71 %
1.84 %
$
335,975 $
355,012 $
322,884 $ 8,903 $ 5,642 $ 3,547
2.65 % 1.59 %
1.10 %
Exempt from U.S. income tax
11,502
11,742
12,296
454
424
437
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
3.95
5.44
3.61
3.45
3.55
2.29
164,923
150,968
152,940
8,978
5,210
3,498
$
512,400 $
517,722 $
488,120 $ 18,335 $ 11,276 $ 7,482
3.58 % 2.18 %
1.53 %
$
293,476 $
268,910 $
253,184 $ 30,127 $ 23,127 $ 19,810
10.27 % 8.60 %
7.82 %
78,420
86,497
121,794
6,737
5,264
6,598
8.59
6.09
5.42
$
371,896 $
355,407 $
374,978 $ 36,864 $ 28,391 $ 26,408
9.91 % 7.99 %
7.04 %
$
136,065 $
139,906 $
132,957 $ 7,561 $ 5,417 $ 4,213
5.56 % 3.87 %
3.17 %
153,111
158,008
160,101 13,507
7,528
4,911
8.82
4.76
3.07
$
289,176 $
297,914 $
293,058 $ 21,068 $ 12,945 $ 9,124
7.29 % 4.35 %
3.11 %
$
429,541 $
408,816 $
386,141 $ 37,688 $ 28,544 $ 24,023
8.77 % 6.98 %
6.22 %
231,531
244,505
281,895 20,244 12,792 11,509
8.74
5.23
4.08
$
$
661,072 $
653,321 $
668,036 $ 57,932 $ 41,336 $ 35,532
8.76 % 6.33 %
5.32 %
81,431 $
112,549 $
75,876 $ 4,507 $ 2,865 $
653
5.53 % 2.55 %
0.86 %
$ 2,235,278 $ 2,173,635 $ 2,144,948 $ 133,359 $ 74,573 $ 50,667
5.97 % 3.43 %
2.36 %
$
206,955 $
222,388 $
202,761
$ 2,442,233 $ 2,396,023 $ 2,347,709
(1)
Interest income and Net interest income include the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged
loan programs of $101 million, $165 million and $192 million for 2023, 2022 and 2021, 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 Services, Markets and Banking is reported as a reduction of Interest income. Interest income 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.
110
Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Income(1)(2)(3)
Taxable Equivalent Basis
In millions of dollars, except rates
2023
2022
2021
2023
2022
2021
2023
2022
2021
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
$
594,588 $
572,394 $
532,466 $ 20,602 $ 5,986 $ 1,084
3.46 % 1.05 %
0.20 %
536,749
516,329
557,207 15,698
5,573
1,812
2.92
1.08
0.33
$ 1,131,337 $ 1,088,723 $ 1,089,673 $ 36,300 $ 11,559 $ 2,896
3.21 % 1.06 %
0.27 %
$
168,319 $
112,771 $
136,955 $ 13,152 $ 2,816 $
93,962
94,936
93,744
8,287
1,639
676
336
7.81 % 2.50 %
0.49 %
8.82
1.73
0.36
$
262,281 $
207,707 $
230,699 $ 21,439 $ 4,455 $ 1,012
8.17 % 2.14 %
0.44 %
$
47,394 $
52,166 $
47,871 $ 1,806 $
697 $
71,476
70,102
67,739
1,621
740
$
118,870 $
122,268 $
115,610 $ 3,427 $ 1,437 $
109
373
482
3.81 % 1.34 %
0.23 %
2.27
1.06
0.55
2.88 % 1.18 %
0.42 %
$
90,000 $
95,054 $
69,683 $ 6,661 $ 2,161 $
(27)
7.40 % 2.27 % (0.04) %
36,061
55,133
26,133
777
327
$
126,061 $
150,187 $
95,816 $ 7,438 $ 2,488 $
148
121
2.15
0.59
0.57
5.90 % 1.66 %
0.13 %
$
161,650 $
166,063 $
186,522 $ 9,544 $ 5,625 $ 3,384
5.90 % 3.39 %
1.81 %
2,524
3,592
4,282
210
176
86
8.32
4.90
2.01
$
164,174 $
169,655 $
190,804 $ 9,754 $ 5,801 $ 3,470
5.94 % 3.42 %
1.82 %
Total interest-bearing liabilities
$ 1,802,723 $ 1,738,540 $ 1,722,602 $ 78,358 $ 25,740 $ 7,981
4.35 % 1.48 %
0.46 %
Demand deposits in U.S. offices
$
111,581 $
135,725 $
98,414
Other non-interest-bearing
liabilities(7)
Total liabilities
320,042
322,151
324,643
$ 2,234,346 $ 2,196,416 $ 2,145,659
Citigroup stockholders’ equity
$
207,207 $
199,088 $
201,360
Noncontrolling interests
680
519
690
Total equity
$
207,887 $
199,607 $
202,050
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
$ 2,442,233 $ 2,396,023 $ 2,347,709
$ 1,314,455 $ 1,272,222 $ 1,244,182 $ 27,222 $ 28,802 $ 26,404
2.07 % 2.26 %
2.12 %
920,823
901,412
900,766 27,779 20,031 16,282
3.02
2.22
1.81
$ 2,235,278 $ 2,173,634 $ 2,144,948 $ 55,001 $ 48,833 $ 42,686
2.46 % 2.25 %
1.99 %
Interest income 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 Services, Markets and Banking is reported as a reduction of Interest income. Interest income and Interest
expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
111
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 income
2023 vs. 2022
Increase (decrease)
due to change in:
2022 vs. 2021
Increase (decrease)
due to change in:
Average
balance
Average
rate
Net
change
Average
balance
Average
rate
Net
change
$
468 $ 6,255 $ 6,723 $
(77) $ 4,015 $ 3,938
$
(394) $ 9,655 $ 9,261 $
39 $ 3,509 $ 3,548
556
9,916 10,472
72
2,482
2,554
$
162 $ 19,571 $ 19,733 $
111 $ 5,991 $ 6,102
$ 1,547 $ 3,256 $ 4,803 $
37 $ 1,315 $ 1,352
354
1,876
2,230
(388)
1,092
704
$ 1,901 $ 5,132 $ 7,033 $
(351) $ 2,407 $ 2,056
$
(334) $ 3,625 $ 3,291 $
404 $ 1,678 $ 2,082
520
3,248
3,768
(46)
1,758
1,712
$
186 $ 6,873 $ 7,059 $
358 $ 3,436 $ 3,794
$ 2,244 $ 4,756 $ 7,000 $ 1,277 $ 2,040 $ 3,317
(529)
2,002
1,473
(2,078)
744
(1,334)
$ 1,715 $ 6,758 $ 8,473 $
(801) $ 2,784 $ 1,983
$
(153) $ 2,297 $ 2,144 $
230 $
974 $ 1,204
(240)
6,219
5,979
(65)
2,682
2,617
$
(393) $ 8,516 $ 8,123 $
165 $ 3,656 $ 3,821
$ 2,091 $ 7,053 $ 9,144 $ 1,507 $ 3,014 $ 4,521
(769)
8,221
7,452
(2,143)
3,426
1,283
$ 1,322 $ 15,274 $ 16,596 $
(636) $ 6,440 $ 5,804
$
(969) $ 2,611 $ 1,642 $
438 $ 1,774 $ 2,212
$ 3,070 $ 55,716 $ 58,786 $
(157) $ 24,063 $ 23,906
Interest income 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 Services, Markets and Banking is reported as a reduction of Interest income. Interest income 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)
112
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
2023 vs. 2022
Increase (decrease)
due to change in:
2022 vs. 2021
Increase (decrease)
due to change in:
Average
balance
Average
rate
Net
change
Average
balance
Average
rate
Net
change
$
241 $ 14,375 $ 14,616 $
87 $ 4,815 $ 4,902
229
9,896 10,125
(142)
3,903
3,761
$
470 $ 24,271 $ 24,741 $
(55) $ 8,718 $ 8,663
$ 1,942 $ 8,394 $ 10,336 $
(140) $ 2,280 $ 2,140
(17)
6,665
6,648
4
1,299
1,303
$ 1,925 $ 15,059 $ 16,984 $
(136) $ 3,579 $ 3,443
$
$
(69) $ 1,178 $ 1,109 $
11 $
577 $
15
866
881
13
354
(54) $ 2,044 $ 1,990 $
24 $
931 $
588
367
955
$
(121) $ 4,621 $ 4,500 $
(6) $ 2,194 $ 2,188
(148)
598
450
172
7
179
$
(269) $ 5,219 $ 4,950 $
166 $ 2,201 $ 2,367
$
(153) $ 4,072 $ 3,919 $
(407) $ 2,648 $ 2,241
(63)
97
34
(16)
106
90
$
(216) $ 4,169 $ 3,953 $
(423) $ 2,754 $ 2,331
$ 1,856 $ 50,762 $ 52,618 $
(424) $ 18,183 $ 17,759
$ 1,215 $ 4,953 $ 6,168 $
267 $ 5,880 $ 6,147
Interest income 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 Services, Markets and Banking is reported as a reduction of Interest income. Interest income and Interest
expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
Includes Brokerage payables.
(5)
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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.
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. These controls enable the monitoring and
management of Citi’s top market risks.
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 presented in the chart below, positive
trading-related revenue was achieved for 94.6% of the trading
days in 2023.
Daily Trading-Related Revenue (Loss)(1)—12 Months Ended December 31, 2023
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 14 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 30% 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 $12 million from 2022 to 2023, mainly due to
increased market volatility. Citi’s average trading and credit
portfolio VAR decreased $6 million from 2022 to 2023.
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,
2023
2023
Average
December 31,
2022
2022
Average
$
$
$
$
$
$
$
121 $
119 $
59
(47)
133 $
134
38
19
(132)
69
(50)
138 $
33
26
31
(93)
130 $
78
(45)
163 $
20
27
32
100
74
(49)
125
31
27
41
(94)
(101)
192 $
135 $
148 $
123
(6) $
198 $
10 $
202 $
(7) $
142 $
13 $
148 $
(4) $
152 $
30 $
178 $
(2)
125
31
154
(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 with the exception of hedges of 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, all
associated CVA hedges and market sensitivity FVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges of the loan portfolio, fair
value option loans and hedges of the leveraged finance pipeline within capital markets origination.
115
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
2023
2022
Low
High
Low
High
$
$
$
85 $
54
105 $
12
3
17
99 $
111
186 $
88
211 $
134
88
47
214 $
225
45 $
59
72 $
12
12
27
78 $
110
165
108
183
98
44
104
168
226
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 Markets,
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, 2023
Total—all market risk factors, including
general and specific risk
Average—during year
High—during year
Low—during year
$
$
191
132
211
96
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 and total
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 because certain
positions included in Risk Management VAR are not eligible
116
for market risk treatment in Regulatory VAR. The
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 presents the daily buy-and-hold
profit and loss associated with Citi’s covered positions
compared to Citi’s one-day Regulatory VAR during 2023.
During 2023, three back-testing exceptions were observed at
the Citigroup level.
The difference between the 47.7% of days with buy-and-
hold gains for Regulatory VAR back-testing and the 94.6% of
days with trading, net interest and other revenue associated
with Citi’s trading businesses, presented 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)(2)—12 Months Ended December 31, 2023
In millions of dollars
(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.
(2) The loss values for mid-August and mid-December 2023 were driven by the devaluation of the Argentine peso.
117
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, as well as enable the monitoring and
managing of Citi’s top market risks.
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.
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).
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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.
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 are focused at the group,
business or function, or geography level. BRCCs provide
channels to inform senior management about operational risk
exposures, control issues and operational risk events, and
allow them to take and document decisions around the
mitigation, remediation or acceptance of operational risk
exposures.
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 Risks” 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 (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, ongoing and
emerging geopolitical conflicts, and the use of new
technologies, including those enabled by artificial intelligence
and machine learning capabilities, to conduct financial
transactions, Citi and its clients, customers and third parties
(and fourth parties, etc.) continue to be at risk from
cyberattacks and information security incidents. Citi leverages
a threat-focused, defense-in-depth strategy that ensures that
multiple controls work in tandem against various threats to
increase the likelihood that malicious activity will be
prevented, detected and mitigated.
annually by Citi’s Risk Committee, chaired by Citi’s Chief
Risk Officer. Citi’s Cybersecurity Risk Appetite Statement
leverages key risk indicators to establish enterprise risk
tolerance and define risk management strategy with respect to
cyber and information security. Further, Citi actively
participates in financial industry, government and cross-sector
knowledge-sharing groups to enhance individual and
collective cybersecurity preparedness and resilience.
Cybersecurity Risk Management and Governance
Citi’s technology and cybersecurity risk management program
is built on Citi’s three lines of defense, each of which is
integrated into Citi’s overall risk management systems and
processes.
Citi’s Chief Information Security Office, which is led by
Citi’s Chief Information Security Officer (CISO), serves as the
first line of defense. This office provides frontline business,
operational and technical controls and capabilities to (1)
protect against cybersecurity risks, and (2) respond to cyber
incidents and data breaches. Citi manages cybersecurity
threats through its state-of-the-art fusion centers, which serve
as central commands for monitoring and coordinating
responses to cyber threats.
Citi’s Chief Information Security Office is responsible for
application and infrastructure defense and security controls,
performing vulnerability assessments and third-party
information security assessments (including cybersecurity risk
assessments associated with Citi’s use of products and services
from vendors and other third-party providers), employee
awareness and training programs and security incident
management. In each case, the enterprise information security
team works in coordination with a network of information
security officers who are embedded within Citi’s global
businesses and functions, consistent with Citi’s philosophy
that all Citi stakeholders have a responsibility in managing
cyber and information security risks.
Citi has a mature cybersecurity threat identification and
Citi’s Technology and Cyber Compliance and Operational
management program that relies on an industry-aligned
defense-in-depth approach, including an internal cybersecurity
intelligence center, participation in industry and government
information-sharing programs, vulnerability assessment and
scanning tools, intrusion detection and prevention systems,
security incident and event management systems, firewalls,
penetration testing, adversary emulation exercises, data
management (including classification, encryption at rest and in
transit, and access management), multi-factor authentication
requirements and other logical, physical and technical controls
designed to prevent, deter, mitigate and respond to
cybersecurity threats.
Citi’s cyber and information security program is
supported by comprehensive governance, including policies,
standards and procedures that dictate requirements and best
practices around various topics, including, but not limited to,
third-party risk management, data management, asset
management, information security practices, security incident
management, and regulatory and disclosure compliance. Citi’s
Chief Information Security Office’s risks and controls are
measured against its Cybersecurity Risk Appetite Statement,
which was initially approved by the Risk Management
Committee of the Board of Directors and is reapproved
Risk Office (TCCORO) serves as the second line of defense.
This office independently evaluates and challenges Citi’s risk
mitigation practices and capabilities, from a fused operational
risk and compliance lens. It functions as a joint second line of
defense and in accordance with Citi’s Cybersecurity Risk
Appetite Statement. TCCORO also advises first line partners
in CISO, supporting enterprise-wide efforts to proactively
identify and remediate cybersecurity risks before they
materialize as incidents that negatively affect business
operations.
To address evolving cybersecurity risks and
corresponding regulations, TCCORO monitors cybersecurity
legal and regulatory requirements, identifies and defines
emerging risks, executes strategic cybersecurity threat
assessments, performs new product and initiative reviews,
performs data management risk oversight and conducts
cybersecurity risk assurance reviews (inclusive of third-party
assessments). In addition, this office oversees and challenges
metrics related to cybersecurity and technology and ensures
they remain aligned with Citi’s overall operational risk
management framework to effectively track, identify and
manage risk. TCCORO presents an independent viewpoint on
enterprise cybersecurity risk posture, and oversees CISO’s
119
cybersecurity risk identification, measurement and enterprise-
wide governance of cybersecurity risk.
Internal Audit serves as Citi’s third line of defense and
provides independent assurance to the Audit Committee of the
Board on the effectiveness of controls operated by the first and
second lines of defense to manage cybersecurity risk.
Citi recognizes the risks associated with outsourcing
services to, sharing data with, and/or technologically
interacting with third parties. Citi has built a robust third-party
information security risk management program that governs
third-party engagements from selection, to the establishment
of legal agreements that govern the relationship, to ongoing
monitoring through the duration of the relationship. Third-
party risk management includes contractual requirements
around data and cybersecurity, vulnerability assessments,
third-party information security assessments performed at
intervals determined by risk, governance to manage end-of-life
and end-of-vendor-support risks, and third-party incident
response protocols.
Management Governance
Citi’s Head of Operations and Technology (O&T), who
reports directly to Citi’s CEO, has overall responsibility for
Citi’s first line of defense cyber and information security and
technology programs. Citi’s Head of O&T has over 40 years
of experience in financial services and technology focused
roles, including prior positions at Citi as a regional Chief
Information Officer, Head of Technology for Citi’s former
Institutional Clients Group and Head of Securities and
Banking Operations and Technology. For additional
information, see “Corporate Information—Executive Officers”
below.
Citi’s CISO, who reports directly to Citi’s Head of O&T,
has primary responsibility to assess and manage Citi’s material
risks from cybersecurity threats. Citi’s CISO has decades of
experience in managing cybersecurity risks from prior roles as
Deutsche Bank’s Chief Security Officer, the Chief Information
Officer for the Central Intelligence Agency and the Chief
Information Officer for the U.S. Intelligence Community. The
CISO is supported by a team of subject matter experts in
security operations, network architecture, cyber and
information security governance and cybersecurity operations.
Citi’s Chief Information Security Office employs
approximately 3,400 individuals to manage its operations.
Citi’s Chief Technology Officer (CTO), who also reports
directly to Citi’s Head of O&T, has primary responsibility for
technology policy, innovation enablement and strategy. Citi’s
CTO has decades of subject matter experience in financial
services and technology from previously leading the
Engineering and Architecture Services group at J.P. Morgan
Chase, and serving as the Chief Technology Officer at
Deutsche Bank and the Chief Information Officer for Sales,
Research and Securities Data Services at Goldman Sachs.
Multiple management committees and functions also
support Citi’s cyber and information security management.
Citi’s Information Security Risk Committee (ISRC)
governs enterprise-level risk tolerance, including cybersecurity
risk. This committee serves as the most senior cyber and
information security forum within Citi and is supported by
other committees/forums described below. The committee is
120
co-chaired by Citi’s Chief Risk Officer and Head of O&T and
meets at least quarterly. In addition, the committee oversees
risk tolerance determinations, reviews emerging threats and
their business impacts, commits to appropriate resource levels
and investments and supports the continual improvement of
the cyber and information security management programs
across all of Citi’s businesses and geographies.
The Chief Information Officer Committee (CIOC), which
consists of, among others, the Head of O&T, Citi’s Co-Chief
Information Officers (who report to the Head of O&T), the
CISO, and the Head of TCCORO (who reports both to Citi’s
Head of Operational Risk within the Risk Organization and its
Head of Global Functions Compliance within the Global Legal
and Compliance Organization), serves as an escalation forum
for items requiring the attention of technology senior
management, including approval of policies, and reports items
requiring further escalation to the Technology Committee of
the Board of Directors, as appropriate.
The Information Security Risk Operating Committee
(ISROC) is chaired by the CISO and comprises senior
members of the Chief Information Security Office and
representatives from partner organizations. This committee
sets the direction and prioritization for the implementation of
the cyber and information security program across Citi. The
committee reports and escalates to the CIOC, including for
intermediary review and approval of policies escalated from
the Information Technology Policy Council (see below). Any
actions constituting risk exceptions are escalated to the ISRC.
The Security Architecture Council, which reports to the
ISROC, is an oversight and decision-making body focused on
ensuring that the target level of security architectural maturity
is attained. This council is co-chaired by two representatives
from the security architecture and cybersecurity services
organizations.
Citi’s Information Technology Policy Council provides a
centralized review to oversee consistency in the formation of
information technology policies and standards. This counsel
maintains oversight of policy document requirements to
ensure that information technology policy documents meet
Citi’s objectives as established internally and are in line with
laws and regulations as identified and communicated by
ICRM.
In addition, Citi regularly engages third parties globally to
assess, audit and/or exercise Citi’s cyber and information
security program, which is ISO-27001 certified. ISO-27001 is
an international standard for information security management
systems. Citi is regulated by bodies across the globe that also
regularly examine and audit Citi’s cyber and information
security program against local laws, regulations and industry
best practices.
Board Governance
Citi’s Board of Directors and its committees provide oversight
of senior management’s efforts to mitigate cybersecurity risk
and respond to cybersecurity incidents. Citi’s Board includes
members with cybersecurity expertise and experience.
Citi’s full Board is briefed annually on cybersecurity risks
and receives updates as needed on Citi’s cyber and
information security program, including changes to the threat
landscape and a roadmap for progress around addressing
related risks. Additionally, Citi’s Board participates in
cybersecurity exercises to improve preparedness to address
cybersecurity incidents.
The Board’s Technology Committee receives quarterly
updates from the Chief Information Security Office on the
cybersecurity threat landscape, regulatory landscape, posture,
and strategy and engages in discussions throughout the year
with senior management and subject matter experts on the
effectiveness of Citi’s overall cybersecurity program.
The Board’s Risk Management Committee (RMC)
approved a standalone Cybersecurity Risk Appetite Statement
against which Citi’s performance is measured quarterly. In
addition, the RMC oversees Citi’s risk profile, which includes
cybersecurity risk, and monitors whether Citi is operating
within its cybersecurity risk appetite under its mandate to
review key operational risks, including steps taken by
management to control such risks.
In the event of a potentially material cybersecurity
incident impacting Citi, the Board would be made aware of
such incident via lines of communication that run from the
Chief Information Security Office to senior management and
also to the Board. This contemporaneous reporting on
significant cyber events includes information and discussion
around incident response, legal obligations (including
disclosure), and outreach and notification to regulators and
customers when needed.
For additional information on the Board’s oversight of
cybersecurity risk management, see Citi’s upcoming 2024
Annual Meeting Proxy Statement to be filed with the SEC in
March 2024.
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;
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
(see “Citi’s Consent Order Compliance” above).
121
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 escalate potential material
reputation risks that require review or mitigation through the
applicable business Management Forum or Group Reputation
Risk Committee.
The Group Reputation Risk Committee and Management
Forums, which are composed of Citi’s senior executives,
govern the process by which material reputation risks are
identified, measured, monitored, controlled, escalated and
reported. The Group Reputation Risk Committee and
Management Forums 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 Group 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.
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 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 conditions, geopolitical/
political landscape, industry/competitive landscape, customer/
client behavior, regulatory/legislative environment and trends
related to investors/shareholders. Material strategic risks that
Citi is monitoring include the impacts of an extended period of
high inflation and interest rates, as well as macroeconomic
uncertainties driven by low global growth and geopolitical
issues including the Middle East conflict, the Russia–Ukraine
war and U.S.–China tensions. Heightened regulatory
requirements, specifically with regard to capital as well as
climate-related transition risk, remain in focus. In addition to
external factors affecting Citi’s operating environment, Citi
also monitors risks related to the execution of its strategy, with
heightened focus on delivering the transformation of its risk
and control environment pursuant to the FRB and OCC
consent orders.
122
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.
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 its Global Strategic
Risk Committee, which is 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.
Climate risk is an overarching risk that can act as a driver
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 or failing
to finance high-carbon industries and operational risk from
physical risks to Citi’s facilities. Citi’s focus on climate risk
continues to advance, driven by materiality of strategic,
reputation 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 continues to develop globally consistent principles
and approaches for managing climate risk across the Company
through the implementation of its Climate Risk Management
Framework (Climate RMF). The Climate RMF provides
information on the governance, roles and responsibilities, and
principles to support the identification, measurement,
monitoring, controlling and reporting of climate risks.
Through this implementation, climate risk is being embedded
into relevant policies and processes over time.
Citi continues to enhance its methodologies for
quantifying how climate risks could impact the individual
credit profiles of its clients across various sectors. Citi has
developed and embedded sector-specific climate risk
assessments in its credit underwriting process for certain
sectors that Citi has identified as higher climate risk. Such
climate risk assessments are designed to incorporate publicly
available client disclosures and data from third-party providers
and facilitate conversations with clients on their most material
climate risks and management plans for adaptation and
mitigation. This helps Citi better understand its clients’
businesses and climate-related risks and support their financial
needs. Citi’s Net Zero plan implementation is leading to the
further integration of climate risk discussions into client
engagement and client selection.
Citi also 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 certain sectors. Considering the credit
risk of stranded assets, as well as the reputational risks, Citi’s
ESRM Policy describes sector approaches to certain high-
carbon sectors, including thermal coal mining and power.
Furthermore, Citi continues to participate in financial
industry initiatives and develop and pilot methodologies and
approaches for measuring and assessing the potential financial
risks of climate change, including scenario analysis. Citi also
continues to monitor regulatory developments on climate risk
and sustainable finance and actively engage with regulators on
these topics.
For additional information about sustainability and other
ESG matters at Citi, see “Climate Change and Net Zero”
above.
OTHER RISKS
LIBOR Transition Risk
As previously disclosed, the USD LIBOR bank panel ended
on June 30, 2023. The overnight and 12-month USD LIBOR
settings have permanently ceased, and the Financial Conduct
Authority is requiring ICE Benchmark Administration to
continue publishing one-, three- and six-month USD LIBOR
settings using a synthetic methodology, which is based on the
relevant CME Term SOFR Reference Rate plus the respective
ISDA fixed spread adjustment. These synthetic settings are
expected to cease on September 30, 2024. As previously
disclosed, as of June 30, 2023, Citi transitioned nearly all of its
USD LIBOR-referencing contracts to SOFR plus a credit
spread adjustment. There remain a de minimis number of
unremediated USD LIBOR-referencing contracts that are
temporarily utilizing synthetic LIBOR, and Citi is continuing
to focus on remediating these remaining contracts.
123
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, 2023.
(Including the U.S., Citi’s top 25 exposures by country would
represent approximately 99% of Citi’s exposure to all
countries as of December 31, 2023.)
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 39% of corporate
loans presented in the table below are to U.K. domiciled
entities (42% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 90% of the total U.K. funded loans and 88% of
the total U.K. unfunded commitments were investment grade
as of December 31, 2023.
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.
Services,
Markets
and
Banking
loans
Wealth
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
4Q23
Total
as of
3Q23
Total
as of
4Q22
Total
as a %
of Citi
as of
4Q23
$ 38.8 $ 5.2 $
— $
— $
1.5 $
39.1 $
15.5 $
(5.3) $
6.7 $
3.3 $ 104.8 $ 97.2 $ 88.5
5.9 %
In billions of
dollars
United
Kingdom
Mexico
Ireland
9.9
0.1
27.1
15.6 —
Hong Kong
8.8 19.4
Singapore
10.0 18.6
Brazil
India
Germany
China
13.7 —
6.9 —
0.4 —
5.7 —
South Korea
3.1 —
United Arab
Emirates
Poland
Australia
Japan
Canada
Jersey
Malaysia
Czech
Republic
7.6
1.5
3.1 —
8.4
0.4
1.7 —
1.5
1.5
2.0
2.7
1.2 —
0.7 —
Luxembourg
—
0.9
Indonesia
Taiwan
2.1 —
3.6 —
South Africa
1.4 —
Philippines
0.6 —
Italy
Thailand
0.9 —
1.1 —
—
—
—
—
—
—
0.4
5.4
—
1.5
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
0.3
0.3
0.2
0.4
0.1
0.6
— —
0.3
—
0.6
0.1
—
0.2
— —
—
0.1
— —
—
0.1
— —
—
0.1
— —
— —
— —
— —
— —
—
0.1
— —
— —
8.8
35.3
4.5
7.4
3.1
3.6
7.3
1.3
1.5
4.3
3.3
5.7
3.8
6.1
6.7
0.8
0.8
—
0.5
0.5
0.7
0.2
2.2
0.4
6.2
0.1
1.6
1.1
8.1
1.4
5.9
0.7
0.7
0.4
1.1
0.5
3.6
1.4
0.1
0.1
2.9
0.5
0.5
0.3
0.1
1.6
1.8
—
(3.5)
(0.2)
(0.6)
(0.6)
(1.1)
(0.6)
(4.1)
(1.4)
(0.7)
(0.3)
(0.2)
(1.2)
(1.9)
(2.2)
(0.1)
(0.1)
(0.1)
(0.4)
(0.1)
(0.2)
(0.2)
(0.3)
(1.9)
—
22.0
1.5 72.4 69.2 61.2
4.0
—
0.6 51.7 49.0 47.4
2.9
9.8
5.8
6.6
9.3
8.2
8.0
7.8
0.5 44.2 44.2 48.3
2.5
1.0 43.7 42.3 45.2
2.4
2.8 33.3 32.8 28.7
1.9
1.2 22.4 22.3 25.3
1.3
3.8 21.5 17.4 22.6
1.2
3.3 18.9 18.6 20.7
1.1
0.5 18.4 20.9 23.7
1.0
3.7
(0.1) 17.3 16.4 17.4
1.0
6.2
0.6
4.6
3.2
0.1 15.1 13.0 15.6
0.8
0.5 15.0 16.5 14.4
0.8
2.6 14.4 15.9 19.0
0.8
2.7 14.3 16.5 15.2
0.8
0.2 — 11.6 12.1 15.9
0.6
3.1
0.1
5.3
5.3
5.4
0.3
0.9 —
5.2
4.5
4.0
0.3
4.0
1.4
0.1
5.1
4.9
4.7
0.3
0.1
4.5
6.1
5.9
0.3
0.2 —
4.4
5.4 13.8
0.2
2.4 —
4.4
4.6
4.4
0.2
2.1 —
4.3
5.2
5.0
0.2
—
1.0
4.0
3.5
2.4
0.2
2.1
0.1
3.7
3.4
4.2
0.2
Total as a % of Citi’s total exposure
Total as a % of Citi’s non-U.S. total exposure
31.2 %
91.7 %
(1) Wealth loans reflect funded loans, including those related to the Private Bank, net of unearned income. As of December 31, 2023, Private Bank loans in the table
above totaled $19.3 billion, concentrated in Singapore ($5.4 billion), the U.K. ($5.2 billion) and Hong Kong ($3.8 billion).
(2) Other funded includes other direct exposures such as accounts receivable and investments accounted for under the equity method.
(3) Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.
(4) Net mark-to-market (MTM) counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are net of collateral and
inclusive of CVA. Also includes margin loans.
124
Investment securities include debt securities AFS, recorded at fair market value, and debt securities HTM, recorded at amortized cost.
(5)
(6) Trading account assets are 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, 2023, September 30, 2023 and December 31, 2022 include All Other—Legacy Franchises loans reclassified to HFS as a result of Citi’s agreement
to sell its consumer banking business in each applicable country. See “All Other—Legacy Franchises” above and Note 2.
Russia
Overview
In Russia, Citi’s remaining operations are conducted through
Services, Markets, Banking and All Other—Legacy
Franchises. Citi continues to monitor the war in Ukraine,
related sanctions and economic conditions and continues to
mitigate its Russia exposures and risks as appropriate.
As part of previously disclosed plans, Citi ended nearly
all of the institutional banking services it offered in Russia,
with the remaining services only those necessary to fulfill its
remaining legal and regulatory obligations. In addition, Citi
significantly reduced its All Other—Legacy Franchises
consumer loan portfolio in Russia (reported as part of Asia
Consumer), largely due to loan portfolio sales and its entry
into a credit card referral agreement with a Russian bank.
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 on
Citi’s wind-down of its Russia operations, 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 Risks,”
“—Operational Risks” and “—Other Risks” above.
Impact of Russia’s Invasion of Ukraine on Citi’s Businesses
Russia-related Balance Sheet Exposures
Citi’s remaining 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)
Deposit Insurance Agency(5)
National Settlements Depository(5)
Total third-party exposure(6)
Additional exposures to Russian counterparties that are not held by
the Russian subsidiary
Total Russia exposure(7)
December 31,
2023
September 30,
2023
December 31,
2022
Change 4Q23
vs. 3Q23
$
0.1 $
0.2 $
0.6 $
(0.1)
0.4
1.4
—
—
—
1.9 $
0.7
3.9
—
6.5 $
0.1
6.6 $
0.4
1.2
(0.1)
—
—
1.7 $
0.6
3.5
—
5.8 $
0.1
5.9 $
1.1
1.4
(0.1)
0.1
—
3.1 $
2.4
—
1.8
7.3 $
0.2
7.5 $
$
$
$
—
0.2
0.1
—
—
0.2
0.1
0.4
—
0.7
—
0.7
Investment securities include debt securities AFS, recorded at fair market value, primarily local government debt securities.
(1)
(2) Reverse repurchase agreements are gross of collateral and are included in net MTM on derivatives/repos in the table above, as netting of collateral for Russia-
related reverse repurchase agreements was removed in the second quarter of 2022. 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.
(3) Unfunded exposure consists of unfunded corporate lending commitments, letters of credit and other contingencies.
(4) Cash on deposit and placements are primarily with the Central Bank of Russia and foreign financial institutions.
(5) Represents dividends received by Citi in its role as custodian for investor clients in Russia, which Citi is required by local regulation to hold at the Deposit
Insurance Agency (DIA). Citi is unable to remit these funds to clients due to restrictions imposed by the Russian government. In accordance with a Central Bank
of Russia regulatory requirement, all balances in the National Settlements Depository were transferred to the DIA in the second quarter of 2023.
(6) The majority of AO Citibank’s third-party exposures was funded with the dividends under footnote 5 and 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 only upon either the substantial liquidation or a loss of control of AO Citibank. Citi has separately
described these risks in “Deconsolidation Risk” below.
125
During the fourth quarter of 2023, Citi’s Russia-related
exposures increased by $0.7 billion, as presented in the table
above. The increase in exposure was driven by a $0.4 billion
appreciation of the ruble against the U.S. dollar (USD) as well
as dividend inflows during the quarter, received from Russian
corporations on behalf of Citi’s clients. The dividend inflows
were partially offset by deposit outflows and tax payments to
local authorities. Approximately 71% of Citi’s remaining
exposures in Russia are corporate dividends that Citi cannot
remit to its clients due to restrictions imposed by the Russian
government, of which $3.9 billion is held with the Deposit
Insurance Agency as of December 31, 2023.
Citi’s net investment in Russia was approximately $0.2
billion as of December 31, 2023 (down from $1.0 billion as of
September 30, 2023). The decline was due to a reserve build
related to increases in transfer risk associated with exposures
in Russia driven by safety and soundness considerations under
U.S. banking law (see “Significant Accounting Policies and
Significant Estimates” below).
Citi hedges its ruble/USD spot FX exposure in AOCI
through the purchase of FX derivatives. The ongoing mark-to-
market of the hedging derivatives is also reported in AOCI.
When the ruble depreciates against the USD, the USD
equivalent value of Citigroup’s investment in AO Citibank
also declines. This change in value is offset by the change in
value of the hedging instrument (FX derivative). Going
forward, Citi may record devaluations on its net ruble-
denominated assets in earnings, without the benefit from a
change in the fair value of derivative positions used to
economically hedge the exposures.
Earnings and Other Impacts on Citi’s Businesses
Services, Markets, Banking, USPB and All Other results 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, 2023, Citigroup’s ACL included a
$0.1 billion remaining credit reserve for Citi’s direct Russian
counterparties (unchanged from September 30, 2023). This
balance does not include the additional reserves to transfer risk
for exposures in Russia.
Citi’s Wind-Down of Its Russia Operations
In August 2022, Citi disclosed its decision to wind down its
Russia consumer, local commercial and institutional banking
businesses, including actively pursuing portfolio sales. In
connection with this wind-down, Citi has incurred
approximately $63 million to-date in charges, largely from
restructuring, vendor termination fees and other related
charges. Citi expects to incur an additional approximate $58
million in estimated charges (approximately $2 million in
Services, Markets and Banking and $56 million in All Other,
excluding the impact from any portfolio sales). This estimate
was revised down during the fourth quarter of 2023 from $85
million at September 30, 2023. For additional information
about Citi’s continued efforts to reduce its operations and
exposure in Russia, see “Risk Factors” above and Note 2.
126
Deconsolidation Risk
Citi’s remaining operations in Russia subject it to various
risks, including, among others, foreign currency volatility,
including appreciation or devaluation; restrictions arising from
retaliatory Russian laws and regulations on the conduct of its
business; sanctions or asset freezes; or other deconsolidation
events (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, 2023, Citi continued to
consolidate AO Citibank because none of the deconsolidation
factors were triggered.
In the event Citi deems there is a loss of control, for
example, through expropriation of AO Citibank, Citi’s foreign
entity in Russia, Citi would be required to (i) write off the net
investment of approximately $0.2 billion (compared to $1.0
billion as of September 30, 2023), (ii) recognize a CTA loss of
approximately $1.6 billion (unchanged from September 30,
2023) through earnings, and (iii) recognize a loss of $0.6
billion (unchanged from September 30, 2023) 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 $1.6
billion through earnings and would evaluate its remaining net
investment as circumstances evolve.
Citi as Paying Agent for Russia-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/
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 remaining 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.
While Citi announced its intention to wind down its
businesses in Russia, Citi will continue to manage those
operations during the wind-down process and will be required
to maintain certain limited operations to fulfill its remaining
legal and regulatory obligations. Also, sanctions and sanctions
compliance are highly complex and may change over time and
result in increased operational risk. Failure to fully comply
with relevant sanctions or the application of sanctions where
they should not be applied may negatively impact Citi’s
reputation. In addition, Citi currently performs services for,
conducts business with or deals in non-sanctioned Russian-
owned businesses and Russian assets. This has attracted, and
will likely continue to attract, negative attention, despite the
previously disclosed plan to wind down nearly all its activities
in the country, cessation of new business and client
originations, and reduction of other exposures.
Citi’s continued presence or divestiture of businesses in
Russia could also increase its susceptibility to cyberattacks
that could negatively impact its relationships with clients and
customers, harm its reputation, increase its compliance costs
and adversely affect its business operations and results of
operations. For additional information on operational and
cyber risks, see “Risk Factors—Operational Risks” 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. The reports to the Board and its
Committees from senior management who represent the
impacted businesses and the International 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
127
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.
Ukraine
Citi has continued to operate in Ukraine throughout the war
through its Services, Markets and Banking 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. As of December
31, 2023, Citi had $1.5 billion of direct exposures related to
Ukraine, unchanged from September 30, 2023.
Argentina
Citi operates in Argentina through its Services, Markets and
Banking businesses. As of December 31, 2023, Citi’s net
investment in its Argentine operations was approximately $1.0
billion (compared to $1.9 billion at September 30, 2023). Citi
uses the U.S. dollar (USD) as the functional currency for its
operations in countries such as Argentina that are deemed
highly inflationary in accordance with GAAP. Citi therefore
records the impact of exchange rate fluctuations on its net
Argentine peso (ARS)–denominated assets directly in
earnings. Citi uses Argentina’s official market exchange rate
to remeasure its net ARS-denominated assets into USD. As of
December 31, 2023, the official ARS exchange rate was
808.48, which devalued by 57% against the USD during the
fourth quarter of 2023.
The decline in Citi’s net investment in Argentina during
the fourth quarter of 2023 was primarily a result of
approximately $880 million in translation losses in revenues
due to devaluation of the ARS (approximately $1.9 billion in
aggregate translation losses in revenues for full-year 2023,
compared to approximately $820 million for full-year 2022).
The decline in the net investment was also due to reserve
builds in the quarter related to increases in transfer risk
associated with exposures in Argentina driven by safety and
soundness considerations under U.S. banking law. These
reductions in the net investment were partially offset by
aggregate other net income, consisting of net interest income
in Argentina, and interest earned on the net investment, of
which a significant portion is invested at high local overnight
rates in Argentina.
The Central Bank of Argentina has continued to maintain
certain capital and currency controls that generally restrict
Citi’s ability to access USD in Argentina and remit earnings
from its Argentine operations. Citi’s net investment in
Argentina will therefore continue to be exposed to additional
foreign currency translation losses to the extent it is
denominated in ARS and is unable to be remitted or
exchanged. Furthermore, the capital and currency controls
have resulted in indirect foreign exchange mechanisms that
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.
some Argentine entities may use to obtain USD, generally at
rates that are significantly higher than Argentina’s official
exchange rate. Citibank Argentina is precluded from accessing
these alternative mechanisms, and under U.S. GAAP, these
exchange mechanisms cannot be used to re-measure Citi’s net
monetary assets into USD. If Argentina’s official exchange
rate further converges with the approximate rate implied by
the indirect foreign exchange mechanisms, Citi could incur
additional translation losses on its net investment in Argentina.
Accordingly, Citi seeks to reduce its overall ARS exposure in
Argentina while complying with local capital and currency
exposure limitations.
Of the $1.0 billion net investment in Argentina as of
December 31, 2023, Citi’s net ARS exposure was
approximately $0.4 billion. The net ARS exposure is reduced
as a result of Citi holding approximately $100 million of USD-
denominated loans as well as approximately $500 million of
certain local government bonds that are indexed to the higher
of the USD exchange rate or the local inflation index. If Citi
had not invested in such instruments to reduce its ARS
exposure, Citi would have recognized additional translation
losses during the fourth quarter of 2023. Given current
economic conditions and the local capital, currency and
regulatory limitations, Citi cannot guarantee the availability or
effectiveness of such mechanisms to reduce its ARS exposure
in the future.
In addition to reducing the ARS exposure, Citi also seeks
to economically hedge the exposure to the extent possible and
prudent using non-deliverable forward (NDF) derivative
instruments that are primarily executed outside of Argentina.
As of December 31, 2023, the international NDF market had
very limited liquidity, resulting in Citi’s inability to
economically hedge its remaining net ARS 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 ARS-denominated assets in
earnings, without any benefit from a change in the fair value
of derivative positions used to economically hedge the
exposure. Citi cannot predict the availability of hedging
instruments in the future nor can it predict changes in foreign
exchange rates and the resulting impact on earnings.
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, 2023. For additional
information on Citi’s emerging markets risks, including those
related to its Argentine exposures, see “Risk Factors—
Strategic Risks” above.
128
The tables below present each country whose total outstandings exceeded 0.75% of total Citigroup assets:
December 31, 2023
Banks
(a)
Public
(a)
NBFIs(1)
(a)
In billions of dollars
Cayman Islands $ — $ — $ 153.3 $
43.7
United Kingdom
19.9
Japan
11.8
Mexico
16.1
Germany
22.7
France
8.8
Singapore
3.3
Hong Kong
4.9
South Korea
4.3
Brazil
2.7
China
4.9
India
7.6
Canada
3.9
Netherlands
9.0
Australia
14.3
Ireland
1.1
Switzerland
5.5 23.8
29.8 29.6
3.1 32.8
3.7 39.8
17.2 11.2
1.9 18.7
2.5 13.1
5.3 17.2
3.5 15.5
5.6 18.7
1.9 15.7
3.5 12.7
3.9 11.1
7.4
5.4
3.7
0.1
9.2
4.9
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)
9.4 $
19.5
8.3
36.2
8.6
7.6
17.1
21.3
12.2
15.3
10.7
8.8
5.0
6.8
3.3
3.5
5.2
5.2 $
11.9
16.3
2.9
10.7
11.0
1.6
3.8
7.7
7.0
13.3
4.4
5.0
4.6
4.0
2.3
2.6
129.3 $
59.8
61.1
45.1
46.2
42.4
38.6
35.1
30.7
29.4
31.5
23.8
23.7
21.1
21.2
20.4
17.3
December 31, 2022
162.7 $
92.5
87.6
83.9
68.2
58.7
46.5
40.2
39.6
38.6
37.7
31.3
28.8
25.7
25.1
21.6
20.4
28.6 $
29.9
12.8
27.1
24.0
67.4
17.9
12.0
9.5
2.5
5.0
3.7
11.2
8.7
5.4
7.5
7.9
1.5 $
63.2
14.1
5.9
42.3
53.9
0.9
1.8
5.8
4.8
7.0
1.0
5.4
26.7
2.9
2.7
15.6
1.5
62.4
11.9
4.7
40.7
53.0
0.8
1.6
4.8
5.0
6.4
0.7
4.8
27.0
2.7
2.6
15.0
Banks
(a)
Public
(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
NBFIs(1)
(a)
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
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)
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
—
(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.
129
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, 26 and 27.
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 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.
130
Citi’s Allowance for Credit Losses (ACL)
The table below presents Citi’s allowance for credit losses on
loans (ACLL) and total ACL as of the fourth quarter of 2023.
For information on the drivers of Citi’s ACL build in the
fourth quarter of 2023, see below. 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
Services
Markets
Banking
ACL
Build (release)
1Q23
2Q23
3Q23
4Q23
2023
Balance
Dec. 31,
2022
2023
FX/
Other(1)
Balance
Dec. 31,
2023
ACLL/EOP
loans Dec. 31,
2023(2)
$
356 $
(72) $
(14) $
6 $ 127 $
47 $
(6) $
633
63
(24)
124
41
204
(18)
397
819
1,726
(66)
(112)
(29)
(163)
(370)
(2)
1,354
Legacy Franchises corporate (Mexico SBMM)
140
(10)
(2)
1
1
(10)
14
144
Total corporate ACLL
$ 2,855 $
(85) $ (152) $ 102 $
6 $ (129) $
(12) $ 2,714
U.S. cards(2)
Retail Banking
Total USPB
Wealth
All Other consumer—managed basis(3)
Reconciling Items(3)
Total consumer ACLL
$ 11,393 $ 536 $ 276 $ 128 $ 466 $ 1,406 $ (173) $ 12,626
447
40
27
(14)
5
58
(29)
476
$ 11,840 $ 576 $ 303 $ 114 $ 471 $ 1,464 $ (202) $ 13,102
883
(69)
1,396
—
10
3
30
79
(3)
(19)
(20)
(27)
(85)
(30)
768
91
160
5
1,561
2
(63)
(61)
61
—
$ 14,119 $ 520 $ 409 $
77 $ 472 $ 1,478 $ (166) $ 15,431
Total ACLL
$ 16,974 $ 435 $ 257 $ 179 $ 478 $ 1,349 $ (178) $ 18,145
Allowance for credit losses on unfunded lending
commitments (ACLUC)
Total ACLL and ACLUC (EOP)
Other(4)
Total ACL
$ 2,151 $ (194) $
(96) $
(54) $
(81) $ (425) $
2 $ 1,728
$ 19,125 $ 241 $ 161 $ 125 $ 397 $ 924 $ (176) $ 19,873
243
408
145
53 1,132 1,738
(98)
1,883
$ 19,368 $ 649 $ 306 $ 178 $ 1,529 $ 2,662 $ (274) $ 21,756
0.93 %
7.67 %
3.97 %
2.66 %
(1)
Includes a decrease of $352 million from the adoption of ASU 2022-02 related to the recognition and measurement of TDRs under the modified retrospective
approach related to USPB, Wealth and All Other consumer loans as of January 1, 2023. See Notes 1 and 15.
(2) As of December 31, 2023, in USPB, Branded Cards ACLL/EOP loans was 6.0% and Retail Services ACLL/EOP loans was 11.1%.
(3) All Other (managed basis) excludes divestiture-related impacts (Reconciling Items) related to (i) Citi’s divestitures of its Asia Consumer businesses and (ii) the
planned divestiture of Mexico consumer banking and small business and middle-market banking within Legacy Franchises. The Reconciling Items are fully
reflected in the various line items in Citi’s Consolidated Statement of Income. These items in the table above represent the 2023 quarterly ACL builds (releases)
only. See “All Other—Divestiture-Related Impacts (Reconciling Items)” above.
Includes ACL on Other assets and Held-to-maturity debt securities. The ACL on Other assets includes ACL related to transfer risk associated with exposures
outside the U.S. for safety and soundness considerations under U.S. banking law.
(4)
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’s 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 are reflected in Other assets. 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
131
based on the ability to forecast economic activity over a 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 certain economic conditions not fully 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 rate 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,
risk ratings and loss recovery rates, as well as other credit
trends.
Qualitative Component
The qualitative management adjustment component includes
risks that are not fully captured in the quantitative component.
These may include but are not limited to portfolio
characteristics, idiosyncratic events, factors not within
historical loss data or the economic forecast, uncertainty in the
credit environment and other factors as required by banking
supervisory guidance for the ACL. The primary examples of
these are the following:
•
•
•
Transfer risk associated with exposures outside the U.S.
for certain safety and soundness considerations under U.S.
banking law
Potential impacts on vulnerable industries and regions due
to emerging macroeconomic risks and uncertainties,
including those related to potential global recession,
inflation, interest rates, commodity prices and geopolitical
tensions
Normalization of portfolio performance and consumer
behavior from low losses as a result of government
stimulus and market liquidity during the COVID-19
pandemic
As of the fourth quarter of 2023, Citi’s qualitative
component of the ACL increased quarter-over-quarter. The
increase was primarily driven by increases in transfer risk
associated with exposures outside the U.S. for safety and
soundness considerations under U.S. banking law, and more
specifically, with cross-border and cross-currency exposures
in Argentina, based on prevailing economic trends, currency
devaluation and geopolitical risk that may impact Argentina’s
ability to sustain external debt service, and in Russia for the
prolonged political and economic instability. These increases
were partially offset by releases of COVID-19–related
uncertainty reserves, as the portfolio delinquencies and losses
continue to increase, reaching pre-pandemic losses and as
risks are captured in the quantitative component of the ACL.
Macroeconomic Variables
As further discussed below, Citi considers a multitude of
global macroeconomic variables for the base, upside and
downside probability-weighted macroeconomic scenario
forecasts it uses to estimate the quantitative component of 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 present 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 4Q22 to 4Q23:
Quarterly average
U.S. unemployment
1Q24
3Q24
1Q25
Citi forecast at 4Q22
4.6 %
4.5 %
4.4 %
Citi forecast at 1Q23
Citi forecast at 2Q23
Citi forecast at 3Q23
Citi forecast at 4Q23
4.5
4.3
4.1
4.0
4.5
4.5
4.3
4.3
4.4
4.4
4.3
4.3
8-quarter
average(1)
4.4 %
4.3
4.3
4.2
4.2
(1) Represents the average unemployment rate for the rolling, forward-
looking eight quarters in the forecast horizon.
U.S. real GDP
Citi forecast at 4Q22
Citi forecast at 1Q23
Citi forecast at 2Q23
Citi forecast at 3Q23
Citi forecast at 4Q23
Year-over-year growth rate(1)
Full year
2023
2024
2025
0.3 %
1.5 %
2.2 %
1.0
1.3
2.1
2.4
1.0
0.7
1.0
1.4
2.0
2.0
2.0
1.7
(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 4Q23, U.S.
real GDP growth is expected to decline during 2024, while the
unemployment rate is expected to increase modestly over the
eight-quarter 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 recession, including an elevated average
U.S. unemployment rate of 6.8% over the eight-quarter R&S
period, with a peak difference of 3.2% in the second quarter of
2025. The downside scenario also reflects a year-over-year
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U.S. real GDP contraction in 2024 of 1.9%, with a peak
quarter-over-quarter difference to the base scenario of 1.2% in
the first quarter of 2024.
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, 2023 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 $5.2 billion related to
lending exposures, except for loans individually evaluated for
credit losses and other financial assets carried at amortized
cost.
This analysis does not incorporate any impacts or changes
to the qualitative component of the ACL. These factors could
change 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, 2023.
4Q23 Changes in the ACL
As further discussed below, Citi’s ending ACL balance for the
fourth quarter of 2023 was $21.8 billion, compared to $20.2
billion as of September 30, 2023. The net build of $1.5 billion
is primarily related to (i) an approximate $1.3 billion build for
increases in transfer risk associated with exposures in
Argentina and Russia (see “ACL on Other Financial Assets”
below), and (ii) an approximate $0.5 billion build for growth
in card balances in USPB. Citi believes its analysis of the ACL
reflects the forward view of the economic environment as of
December 31, 2023. See Note 16 for additional information.
Consumer Allowance for Credit Losses on Loans
Citi’s consumer ACLL is largely driven by U.S. cards
(Branded Cards and Retail Services) in USPB. Citi’s total
consumer ACLL build was $0.5 billion in the fourth quarter of
2023, primarily driven by growth in U.S. cards balances,
resulting in a December 31, 2023 ACLL balance of $15.4
billion, or 3.97% of total funded consumer loans.
For U.S. cards, the level of reserves relative to total
funded loans decreased to 7.67% as of December 31, 2023,
due to seasonal improvement, compared to 7.81% at
September 30, 2023. For the remaining consumer exposures,
the level of reserves relative to total funded loans was 1.25%
at December 31, 2023, compared to 1.24% at September 30,
2023.
Corporate Allowance for Credit Losses on Loans
Citi had a corporate ACLL build of less than $0.1 billion in
the fourth quarter of 2023. The build was primarily driven by
loan growth and was mainly offset by releases related to
reserves for specific risks and uncertainties impacting
133
vulnerable industries and regions. The ACLL reserve balance
remained at $2.7 billion, or 0.93% of total funded corporate
loans as of December 31, 2023.
ACLUC
Citi had an ACLUC release of $0.1 billion in the fourth
quarter of 2023, which decreased the ACLUC reserve balance,
included in Other liabilities, to $1.7 billion. The release was
primarily driven by releases related to reserves for specific
risks and uncertainties impacting vulnerable industries and
regions.
ACL on Other Financial Assets
Citi’s ending ACL balance on other financial assets carried at
amortized cost for the fourth quarter of 2023 was $1.9 billion,
compared to $0.8 billion as of September 30, 2023. The net
build of $1.1 billion was primarily related to increases in
transfer risk associated with exposures outside the U.S., driven
by safety and soundness considerations under U.S. banking
law, and more specifically, to cross-border and cross-currency
exposures in Argentina, based on prevailing economic trends,
currency devaluation and geopolitical risk that may impact
Argentina’s ability to sustain external debt service, and in
Russia for the prolonged political and economic instability.
See Note 16 for additional information.
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 16 for a further description of the ACL
and related accounts.
Goodwill
Citi tests for goodwill impairment annually as of October 1
(the annual test) 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.
As of December 31, 2023, Citigroup’s activities were
conducted through the reportable operating segments:
Services, Markets, Banking, USPB and Wealth, with the
remaining operations recorded in All Other, which includes
activities not assigned to a specific operating segment as well
as discontinued operations. Goodwill impairment testing is
performed at the level below the operating segment (referred
to as a reporting unit).
Citi performed its annual goodwill impairment test as of
October 1, 2023, which resulted in no impairment of any of
Citi’s reporting units’ goodwill.
Citi utilizes allocated tangible common 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.
Similar to 2022, Citi engaged an independent valuation
specialist in 2023 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. 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 market approach utilizes observable market
data from comparable publicly traded companies, such as
price-to-earnings or price-to-tangible book value ratios, to
estimate a reporting unit’s fair value. Management uses
judgment in the selection of comparable companies and
includes those with the most similar business activities.
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, 2023. 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 or a business model that is as global. 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 in the fourth quarter of
2023, as part of its organizational simplification, 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.
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The reorganization of Citi’s segment structure, including
the change of management, and the business realignment
between Banking and Markets were identified as triggering
events for purposes of goodwill impairment testing. Consistent
with the requirements of ASC 350, additional interim goodwill
impairment tests were performed as of December 13, 2023,
which resulted in no impairment during the fourth quarter.
Additionally, goodwill was reallocated from Banking to
Markets related to the business realignment based on their
relative fair values using the valuation performed as of the
effective date of the reorganization. No additional triggering
events were identified and no goodwill was impaired during
2023.
Based on the fourth-quarter assessments, the results of the
impairment tests showed that the fair values of Citi’s reporting
units exceeded their carrying values for all reporting units. The
impairment tests results also showed that the fair value of the
Mexico Consumer/SBMM reporting unit as a percentage of its
carrying value was 106%, with the carrying value including
approximately $1.1 billion of goodwill. For each of the
remaining reporting units, fair value exceeded carrying value
by at least 10%.
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 organizational
simplification. If management’s future estimates of key
economic and market assumptions were to differ from its
current assumptions, Citi could potentially experience material
goodwill impairment charges in the future. See Notes 1 and 17
for additional information on goodwill, including the changes
in the goodwill balance year-over-year and the segments’
goodwill balances as of December 31, 2023.
Litigation Accruals
See the discussion in Note 30 for 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 on 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 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 will be 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 effective 13.125% 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 FTC regulations were published
in the Federal Register, which 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. In 2023, the IRS announced that the
effective date of these regulations was deferred until the IRS
gives notice otherwise. The impact on Citi’s effective tax rate
is not expected to be material.
The Inflation Reduction Act was signed into law on
August 16, 2022. 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.
See Note 11 for the 2023 impact on earnings per share related
to the excise tax.
Deferred Tax Assets and Valuation Allowances (VA)
At December 31, 2023, Citi had net DTAs of $29.6 billion. In
the fourth quarter of 2023, Citi’s DTAs increased by $1.3
billion, primarily as a result of the geographic mix of earnings.
On a full-year basis, Citi’s DTAs increased by $1.9 billion
from $27.7 billion at December 31, 2022.
Of Citi’s total net DTAs of $29.6 billion as of December
31, 2023, $12.8 billion, primarily related to tax carry-
forwards, was deducted in calculating Citi’s regulatory capital.
135
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, 2023, Citi had $2.3 billion of
disallowed temporary difference DTAs (included in the $12.8
billion above). The remaining $16.8 billion of net DTAs as of
December 31, 2023 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, 2023 was $3.6 billion, an
increase of $1.2 billion from $2.4 billion at December 31,
2022. The increase was primarily driven by the generation of
current-year FTCs in the branch basket. Citi’s VA of $3.6
billion is composed of $1.9 billion on its FTC branch basket
carry-forwards, $1.2 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 affected by reduced taxable income generated in the
current year.
Recognized FTCs comprised approximately $1.2 billion
of Citi’s DTAs as of December 31, 2023, compared to
approximately $1.9 billion as of December 31, 2022. The
decrease in FTCs year-over-year was primarily due to current-
year usage. The FTC carry-forward period represents the most
time-sensitive component of Citi’s DTAs.
Citi had an ODL of approximately $7 billion at December
31, 2023, which allows Citi to elect a percentage between 50%
and 100% of future years’ domestic source income to be
reclassified as foreign source income. (See Note 10 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 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 City.
Although realization is not assured, Citi believes that the
realization of its recognized net DTAs of $29.6 billion at
December 31, 2023 is more-likely-than-not, based on
management’s expectations as to 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 10 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, 2023 (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 10.
Accounting Changes
See Note 1 for a discussion of changes in accounting
standards.
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,
2023. Based on that evaluation, the CEO and CFO have
concluded that at that date Citigroup’s disclosure controls and
procedures were effective.
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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, 2023 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
has concluded that, as of December 31, 2023, 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, 2023
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, 2023 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, 2023.
137
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, 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 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 date that the forward-looking statements were made.
138
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, 2023 and December 31, 2022, 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, 2023, 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, 2023,
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, 2023
and December 31, 2022, and the results of its operations and
its cash flows for each of the years in the three-year period
ended December 31, 2023, 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,
2023 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
139
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, 26 and 27 to the consolidated
financial statements, the Company’s assets and liabilities
recorded at fair value on a recurring basis were $896.8
billion, net and $347.6 billion, net, respectively, at
December 31, 2023. The Company estimated the fair
value of Level 3 assets and liabilities measured on a
recurring basis ($12.7 billion and $48.0 billion,
respectively, at December 31, 2023) 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 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
assumptions
independent price verification
evaluating that significant model assumptions
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.
140
We evaluated the Company’s methodology for
compliance with U.S. generally accepted accounting
principles. We involved valuation professionals with
specialized skills and knowledge who assisted in
developing an independent fair value estimate for a
selection of certain Level 3 assets and liabilities recorded
at fair value on a recurring basis based on independently
developed valuation models and assumptions, as
applicable, using market data sources we determined to be
relevant and reliable and compared our independent
expectation to the Company’s fair value measurements.
Assessment of the allowance for credit losses collectively
evaluated for impairment
As described in Notes 1 and 16 to the consolidated
financial statements, the Company’s allowance for credit
losses was $19.9 billion as of December 31, 2023, 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. The
credit loss factors applied are determined based on three
macroeconomic scenarios (base, downside and upside)
multiplied by their respective scenario weights, which
take into consideration both internal and external
forecasted macroeconomic variables over a reasonable
and supportable period. After the reasonable and
supportable forecast period, the Company reverts over the
reversion period to the long-term average for the
forecasted economic variables and losses based on
historical observations over multiple economic cycles.
The qualitative component considers idiosyncratic events
and the uncertainty of forward-looking economic
scenarios not captured in the quantitative models. For
consumer U.S. credit cards, the Company utilizes the
payment rate approach to determine the payments needed
to pay off the end-of-period balance. This approach
incorporates payment rate curves and is used to estimate
EAD. Reserves for unconditionally cancelable accounts
are based on the expected life of the balance as of the
evaluation date and do not include undrawn commitments
that are unconditionally cancelable. In addition, the
models used for consumer U.S. credit card loans take into
account leading credit indicators. For corporate loans, the
models consider the credit quality as measured by risk
ratings and economic factors.
We identified the assessment of the collective ACLL,
specifically the quantitative component for the consumer
U.S. credit cards and corporate portfolios, and the
qualitative component for the corporate portfolio 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. The key
assumptions and inputs for consumer U.S. credit card
loans encompass loan delinquencies, certain credit
indicators, such as FICO scores, and expected life as well
as the reasonable and supportable forecasts for key
economic variables. The key economic variables include
U.S. unemployment (UER) and U.S. housing prices
(HPI), which are utilized by the models. The key
assumptions and inputs for corporate loans encompass
risk ratings, credit conversion factor for unfunded lending
commitments, and reasonable and supportable forecast for
key economic variables. The key economic variables
include U.S. real gross domestic product (GDP) and UER,
which are utilized by the model. The key assumptions and
inputs for the qualitative component for corporate loan
portfolios include potential impacts on vulnerable
industries and regions due to emerging macroeconomic
risks and uncertainty including those related to potential
global recession, inflation, interest rates, commodity
prices, and geopolitical tensions. 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
141
•
•
•
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
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
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 Wealth, Markets and U.S.
Personal Banking (USPB) reporting units
As discussed in Notes 1 and 17 to the consolidated
financial statements, the goodwill balance as of December
31, 2023 was $20.1 billion, of which $4.5 billion related
to Wealth, $5.2 billion related to Markets and $5.4 billion
related to USPB as of October 1, 2023, prior to the
Markets and Banking business realignment.
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. The Company performed its annual assessment
on October 1, 2023. We identified the evaluation of the
goodwill impairment analysis for Wealth, Markets, and
USPB as of October 1, 2023 as a critical audit matter.
In the fourth quarter, the Company identified the
reorganization described in Note 3 as a triggering event
due to a change in management for Markets, Banking,
Services, USPB, and Wealth and the business realignment
between Banking and Markets. The Company performed
additional goodwill impairment testing as of December
13, 2023, the effective date of the reorganization. The
evaluation of goodwill impairment testing as of December
13, 2023 was not identified as a critical audit matter.
The evaluation of the goodwill impairment analysis
for Wealth, Markets, and USPB as of October 1, 2023
was identified as a critical audit matter because as of
October 1, 2023, the estimated fair value of the Wealth,
Markets, and USPB reporting units marginally exceeded
their carrying values at the conclusion of impairment
tests. This indicated 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 Wealth, Markets, and USPB 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 Wealth,
Markets, and USPB 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 2023 forecasts to
actual fourth quarter 2023 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 the Wealth, Markets, and USPB 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 23, 2024
142
FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Income—
For the Years Ended December 31, 2023, 2022 and 2021
144
Consolidated Statement of Comprehensive Income—
For the Years Ended December 31, 2023, 2022 and 2021
Consolidated Balance Sheet—December 31, 2023 and 2022
145
146
Consolidated Statement of Changes in Stockholders’ Equity
—For the Years Ended December 31, 2023, 2022 and 2021
148
Consolidated Statement of Cash Flows—
For the Years Ended December 31, 2023, 2022 and 2021
150
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 Income 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—Restructuring
Note 10—Income Taxes
Note 11—Earnings per Share
Note 12—Securities Borrowed, Loaned and Subject to
Repurchase Agreements
Note 13—Brokerage Receivables and Brokerage Payables
Note 14—Investments
Note 15—Loans
Note 16—Allowance for Credit Losses
152
164
167
171
172
175
176
179
190
191
195
196
199
201
210
229
Note 17—Goodwill and Intangible Assets
Note 18—Deposits
Note 19—Debt
Note 20—Regulatory Capital
Note 21—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
Note 22—Preferred Stock
Note 23—Securitizations and Variable Interest Entities
Note 24—Derivatives
Note 25—Concentrations of Credit Risk
Note 26—Fair Value Measurement
Note 27—Fair Value Elections
Note 28—Pledged Assets, Restricted Cash, Collateral,
Guarantees and Commitments
Note 29—Leases
Note 30—Contingencies
Note 31—Subsidiary Guarantees
Note 32—Condensed Parent Company Financial Statements
233
235
236
238
239
242
244
258
271
272
291
295
302
303
310
311
143
CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME
Citigroup Inc. and Subsidiaries
In millions of dollars, except per share amounts
Revenues
Interest income
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
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 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
Restructuring
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 to 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)
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
144
Years ended December 31,
2023
2022
2021
133,258 $
78,358
54,900 $
8,905 $
10,948
3,781
188
(323)
(4)
(327) $
67 $
23,562 $
78,462 $
7,786 $
(24)
1,762
87
(425)
9,186 $
29,232 $
2,508
9,106
1,393
781
13,346
56,366 $
12,910 $
3,528
9,382 $
(1) $
—
(1) $
9,381 $
153
9,228 $
4.07 $
—
4.07 $
1,930.1
4.04 $
—
4.04 $
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
1,955.8
1,964.3
2,049.4
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), net change, net of taxes(1)
Unrealized gains and losses on debt securities(2)
Debt valuation adjustment (DVA)(3)
Cash flow hedges
Benefit plans liability adjustment(4)
CTA, net of hedges
Excluded component of fair value hedges
Long-duration insurance contracts
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 21.
(2) See Note 1.
(3) See Note 26.
(4) See Note 8.
Years ended December 31,
2023
2022
2021
9,228 $
14,845 $
21,952
2,254 $
(5,384) $
(1,551)
1,116
(295)
752
(48)
7
2,235 $
11,463 $
84 $
153
2,029
(2,623)
97
(2,471)
55
—
(8,297) $
6,548 $
(58) $
89
(3,934)
232
(1,492)
1,012
(2,525)
—
—
(6,707)
15,245
(99)
73
11,700 $
6,579 $
15,219
$
$
$
$
$
$
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
145
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 $206,059 and $239,527 as of
December 31, 2023 and 2022, respectively, at fair value), net of allowance
Brokerage receivables, net of allowance
Trading account assets (including $197,156 and $133,535 pledged to creditors at December 31, 2023 and
2022, respectively)
Investments:
Available-for-sale debt securities (including $11,868 and $10,933 pledged to creditors as of
December 31, 2023 and 2022, respectively)
Held-to-maturity debt securities, net of allowance (fair value of which is $235,001 and $243,648 as of
December 31, 2023 and 2022, respectively) (includes $71 and $0 pledged to creditors as of
December 31, 2023 and 2022, respectively)
Equity securities (including $766 and $895 as of December 31, 2023 and 2022, respectively,
December 31,
2023
2022
27,342 $
233,590
345,700
53,915
30,577
311,448
365,401
54,192
411,756
334,114
256,936
249,679
254,247
268,863
at fair value)
Total investments
Loans:
Consumer (including $313 and $237 as of December 31, 2023 and 2022, respectively, at fair value)
Corporate (including $7,281 and $5,123 as of December 31, 2023 and 2022, 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 $691 and $665 as of December 31, 2023 and 2022, respectively)
Premises and equipment, net of depreciation and amortization
Other assets (including $12,290 and $10,658 as of December 31, 2023 and 2022, respectively,
at fair value), net of allowance
Total assets
7,902
$
519,085 $
$
$
389,197
300,165
689,362 $
(18,145)
671,217 $
20,098
4,421
28,747
8,040
526,582
368,067
289,154
657,221
(16,974)
640,247
19,691
4,428
26,253
95,963
103,743
$
2,411,834 $
2,416,676
Statement continues on the next page.
146
CONSOLIDATED BALANCE SHEET
(Continued)
In millions of dollars, except shares and per share amounts
Liabilities
Citigroup Inc. and Subsidiaries
December 31,
2023
2022
Deposits (including $2,440 and $1,875 as of December 31, 2023 and 2022, respectively, at fair value)
$
1,308,681 $
1,365,954
Securities loaned and sold under agreements to repurchase (including $62,485 and $70,886 as of
December 31, 2023 and 2022, respectively, at fair value)
Brokerage payables (including $4,321 and $4,439 as of December 31, 2023 and 2022, respectively,
at fair value)
Trading account liabilities
Short-term borrowings (including $6,545 and $6,222 as of December 31, 2023 and 2022, respectively,
at fair value)
Long-term debt (including $116,338 and $105,995 as of December 31, 2023 and 2022, respectively,
at fair value)
Other liabilities, plus allowances
Total liabilities
Stockholders’ equity
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of December 31, 2023
—704,000 and as of December 31, 2022—759,800, at aggregate liquidation value
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of December 31, 2023
—3,099,691,704 and as of December 31, 2022—3,099,669,424
Additional paid-in capital
Retained earnings
Treasury stock, at cost: December 31, 2023—1,196,577,865 shares and December 31, 2022—
1,162,682,999 shares
Accumulated other comprehensive income (loss) (AOCI)
Total Citigroup stockholders’ equity
Noncontrolling interests
Total equity
Total liabilities and equity
278,107
202,444
63,539
155,345
69,218
170,647
37,457
47,096
286,619
75,835
271,606
87,873
2,205,583 $
2,214,838
17,600 $
18,995
31
108,955
198,905
(75,238)
(44,800)
205,453 $
798
31
108,458
194,734
(73,967)
(47,062)
201,189
649
206,251 $
201,838
2,411,834 $
2,416,676
$
$
$
$
$
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
147
CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY
Citigroup Inc. and Subsidiaries
In millions of dollars, except shares in thousands
2023
2022
2021
2023
Years ended December 31,
Amounts
Shares
2022
2021
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 (reclassifications to Retained
earnings for redemptions)
Other (primarily preferred stock issuance costs related to new
issuances)
Balance, end of year
Retained earnings
Balance, beginning of year
Adjustments to opening balance, net of taxes(1)
Financial instruments—TDRs and vintage disclosures
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
Adjustment to opening balance, net of taxes(1)
Adjusted balance, beginning of year
Citigroup’s total other comprehensive income (loss)
Balance, end of year
$
$
18,995 $
2,750
(4,145)
17,600 $
18,995 $
—
—
18,995 $
19,480
3,300
(3,785)
18,995
760
110
(166)
704
760
—
—
760
779
132
(151)
760
$ 108,489 $ 108,034 $ 107,877 3,099,669 3,099,652 3,099,633
19
452
455
85
23
17
58
—
25
—
—
—
(13)
—
$ 108,986 $ 108,489 $ 108,034 3,099,692 3,099,669 3,099,652
47
—
—
—
$ 194,734 $ 184,948 $ 168,272
—
290
—
$ 195,024 $ 184,948 $ 168,272
21,952
(4,196)
(1,040)
14,845
(4,028)
(1,032)
9,228
(4,076)
(1,198)
(73)
(40)
$ 198,905 $ 194,734 $ 184,948
1
$
$
$
$
$
(73,967) $
729
(2,000)
(75,238) $
(71,240) $
523
(3,250)
(73,967) $
(64,129) (1,162,683) (1,115,297) (1,017,544)
7,745
489
(105,498)
(7,600)
(71,240) (1,196,578) (1,162,683) (1,115,297)
10,276
(44,171)
8,190
(55,576)
(47,062) $
27
(47,035) $
2,235
(44,800) $
(38,765) $
—
(38,765) $
(8,297)
(47,062) $
(32,058)
—
(32,058)
(6,707)
(38,765)
Total Citigroup common stockholders’ equity
$ 187,853 $ 182,194 $ 182,977 1,903,114 1,936,986 1,984,355
Total Citigroup stockholders’ equity
$ 205,453 $ 201,189 $ 201,972
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
(1) See Note 1 for additional details.
$
649 $
700 $
758
(14)
153
(82)
84
8
149 $
798 $
(34)
89
(51)
(58)
3
(51) $
649 $
(10)
73
(10)
(99)
(12)
(58)
700
$
$
$ 206,251 $ 201,838 $ 202,672
148
(2) Common dividends declared were $0.51 per share for each of 1Q23 and 2Q23, and $0.53 per share for each of 3Q23 and 4Q23; $0.51 per share for each of 1Q22,
(3)
2Q22, 3Q22 and 4Q22; and $0.51 per share for each of 1Q21, 2Q21, 3Q21 and 4Q21.
Includes treasury stock related to certain activity under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy employees’ 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.
149
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 and for benefits and claims
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(2)
Other, net
Total adjustments
Net cash provided by (used in) operating activities of continuing operations
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
Net payment due to transfer of net liabilities associated with divestitures(1)
Available-for-sale (AFS) debt securities
Purchases of investments
Proceeds from sales of investments
Proceeds from maturities of investments
Held-to-maturity (HTM) debt securities
Purchases of investments
Proceeds from maturities of investments
Capital expenditures on premises and equipment and capitalized software
Proceeds from sales of premises and equipment and repossessed assets
Other, net
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
Stock tendered for payment of withholding taxes
150
$
$
$
$
$
$
$
$
Years ended December 31,
2023
2022
2021
9,381 $
14,934 $
22,025
153
89
73
9,228 $
14,845 $
21,952
(1)
(231)
7
9,229 $
15,076 $
21,945
(1,462)
4,560
(2,416)
9,186
(188)
323
—
(77,838)
(15,302)
(5,402)
1,929
(6,361)
3,587
6,739
(762)
4,262
(1,141)
5,239
(67)
499
535
(2,273)
9,118
7,936
4,421
(4,992)
5,343
700
3,964
1,413
(3,778)
(665)
206
—
43,059
(6,498)
1,412
(3,809)
(2,139)
6,839
(18,125)
(15,559)
(82,645) $
9,993 $
(73,416) $
25,069 $
25,145
47,090
19,701 $
(38,113) $
(32,576)
(44,525)
(16,591)
4,801
(1,393)
4,709
5,741
(1,173)
2,918
—
(235,139)
(218,747)
(205,980)
41,886
79,687
200,437
140,934
125,895
120,936
(1,373)
(42,903)
(136,450)
12,838
(6,583)
56
835
12,188
(5,632)
63
(791)
21,164
(4,119)
190
(1,551)
(8,459) $
(79,455) $
(110,746)
(5,212) $
2,739
(4,145)
(1,977)
(329)
(5,003) $
—
—
(3,250)
(344)
(5,198)
3,300
(3,785)
(7,601)
(337)
CONSOLIDATED STATEMENT OF CASH FLOWS
(Continued)
In millions of dollars
Citigroup Inc. and Subsidiaries
Years ended December 31,
2023
2022
2021
Change in securities loaned and sold under agreements to repurchase
$
75,663 $
11,159 $
(8,240)
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, due from banks and deposits with 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)(3)(4)
Transfer of investment securities from HTM to AFS
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 HFI
Transfers from loans HFS (Other assets) to loans HFI
Non-cash financing activities(1)(4)
Decrease in long-term debt associated with divestitures reclassified to HFS
Decrease in deposits associated with divestitures reclassified to HFS
$
$
$
$
$
$
65,819
104,748
70,658
(64,959)
(57,085)
(74,950)
(57,273)
(9,639)
68,415
19,123
44,966
(1,541)
687 $
137,763 $
17,272
95 $
(3,385) $
(1,198)
(81,093)
79,992
(47,582)
342,025
262,033
309,615
260,932 $
342,025 $
262,033
27,342 $
30,577 $
27,515
233,590
260,932 $
311,448
342,025 $
234,518
262,033
5,727 $
3,733 $
72,989
22,615
$
3,324 $
— $
—
—
—
7,866
322
21,688
16,956
876
5,582
—
$
— $
—
— $
19,691
4,028
7,143
—
—
9,945
—
7,414
—
479
8,407
(1) See Note 2.
(2)
(3)
Includes balances related to the FDIC special assessment and restructuring charges. See Notes 9 and 30.
In January 2023, Citi adopted ASU 2022-01. Upon adoption, Citi transferred $3.3 billion of mortgage-backed securities from HTM classification to AFS
classification as allowed under the ASU. At the time of transfer, the securities were in an unrealized gain position of $0.1 billion, which was recorded in AOCI
upon transfer.
(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 29 for more information and balances as of December 31, 2023 and 2022.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
151
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 23, 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
152
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 23 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, accrued interest is subject to the Company’s non-accrual
policy, which results in the timely write-off of accrued
interest.
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 16 for HTM securities and in
Note 14 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
26.
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 27, 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 27).
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
153
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 27.
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
24.
The Company uses a number of techniques to determine
the fair value of trading assets and liabilities, which are
described in Note 26.
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 27, 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 26, 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 27,
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 26, 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 27, 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 USPB, Wealth and All Other—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
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.
154
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 14 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 earlier recognition of the provision for credit losses
and the related ACL.
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 4Q23, U.S. real
GDP growth is expected to decline during 2024, 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 recession, including an elevated average
U.S. unemployment rate of 6.8% over the eight-quarter R&S
period, with a peak difference of 3.2% in the second quarter of
2025. The downside scenario also reflects a year-over-year
U.S. real GDP contraction in 2024 of 1.9%, with a peak
quarter-over-quarter difference to the base scenario of 1.2% in
the first quarter of 2024.
Corporate Loans
Corporate loans represent loans and leases managed by
Services, Markets and Banking and the Mexico SBMM
component of All Other—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 collectibility 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 collectibility 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)
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 collectibility 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
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
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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.
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 R&S forecast period for consumer and
corporate loans is eight quarters.
•
•
•
The loss models consume all or a portion of the R&S
economic forecast and then revert to historical loss
experience.
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.).
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 now 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 2023.
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
forecast. 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
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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.
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,
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. 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. 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 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 (in 2022 and prior years)
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.
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In 2023, the reasonably expected TDRs accounting was
replaced by modifications of loans to borrowers experiencing
financial difficulty accounting. See “Accounting Changes—
TDRs and Vintage Disclosures” below for a description of this
new accounting.
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
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 Services, Markets, Banking and Wealth) and
delinquency-managed portfolios (primarily USPB) 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.
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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 17 and 22.
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. The Company has determined that
its reporting units are at the reportable operating segment level
or one level below.
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,
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.
During the year ended December 31, 2022, the Company
voluntarily changed its annual impairment assessment date
from July 1 to October 1.
Additional information on Citi’s goodwill impairment
testing can be found in Note 17.
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
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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
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 the 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. See Note 23 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 24 for a further discussion of the Company’s
hedging and derivative activities.
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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 AOCI
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 10 for a further description of the Company’s
tax provision and related income tax assets and liabilities.
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 26 for further discussions on
estimates used in the determination of fair value. Moreover,
estimates are significant in determining the amounts of other-
161
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 28 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
TDRs and Vintage Disclosures
In March 2022, the Financial Accounting Standards Board
(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, including the guidance on the recognition and
measurement of TDRs under the modified retrospective
approach.
Adopting these amendments resulted in a decrease to the
ACLL of $352 million and an increase in other assets related
to held-for-sale businesses of $40 million, with a
corresponding increase to retained earnings of $290 million
and a decrease in deferred tax assets of $102 million on
January 1, 2023. The ACL for corporate loans was unaffected
because the measurement approach used for corporate loans is
not in the scope of this ASU.
ASU 2022-02 eliminates the accounting and disclosure
requirements for TDRs, including the requirement to measure
the ACLL for TDRs using a discounted cash flow (DCF)
approach. With the elimination of TDR accounting
requirements, reasonably expected TDRs are no longer
considered when determining the term over which to estimate
expected credit losses. The ACLL for modified loans that are
collateral dependent continues to be based on the fair value of
the collateral.
Consumer Loans
Upon adoption of the ASU on January 1, 2023, Citi
discontinued the use of a DCF approach for consumer loans
formerly considered TDRs. Beginning January 1, 2023, Citi
measures 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. In addition, upon adoption of
the ASU, Citi collectively evaluates smaller-balance
homogeneous loans formerly considered TDRs for expected
credit losses, whereas previously those loans had been
individually evaluated.
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. See Note
14 for these new disclosures for periods beginning on and
after January 1, 2023.
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.
Citi adopted the targeted improvements in ASU 2018-12
on January 1, 2023, resulting in a $39 million decrease in
Other liabilities and a $27 million increase in AOCI, after-tax.
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.
Reference Rate Reform
On December 21, 2022, the 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
162
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 that 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.
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.
FUTURE ACCOUNTING CHANGES
Accounting for and Disclosure of Crypto Assets
In December 2023, the FASB issued ASU No. 2023-08,
Intangibles—Goodwill and Other—Crypto Assets (Subtopic
350-60): Accounting for and Disclosure of Crypto Assets,
intended to improve the accounting for certain crypto assets by
requiring an entity to measure those assets at fair value each
reporting period, with changes in fair value recognized in net
income. The amendments also improve the information
provided to investors about an entity’s crypto asset holdings
by requiring disclosure about significant holdings, contractual
sale restrictions and changes during the reporting period. The
guidance is effective for fiscal years beginning after December
15, 2024, and interim periods within those fiscal years with
early adoption permitted. Citi does not hold any crypto assets
within the scope of the guidance.
Accounting for Investments in Tax Credit Structures
In March 2023, the FASB issued ASU No. 2023-02,
Investments—Equity Method and Joint Ventures (Topic 323):
Accounting for Investments in Tax Credit Structures Using the
Proportional Amortization Method. The ASU expands the
scope of tax equity investments eligible to apply the
proportional amortization method of accounting. Under the
proportional amortization method, the cost of an eligible
investment is amortized in proportion to the income tax credits
and other income tax benefits that are received by the investor,
with the amortization of the investment and the income tax
credits being presented net in the income statement as
components of income tax expense (benefit). The ASU
permits the Company to elect to use the proportional
amortization method to account for an expanded range of
eligible tax-incentivized investments if certain conditions are
met. Citi adopted the ASU on January 1, 2024, which did not
have a material impact to the financial statements of the
Company.
Fair Value Measurement of Equity Securities Subject to
Contractual Sale Restrictions
In June 2022, the FASB issued ASU No. 2022-03, 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.
Citi adopted the ASU on January 1, 2024, which did not
have a material impact to the financial statements of the
Company.
Income Taxes (Topic 740): Improvements to Income Tax
Disclosures
In December 2023, the FASB issued ASU No. 2023-09,
Income Taxes (Topic 740): Improvements to Income Tax
Disclosures, intended to enhance the transparency and
decision usefulness of income tax disclosures. This guidance
requires that public business entities disclose on an annual
basis a tabular rate reconciliation in eight specific categories
disaggregated by nature and for foreign tax effects by
jurisdiction that meet a 5% of pretax income multiplied by the
applicable statutory tax rate or greater threshold annually. The
eight categories include state and local income taxes, net of
federal income tax effect; foreign tax effects; enactment of
new tax laws or tax credits; effect of cross-border tax laws;
valuation allowances; nontaxable items and nondeductible
items; and changes in unrecognized tax benefits. Additional
disclosures include qualitative description of the state and
local jurisdictions that contribute to the majority (greater than
50%) of the effect of the state and local income tax category
and explanation of the nature and effect of changes in
individual reconciling items. The guidance also requires
entities annually to disclose income taxes paid (net of refunds
received) disaggregated by federal, state and foreign taxes and
by jurisdiction identified based on the same 5% quantitative
threshold.
The standard is effective for fiscal years beginning after
December 15, 2024. The transition method is prospective with
the retrospective method permitted. Citi plans to adopt the
ASU for the annual reporting period beginning on January 1,
2025, and is currently evaluating the impact on disclosures.
Segment Reporting (Topic 280): Improvements to
Reportable Segment Disclosures
In November 2023, the FASB issued ASU No. 2023-07,
Segment Reporting (Topic 280): Improvements to Reportable
Segment Disclosures, intended to improve reportable segments
disclosure requirements primarily through enhanced
disclosures about significant segment expenses. The ASU
includes a requirement to disclose significant segment
expenses that are regularly provided to the chief operating
decision maker (CODM) and included within each reported
measure of segment profit or loss, the title and position of the
CODM, an explanation of how the CODM uses the reported
measure(s) of segment profit or loss in assessing segment
performance and deciding how to allocate resources, and all
segments’ profit or loss and assets disclosures currently
required annually by Topic 280 along with those introduced
by the ASU to be reported on an interim basis. The
amendments also clarified that public entities are not
precluded from reporting additional measures of a segment’s
profit or loss that are regularly used by the CODM.
The ASU is required to be adopted on a retrospective
basis and will be effective for Citi for its annual period ending
December 31, 2024 and interim periods for the interim period
beginning on January 1, 2025. Citi is currently evaluating the
impact of the standard on its disclosure of reportable segments
and related disclosures.
163
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 All Other.
The following table summarizes financial information for
all Discontinued operations:
In millions of dollars
2023
2022
2021
Total revenues, net of interest expense
$ — $ (260) $ —
Income (loss) from discontinued
operations
Benefit for income taxes
Income (loss) from discontinued
operations, net of taxes
$
(1) $ (272) $
7
—
(41) —
$
(1) $ (231) $
7
During 2022, the Company finalized the settlement of
certain liabilities related to its legacy consumer operation in
the U.K. (the legacy operation), including an indemnification
liability related to its sale of the Egg Banking business in
2011, which led to the substantial liquidation of the legacy
operation. As a result, a CTA loss (net of hedges) in AOCI of
approximately $400 million pretax ($345 million after-tax)
related to the legacy operation was released to earnings in
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 All Other
—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 the periods presented.
164
Significant Disposals
As of December 31, 2023, Citi had closed the sales of nine consumer banking businesses within All Other—Legacy Franchises.
Australia closed in the second quarter of 2022, the Philippines closed in the third quarter of 2022, Bahrain, Malaysia and Thailand
closed in the fourth quarter of 2022, India and Vietnam closed in the first quarter of 2023, Taiwan closed in the third quarter of 2023
and Indonesia closed in the fourth quarter of 2023. Of the nine sale agreements, the five below were identified as significant disposals.
The gains and losses included in the footnotes to the table below represent life-to-date amounts, which are periodically updated due to
post-closing purchase price adjustments. As of December 31, 2023, there were no remaining assets or liabilities included on Citi’s
Consolidated Balance Sheet related to the significant disposals:
In millions of dollars
Consumer banking business in
Australia(1)
Philippines(2)
Thailand(3)
India(4)
Taiwan(5)
Sale agreement date
Closing date
8/9/2021
12/23/2021
1/14/2022
3/30/2022
1/28/2022
6/1/2022
8/1/2022
11/1/2022
3/1/2023
8/12/2023
Income (loss) before taxes(6)
2022
2021
2023
$
— $
193 $
—
—
2
91
72
122
194
140
306
145
139
213
282
(1) On June 1, 2022, Citi completed the sale of its Australia consumer banking business, which was part of All Other—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 $766 million ($643 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 in the above table for Australia reflects Citi’s ownership through June 1,
2022.
(2) On August 1, 2022, Citi completed the sale of its Philippines consumer banking business, which was part of All Other—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 in the above table for the Philippines reflects Citi’s ownership through August 1, 2022.
(3) On November 1, 2022, Citi completed the sale of its Thailand consumer banking business, which was part of All Other—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 in the above table for Thailand reflects Citi’s ownership through November 1, 2022.
(4) On March 1, 2023, Citi completed the sale of its India consumer banking business, which was part of All Other—Legacy Franchises. The business had
approximately $5.2 billion in assets, including $3.4 billion of loans (net of allowance of $32 million) and excluding goodwill. The total amount of liabilities was
$5.2 billion, including $5.1 billion in deposits. The sale resulted in a pretax gain on sale of approximately $1.1 billion ($727 million after-tax) recorded in Other
revenue. The income before taxes in the above table for India reflects Citi’s ownership through March 1, 2023.
(5) On August 12, 2023, Citi completed the sale of its Taiwan consumer banking business, which was part of All Other—Legacy Franchises. The business had
approximately $11.6 billion in assets, including $7.2 billion of loans (net of allowance of $92 million) and excluding goodwill. The total amount of liabilities was
$9.2 billion, including $9.0 billion in deposits. The sale resulted in a pretax gain on sale of approximately $403 million ($284 million after-tax), subject to closing
adjustments, recorded in Other revenue. The income before taxes in the above table for Taiwan reflects Citi’s ownership through August 12, 2023.
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, Thailand, India and Taiwan, excludes the pretax gain on sale.
(6)
Citi did not have any other significant disposals as of
December 31, 2023.
As of February 23, 2024, Citi had not entered into sale
agreements for the remaining All Other—Legacy Franchises
businesses to be sold, specifically the Poland consumer
banking business and the Mexico Consumer/SBMM
businesses.
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 2022 Form
10-K.
165
Other Business Exits
Portfolio Sales
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 All Other—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.
The following table summarizes the reserve charges
related to the Korea VERP and other initiatives reported in the
All Other operating segment:
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
$
$
$
$
$
Employee
termination costs
1,052
(1)
3
1,054
31
(347)
(24)
714
(3)
(670)
(41)
—
Note: There were no additional charges after June 30, 2022.
The total cash charges for the wind-down were
$1.1 billion through 2022, most of which were recognized in
2021. Citi does not expect to record any additional charges in
connection with the Korea VERP.
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 would end
nearly all of the institutional banking services it offered in
Russia by the end of the first quarter of 2023. Going forward,
Citi’s only operations in Russia are 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.
During the second quarter of 2023, Citi recorded an
incremental gain of $5 million related to post-closing
contingency payments for the previously disclosed
personal installment loan sale in Other revenue. The
previously disclosed sale of a portfolio of ruble-
denominated personal installment loans resulted in a
pretax net loss on sale of approximately $7 million.
During the third and fourth quarters of 2023, as part of the
previously disclosed cards referral agreement with a
Russian bank, approximately $47 million of credit card
receivables was settled upon referral and refinanced.
Wind-Down Charges
The following tables provide details on Citi’s Russia wind-
down charges:
2023
Services,
Markets and
Banking
Total
All Other
$
$
11 $
12
23 $
4 $
—
4 $
Program-to-date
December 31, 2023
Services,
Markets and
Banking
Total
All Other
$
$
35 $
19
54 $
9 $
—
9 $
Estimated additional charges
as of December 31, 2023
Services,
Markets and
Banking
Total
All Other
$
$
20 $
36
56 $
2 $
—
2 $
15
12
27
44
19
63
22
36
58
In millions of dollars
Severance(1)
Vendor termination and
other costs(2)
Total
In millions of dollars
Severance(1)
Vendor termination and
other costs(2)
Total
In millions of dollars
Severance(1)
Vendor termination and
other costs(2)
Total
(1) Recorded in Compensation and benefits.
(2) Recorded in Other operating expenses.
166
3. OPERATING SEGMENTS
Effective in the fourth quarter of 2023, Citi changed its
management structure resulting in changes in its reportable
operating segments to reflect how the CEO, who is the chief
operating decision maker (CODM), manages the Company,
including allocating resources and measuring performance.
Citi reorganized its reporting into five reportable operating
segments: Services, Markets, Banking, U.S. Personal Banking
(USPB) and Wealth, with the remaining operations recorded in
All Other, which includes activities not assigned to a specific
reportable operating segment, as well as discontinued
operations.
Prior-period reportable operating segment results have
been revised to reflect the reorganization of Citi’s
management reporting structure, including:
•
•
•
•
certain businesses engaged in financing and securitization
activities, previously operated under a revenue and
expense sharing agreement between Markets and
Banking, now reside primarily within Markets;
the implementation of a Corporate Lending revenue
sharing arrangement where certain revenues earned by
Citi are subject to a revenue sharing arrangement to
Banking—Corporate Lending from Investment Banking
and certain Markets and Services products sold to
Corporate Lending clients;
the re-attribution of certain allocation methodologies for
other revenues and expenses incurred and allocated to the
reportable operating segments to conform with the
resegmentation and segment profit and loss measure used
by the CODM; and
certain other immaterial reclassifications.
Citi’s consolidated results remain unchanged for all
periods presented following the changes and reclassifications
discussed above.
All Other results are presented on a managed basis that
excludes divestiture-related impacts related to (i) Citi’s
divestitures of its Asia consumer banking businesses and (ii)
the planned divestiture of Mexico consumer banking and small
business and middle-market banking within All Other—
Legacy Franchises. The managed basis presents investors with
a view of operating earnings that provides increased
transparency and clarity into the operational results of Citi’s
performance; improves the visibility of management decisions
and their impacts on operational performance; enables better
comparison to peer companies; and allows Citi to provide a
long-term strategic view of the business going forward.
The following is a description of each of Citi’s reportable
operating segments, and the products and services they
provide to their respective client bases.
Services
Services includes Treasury and Trade Solutions (TTS) and
Securities Services. TTS provides an integrated suite of
tailored cash management, trade and working capital solutions
to multinational corporations, financial institutions and public
sector organizations. Securities Services provides cross-border
support for clients, providing on-the-ground local market
167
expertise, post-trade technologies, customized data solutions
and a wide range of securities services solutions that can be
tailored to meet client needs.
Markets
Markets provides corporate, institutional and public sector
clients around the world with a full range of sales and trading
services across equities, foreign exchange, rates, spread
products and commodities. The range of services includes
market-making across asset classes, risk management
solutions, financing, prime brokerage, research, securities
clearing and settlement.
Banking
Banking includes Investment Banking, which supports client
capital-raising needs to help strengthen and grow their
businesses, including equity and debt capital markets-related
strategic financing solutions, as well as advisory services
related to mergers and acquisitions, divestitures, restructurings
and corporate defense activities; and Corporate Lending,
which includes corporate and commercial banking, serving as
the conduit of Citi’s full product suite to clients.
USPB
USPB includes Branded Cards and Retail Services, which
have proprietary card portfolios and co-branded card
portfolios within Branded Cards, and co-brand and private
label relationships within Retail Services. USPB also includes
Retail Banking, which provides traditional banking services to
retail and small business customers.
Wealth
Wealth includes Private Bank, Wealth at Work and Citigold
and provides financial services to a range of client segments
including affluent, high net worth and ultra-high net worth
clients 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. Private Bank
provides financial services to ultra-high net worth clients
through customized product offerings. Wealth at Work
provides financial services to professional industries
(including law firms, consulting groups, accounting and asset
management) through tailored solutions. Citigold includes
Citigold and Citigold Private Clients, which both provide
financial services to affluent and high net worth clients
through elevated product offerings and financial relationships.
All Other
All Other primarily consists of activities not assigned to the
reportable 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; discontinued
operations within Corporate/Other; and Legacy Franchises,
which consists of Asia Consumer and Mexico Consumer/
SBMM businesses that Citi intends to exit, and its remaining
Legacy Holdings Assets. Corporate/Other within All Other
also includes all restructuring charges related to actions taken
as part of Citi’s organizational simplification initiatives. See
Note 9.
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 attributable to a particular business segment
or component are generally allocated from All Other based on
respective net revenues, non-interest expenses or other
relevant measures.
Revenues and expenses from transactions with other
operating segments or components are treated as transactions
with external parties for purposes of segment disclosures,
while funding charges paid by operating segments and funding
credits received by Corporate Treasury within All Other are
included in net interest income. The Company includes
intersegment eliminations within All Other to reconcile the
operating segment results to Citi’s consolidated results.
The accounting policies of these reportable operating
segments are the same as those disclosed in Note 1.
168
The following tables present certain information regarding the Company’s continuing operations by reportable operating segments and
All Other on a managed basis. Performance measurement is based on Income (loss) from continuing operations. These results are used
by the chief operating decision maker, both in evaluating the performance of, and in allocating resources to, each of the segments:
In millions of dollars, except identifiable
assets, average loans and average deposits
in billions
Net interest income
Non-interest revenue
Services
Markets
Banking
USPB
2023
2022
2021
2023
2022
2021
2023
2022
2021
2023
2022
2021
$ 13,198 $ 10,318 $ 6,821 $ 7,265 $ 5,819 $ 6,147 $ 2,094 $ 2,057 $ 2,204 $ 20,150 $ 18,062 $ 16,285
4,852
5,301
5,702
11,592
14,342
13,252
2,474
3,339
5,579
(963) (1,190)
(440)
Total revenues, net of interest expense(1) $ 18,050 $ 15,619 $ 12,523 $ 18,857 $ 20,161 $ 19,399 $ 4,568 $ 5,396 $ 7,783 $ 19,187 $ 16,872 $ 15,845
Provisions for credit losses and for benefits
and claims
$
950 $
207 $
(263) $
437 $
155 $
(329) $
(165) $
549 $ (1,898) $ 6,707 $ 3,448 $
(998)
Provision (benefits) for income taxes
2,405
1,760
1,312
1,162
1,669
1,695
(92)
(7) 1,170
558
872
1,890
Income (loss) from continuing
operations
Identifiable assets at December 31(1)
Average loans
Average deposits
4,671
4,924
3,768
4,020
5,924
6,661
(44)
383
4,105
1,820
2,770
6,099
$
585 $
599 $
547 $
995 $
950 $
895 $
147 $
152 $
145 $
242 $
231 $
211
81
810
82
808
74
805
110
23
111
21
112
22
90
1
98
1
101
1
193
110
171
115
159
112
Wealth
All Other(2)
Reconciling Items(2)
Total Citi
2023
2022
2021
2023
2022
2021
2023
2022
2021
2023
2022
2021
Net interest income
Non-interest revenue
$ 4,460 $ 4,744 $ 4,491 $ 7,733 $ 7,668 $ 6,546 $ — $ — $ — $ 54,900 $ 48,668 $ 42,494
2,631
2,704
3,051
1,630
1,320
2,916
1,346
854
(670) 23,562
26,670
29,390
Total revenues, net of interest expense(1) $ 7,091 $ 7,448 $ 7,542 $ 9,363 $ 8,988 $ 9,462 $ 1,346 $
Provisions for credit losses and for benefits
and claims
(226) $ 1,326 $
498 $
306 $
(88) $
(67) $
(2) $
$
854 $
(670) $ 78,462 $ 75,338 $ 71,884
76 $
24 $ 9,186 $ 5,239 $ (3,778)
Provision (benefits) for income taxes
103
134
419
(990) (1,052)
(812)
382
266
(223) 3,528
3,642
5,451
Income (loss) from continuing
operations
346
950
1,968
(2,090)
398
1,059
659
(184) (1,642) 9,382
15,165
22,018
Identifiable assets at December 31(1)
$
232 $
259 $
250 $
211 $
226 $
243
Average loans
Average deposits
150
316
150
320
148
305
37
74
41
68
74
90
$ 2,412 $ 2,417 $ 2,291
661
653
668
1,334
1,333
1,335
Reconciliation of Total Citigroup
Income from continuing operations as
reported:
Total segments and All Other—Income
from continuing operations(2)
Divestiture-related impact on:
2023(3)
2022(4)
2021(5)
$ 8,723 $ 15,349 $ 23,660
Total revenues, net of interest expense
1,346
854
(670)
Total operating expenses
Provision (release) for credit losses
Provision (benefits) for income taxes
372
696
1,171
(67)
382
76
266
24
(223)
Income from continuing operations
$ 9,382 $ 15,165 $ 22,018
(1) See “Performance by Geographic Area” below.
(2) Segment results are presented on a managed basis that excludes divestiture-related impacts related to (i) Citi’s divestitures of its Asia consumer banking
businesses and (ii) the planned divestiture of Mexico consumer banking and small business and middle-market banking within All Other—Legacy Franchises.
Adjustments are included in Legacy Franchises within All Other and are reflected in the reconciliations above to arrive at Citi’s reported results in the
Consolidated Statement of Income.
(3) 2023 includes (i) an approximate $1.059 billion gain on sale recorded in revenue (approximately $727 million after-tax) related to the India consumer banking
business sale; (ii) an approximate $403 million gain on sale recorded in revenue (approximately $284 million after-tax) related to the Taiwan consumer banking
business sale; and (iii) approximately $372 million (approximately $263 million after-tax) in operating expenses primarily related to separation costs in Mexico
and severance costs in the Asia exit markets.
(4) 2022 includes (i) an approximate $535 million (approximately $489 million after-tax) goodwill write-down due to resegmentation and the timing of Asia
consumer banking business divestitures; (ii) an approximate $616 million gain on sale recorded in revenue (approximately $290 million after-tax) related to the
Philippines consumer banking business sale; and (iii) an approximate $209 million gain on sale recorded in revenue (approximately $115 million after-tax) related
to the Thailand consumer banking business sale.
(5) 2021 includes (i) an approximate $680 million loss on sale (approximately $580 million after-tax) related to Citi’s agreement to sell its Australia consumer
banking business; and (ii) an approximate $1.052 billion in expenses (approximately $792 million after-tax) primarily related to charges incurred from the
voluntary early retirement program (VERP) in connection with the wind-down of Citi’s consumer banking business in Korea.
169
Performance by Geographic Area
Citi’s operations are highly integrated, and estimates and
subjective assumptions have been made to apportion revenue
between North America and international operations. These
estimates and assumptions are consistent with the allocations
used for the Company’s segment reporting.
The Company defines international activities for purposes
of this footnote presentation as business transactions that
involve clients that reside outside of North America, and the
information presented below is based predominantly on the
domicile of the client or the booking location from which the
client relationship is managed. However, many of the
Company’s North America operations serve international
businesses.
The following table presents revenues net of interest expense and identifiable assets between North America and international areas:
In millions of dollars
North America(1)
International(2)(3)
Corporate/Other(4)
Total Citi
In millions of dollars at December 31,
North America(1)
International
Corporate/Other
Total Citi
Revenues, net of interest expense
2023
2022
2021
$
$
36,661 $
34,799 $
39,636
2,165
39,018
1,521
78,462 $
75,338 $
35,022
36,037
825
71,884
Identifiable assets(5)
2023
2022
$
1,348,169 $
1,306,127
930,185
133,480
979,214
131,335
$
2,411,834 $
2,416,676
(1) Primarily reflects the U.S.
(2)
International represents the summation of international revenues in Services, Markets, Banking, Wealth and All Other—Legacy Franchises Asia Consumer and
Mexico Consumer/SBMM.
(3) Total revenues for the U.K. were approximately $7.6 billion, $9.2 billion and $7.4 billion for 2023, 2022 and 2021, respectively.
(4) Corporate/Other revenues, net of interest expense largely reflects U.S. activities, as well as intersegment eliminations.
(5) The Company’s long-lived assets (Premises and equipment) for the periods presented are not considered significant in relation to its total assets.
170
4. INTEREST INCOME AND EXPENSE
Interest revenue and Interest expense consisted of the following:
In millions of dollars
Interest income
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 income
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
2023
2022
2021
36,864 $
28,391 $
21,004
12,851
57,868 $
41,242 $
11,238
26,887
18,300
14,458
4,507
4,515
7,154
11,214
7,418
2,865
26,408
9,032
35,440
577
1,052
7,388
5,365
653
133,258 $
74,408 $
50,475
36,300 $
11,559 $
21,439
3,427
7,438
9,754
78,358 $
54,900 $
7,786
4,455
1,437
2,488
5,801
25,740 $
48,668 $
4,745
47,114 $
43,923 $
2,896
1,012
482
121
3,470
7,981
42,494
(3,103)
45,597
$
$
$
$
$
$
$
(1)
(2)
(3)
Interest expense on Trading account liabilities of Services, Markets and Banking 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.
171
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. Investment banking fees are
earned primarily by Banking and Markets. See Note 3 for
segment results.
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.
Certain costs paid to third-party clearing houses and
exchanges are recorded net against commission revenue, as
the Company is an agent for those services. 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. Brokerage commissions are
earned primarily by Markets and Wealth. See Note 3 for
segment results.
Credit card and bank card income is primarily composed
of interchange fees, which are earned by card issuers based on
card spend volumes, 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
172
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, 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. Credit
card and bank card income is earned primarily by USPB and
Services. See Note 3 for segment results.
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. Deposit-related fees are earned primarily by
Services and USPB. See Note 3 for segment results.
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. Transactional service fees are earned
primarily by Services. See Note 3 for segment results.
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
$188 million, $201 million and $260 million of revenue
related to such variable consideration for the years ended
December 31, 2023, 2022 and 2021, respectively. These
amounts primarily relate to performance obligations satisfied
in prior periods. Insurance distribution revenue is earned
primarily by Wealth and Legacy Franchises within All Other.
See Note 3 for segment results.
Insurance premiums consist of premium income from
insurance policies that Citi has underwritten and sold to
policyholders. Insurance premiums are earned primarily by
Legacy Franchises within All Other. See Note 3 for segment
results.
The following table presents Commissions and fees revenue:
In millions of dollars
Investment banking(1)
Brokerage commissions(2)
Credit and bank card income
Interchange fees
Card-related loan fees
Card rewards and partner payments(3)
Deposit-related fees(4)
Transactional service fees
Corporate finance(5)
Insurance distribution revenue
Insurance premiums
Loan servicing
Other
Total(6)
2023
2022
2021
$
2,676 $
2,316
3,084 $
2,546
11,996
475
(12,513)
1,254
1,323
439
321
97
100
421
11,505
589
(12,336)
1,274
1,169
458
346
91
103
346
6,007
3,236
9,821
695
(10,235)
1,331
1,098
709
473
94
98
345
$
8,905 $
9,175 $
13,672
(1) For the periods presented, the contract liability amount was negligible.
(2) The Company recognized $448 million, $538 million and $639 million of revenue related to variable consideration for the years ended December 31, 2023, 2022
and 2021, respectively. These amounts primarily relate to performance obligations satisfied in prior periods.
(3) As described above, Citi’s credit card programs have certain partner sharing agreements that vary by partner.
(4) Overdraft fees are accounted for under ASC 310. Citi eliminated overdraft fees, returned item fees and overdraft protection fees beginning in June 2022. Includes
overdraft fees of $0 million, $59 million (prior to the elimination of overdraft fees in June 2022) and $107 million for the years ended December 31, 2023, 2022
and 2021, respectively.
(5) Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
(6) Commissions and fees include $(11,367) million, $(11,008) million and $(8,516) million not accounted for under ASC 606, Revenue from Contracts with
Customers, for the years ended December 31, 2023, 2022 and 2021, respectively. Amounts reported in Commissions and fees accounted for under other guidance
primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.
173
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. Custody fees are earned
primarily by Services. See Note 3 for segment results.
In millions of dollars
Custody fees
Fiduciary fees
Guarantee fees
Total administration and other fiduciary fees(1)
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. Fiduciary fees
are earned primarily by Wealth and Legacy Franchises within
All Other. See Note 3 for segment results.
The following table presents Administration and other
fiduciary fees revenue:
2023
2022
2021
$
$
1,871 $
1,376
534
3,781 $
1,877 $
1,350
557
3,784 $
1,898
1,464
581
3,943
(1) Administration and other fiduciary fees include $534 million, $557 million and $581 million for the years ended December 31, 2023, 2022 and 2021, respectively,
that are not accounted for under ASC 606, Revenue from Contracts with Customers. These generally include guarantee fees.
174
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 Services,
Markets and Banking. These adjustments are discussed further
in Note 26.
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
2023
2022
2021
$
2,946 $
3,944 $
5,439
1,266
1,741
(444)
6,599
1,848
1,801
(33)
2,001
4,661
2,196
1,123
173
$
10,948 $
14,159 $
10,154
(1)
(2)
(3)
Includes revenues from government securities, 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 corporate debt, secondary trading loans, mortgage securities, single name and index credit default swaps, and structured credit products.
175
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 deferred incentive awards granted in 2022 and after,
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.
The value of each deferred stock unit is equal to one share of
Citigroup stock, and the award will fluctuate with changes in
the stock price. 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. 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.
176
Outstanding (Unvested) Stock Awards
A summary of the status of unvested stock awards granted as
discretionary annual incentive or sign-on and replacement
stock awards is presented below:
Unvested stock awards
Shares
Weighted-
average grant
date fair
value per share
Unvested at December 31, 2022
Granted(1)
Canceled
Vested(2)
Unvested at December 31, 2023
41,908,207 $
37,029,558
(2,332,517)
(16,747,915)
59,857,333 $
65.23
49.36
57.00
63.93
56.09
(1) The weighted-average fair value of the shares granted during 2022 and
2021 was $65.07 and $62.10, respectively.
(2) The weighted-average fair value of the shares vesting during 2023 was
approximately $49.86 per share on the vesting date, compared to $63.93
on the grant date.
Citigroup did not capitalize any stock-based
compensation costs in 2023, 2022 and 2021. The related
income tax benefits for stock-based compensation costs were
$392 million, $350 million and $335 million for 2023, 2022
and 2021, respectively. Total unrecognized compensation cost
related to unvested stock awards was $1 billion at December
31, 2023. The cost is expected to be recognized over a
weighted-average period of 1.7 years.
Performance Share Units
Certain senior executives were awarded performance share
units (PSUs) every February from 2020 to 2023, for
performance in the year prior to the award date based on two
performance metrics. For PSUs awarded in 2020, those
metrics were return on average tangible common equity and
earnings per share. For PSU awards in 2021, 2022 and 2023,
the metrics were average return on tangible common equity
and cumulative 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
any mandatory equitable adjustments as required under the
applicable award agreements for unusual and non-recurring
items as presented to and approved by the Compensation,
Performance Management and Culture (CPC) Committee.
For all award years, the value of each PSU is equal to the
value of one share of Citi common stock. Dividend
equivalents are forfeitable, or accrued and paid on the number
of earned PSUs after the end of the performance period.
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—
weighted average
2023
2022
2021
Expected volatility
35.97 % 37.01 % 40.88 %
Expected dividend yield
4.13
2.96
4.21
A summary of the performance share unit activity for
2023 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
1,282,135 $
1,093,234
(332,213)
—
2,043,156 $
76.90
47.15
84.19
—
59.79
(1) The weighted-average grant date fair value per unit awarded in 2022 and
2021 was $71.04 and $78.55, respectively.
(2) No payments were processed for this program in 2023.
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 the select employees 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
177
will be evaluated and approved by the CPC Committee on an
annual basis.
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 of the awards 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, 2023 and 2022.
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.
Additional Information
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. Recipients of stock-settled awards and other vested
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, 2023, approximately 41.7 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 2022, and for
the first quarter of 2023, 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 presents components of compensation
expense, relating to the incentive compensation programs
described above:
In millions of dollars
2023
2022
2021
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(3)
$
663 $
742 $
807
340
463
384
127
101
99
689
533
395
286
304
435
$ 2,105 $ 2,143 $ 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.
(3) Citigroup recognized an additional $46 million of share-based
compensation costs in 2023 that is reflected in the Restructuring line
(not reflected in the above totals). See Note 9.
178
8. RETIREMENT BENEFITS
Pension and Postretirement Benefit 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 benefit plan obligations as of
December 31, 2023. 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 benefit
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
2023
2022
2021
2023
2022
2021
2023
2022
2021
2023
2022
2021
$ — $ — $ — $ 115 $ 116 $ 149 $ — $ — $ — $
1 $
2 $
6
96
Interest cost on benefit obligation
505
442
351
409
329
268
18
16
13
106
90
Expected return on assets
Amortization of:
Prior service cost (benefit)
Net actuarial loss (gain)
Curtailment (gain) loss(1)
Settlement loss (gain)(1)
Total net expense (benefit)
(640)
(612)
(683)
(327)
(263)
(253)
(13)
(11)
(13)
(77)
(69)
(84)
2
2
2
151
162
228
(5)
72
— — —
(16)
— — —
9
(7)
58
(22)
(15)
(6)
62
(9)
(12)
(9)
(9)
(9)
(3)
(9)
(18)
(8)
6
(9)
13
1 — — — — — —
10 — — — — — —
$
18 $
(6) $ (102) $ 257 $ 196 $ 231 $
(16) $
(13) $
(12) $
3 $
21 $
22
(1) Curtailment and settlement relate to divestiture and wind-down activities. Total 2023 net expense for non-U.S. plans include curtailment gains and settlement loss
related to divestiture of Citi’s consumer businesses in India, Indonesia and Taiwan. Total 2022 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 benefit 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
2023 or 2022.
The following table summarizes the Company’s actual
contributions for the years ended December 31, 2023 and
2022, as well as expected Company contributions for 2024.
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 the Company(3)
U.S. plans(2)
2023
2022
2024
Non-U.S. plans
U.S. plans
Non-U.S. plans
2024
2023
2022
2024
2023
2022
2024
2023
2022
$ — $ — $ — $ 61 $ 87 $ 158 $ — $ — $ — $
4 $
4 $
57
58
55
46
31 336
6
8
14
6
5
4
5
(1) Amounts reported for 2024 are expected amounts.
(2) The U.S. plans include benefits paid directly by the Company for the nonqualified pension plans.
(3) 2022 benefit payments include the wind-down of Citi’s consumer banking business in Korea.
179
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 benefit plans:
In millions of dollars
Change in benefit obligation
Pension plans
Postretirement benefit plans
U.S. plans
Non-U.S. plans
U.S. plans
Non-U.S. plans
2023
2022
2023
2022
2023
2022
2023
2022
Benefit obligation at beginning of year
$
9,741 $ 12,766 $
6,375 $
8,001 $
375 $
501 $
1,013 $
1,169
Service cost
Interest cost on benefit obligation
Plan amendments
Actuarial loss (gain)(1)
Benefits paid, net of participants’ contributions
Divestitures
Settlement(2)(3)
Curtailment(3)
Foreign exchange impact and other
—
505
—
—
442
—
115
409
(2)
116
329
—
282
(2,522)
273
(1,168)
—
18
—
(1)
(888)
(945)
(368)
(397)
(49)
—
—
—
—
—
—
—
—
(77)
(22)
(104)
(364)
(33)
442
(35)
(85)
—
—
—
—
—
16
—
(95)
(47)
—
—
—
—
1
106
—
27
(77)
—
—
—
2
90
—
(100)
(72)
—
—
—
138
(76)
Benefit obligation at year end
$
9,640 $
9,741 $
7,030 $
6,375 $
343 $
375 $
1,208 $
1,013
Change in plan assets
Plan assets at fair value at beginning of year
Actual return on plan assets(1)
Company contributions, net of reimbursements
$ 10,145 $ 12,977 $
6,086 $
7,614 $
253 $
319 $
855 $
1,043
895
58
(1,942)
55
352
118
(1,212)
495
Benefits paid, net of participants’ contributions
(888)
(945)
(368)
(397)
Divestitures
Settlement(2)(3)
Foreign exchange impact and other
—
—
—
—
—
—
(19)
(11)
(104)
(364)
361
(39)
19
8
(49)
—
—
—
(33)
14
(47)
—
—
—
56
9
(77)
—
—
127
(75)
9
(72)
—
—
(50)
855
Plan assets at fair value at year end
$ 10,210 $ 10,145 $
6,426 $
6,086 $
231 $
253 $
970 $
Funded status of the plans
Qualified plans(4)
Nonqualified plans(5)
Funded status of the plans at year end
Net amount recognized at year end
Qualified plans
Benefit asset
Benefit liability
Qualified plans
Nonqualified plans
$
1,107 $
949 $
(604) $
(289) $
(112) $
(122) $
(238) $
(158)
(537)
(545)
—
—
—
—
—
—
$
570 $
404 $
(604) $
(289) $
(112) $
(122) $
(238) $
(158)
$
1,107 $
949 $
832 $
799 $
— $
— $
— $
28
—
—
(1,436)
(1,088)
(112)
(122)
(238)
$
1,107 $
949 $
(604) $
(289) $
(112) $
(122) $
(238) $
(537)
(545)
—
—
—
—
—
(186)
(158)
—
Net amount recognized on the balance sheet
Amounts recognized in AOCI at year end(2)
Prior service (cost) benefit
Net actuarial (loss) gain
Net amount recognized in AOCI
Accumulated benefit obligation at year end
$
$
$
$
570 $
404 $
(604) $
(289) $
(112) $
(122) $
(238) $
(158)
(5) $
(6) $
5 $
7 $
(6,320)
(6,445)
(1,990)
(1,671)
(6,325) $
(6,451) $
(1,985) $
(1,664) $
9,640 $
9,740 $
6,686 $
6,051 $
73 $
114
187 $
343 $
82 $
33 $
36
120
(311)
202 $
(278) $
(206)
(170)
375 $
1,208 $
1,013
In 2022, the actuarial gain was primarily due to the increase in global discount rates partially offset by lower than expected asset returns.
(1)
(2) 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.
(3) Curtailment and settlement relate to divestiture and other wind-down activities.
(4) The U.S. qualified plan was fully funded as of January 1, 2023 and no minimum funding was required for 2023. The plan is also expected to be fully funded as of
January 1, 2024 with no expected minimum funding requirement for 2024.
(5) The nonqualified plans of the Company are unfunded.
180
The following table presents 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 benefit (cost)
Curtailment/settlement (loss) gain(3)
Foreign exchange impact and other
Change in deferred taxes, net
Change, net of tax
End of year balance, net of tax(1)(2)
2023
2022
2021
$
(5,755) $
(547)
263
175
2
(7)
(239)
58
$
$
(295) $
(6,050) $
(5,852) $
3,923
(4,225)
198
—
(37)
172
66
97 $
(5,755) $
(6,864)
963
(148)
280
(7)
11
153
(240)
1,012
(5,852)
(1) See Note 21 for further discussion of net AOCI balance.
(2)
(3) Curtailment and settlement relate to divestiture and wind-down activities, including $36 million related to the Korea wind-down in 2022.
Includes net-of-tax amounts for certain profit-sharing plans outside the U.S.
At December 31, 2023 and 2022, 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
2023
2022
2023
2022
2023
2022
2023
2022
Projected benefit obligation
$
537 $
545 $
3,747 $
3,463 $
537 $
545 $
3,510 $
Accumulated benefit obligation
Fair value of plan assets
537
—
545
—
3,453
2,311
3,179
2,374
537
—
545
—
3,258
2,100
3,315
3,088
2,252
(1) As of December 31, 2023 and 2022, 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 presented below for the U.S.
and non-U.S. pension and postretirement benefit plans). The
actuarial assumptions for All Other Plans are measured
annually.
181
Certain assumptions used in determining pension and
postretirement benefit obligations and net benefit expense for
the Company’s plans are presented in the following table:
At year end
Discount rate
U.S. plans
Qualified pension
Nonqualified pension
Postretirement benefit plan
Non-U.S. pension plans
2023
2022
5.10%
5.15
5.20
5.50%
5.55
5.60
Range
1.35 to 14.55
1.75 to 25.20
Weighted average
6.91
6.66
Non-U.S. postretirement benefit
plans
During the year
Discount rate
U.S. plans
Qualified
pension
2023
2022
2021
5.50%/5.15%/
5.40%/6.05%
2.80%/3.80%/
4.80%/5.65%
2.45%/3.10%/
2.75%/2.80%
Nonqualified
pension
Postretirement
benefit plan
5.55/5.20/
5.45/6.10
5.60/5.25/
5.50/6.10
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
Non-U.S. pension plans(1)
Range(2)
Weighted
average
1.75 to 25.20
-0.10 to 11.95 -0.25 to 11.15
6.66
3.96
3.14
Non-U.S. postretirement benefit
plans(1)
Range
3.25 to 11.55
1.05 to 11.25
0.80 to 9.80
Range
3.80 to 10.70
3.25 to 10.60
Weighted average
9.90
9.80
Weighted
average
9.80
8.28
7.42
Future compensation increase rate(1)
Non-U.S. pension plans
Range
1.30 to 12.40
1.30 to 23.11
Weighted average
3.84
3.76
Long-term expected return on
assets
U.S. plans
Qualified pension
Postretirement benefit plan(2)
5.70
5.70
5.70/3.00
5.70/3.00
Non-U.S. pension plans
Range
2.00 to 11.50
1.00 to 11.50
Weighted average
6.62
6.05
Non-U.S. postretirement benefit
plans
Range
8.60 to 9.40
8.70 to 9.10
Weighted average
9.39
8.70
Interest crediting rate (weighted
average)(3)
U.S. plans
Non-U.S. plans
4.10
1.78
4.50
1.73
(1) Not material for U.S. plans.
(2) For the years ended 2023 and 2022, the expected return on assets for the
Voluntary Employees Beneficiary Association (VEBA) Trust was
3.00%.
(3) 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.
Future compensation increase rate(3)
Non-U.S. pension plans(1)
Range
Weighted
average
1.30 to 23.11
1.30 to 11.25
1.20 to 11.25
3.76
3.10
3.10
Long-term expected return on
assets
U.S. plans
Qualified
pension(4)
Postretirement
benefit plan(4)
5.70
5.00
5.70/3.00
5.00/1.50
5.80/5.60/5.60
/5.00
5.80/5.60/5.00
/1.50
Non-U.S. pension plans(1)
Range
Weighted
average
1.00 to 11.50
0.00 to 11.50
0.00 to 11.50
6.05
3.69
3.39
Non-U.S. postretirement benefit
plans(1)
Range
8.70 to 9.10
6.00 to 8.00
5.95 to 8.00
Weighted
average
8.70
7.99
7.99
Interest crediting rate (weighted
average)(5)
U.S. plans
4.50/4.15/
4.40/5.05
1.80/2.80/
3.80/4.65
1.45/2.10/
1.75/1.80
Non-U.S. plans
1.73
1.61
1.60
(1) Reflects rates utilized to determine the quarterly expense for Significant
(2)
non-U.S. pension and postretirement benefit 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) Effective January 1, 2024, there is no change in the expected return on
assets for the U.S. pension and postretirement benefit plans of 5.70%.
The expected return on assets for the U.S. pension and postretirement
benefit 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 benefit
plans changed from 6.70% to 5.80% effective January 1, 2021, reduced
to 5.60% effective April 1, 2021 and further reduced to 5.00% effective
October 1, 2021. For the year 2023, the expected return on assets for the
VEBA Trust was 3.00% and for 2021 and 2022 it was 1.50%.
182
(5) 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.
Discount Rate
The discount rates for the U.S. pension and postretirement
benefit 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
benefit 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 benefit
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 presents the expected return on assets
used in determining the Company’s pension expense
compared to the actual return on assets during 2023, 2022 and
2021 for the U.S. pension and postretirement benefit plans:
U.S. plans (during the year)
2023
2022
2021
Expected return on assets
U.S. pension and
postretirement trust
VEBA Trust(1)
Actual return on assets(2)
U.S. pension and
postretirement trust
VEBA Trust
5.70%
5.00%
5.80%/5.60%/
5.60%/5.00%
3.00
1.50
1.50
9.83
5.87
(15.52)
1.40
5.14
1.52
(1) The expected return on assets for the VEBA Trust was adjusted from
1.50% to 3.00% effective January 1, 2023 to reflect the significant
change in economic conditions.
(2) Actual return on assets is presented net of fees.
Sensitivities of Certain Key Assumptions
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 cost than service cost, and an increase in the
discount rate would increase pension expense, while a
decrease in the 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:
Discount rate
One-percentage-point increase
In millions of dollars
2023
2022
2021
U.S. plans
Non-U.S. plans
$
22 $
(12)
27 $
(5)
35
(4)
One-percentage-point decrease
In millions of dollars
2023
2022
2021
U.S. plans
Non-U.S. plans
$
(26) $
20
(34) $
15
(49)
25
183
Expected return on assets
One-percentage-point increase
In millions of dollars
2023
2022
2021
U.S. plans
Non-U.S. plans
$
(112) $
(123) $
(54)
(60)
(124)
(70)
One-percentage-point decrease
In millions of dollars
2023
2022
2021
U.S. plans
Non-U.S. plans
$
112 $
54
123 $
60
124
70
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
6.75%
7.00%
2023
2022
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
2031
Following year
7.60%
7.05%
Ultimate rate to which cost increase is
assumed to decline
Year in which the ultimate rate
is reached
7.02
2030
7.05
2023
Plan Assets
Citigroup’s pension and postretirement benefit 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,
2024
0–22%
55–105
0–4
0–5
0–23
2023
2022
2023
2022
7 %
7 %
7 %
7 %
71
2
8
12
71
3
7
12
71
2
8
12
71
3
7
12
100 %
100 %
100 %
100 %
(1) Target asset allocations are set by investment strategy, whereas pension and postretirement assets as of December 31, 2023 and 2022 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 benefit plans do not include any Citigroup common stock at the end of 2023 and 2022.
(3) The VEBA Trust for postretirement benefits is primarily invested in cash equivalents and debt securities in 2023 and 2022 and is not reflected in the table above.
184
Third-party investment managers and advisors provide
their services to Citigroup’s U.S. pension and postretirement
benefit 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 benefit 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,
2024
0–48%
0–100
0–17
0–100
2023
0–48%
0–100
0–17
0–100
2022
0–63%
0–100
0–15
0–100
Weighted average
at December 31,
2023
2022
19 %
19 %
73
1
7
73
1
7
100 %
100 %
Non-U.S. postretirement benefit plans
Target asset
allocation
Actual range
at December 31,
2024
0–46%
50–100
0–4
2023
0–46%
49–100
0–5
2022
0–48%
45–100
0–7
Weighted average
at December 31,
2023
2022
45 %
50
5
100 %
47 %
49
4
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.
185
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 26. 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 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, 2023
Level 1
Level 2
Level 3
Total
$
262 $
315
244
—
690
—
38
—
1,549 $
11 $
(3)
1,557 $
$
$
$
— $
—
—
622
5,041
—
164
—
5,827 $
651 $
(171)
6,307 $
— $
—
—
—
—
3
—
2
5 $
— $
—
5 $
$
$
262
315
244
622
5,731
3
202
2
7,381
662
(174)
7,869
(127)
2,699
10,441
(1) The investments of the U.S. pension and postretirement benefit plans are commingled in one trust. At December 31, 2023, the allocable interests of the U.S.
pension and postretirement benefit 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 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 benefit plans are commingled in one trust. At December 31, 2022, the allocable interests of the U.S.
pension and postretirement benefit plans were 98.0% and 2.0%, respectively. The investments of the VEBA Trust for postretirement benefits are reflected in the
above table.
186
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, 2023
Level 1
Level 2
Level 3
Total
133 $
722
2,706
12
2,620
—
—
—
—
6,193 $
83 $
—
6,276 $
— $
—
310
—
1,016
—
—
1,137
—
2,463 $
— $
(1,594)
869 $
— $
—
—
—
—
2
2
—
231
235 $
— $
—
235 $
$
$
133
722
3,016
12
3,636
2
2
1,137
231
8,891
83
(1,594)
7,380
16
7,396
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
$
$
$
$
$
$
$
$
187
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, 2022
Realized (losses) Unrealized gains
Purchases,
sales and
issuances
Transfers in and/
or out of Level 3
Ending Level 3
fair value at
Dec. 31, 2023
$
$
3 $
4
7 $
— $
—
— $
— $
—
— $
— $
(2)
(2) $
— $
—
— $
3
2
5
U.S. pension and postretirement benefit plans
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
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, 2022
Unrealized gains
Purchases, sales and
issuances
Transfers in and/
or out of Level 3
Ending Level 3
fair value at
Dec. 31, 2023
$
$
2 $
2
258
262 $
— $
—
6
6 $
— $
—
(33)
(33) $
— $
—
—
— $
2
2
231
235
Non-U.S. pension and postretirement benefit plans
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
188
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.
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
2024
2025
2026
2027
2028
U.S. plans
U.S. plans U.S. plans
$
1,000 $
638 $
57 $
1,005
985
962
937
558
553
566
569
41
39
36
34
2029–2033
3,974
3,207
131
89
93
98
102
107
601
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)
2023
2022
$
$
(46) $
(13) $
(48)
(16)
The following table summarizes the net expense
recognized in the Consolidated Statement of Income for the
Company’s U.S. post employment plans:
In millions of dollars
Net expense
2023
2022
2021
$
14 $
11 $
10
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 2023 and 2022, 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:
U.S. plans
In millions of dollars
2023
2022
2021
Company contributions
$
546 $
471 $
436
In millions of dollars
2023
2022
2021
Company contributions
$
453 $
399 $
364
Non-U.S. plans
189
9. RESTRUCTURING
Citi is pursuing various initiatives to simplify the Company
and further align its organizational structure with its business
strategy. As part of its overall simplification initiatives, in the
fourth quarter of 2023, Citi eliminated the Institutional Clients
Group and Personal Banking and Wealth Management layers,
exited certain institutional business lines, and consolidated its
regional structure, creating one international group, while
centralizing client capabilities and streamlining its global staff
functions.
Citi incurred restructuring charges of approximately
$780 million in the fourth quarter related to the
implementation of its organizational simplification initiatives.
These charges included severance costs associated with actual
headcount reductions (as well as those headcount reductions
that were probable and could be reasonably estimated), asset
write-downs and other costs. Citi expects to incur additional
costs related to its organizational simplification in the first
quarter of 2024.
In millions of dollars
Beginning balance at January 1, 2023
Restructuring charge
Payments and utilization
Foreign exchange
Ending balance at December 31, 2023
Restructuring charges are recorded as a separate line item
within Operating expenses in the Company’s Consolidated
Statement of Income. These charges were included within All
Other—Corporate/Other.
The following costs associated with these initiatives are
included in restructuring charges:
•
•
Personnel costs: severance costs associated with
headcount reductions
Other: costs associated with contract terminations and
other direct costs associated with the restructuring,
including asset write-downs (non-cash write-downs of
capitalized software, which are included in Premises and
equipment related to exited businesses)
The following table is a rollforward of the liability related
to the restructuring charges:
Personnel
costs
Other
Total
$
$
— $
687
—
—
687 $
— $
94
(69)
—
25 $
—
781
(69)
—
712
190
10. INCOME TAXES
Income Tax Provision
Details of the Company’s income tax provision are presented
below:
In millions of dollars
2023
2022
2021
Current
Federal
Non-U.S.
State
$
41 $ 407 $ 522
5,807 4,106 3,288
96
270
228
Total current income taxes
$ 5,944 $ 4,783 $ 4,038
Deferred
Federal
Non-U.S.
State
$ (1,925) $ (807) $ 1,059
(432)
353
8
(59)
(687)
346
Total deferred income taxes
$ (2,416) $ (1,141) $ 1,413
Provision for income tax on
continuing operations before
noncontrolling interests(1)
Provision (benefit) for income taxes
on:
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:
2023
2022
2021
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(1)
Tax-advantaged investments
Valuation allowance releases(2)
Other, net
0.3
9.5
2.0
4.3
2.1
1.6
(0.3)
(3.2)
(0.4)
1.7
(4.4)
(0.2)
(0.3)
1.0
(3.0)
(2.3)
(0.4)
0.6
(2.3)
(1.7)
(1.1)
Effective income tax rate
27.3 % 19.4 % 19.8 %
$ 3,528 $ 3,642 $ 5,451
(1) Excludes the 2023 FDIC special assessment, which is tax deductible.
See Note 30.
(2) See “Deferred Tax Assets” below for a description of the components.
Discontinued operations
$ — $
(41) $ —
Gains (losses) included in AOCI, but
excluded from net income
Employee stock plans
Opening adjustment to Retained
earnings(2)
Opening adjustment to AOCI(3)
557 (1,573) (1,684)
(13)
(8)
(6)
102 — —
12 — —
(1)
Includes the tax on realized investment gains and impairment losses
resulting in a provision (benefit) of $51 million and $(92) million in
2023, $14 million and $(137) million in 2022 and $169 million and
$(57) million in 2021, respectively.
(2) Related to the adoption of “Financial Instruments—Credit Losses (Topic
326): Troubled Debt Restructurings and Vintage Disclosures.” See Note
1.
(3) Related to the adoption of “Financial Services—Insurance: Targeted
Improvements to the Accounting for Long-Duration Contracts.” See
Note 1.
As presented in the table above, Citi’s effective tax rate
for 2023 was 27.3%, compared to 19.4% in 2022, due to the
geographic mix of earnings and the absence of the prior-year
discrete benefits.
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
Derivatives
Other deferred tax liabilities
Gross deferred tax liabilities
Net deferred tax assets
2023
2022
$ 5,449 $ 5,162
2,771
2,059
1,349
1,191
4,706
5,218
15,250 14,623
4,297
3,551
5,235
4,055
$ 39,057 $ 35,859
$ 3,572 $ 2,438
$ 35,485 $ 33,421
$ (2,333) $ (2,271)
(951)
(1,142)
(113)
(595)
(587)
(69)
(1,893)
(1,672)
$ (5,877) $ (5,749)
$ 29,608 $ 27,672
191
Unrecognized Tax Benefits
The following is a rollforward of the Company’s unrecognized
tax benefits:
In millions of dollars
2023
2022
2021
Total unrecognized tax benefits at
January 1
Increases for current year’s tax
positions
Increases for prior years’ tax positions
$ 1,311 $ 1,296 $ 861
59
51
55
97
168
515
Decreases for prior years’ tax positions
(138)
(119)
(107)
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
(3)
(50)
(64)
(4)
(26)
(2)
1
(13)
(4)
$ 1,277 $ 1,311 $ 1,296
The portions of the total unrecognized tax benefits at
December 31, 2023, 2022 and 2021 that, if recognized, would
affect Citi’s tax expense is $1.0 billion in each of the
respective years. 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
2023
2022
2021
Pretax Net of tax Pretax Net of tax Pretax Net of tax
Total interest and penalties on the Consolidated Balance Sheet at January 1
$ 234 $
176 $ 214 $
164 $ 118 $
Total interest and penalties in the Consolidated Statement of Income
Total interest and penalties on the Consolidated Balance Sheet at December 31(1)
47
271
38
27
16
32
205
234
176
214
96
24
164
(1)
Includes $0 million, $3 million and $3 million for non-U.S. penalties in 2023, 2022 and 2021, respectively.
As of December 31, 2023, 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
Tax year
2016
2017
2009
2016
2021
2022
2023
2018
192
Non-U.S. Earnings
Non-U.S. pretax earnings approximated $19.4 billion in 2023,
$16.2 billion in 2022 and $12.9 billion in 2021. 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, 2023, $6.0 billion of basis differences of
non-U.S. entities was indefinitely reinvested. At the existing
tax rates (including withholding taxes), additional taxes (net of
U.S. FTCs) of $2.3 billion would have to be provided if such
assertions were reversed.
Deferred Tax Assets
As of December 31, 2023, Citi had a valuation allowance of
$3.6 billion, composed of valuation allowances of $1.9 billion
on its branch basket FTC carry-forwards, $1.2 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 an increase of
$1.2 billion from the December 31, 2022 balance of
$2.4 billion. The amount of Citi’s valuation allowances (VA)
may change in future years.
In 2023, Citi’s VA for carry-forward FTCs in its branch
basket increased by $1.0 billion, primarily due to lower ODL
usage.
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 2023.
The non-U.S. local VA was unchanged.
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,
2023
DTAs balance
December 31,
2022
$
$
$
$
$
$
$
3.3 $
1.2
5.6
12.0
22.1 $
1.7 $
0.1
2.4
4.2 $
1.0 $
2.3
3.3 $
29.6 $
3.3
1.9
5.2
10.1
20.5
1.9
0.2
2.2
4.3
0.7
2.2
2.9
27.7
(1) All amounts are net of valuation allowances.
(2)
Included in the net U.S. federal DTAs of $22.1 billion as of December
31, 2023 were deferred tax liabilities of $2.9 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.
193
The following table summarizes the amounts of tax carry-
Although realization is not assured, Citi believes that the
realization of the recognized net DTAs of $29.6 billion at
December 31, 2023 is more-likely-than-not, based on
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 $7 billion as of December 31, 2023 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 help support the realization of the FTC carry-
forwards after VA. As noted in the tables above, Citi’s FTC
carry-forwards were $1.2 billion ($3.1 billion before VA) as of
December 31, 2023, compared to $1.9 billion ($2.8 billion
before VA) as of December 31, 2022. The increased VA on
branch FTCs is reflected in the “Non-U.S. income tax rate
differential” line in the “Tax Rate” section above. 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.
forwards and their expiration dates:
In billions of dollars
Year of expiration
U.S. tax return general basket foreign
tax credit carry-forwards(1)
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)
2028
2029
2033
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
2043
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, 2023
December
31, 2022
$
$
$
$
$
$
$
0.1 $
1.1
1.2 $
0.7 $
0.2
1.0
1.9 $
0.4 $
0.3
0.2
0.2
0.2
0.5
0.5
0.7
0.7
0.8
0.7
0.4
5.6 $
0.1 $
0.1
0.3
1.7
1.9
3.3
2.1
1.0
5.4
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
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
$
$
$
$
15.9 $
15.8
9.9 $
11.5
8.7 $
10.3
1.4 $
1.1
(1) Before valuation allowance.
(2) Pretax.
194
11. 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
Income from continuing operations before attribution of noncontrolling interests
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
Net income available to common shareholders
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares
with rights to dividends, and other relevant items(1), 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
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
Weighted-average common shares outstanding applicable to basic EPS (in millions)
Effect of dilutive securities(3)
Other employee plans
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)
Diluted earnings per share(2)
Income from continuing operations
Discontinued operations
Net income per share—diluted(4)
2023
2022
2021
$
$
$
$
9,382 $
15,165 $
22,018
153
89
73
9,229 $
15,076 $
21,945
(1)
(231)
7
9,228 $
14,845 $
21,952
1,198
1,032
1,040
8,030 $
13,813 $
20,912
180
113
154
$
7,850 $
13,700 $
20,758
1,930.1
1,946.7
2,033.0
$
$
$
4.07 $
7.16 $
10.21
—
(0.12)
—
4.07 $
7.04 $
10.21
7,850 $
13,700 $
20,758
57
41
31
$
7,907 $
13,741 $
20,789
$ 1,930.1 $ 1,946.7 $ 2,033.0
25.7
17.6
16.4
1,955.8
1,964.3
2,049.4
$
$
4.04 $
7.11 $
10.14
—
(0.12)
—
4.04 $
7.00 $
10.14
(1) Other relevant items include issuance costs of $58 million related to the redemption of preferred stock Series A, B, K and partial J, during 2023, and $14 million in
1% excise tax on preferred stock redemptions during 2023. The preferred issuance costs were reclassified from Additional paid-in capital to Retained earnings
upon redemption of the preferred stock. See Note 22.
(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 2023, 2022 and 2021, there were no weighted-average options outstanding.
(4) Due to rounding, income from continuing operations and discontinued operations may not sum to net income per share—diluted.
195
12. 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,
2023
2022
$
267,319 $
291,272
78,408
74,165
$
345,727 $
365,437
(27)
(36)
$
345,700 $
365,401
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,
2023
2022
$
264,958 $
183,827
13,149
18,617
$
278,107 $
202,444
(1) The above tables do not include securities-for-securities lending
transactions of $4.3 billion and $4.4 billion at December 31, 2023 and
2022, 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 16.
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,
196
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 26 and 27. 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 27. 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.
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
In millions of dollars
Securities sold under agreements to
repurchase
Deposits received for securities loaned
Total
As of December 31, 2023
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)
$
$
515,533 $
248,214 $
97,881
19,473
613,414 $
267,687 $
267,319 $
78,408
345,727 $
244,783 $
22,536
25,433
52,975
270,216 $
75,511
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)
$
$
513,172 $
248,214 $
32,622
19,473
545,794 $
267,687 $
264,958 $
13,149
278,107 $
181,794 $
83,164
2,441
10,708
184,235 $
93,872
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
(1)
Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
197
(2)
Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for
offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(3) Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing
enforceability of the offsetting right.
The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements
by remaining contractual maturity:
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, 2023
Open and
overnight
Up to 30 days
31–90 days
Greater than
90 days
Total
289,907 $
134,870 $
35,639 $
52,756 $
513,172
24,997
—
1,270
6,355
32,622
314,904 $
134,870 $
36,909 $
59,111 $
545,794
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
$
$
$
$
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
State and municipal securities
Foreign government securities
Corporate bonds
Equity securities
Mortgage-backed securities
Asset-backed securities
Other
Total
In millions of dollars
U.S. Treasury and federal agency securities
$
As of December 31, 2023
Repurchase
agreements
Securities lending
agreements
Total
223,343 $
447
174,661
12,403
5,853
85,014
3,032
8,419
461 $
2
118
195
31,574
21
178
73
223,804
449
174,779
12,598
37,427
85,035
3,210
8,492
$
513,172 $
32,622 $
545,794
As of December 31, 2022
Repurchase
agreements
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
198
13. 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,
2023
2022
Receivables from customers
$
15,986 $
15,462
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)
$
$
$
37,929
53,915 $
49,206 $
14,333
63,539 $
38,730
54,192
55,747
13,471
69,218
(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.
199
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200
14. 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,
2023
2022
$
256,936 $
254,247
258
508
1,639
5,497
249,679
268,863
429
466
1,676
5,469
$
519,085 $
526,582
(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 $25 million and $27 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, 2023 and 2022, respectively.
(6) Not included in the balances above is approximately $2 billion of accrued interest receivable at December 31, 2023 and 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, 2023 and 2022.
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
2023
2022
2021
$
17,654 $
10,643 $
6,975
334
312
348
223
279
134
Total interest and dividend income on investments
$
18,300 $
11,214 $
7,388
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
2023
2022
2021
$
$
324 $
(136)
188 $
323 $
(256)
67 $
860
(195)
665
201
Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
December 31, 2023
December 31, 2022
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
$
30,279 $
170 $
734 $
— $ 29,715 $ 12,009 $
8 $
755 $
— $ 11,262
426
1
—
—
3
—
—
—
423
1
488
2
—
—
3
—
—
—
485
2
$
30,706 $
170 $
737 $
— $ 30,139 $ 12,499 $
8 $
758 $
— $ 11,749
In millions of dollars
Debt securities AFS
Mortgage-backed
securities(1)
U.S. government-
sponsored agency
guaranteed(2)(3)
Residential
Commercial
Total mortgage-backed
securities
U.S. Treasury and
federal agency
securities
U.S. Treasury
$
81,684 $
59 $
1,382 $
— $ 80,361 $ 94,732 $
50 $
2,492 $
— $ 92,290
Agency obligations
—
—
—
—
—
—
—
—
—
—
Total U.S. Treasury
and federal agency
securities
State and municipal
Foreign government
Corporate
Asset-backed
securities(1)
Other debt securities
Total debt securities
AFS
$
$
81,684 $
2,204 $
132,045
5,610
921
6,754
59 $
18 $
528
18
17
4
1,382 $
— $ 80,361 $ 94,732 $
50 $
2,492 $
— $ 92,290
91 $
— $ 2,131 $
2,363 $
19 $
159 $
— $ 2,223
1,375
208
— 131,198 135,648
569
2,940
— 133,277
8
5,412
5,146
19
246
3
4,916
—
1
—
—
938
1,022
6,757
4,198
12
1
4
5
—
—
1,030
4,194
$ 259,924 $
814 $
3,794 $
8 $ 256,936 $ 255,608 $
678 $
6,604 $
3 $ 249,679
(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 23 for mortgage- and asset-
backed securitizations in which the Company has other involvement.
In January 2023, Citi adopted ASU 2022-01. Upon adoption, Citi transferred $3.3 billion of mortgage-backed securities from HTM classification to AFS
classification as allowed under the ASU. At the time of transfer, the securities were in an unrealized gain position of $0.1 billion, which was recorded in AOCI
upon transfer. See Note 1.
(2)
(3) Amortized cost includes unallocated portfolio layer cumulative basis adjustments of $0.2 billion as of December 31, 2023. Gross unrealized gains and gross
unrealized (losses) on mortgage-backed securities excluding the effect of unallocated portfolio layer cumulative basis adjustments were $368 million and
$(683) million, respectively, as of December 31, 2023.
At December 31, 2023, the amortized cost of AFS debt
securities for those in a loss position exceeded their fair value
by $3,794 million. Of the $3,794 million, $861 million
represented unrealized losses on AFS debt securities that have
been in a gross unrealized loss position for less than a year
and, of these, 82% were rated investment grade; and
$2,933 million represented unrealized losses on AFS debt
securities that have been in a gross unrealized loss position for
a year or more and, of these, 96% were rated investment
grade. Of the $2,933 million, $1,269 million represents U.S.
Treasury and federal agency securities.
202
The following table presents the fair value of AFS debt securities that have been in an unrealized loss position:
In millions of dollars
December 31, 2023
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
$
8,602 $
86 $
9,734 $
648 $ 18,336 $
Residential
Commercial
Total mortgage-backed securities
U.S. Treasury and federal agency securities
U.S. Treasury
352
—
1
—
34
—
2
—
386
—
$
8,954 $
87 $
9,768 $
650 $ 18,722 $
$ 11,851 $
113 $ 57,669 $
1,269 $ 69,520 $
Total U.S. Treasury and federal agency securities
$ 11,851 $
113 $ 57,669 $
1,269 $ 69,520 $
$
906 $
17 $
324 $
74 $
1,230 $
42,250
540
29,176
835
71,426
1,375
2,319
154
1,864
103
1,619
105
3,938
—
1
16
228
—
—
170
2,092
208
—
1
$ 68,298 $
861 $ 98,800 $
2,933 $ 167,098 $
3,794
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
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 $
Total U.S. Treasury and federal agency securities
$ 40,701 $
1,001 $ 34,692 $
1,491 $ 75,393 $
734
3
—
737
1,382
1,382
91
755
3
—
758
2,492
2,492
159
State and municipal
Foreign government
Corporate
Asset-backed securities
Other debt securities
Total debt securities AFS
December 31, 2022
Debt securities AFS
Mortgage-backed securities
State and municipal
Foreign government
Corporate
Asset-backed securities
Other debt securities
Total debt securities AFS
$
896 $
31 $
707 $
128 $
1,603 $
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
203
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(3)
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(4)
Due within 1 year
After 1 but within 5 years
After 5 but within 10 years
After 10 years
Total
Total debt securities AFS(3)
December 31, 2023
Amortized
cost
Fair
value
Weighted-
average yield(1)
$
$
$
$
$
$
$
$
$
$
$
10 $
570
552
29,326
30,458 $
45,716 $
35,439
529
—
11
559
528
29,041
30,139
45,425
34,449
487
—
1.48 %
3.14
3.64
4.76
4.71 %
2.19 %
1.25
3.61
—
81,684 $
80,361
1.79 %
12 $
132
272
1,788
2,204 $
63,008 $
64,760
3,781
496
11
131
269
1,720
2,131
62,733
64,238
3,765
462
1.39 %
3.28
4.04
3.82
3.81 %
5.24 %
5.26
3.95
2.61
132,045 $
131,198
5.20 %
6,408 $
6,042
766
69
13,285 $
259,676 $
6,395
5,913
772
27
13,107
256,936
1.86 %
5.70
13.01
1.34
4.25 %
4.01 %
(1) Weighted-average yields are weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of
(2)
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. See Note 23 for additional information about mortgage- and asset-backed securitizations in which the
Company has other involvement.
(3) Amortized cost excludes unallocated portfolio layer cumulative basis adjustments of $0.2 billion as of December 31, 2023.
(4)
Includes corporate, asset-backed and other debt securities.
204
Debt Securities Held-to-Maturity
The carrying value and fair value of debt securities HTM were as follows:
In millions of dollars
December 31, 2023
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
Foreign government
Asset-backed securities(2)
Total debt securities HTM, net
December 31, 2022
Debt securities HTM
Mortgage-backed securities(2)
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
Amortized
cost, net(1)
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
$
$
$
79,689 $
198
1,146
81,033 $
131,776 $
9,182
2,210
30,046
$
254,247 $
$
$
$
90,063 $
445
1,114
91,622 $
134,961 $
9,237
2,075
30,968
7 $
—
2
9 $
— $
73
—
9
91 $
58 $
—
5
63 $
— $
34
—
4
8,603 $
71,093
—
156
8,759 $
9,908 $
477
58
135
19,337 $
10,033 $
—
1
10,034 $
13,722 $
764
93
703
198
992
72,283
121,868
8,778
2,152
29,920
235,001
80,088
445
1,118
81,651
121,239
8,507
1,982
30,269
243,648
$
268,863 $
101 $
25,316 $
(1) Amortized cost is reported net of ACL of $95 million and $120 million at December 31, 2023 and 2022, 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 23 for mortgage- and asset-backed securitizations
in which the Company has other involvement.
In January 2023, Citi adopted ASU 2022-01. Upon adoption, Citi transferred $3.3 billion of mortgage-backed securities from HTM classification to AFS
classification as allowed under the ASU. At the time of transfer, the securities were in an unrealized gain position of $0.1 billion, which was recorded in AOCI
upon transfer. See Note 1.
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.
205
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, 2023
Amortized
cost(1)
Fair
value
Weighted-
average yield(2)
$
$
$
$
$
$
$
$
$
$
$
20 $
1,213
708
79,092
81,033 $
5,607 $
126,169
—
—
20
1,156
650
70,457
72,283
5,424
116,444
—
—
2.14 %
3.46
2.47
2.88
2.89 %
0.68 %
1.10
—
—
131,776 $
121,868
1.08 %
34 $
117
1,388
7,643
9,182 $
1,553 $
657
—
—
34
115
1,351
7,278
8,778
1,493
659
—
—
3.13 %
3.04
3.14
3.34
3.31 %
10.77 %
9.82
—
—
2,210 $
2,152
10.49 %
— $
1
11,365
18,680
30,046 $
254,247 $
—
1
11,362
18,557
29,920
235,001
— %
1.22
4.97
5.70
5.42 %
2.33 %
(1) Amortized cost is reported net of ACL of $95 million at December 31, 2023.
(2) Weighted-average yields are weighted based on the amortized cost of each security. The effective 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, 2023 and
2022.
There were no purchased credit-deteriorated HTM debt
securities held by the Company as of December 31, 2023 and
2022.
206
Evaluating Investments for Impairment—AFS Debt
Securities
Overview
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, 2023.
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 26).
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.
207
Recognition and Measurement of Impairment
The following table presents total impairment on AFS investments recognized in earnings:
In millions of dollars
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
Year ended
2023
2022
2021
$
188 $
360 $
181
Allowance for Credit Losses on AFS Debt Securities
The allowance for credit losses on AFS debt securities held
that the Company does not intend to sell nor will likely be
required to sell was $8 million and $3 million as of
December 31, 2023 and 2022, respectively.
208
Below is the carrying value of non-marketable equity
securities measured using the measurement alternative at
December 31, 2023 and 2022:
In millions of dollars
Measurement alternative:
December 31,
2023
December 31,
2022
Carrying value
$
1,639 $
1,676
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
Year ended December 31,
2023
2022
$
135 $
24
87
139
3
177
(1) See Note 26 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, 2023
$
338
34
951
A similar impairment analysis is performed for non-
marketable equity securities carried at cost. For the years
ended December 31, 2023 and 2022, there was no impairment
loss recognized in earnings for non-marketable equity
securities carried at cost.
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 the equity
security is impaired, its fair value is determined. If the fair
value of the investment is less than its carrying value, the
investment is written down to fair value through earnings.
209
(6) Represents fair value hedge basis adjustments related to portfolio layer
method hedges of mortgage and real estate loans, which are not
allocated to individual loans in the portfolio. See Note 24.
The Company sold and/or reclassified to held-for-sale
$5.7 billion and $5.0 billion of corporate loans during the
years ended December 31, 2023 and 2022, respectively. The
Company did not have significant purchases of corporate loans
classified as held-for-investment for the years ended
December 31, 2023 or 2022.
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 $0.3 billion of lease
financing receivables, as of December 31, 2023, 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, 2023 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
collectibility 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.
15. LOANS
Citigroup loans are reported in two categories: corporate and
consumer. These categories are classified primarily according
to the operating segment, reporting unit 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
Services, Markets, Banking and the Mexico SBMM
component of All Other—Legacy Franchises. The following
table presents information by corporate loan type:
In millions of dollars
In North America offices(1)
December 31,
2023
December 31,
2022
Commercial and industrial
$
61,008 $
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
39,393
17,813
23,335
227
56,176
43,399
17,829
23,767
308
$
$
141,776 $
141,479
93,402 $
26,143
7,197
27,907
48
93,967
21,931
4,179
23,347
46
3,599
4,205
$
158,296 $
147,675
Corporate loans, net of
unearned income, excluding
portfolio layer cumulative basis
adjustments(3)(4)(5)
Unallocated portfolio layer
cumulative basis adjustments(6)
Corporate loans, net of
unearned income(3)(4)(5)
$
$
$
300,072 $
289,154
93 $
—
300,165 $
289,154
(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 ($917) million and ($797)
million at December 31, 2023 and 2022, respectively. Unearned income
on corporate loans primarily represents loan origination fees, net of
certain direct origination costs, that are deferred and recognized as
Interest income over the lives of the related loans.
(4) Not included in the balances above is approximately $2 billion of
accrued interest receivable at December 31, 2023 and 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, 2023 and 2022, respectively.
210
Corporate Loan Delinquencies and Non-Accrual Details at December 31, 2023
In millions of dollars
Commercial and industrial
Financial institutions
Mortgage and real estate
Lease financing
Other
Loans at fair value
Total(5)
30–89 days
past due
and accruing(1)
$
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
308 $
118 $
426 $
717 $
150,308 $
151,451
9
66
—
66
7
3
—
17
16
69
—
83
51
868
—
246
64,993
24,001
275
50,738
65,060
24,938
275
51,067
7,281
$
449 $
145 $
594 $
1,882 $
290,315 $
300,072
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
(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 collectibility 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.
(5) Excludes $93 million of unallocated portfolio layer cumulative basis adjustments at December 31, 2023.
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.
211
Corporate Loans Credit Quality Indicators
Recorded investment in loans(1)
Term loans by year of origination
2023
2022
2021
2020
2019
Prior
Revolving line
of credit
arrangements(2)
December 31,
2023
$ 47,811 $
7,738 $
3,641 $
2,279 $
2,604 $
6,907 $
34,956 $
105,936
11,002
2,356
2,834
424
557
1,847
36,715
3,628
4,433
3,595
2,544
1,238
1,582
66
4,653
5,781
1,072
1,029
812
5,302
29,335
55,735
17,086
47,984
$ 67,094 $ 20,308 $ 11,142 $
6,276 $
5,211 $ 15,638 $
101,072 $
226,741
$ 17,570 $
4,785 $
1,914 $
1,359 $
732 $
2,526 $
15,912 $
44,798
4,207
748
1,084
1,034
1,234
1,378
653
434
248
53
—
118
8
46
—
233
—
84
—
8
41
56
947
158
35
—
38
—
194
755
211
45
—
110
55
260
1,016
155
93
—
308
12
2,725
620
1,253
361
51
53
130
$ 23,643 $
7,480 $
4,757 $
2,593 $
2,102 $
4,370 $
21,105 $
$
9,274
6,984
3,112
717
51
868
246
66,050
7,281
$ 90,737 $ 27,788 $ 15,899 $
8,869 $
7,313 $ 20,008 $
122,177 $
300,072
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(7)
212
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
$ 40,639 $
6,124 $
3,620 $
3,458 $
2,617 $
7,048 $
38,358 $
101,864
11,850
3,877
835
922
333
1,327
4,436
3,236
4,010
2,619
1,127
1,706
7,649
2,687
1,439
643
2,119
3,832
37,462
152
26,805
56,606
17,286
45,174
$ 64,574 $ 15,924 $
9,904 $
7,642 $
6,196 $ 13,913 $
102,777 $
220,930
$ 17,278 $
3,139 $
1,973 $
1,331 $
965 $
3,546 $
16,848 $
45,080
4,708
582
1,244
1
41
10
6
630
835
559
12
34
4
—
197
429
391
99
—
—
26
254
729
413
115
—
—
8
47
783
1
49
—
—
10
240
801
219
105
—
19
11
2,073
472
1,292
479
77
—
16
$ 23,870 $
5,213 $
3,115 $
2,850 $
1,855 $
4,941 $
21,257 $
$
8,149
4,631
4,119
860
152
33
77
63,101
5,123
$ 88,444 $ 21,137 $ 13,019 $ 10,492 $
8,051 $ 18,854 $
124,034 $
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
Financial institutions(4)
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.
(4)
Includes certain short-term loans with less than one year in tenor.
(5) Other includes installment and other, lease financing and loans to government and official institutions.
(6) Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.
(7) Excludes $93 million of unallocated portfolio layer cumulative basis adjustments at December 31, 2023.
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.
213
Corporate Gross Credit Losses
The table below details gross credit losses recognized during the year ended December 31, 2023, by year of loan origination:
For the year ended December 31, 2023
In millions of dollars
2023
2022
2021
2020
2019
Prior
Revolving
line of credit
arrangement
Total
Commercial and industrial
$
27 $
20 $
1 $
1 $
— $
10 $
130 $
189
Financial institutions
Mortgage and real estate
Other(1)
1
—
—
Total
$
28 $
1
9
—
30 $
—
—
—
—
15
—
—
—
—
—
11
—
38
5
59
40
40
59
1 $
16 $
— $
21 $
232 $
328
(1) Other includes installment and other, lease financing and loans to government and official institutions.
Non-Accrual Corporate Loans
The following table presents non-accrual loan information by corporate loan type and interest income recognized on non-accrual
corporate loans:
December 31, 2023
December 31, 2022
Recorded
investment(1)(2)
Related specific
allowance
Recorded
investment(1)(2)
Related specific
allowance
In millions of dollars
Non-accrual corporate loans with specific allowances
Commercial and industrial
Financial institutions
Mortgage and real estate
Other
$
507 $
48
697
185
Total non-accrual corporate loans with specific allowances $
1,437 $
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
$
$
210
3
171
—
61
445
168 $
15
128
51
362 $
$
N/A $
583 $
149
33
—
765 $
277
3
—
10
67
357
268
51
4
—
323
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)
N/A Not applicable
Interest income recognized for the year ended December 31, 2023, 2022 and 2021 was $38 million, $66 million and $54 million, respectively.
Corporate Loan Modifications to Borrowers Experiencing Financial Difficulty
Citi seeks to modify certain corporate loans to borrowers experiencing financial difficulty to reduce Citi’s exposure to loss, often
providing the borrower with an opportunity to work through financial difficulties. Each modification is unique to the borrower’s
individual circumstances. The following table details corporate loan modifications granted during the year ended December 31, 2023
to borrowers experiencing financial difficulty by type of modification granted and the financial effect of those modifications. Citi
defines a corporate loan modification to a borrower experiencing financial difficulty as a modification of a loan classified as
substandard or worse at the time of modification.
214
In millions of dollars, except for weighted-average
term extension
Total modifications
balance at December
31, 2023(1)(2)(3)
Term
extension
Combination:
Term extension and
payment delay(4)
Weighted-average
term extension
(months)
For the year ended December 31, 2023
Commercial and industrial
Financial institutions
Mortgage and real estate
Other(5)
Total
$
$
198 $
—
144
—
342 $
180 $
—
143
—
323 $
18
—
1
—
19
19
—
24
—
(1) The above table reflects activity for loans outstanding as of the end of the reporting period. The balances are not significant as a percentage of the total carrying
values of loans by class of receivable as of December 31, 2023.
(2) Commitments to lend to borrowers experiencing financial difficulty that were granted modifications totaled $1.2 billion as of December 31, 2023.
(3) The allowance for corporate loans, including modified loans, is based on the borrower’s overall financial performance. Charge-offs for amounts deemed
uncollectible may be recorded at the time of the modification or may have already been recorded in prior periods such that no charge-off is required at the time of
modification.
(4) Payment delays either for principal or interest payments had an immaterial financial impact.
(5) Other includes installment and other, lease financing and loans to government and official institutions.
The following table presents the Company’s corporate troubled debt restructurings (TDRs), under previous GAAP, prior to the
Company’s adoption of ASU No. 2022-02 on January 1, 2023:
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(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
$
$
61 $
2
30
93 $
— $
1
—
1 $
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
— $
—
—
— $
61
1
30
92
In millions of dollars
Commercial and industrial
Mortgage and real estate
Other(3)
Total
(1) TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments.
Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no
impact on the allowance established for the loans. Charge-offs for amounts deemed 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.
(2) TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.
(3) Other includes installment and other, lease financing and loans to government and official institutions.
Performance of Modified Corporate Loans
The following table presents the delinquencies of modified corporate loans to borrowers experiencing financial difficulty. It includes
loans that were modified during the year ended December 31, 2023:
In millions of dollars
Commercial and industrial
Financial institutions
Mortgage and real estate
Other(2)
Total
As of December 31, 2023(1)
30–89 days
past due
Current
90+ days
past due
Total
$
198 $
198 $
—
144
—
—
144
—
$
342 $
342 $
— $
—
—
—
— $
—
—
—
—
—
(1) Corporate loans are generally not modified as a result of their delinquency status; rather, they are modified because of events that have impacted the overall
financial performance of the borrower. Corporate loans, if past due, are re-aged to current status upon modification.
(2) Other includes installment and other, lease financing and loans to government and official institutions.
215
Defaults of Modified Corporate Loans
No modified corporate loans to borrowers experiencing financial difficulty defaulted during the year ended December 31, 2023.
Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days
past due. For a modified corporate loan that is not collateral dependent, expected default rates are considered in the loan’s individually
assessed ACL.
The following table presents the Company’s corporate TDRs at December 31, 2022, under previous GAAP, prior to the
Company’s adoption of ASU No. 2022-02 on January 1, 2023, that defaulted for which the payment default occurred within one year
of a permanent modification. Default is defined as 60 days past due:
In millions of dollars
Commercial and industrial
Mortgage and real estate
Other(1)
Total(2)
TDR balances at
December 31, 2022
TDR loans that re-defaulted
in 2022 within one year of
modification
$
$
85 $
13
12
110 $
—
—
—
—
(1) Other includes installment and other, lease financing and loans to government and official institutions.
(2) The above table reflects activity for loans outstanding that were considered TDRs as of the end of the
reporting period.
Consumer Loans
Consumer loans represent loans and leases managed primarily
by USPB, Wealth and All Other—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.
The tables below present details about these loans,
including the following loan categories:
•
•
•
Residential first mortgages and Home equity loans
primarily represent secured mortgage lending to
customers of Retail Banking and Wealth.
Credit cards primarily represent unsecured credit card
lending to customers of Branded Cards and Retail
Services.
Personal, small business and other loans are primarily
composed of classifiably managed loans to customers of
Wealth (mainly 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.
216
The following tables provide Citi’s consumer loans by type:
Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2023
In millions of dollars
In North America offices(5)
Residential first mortgages(6)
Home equity loans(7)(8)
Credit cards
Personal, small business and
other(9)
Total
In offices outside North America(5)
Residential mortgages(6)
Credit cards
Personal, small business and
other(9)
Total
Total Citigroup(10)(11)
Total
current(1)(2)
30–89
days past
due(3)
≥ 90 days
past
due(3)
Past due
government
guaranteed(4)
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
$ 107,720 $
462 $
294 $
235 $ 108,711 $
105 $
384 $
489 $
3,471
36
85
—
3,592
159,966
2,293
2,461
— 164,720
48
—
126
174
—
—
2,461
120
—
35,970
104
57
4 36,135
6
59
65
5
$ 307,127 $
2,895 $ 2,897 $
239 $ 313,158 $
159 $
569 $
728 $
2,586
$
26,309 $
48 $
69 $
— $ 26,426 $
— $
243 $
243 $
13,797
209
227
— 14,233
—
211
211
35,233
107
40
— 35,380
—
133
133
$
75,339 $
364 $
336 $
— $ 76,039 $
— $
587 $
587 $
—
88
—
88
$ 382,466 $
3,259 $ 3,233 $
239 $ 389,197 $
159 $ 1,156 $ 1,315 $
2,674
Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2022
In millions of dollars
In North America offices(5)
Residential first mortgages(6)
Home equity loans(7)(8)
Credit cards
Personal, small business and
other(9)
Total
In offices outside North America(5)
Residential mortgages(6)
Credit cards
Personal, small business and
other(9)
Total
Total Citigroup(10)(11)
Total
current(1)(2)
30–89
days past
due(3)
≥ 90 days
past
due(3)
Past due
government
guaranteed(4)
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
147,717
1,511
1,415
—
4,580
— 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
Includes $313 million and $237 million at December 31, 2023 and 2022, 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 delinquencies on $29.2 billion and $17.0 billion of classifiably managed Private
Bank loans in North America and outside North America, respectively, at December 31, 2023. Excludes delinquencies on $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.
(4) 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 $0.1 billion and $0.2 billion at December 31, 2023 and 2022, respectively.
(5) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(6)
Includes approximately $0.1 billion and $0.0 billion of residential first mortgage loans in process of foreclosure in North America and outside North America,
respectively, and $19.9 billion of residential mortgages outside North America related to Wealth at December 31, 2023. 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 Wealth at December 31, 2022.
Includes approximately $0.0 billion and $0.1 billion at December 31, 2023 and 2022, respectively, of home equity loans in process of foreclosure.
(7)
(8) Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
217
(9) As of December 31, 2023, Wealth in North America includes $31.6 billion of loans, of which $29.2 billion are classifiably managed with 92% rated investment
grade, and Wealth outside North America includes $24.9 billion of loans, of which $17.0 billion are classifiably managed with 74% rated investment grade. As of
December 31, 2022, Wealth in North America includes $34.0 billion of loans, of which $31.5 billion are classifiably managed with 98% rated investment grade,
and Wealth outside North America includes $26.6 billion of loans, of which $17.8 billion are classifiably managed with 94% rated investment grade. Such loans
are presented as “current” above.
(10) Consumer loans were net of unearned income of $802 million and $712 million at December 31, 2023 and 2022, respectively. Unearned income on consumer
loans primarily represents unamortized origination fees and costs, premiums and discounts.
(11) Not included in the balances above is approximately $1 billion and $1 billion of accrued interest receivable at December 31, 2023 and 2022, respectively, which is
included in Other assets on the Consolidated Balance Sheet, except for credit card loans (which include accrued interest and fees). During the years ended
December 31, 2023 and 2022, the Company reversed accrued interest (primarily related to credit cards) of approximately $1.1 billion and $0.6 billion,
respectively. These reversals of accrued interest are reflected as a reduction to Interest income in the Consolidated Statement of Income.
Interest Income Recognized for Non-Accrual Consumer Loans
In millions of dollars
In North America offices(1)
Residential first mortgages
Home equity loans
Personal, small business and other
Total
In offices outside North America(1)
Residential mortgages
Personal, small business and other
Total
Total Citigroup
For the years ended December 31,
2023
2022
$
$
$
$
$
11 $
6
3
20 $
10 $
—
10 $
30 $
12
5
2
19
4
4
8
27
(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, 2023 and 2022, the
Company sold and/or reclassified to held-for-sale (HFS)
approximately $2,166 million and $582 million of consumer
loans, respectively. The increase was largely due to the
reclassification of a mortgage portfolio to HFS in the first
quarter of 2023 that was subsequently sold in the second
quarter of 2023. The Company did not have significant
purchases of consumer loans classified as held-for-investment
during the years ended December 31, 2023 and 2022. Loans
held by a business for sale are not included in the above since
they have been reclassified to Other assets. See Note 2 for
additional information regarding Citigroup’s businesses held-
for-sale.
218
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 on 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. Loans that did
not have FICO scores as of the prior period have been updated
with FICO scores as they become available.
With respect to Citi’s consumer loan portfolio outside of
the U.S. as of December 31, 2023 and 2022 ($77.5 billion and
$80.5 billion, 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 (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)
December 31, 2023
In millions of dollars
Residential first mortgages
2023
2022
2021
2020
2019
Prior
Total residential first mortgages
Home equity line of credit (pre-reset)
Home equity line of credit (post-reset)
Home equity term loans
2023
2022
2021
2020
2019
Prior
Total home equity loans
Credit cards
Revolving loans converted to term loans(4)
Total credit cards(5)
Personal, small business and other
2023
2022
2021
2020
2019
Prior
Total personal, small business and other(6)(7)
Total
Less than
680
680
to 760
Greater
than 760
Classifiably
managed(2)
FICO not
available(3)
Total
loans
$
373 $
5,396 $
11,461
655
560
376
296
1,934
5,976
5,430
3,945
2,214
6,406
13,965
12,481
10,881
5,276
13,323
$
$
$
$
$
$
$
$
4,194 $
29,367 $
67,387
$
7,763 $
108,711
425 $
1,174 $
1,479
79
80
—
—
—
1
1
78
75
124
—
—
—
2
1
121
52
99
—
—
1
2
1
95
584 $
1,373 $
1,630
$
5 $
3,592
32,500 $
63,334 $
64,712
1,154
401
54
33,654 $
63,735 $
64,766
$
1,955 $
164,110
138 $
279
69
8
7
132
633 $
438 $
375
88
9
6
175
851
484
106
12
7
126
1,091 $
1,586 $
29,209 $
2,739 $
35,258
39,065 $
95,566 $
135,369 $
29,209 $
12,462 $
311,671
219
FICO score distribution—U.S. portfolio(1)
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(4)
Total credit cards(5)
Personal, small business and other
2022
2021
2020
2019
2018
Prior
Total personal, small business and other(6)(7)
Total
Less than
680
680
to 760
Greater
than 760
Classifiably
managed(2)
FICO not
available(3)
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
(1) The FICO bands in the tables are consistent with general industry peer presentations.
(2) These personal, small business and other loans without a FICO score available include $29.2 billion and $31.5 billion of Private Bank loans as of December 31,
2023 and 2022, respectively, which are classifiably managed within Wealth and are primarily evaluated for credit risk based on their internal risk ratings. As of
December 31, 2023 and 2022, approximately 92% and 98% of these loans, respectively, were rated investment grade.
(3) FICO scores not available related to loans guaranteed by government-sponsored enterprises for which FICO scores are generally not utilized.
(4) Not included in the tables above are $51 million and $75 million of revolving credit card loans outside of the U.S. that were converted to term loans as of
December 31, 2023 and 2022, respectively.
(5) Excludes $610 million and $545 million of balances related to Canada for December 31, 2023 and 2022, respectively.
(6) Excludes $877 million and $940 million of balances related to Canada for December 31, 2023 and 2022, respectively.
(7)
Includes approximately $37 million and $67 million of personal revolving loans that were converted to term loans for December 31, 2023 and 2022, respectively.
220
Consumer Gross Credit Losses
The following table provides details on gross credit losses
recognized during the year ended December 31, 2023, by year
of loan origination:
In millions of dollars
Residential first mortgages
For the year ended
December 31, 2023
2023
2022
2021
2020
2019
Prior
Total residential first mortgages
Home equity line of credit (pre-reset)
Home equity line of credit (post-reset)
Home equity term loans
Total home equity loans
Credit cards
Revolving loans converted to term loans
Total credit cards
Personal, small business and other
2023
2022
2021
2020
2019
Prior
Total personal, small business and other
Total Citigroup
$
$
$
$
$
$
$
$
$
—
2
1
1
5
41
50
3
—
4
7
6,575
184
6,759
162
202
106
44
51
172
737
7,553
221
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, 2023
In millions of dollars
Residential first mortgages
2023
2022
2021
2020
2019
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
$
13,907 $
17,736
18,795
16,094
8,198
23,120
97,850 $
2,964 $
476
3,440 $
$
$
$
$
3,769 $
3,900
728
306
191
191
3
52
33
1
26
23
9,085 $
138 $
1,638 $
108,711
29 $
5
34 $
57
12
69 $
207 $
49 $
3,592
1,687 $
112,303
101,290 $
9,119 $
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
(1) Residential first mortgages with no LTV information available include government-guaranteed loans that do not require LTV information for credit risk
assessment and fair value loans.
222
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, 2023
In millions of dollars
Residential mortgages
2023
2022
2021
2020
2019
Prior
Total
Less than
or equal
to 80%
> 80% but less
than or equal
to 100%
Greater
than
100%
LTV not
available
Total
$
2,756 $
1,007 $
3,229
3,257
2,286
2,525
8,000
807
754
454
84
84
112
439
382
62
2
3
$
22,053 $
3,190 $
1,000 $
183 $
26,426
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
(1) Mortgage portfolios outside of the U.S. are primarily in Wealth. As of December 31, 2023 and 2022, mortgage portfolios outside of the U.S. have an average LTV
of approximately 55% and 51%, respectively.
223
Consumer Loans and Ratios Outside of North America
In millions of dollars at December 31, 2023
Residential mortgages(3)
Credit cards
Personal, small business and other(4)
Total
In millions of dollars at December 31, 2022
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
4Q23 NCL
ratio
$
26,426 $
14,233
35,380
— $
—
17,007
$
76,039 $
17,007 $
26,426
14,233
18,373
59,032
0.18 %
0.26 %
0.06 %
1.47
0.58
1.59
0.22
5.87
1.03
0.62 %
0.57 %
1.58 %
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 %
(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, 2023 and 2022, approximately
74% and 94% of these loans, respectively, were rated investment grade.
Includes $19.9 billion and $19.8 billion as of December 31, 2023 and 2022, respectively, of residential mortgages related to Wealth.
Includes $24.9 billion and $26.6 billion as of December 31, 2023 and 2022, respectively, of loans related to Wealth.
(3)
(4)
Consumer Loan Modifications to Borrowers Experiencing
Financial Difficulty
Citi seeks to modify consumer loans to borrowers
experiencing financial difficulty to minimize losses, avoid
foreclosure or repossession of collateral, and ultimately
maximize payments received from the borrowers. Citi uses
various metrics to identify consumer borrowers experiencing
financial difficulty, with the primary indicator being
delinquency at the time of modification. Citi’s significant
consumer modification programs are described below.
Credit Cards
Citi seeks to assist credit card borrowers who are experiencing
financial difficulty by offering long-term loan modification
programs. These modifications generally involve reducing the
interest rate on the credit card, placing the customer on a fixed
payment plan not to exceed 60 months and canceling the
customer’s available line of credit. Citi also grants
modifications to credit card borrowers working with third-
party renegotiation agencies that seek to restructure
customers’ entire unsecured debt. In both circumstances, if the
cardholder does not comply with the modified payment terms,
the credit card loan continues to age and will ultimately be
charged off in accordance with Citi’s standard charge-off
policy. In certain situations, Citi may forgive a portion of an
outstanding balance if the borrower pays a required amount.
Residential Mortgages
Citi utilizes a third-party subservicer for the servicing of its
residential mortgage loans. Through this third-party
subservicer, Citi seeks to assist residential mortgage borrowers
who are experiencing financial difficulty primarily by offering
interest rate reductions, principal and/or interest forbearance,
term extensions or combinations thereof. Borrowers enrolled
in forbearance programs typically have payments suspended
until the end of the forbearance period. In the U.S., before
permanently modifying the contractual payment terms of a
mortgage loan, Citi enters into a trial modification with the
borrower. Trial modifications generally represent a three-
month period during which the borrower makes monthly
payments under the anticipated modified payment terms.
These loans continue to age and accrue interest in accordance
with their original contractual terms. Upon successful
completion of the trial period, and the borrower’s formal
acceptance of the modified terms, Citi and the borrower enter
into a permanent modification. Citi expects the majority of
loans entering trial modifications to ultimately be enrolled in a
permanent modification. During the year ended December 31,
2023, $21 million of mortgage loans were enrolled in trial
programs. Mortgage loans of $7 million had gone through
Chapter 7 bankruptcy during the year ended December 31,
2023.
224
Types of Consumer Loan Modifications and Their Financial Effect
The following table provides details on permanent consumer loan modifications granted during the year ended December 31, 2023 to
borrowers experiencing financial difficulty by type of modification granted and the financial effect of those modifications:
For the year ended December 31, 2023
In millions of dollars, except weighted averages
Modifications
as % of loans
Total
modifications
balance at
December 31,
2023(1)(2)(3)
Interest
rate
reduction
Term
extension
Payment
delay
Combination:
interest rate
reduction and
term
extension
Combination:
term
extension and
payment
delay
Weighted-
average
interest rate
reduction
%
Weighted-
average
term
extension
(months)
Weighted-
average
delay in
payments
(months)
In North America offices(4)
Residential first mortgages(5)
Home equity loans
Credit cards
Personal, small business and other
0.15 % $
164 $
3 $
63 $
89 $
9 $
0.58
0.63
0.04
21
—
—
9
1,039
1,039
—
—
14
2
—
—
12
—
12
Total
0.40 % $
1,238 $ 1,044 $
63 $
98 $
33 $
In offices outside North America(4)
Residential mortgages
Credit cards
Personal, small business and other
1.26 % $
334 $ — $ — $
33 $
2 $
0.30
0.08
43
27
42
5
—
—
7
—
1
15
Total
0.53 % $
404 $
47 $
7 $
33 $
18 $
1 %
2
23
6
2 %
18
7
202
121
—
15
4
37
19
9
9
—
—
4
—
—
—
—
—
—
—
299
—
—
299
(1) The above table reflects activity for loans outstanding as of the end of the reporting period. During the year ended December 31, 2023, Citi granted forgiveness of
$50 million in credit card loans and $2 million in personal, small business and other loans. As a result, there were no outstanding balances as of December 31,
2023.
(2) Commitments to lend to borrowers experiencing financial difficulty that were granted modifications included in the table above were immaterial at December 31,
2023.
(3) For major consumer portfolios, the ACLL is based on macroeconomic-sensitive models that rely on historical performance and macroeconomic scenarios to
forecast expected credit losses. Modifications of consumer loans impact expected credit losses by affecting the likelihood of default..
(4) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(5) Excludes residential first mortgages discharged in Chapter 7 bankruptcy in the year ended December 31, 2023.
225
The following table presents the Company’s consumer TDRs at December 31, 2022, under previous GAAP, prior to the
Company’s adoption of ASU No. 2022-02 on January 1, 2023:
Consumer Troubled Debt Restructurings(1)
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
(1) The above 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 on 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 table reflects activity for restructured loans that were considered TDRs during the year.
226
Performance of Modified Consumer Loans
The following table presents the delinquencies and gross credit losses of permanently modified consumer loans to borrowers
experiencing financial difficulty. It includes loans that were modified during the year ended December 31, 2023:
In millions of dollars
In North America offices(1)
Residential first mortgages
Home equity loans
Credit cards
Personal, small business and other
Total(2)(3)
In offices outside North America(1)
Residential mortgages
Credit cards
Personal, small business and other
Total(2)(3)
As of December 31, 2023
Total
Current
30–89 days
past due
90+ days
past due
Gross
credit losses
$
$
$
$
164 $
21
1,039
14
1,238 $
70 $
14
740
12
836 $
334 $
331 $
43
27
37
24
404 $
392 $
22 $
1
179
1
203 $
2 $
3
3
8 $
72 $
6
120
1
199 $
1 $
3
—
4 $
—
—
204
1
205
—
4
1
5
(1) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(2) Typically, upon modification a loan re-ages to current. However, FFIEC guidelines for re-aging certain loans require that at least three consecutive minimum
monthly payments, or the equivalent amount, be received. In these cases, the loan will remain delinquent until the payment criteria for re-aging have been
satisfied.
(3) Loans modified under Citi’s COVID-19 consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of
modification.
Defaults of Modified Consumer Loans
The following table presents default activity for permanently modified consumer loans to borrowers experiencing financial difficulty
by type of modification granted, including loans that were modified and subsequently defaulted during the year ended December 31,
2023. Default is defined as 60 days past due:
In millions of dollars
In North America offices(3)
Residential first mortgages
Home equity loans
Credit cards(4)
Personal, small business and other
Total
In offices outside North America(3)
Residential mortgages
Credit cards(4)
Personal, small business and other
Total
For the year ended December 31, 2023
Total(1)(2)
Interest
rate
reduction
Term
extension
Payment
delay
Combination:
interest rate
reduction and
term extension
Combination:
term extension
and payment
delay
Combination:
interest rate
reduction, term
extension and
payment delay
$
$
$
$
12 $
—
134
1
1 $
10 $
1 $
—
134
—
—
—
—
—
—
—
147 $
135 $
10 $
1 $
3 $
5
3
11 $
— $
— $
3 $
5
—
—
—
—
—
5 $
— $
3 $
— $
—
—
1
1 $
— $
—
3
3 $
— $
—
—
—
— $
— $
—
—
— $
—
—
—
—
—
—
—
—
—
(1) The above table reflects activity for loans outstanding as of the end of the reporting period.
(2) Modified residential first mortgages that default are typically liquidated through foreclosure or a similar type of liquidation.
(3) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(4) Modified credit card loans that default continue to be charged off in accordance with Citi’s consumer charge-off policy.
227
The following table presents the Company’s consumer TDRs at December 31, 2022, under previous GAAP, prior to the
Company’s adoption of ASU No. 2022-02 on January 1, 2023, that defaulted for which the payment default occurred within one year
of a permanent modification. Default is defined as 60 days past due:
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.
Year ended
December 31,
2022
$
$
$
$
35
4
250
1
290
10
12
3
25
228
16. ALLOWANCE FOR CREDIT LOSSES
In millions of dollars
2023
2022
2021
Allowance for credit losses on loans (ACLL) at beginning of year
$
16,974 $
16,455 $
24,956
Adjustments to opening balance(1)
Financial instruments—TDRs and vintage disclosures(1)
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)
Other, net (see table below)
ACLL at end of year
Allowance for credit losses on unfunded lending commitments (ACLUC)
at beginning of year(2)
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(3)
Reclass of Thailand, India, Malaysia, Taiwan, Indonesia, Bahrain and Vietnam consumer
ACLL to HFS
Reclass of Australia consumer ACLL to HFS
Reclass of the Philippines consumer ACLL to HFS
Reclasses of consumer ACLL to HFS(3)
FX translation and other
Other, net
(352)
16,622 $
(7,881) $
1,444
(6,437) $
6,437 $
1,272
77
7,786 $
174
—
16,455 $
(5,156) $
1,367
(3,789) $
3,789 $
937
19
4,745 $
(437)
—
24,956
(6,720)
1,825
(4,895)
4,895
(7,283)
(715)
(3,103)
(503)
18,145 $
16,974 $
16,455
2,151 $
1,871 $
(425)
2
291
(11)
1,728 $
2,151 $
19,873 $
19,125 $
2,655
(788)
4
1,871
18,326
2023
2022
2021
— $
—
—
— $
174
174 $
(350) $
—
—
(350) $
(87)
(437) $
—
(280)
(90)
(370)
(133)
(503)
$
$
$
$
$
$
$
$
$
$
$
$
(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 Note 2.
229
Allowance for Credit Losses on Loans and End-of-Period Loans at December 31, 2023
$
$
$
$
$
$
$
Corporate
Consumer
Total
2,855 $
14,119 $
16,974
—
(352)
2,855 $
13,767 $
(328) $
(7,553) $
78
250
(168)
39
(12)
1,366
6,187
1,440
38
186
(352)
16,622
(7,881)
1,444
6,437
1,272
77
174
2,714 $
15,431 $
18,145
2,352 $
15,391 $
17,743
362
—
40
—
402
—
2,714 $
15,431 $
18,145
291,002 $
388,711 $
679,713
1,882
—
7,281
58
115
313
1,940
115
7,594
$
300,165 $
389,197 $
689,362
Corporate ACLL
Citi’s total corporate ACLL as of December 31, 2023 was
$2,714 million, a decrease from $2,855 million at
December 31, 2022. The decrease was primarily driven by an
improved macroeconomic outlook.
ACLUC
As of December 31, 2023, Citi’s total ACLUC, included in
Other liabilities, was $1,728 million, a decrease from $2,151
million at December 31, 2022. The decrease was primarily
driven by an improved macroeconomic outlook.
In millions of dollars
ACLL at beginning of year
Adjustments to opening balance:
Financial instruments—TDRs and vintage disclosures(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)
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
Total loans, net of unearned income
(1) See “Accounting Changes” in Note 1.
2023 Changes in the ACL
The total allowance for credit losses on loans, leases and
unfunded lending commitments as of December 31, 2023 was
$19,873 million, an increase from $19,125 million at
December 31, 2022. The increase in the ACLL was primarily
driven by card balances in Branded Cards and Retail Services
and an increase in transfer risk associated with exposures
outside the U.S. driven by safety and soundness considerations
under U.S. banking law, partially offset by a decrease in the
ACLL of $352 million from the adoption of ASU 2022-02 for
the recognition and measurement of TDRs (see Note 1) and
improved key macroeconomic variable forecasts.
Consumer ACLL
Citi’s total consumer allowance for credit losses on loans
(ACLL) as of December 31, 2023 was $15,431 million, an
increase from $14,119 million at December 31, 2022. The
increase was primarily driven by growth in U.S. cards
balances, partially offset by a decrease to the ACLL of
$352 million from the adoption of ASU 2022-02 for the
recognition and measurement of TDRs.
230
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)
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
Allowance for Credit Losses on 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)
Other
Ending balance
Allowance for Credit Losses on HTM Debt Securities
The allowance for credit losses on HTM debt securities, which
the Company has the intent and ability to hold, was
$95 million, $120 million and $87 million as of December 31,
2023, 2022 and 2021, respectively.
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
231
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
Allowance for credit losses on other assets at end of year
Year ended December 31, 2023
Securities borrowed
and purchased
under agreements
to resell
Deposits
with banks
All other
assets(1)
Total
$
$
$
$
$
$
51 $
—
—
— $
— $
(19)
(19) $
(1) $
31 $
36 $
36 $
—
—
— $
— $
(97)
25
(72) $
72 $
123
(97)
25
(72)
72
14
1,695
1,690
14 $
1,767 $
1,762
(23) $
(1) $
(25)
27 $
1,730 $
1,788
(1) Primarily ACL related to transfer risk associated with exposures outside of the U.S. driven by safety and soundness considerations under U.S. banking law.
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
Year ended December 31, 2022
Securities borrowed
and purchased under
agreements
to resell
Deposits
with banks
All other
assets(1)
Total
6 $
26 $
$
$
$
$
$
$
21 $
—
—
— $
— $
30
30 $
— $
51 $
(24)
3
53
(24)
3
(21) $
(21)
21 $
11
32 $
(1) $
36 $
21
55
76
15
123
—
—
— $
— $
14
14 $
16 $
36 $
(1) Primarily accounts receivable.
(2)
Includes $30 million of ACL transferred from Services, Markets and Banking loans ACL during the second quarter of 2022 for securities borrowed and purchased
under agreements to resell.
Year ended December 31, 2021
Securities borrowed
and purchased under
agreements
to resell
Deposits
with banks
All other
assets(1)
Total
$
$
$
$
$
$
20 $
—
—
— $
— $
2
2 $
(1) $
21 $
10 $
25 $
—
—
— $
— $
(4)
(4) $
— $
6 $
(2)
—
(2) $
2 $
—
2 $
1 $
26 $
55
(2)
—
(2)
2
(2)
—
—
53
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.
For ACL on AFS debt securities, see Note 14.
232
17. GOODWILL AND INTANGIBLE ASSETS
Goodwill
The changes in Goodwill were as follows:
In millions of dollars
Services
Markets(1)
Banking(1)
USPB
Wealth
All Other
Total
Balance at December 31, 2020
$
2,166 $
6,238 $
1,077 $
5,387 $
4,635 $
2,659 $
22,162
Foreign currency translation
Divestitures(2)
(61)
—
(160)
—
(45)
—
(164)
—
(132)
(9)
179
(471)
(383)
(480)
Balance at December 31, 2021
$
2,105 $
6,078 $
1,032 $
5,223 $
4,494 $
2,367 $
21,299
Foreign currency translation
Divestitures(2)
Impairment of goodwill(3)
Balance at December 31, 2022
Foreign currency translation
Balance at December 31, 2023
62
—
—
(293)
—
—
2
—
—
50
—
—
(26)
—
—
5
(873)
(535)
(200)
(873)
(535)
$
$
2,167 $
5,785 $
1,034 $
5,273 $
4,468 $
964 $
19,691
47
85
5
125
1
144
407
2,214 $
5,870 $
1,039 $
5,398 $
4,469 $
1,108 $
20,098
(1)
In 2023, goodwill of approximately $537 million was transferred from Banking to Markets related to business realignment. Prior-period amounts have been
revised to conform with the current presentation. See Note 3.
(2) 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.
(3) 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 resegmentation and change of reporting units as well as the sequence of the signing of sale agreements.
While the inherent risk of uncertainty is embedded in the
key assumptions used in the reporting unit valuations, the
economic and business environments continue to evolve as
management implements its organizational simplification. If
management’s future estimates of key economic and market
assumptions were to differ from its current assumptions, Citi
could potentially experience material goodwill impairment
charges in the future.
For additional information regarding Citi’s goodwill
impairment testing process, see Note 1 for Citi’s accounting
policy for goodwill and Note 3 for a description of Citi’s
operating segments.
Citi performed its annual goodwill impairment test as of
October 1, 2023, which resulted in no impairment of any of
Citi’s reporting units’ goodwill.
As discussed in Note 3, effective in the fourth quarter of
2023, as part of its organizational simplification, 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.
The reorganization of Citi’s segment structure, including
the change of management, and the business realignment
between Banking and Markets were identified as triggering
events for purposes of goodwill impairment testing. Consistent
with the requirements of ASC 350, additional interim goodwill
impairment tests were performed as of December 13, 2023,
which resulted in no impairment during the fourth quarter of
2023. Additionally, goodwill was reallocated from Banking to
Markets related to the business realignment based on their
relative fair values using the valuation performed as of the
effective date of the reorganization. No additional triggering
events were identified and no goodwill was impaired during
2023.
233
Intangible Assets
The components of intangible assets were as follows:
In millions of dollars
Purchased credit card relationships(1)
Credit card contract-related intangibles(2)
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
December 31, 2023
December 31, 2022
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
$
5,302 $
4,365 $
937 $
5,513 $
4,426 $
4,177
1,698
2,479
3,903
363
37
240
—
290
36
—
—
73
1
240
—
373
32
192
65
1,518
283
31
—
57
1,087
2,385
90
1
192
8
$
10,119 $
6,389 $
3,730 $
10,078 $
6,315 $
3,763
691
—
691
665
—
665
$
10,810 $
6,389 $
4,421 $
10,743 $
6,315 $
4,428
(1) Reflects intangibles for the value of purchased cardholder relationships, which are discrete from contract-related intangibles.
(2) Reflects contract-related intangibles associated with the extension or renewal of existing credit card program agreements with card partners. For the credit card
program agreement extended during 2023, the remaining term is over 10 years.
(3) See Note 23.
Intangible assets amortization expense was $370 million,
$352 million and $360 million for 2023, 2022 and 2021,
respectively. Intangible assets amortization expense is
estimated to be $383 million in 2024, $391 million in 2025,
$359 million in 2026, $333 million in 2027 and $355 million
in 2028.
The changes in intangible assets were as follows:
In millions of dollars
Purchased credit card relationships(1)
Credit card contract-related intangibles(2)
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,
2022
Acquisitions/
renewals/
divestitures
Amortization
Impairments
FX translation
and other
Net carrying
amount at
December 31,
2023
$
$
$
1,087 $
2,385
90
1
192
8
— $
290
11
—
20
—
(150) $
(188)
(24)
—
—
(8)
— $
— $
—
—
—
—
—
(8)
(4)
—
28
—
3,763 $
321 $
(370) $
— $
16 $
665
4,428
$
937
2,479
73
1
240
—
3,730
691
4,421
(1) Reflects intangibles for the value of purchased cardholder relationships, which are discrete from contract-related intangibles.
(2) Reflects contract-related intangibles associated with the extension or renewal of existing credit card program agreements with card partners. For the credit card
program agreement extended during 2023, the remaining term is over 10 years.
(3) See Note 23.
234
18. DEPOSITS
Deposits consisted of the following:
In millions of dollars
Non-interest-bearing deposits in U.S. offices
Interest-bearing deposits in U.S. offices (including $1,309 and $903 as of December 31, 2023 and 2022,
respectively, at fair value)
Total deposits in U.S. offices(1)
Non-interest-bearing deposits in offices outside the U.S.
Interest-bearing deposits in offices outside the U.S. (including $1,131 and $972 as of December 31, 2023
and 2022, respectively, at fair value)
Total deposits in offices outside the U.S.(1)
Total deposits
December 31,
2023
2022
112,089 $
122,655
576,784
688,873 $
88,988 $
530,820
619,808 $
607,470
730,125
95,182
540,647
635,829
1,308,681 $
1,365,954
$
$
$
$
$
At December 31, 2023 and 2022, time deposits in denominations that met or exceeded the insured limit were as follows:
In millions of dollars
U.S. offices(1)(2)
Offices outside the U.S.(1)(3)(4)
Total
December 31,
2023
2022
$
$
67,471 $
155,973
223,444 $
63,420
150,921
214,341
(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) Represents time deposits in U.S. offices in denominations that met or exceeded $250,000.
(3) Time deposits in offices outside the U.S. are assumed to be a depositor’s account as single account ownership.
(4) The insurance coverage is applied in sequence of checking, savings and short- and long-term time deposits accounts.
At December 31, 2023, the maturities of time deposits were as follows:
In millions of dollars
2024
2025
2026
2027
2028
After 5 years
Total
U.S.
Outside U.S.
Total
$
$
113,404 $
1,143
590
137
209
288
115,771 $
163,330 $
1,018
227
112
20
4
164,711 $
276,734
2,161
817
249
229
292
280,482
235
19. DEBT
Short-Term Borrowings
December 31,
2023
2022
In millions of dollars
Balance
Weighted-
average
coupon(1) Balance
Weighted-
average
coupon(1)
Commercial paper
Bank(2)
Broker-dealer and
other(3)
Total commercial
paper
Other borrowings(4)
Total
$ 11,116
$ 11,185
9,106
14,345
$ 20,222
5.72 % $ 25,530
4.29 %
17,235
5.45
21,566
4.23
$ 37,457
$ 47,096
(1) The weighted-average coupon excludes structured notes accounted for at
fair value and the effect of hedges.
(2) Represents Citibank entities as well as other bank entities.
(3) 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, 2023 and 2022, collateralized short-term
advances from Federal Home Loan Banks were $8.0 billion and $12.0
billion, respectively.
(4)
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.
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,
2023
2022
3.53 % 2024–2098 $ 135,579 $ 141,893
5.02
2024–2046 25,116 22,758
11.66
2036–2040
1,614
1,606
5.37
2024–2039 31,673 21,113
5.34
2024–2070 92,637 84,236
Total
4.17 %
Senior debt
Subordinated debt(3)
Trust preferred
securities
Total
$ 286,619 $ 271,606
$ 259,889 $ 247,242
25,116 22,758
1,614
1,606
$ 286,619 $ 271,606
(1) The weighted-average coupon excludes structured notes accounted for at
fair value and the effect of hedges.
(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, 2023 and 2022, collateralized long-term advances from
Federal Home Loan Banks were $11.5 billion and $7.3 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 relate 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. In addition, the Company uses
other derivative contracts to manage the foreign exchange
impact of certain debt issuances. At December 31, 2023, the
Company’s overall weighted-average interest rate for long-
term debt, excluding structured notes accounted for at fair
value, was 4.17% on a contractual basis and 4.22% including
the effects of derivative contracts.
236
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
2024
2025
2026
2027
2028
Thereafter
Total
$
7,035 $
18,892 $
28,995 $
13,371 $
18,791 $
75,225 $
162,309
11,798
26,955
10,415
17,117
3,183
8,202
774
7,117
3,679
7,644
1,824
25,602
31,673
92,637
$
45,788 $
46,424 $
40,380 $
21,262 $
30,114 $
102,651 $
286,619
The following table summarizes Citi’s outstanding trust preferred securities at December 31, 2023:
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
$
3-mo. SOFR
+ 663 bps(3)
2,246
2,440
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)
(3) The spread incorporates the original contractual spread and a 26.161 bps tenor spread adjustment.
237
20. 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
presented 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)
Leverage ratio
Supplementary Leverage ratio
Citigroup
Citibank
Stated
minimum
Well-
capitalized
minimum
December 31,
2023
December 31,
2022
Well-
capitalized
minimum
December 31,
2023
December 31,
2022
$
153,595
$
148,930
$
147,109
$
149,593
172,504
169,145
149,238
151,720
201,768
197,543
168,571
172,647
191,919
188,839
160,706
165,131
1,148,608
1,142,985
983,960
982,914
1,268,723
1,221,538
1,057,194
1,003,747
2,394,272
2,395,863
1,666,609
1,738,744
2,964,954
2,906,773
2,166,334
2,189,541
4.5 %
6.0
8.0
4.0
3.0
N/A
6.0 %
10.0
N/A
N/A
13.37 %
13.03 %
6.5 %
13.92 %
14.90 %
15.02
15.13
7.20
5.82
14.80
15.46
7.06
5.82
8.0
10.0
5.0
6.0
14.12
15.20
8.95
6.89
15.12
16.45
8.73
6.93
(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, 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, Tier 1 Capital and Total Capital ratios
were 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, 2023 and
2022.
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 $16.3 billion
and $8.5 billion in dividends indirectly from Citibank through
its holding company during 2023 and 2022, respectively.
238
21. 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
Long-
duration
insurance
contracts(6)
Accumulated
other
comprehensive
income (loss)
Balance, December 31, 2020
$
3,320 $
(1,419) $ 1,593 $
(6,864) $
(28,641) $
(47) $
— $
(32,058)
Other comprehensive income
before reclassifications
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
Adjustment to opening balance,
net of taxes(7)
Adjusted balance, beginning of
period
Other comprehensive income
before reclassifications
Increase (decrease) due to
amounts reclassified from AOCI
Change, net of taxes
Balance, December 31, 2023
$
$
(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)
$
$
$
$
—
—
—
—
—
—
27
27
$
(5,998) $
842 $ (2,522) $
(5,755) $
(33,637) $
8 $
27 $
(47,035)
2,266
(1,553)
(327)
(416)
752
(16)
7
713
(12)
2
1,443
121
2,254 $
(1,551) $ 1,116 $
(295) $
—
752 $
(3,744) $
(709) $ (1,406) $
(6,050) $
(32,885) $
(32)
(48) $
(40) $
—
7 $
34 $
1,522
2,235
(44,800)
(1) Reflects the after-tax valuation of Citi’s fair value option liabilities. See “Market Valuation Adjustments” in Note 26.
(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 Mexican peso, Polish zloty, Euro, Brazilian real, Russian ruble and Japanese yen against the U.S.
dollar and changes in related tax effects and hedges for the year ended December 31, 2023. 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. 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.
(6) Reflects the change in the liability for future policyholder benefits for certain long-duration life-contingent annuity contracts that are issued by a regulated Citi
insurance subsidiary in Mexico and reported within Legacy Franchises. The amount reflects the change in the liability after discounting using an upper-medium-
grade fixed income instrument yield that reflects the duration characteristics of the liability. As of December 31, 2023, the balance of the liability for future
policyholder benefits, which is recorded within Other liabilities, for this insurance subsidiary was approximately $557 million.
(7) See Note 1.
239
The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Pretax
Tax effect(1)
After-tax
$
(36,992) $
In millions of dollars
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
Long-duration insurance contracts
Change
Balance, December 31, 2021
Change in net unrealized gains (losses) on debt securities
DVA
Cash flow hedges
Benefit plans
CTA
Excluded component of fair value hedges
Long-duration insurance contracts
Change
Balance, December 31, 2022
Adjustment to opening balance(2)
Adjusted balance, beginning of period
Change in net unrealized gains (losses) on debt securities
DVA
Cash flow hedges
Benefit plans
CTA
Excluded component of fair value hedges
Long-duration insurance contracts
Change
Balance, December 31, 2023
(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) $
39
(55,214) $
3,136
(2,078)
1,480
(353)
665
(70)
12
$
$
$
$
$
$
$
4,934 $
1,367
(64)
477
(240)
146
(2)
—
1,684 $
6,618 $
1,794
(656)
854
66
(467)
(18)
—
1,573 $
8,191 $
(12)
8,179 $
(882)
527
(364)
58
87
22
(5)
(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)
27
(47,035)
2,254
(1,551)
1,116
(295)
752
(48)
7
2,235
(44,800)
2,792 $
(52,422) $
(557) $
7,622 $
Income tax effects of these items are released from AOCI contemporaneously with the related gross pretax amount.
(1)
(2) See Note 1.
240
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
Long-duration contracts, pretax
Tax effect
Long-duration contracts, 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,
2023
2022
2021
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
(188) $
188
— $
(12)
(12) $
3 $
(1)
2 $
1,897 $
4
1,901 $
(458)
1,443 $
(22) $
196
(7)
167 $
(46)
121 $
(43) $
11
(32) $
— $
—
— $
— $
—
— $
2,028 $
(506)
1,522 $
(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 $
1,005 $
(207)
798 $
(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
(1,087)
245
(842)
(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 14.
(2) See Note 24.
(3) See Note 8.
(4) The pretax amount is reclassified to Discontinued operations and Other revenue in the Consolidated Statement of Income, and results from the substantial
liquidation of a legacy U.K. consumer operation. See Note 2.
241
22. PREFERRED STOCK
The following table summarizes the Company’s preferred stock outstanding:
Carrying value
(in millions of dollars)
Dividend
rate
as of
December 31,
2023
Redemption
price per
depositary
share/
preference
share
Number
of
depositary
shares
December 31,
2023
December 31,
2022
N/A $
N/A
1,000 1,500,000 $
1,000
750,000
— $
—
1,500
750
Issuance date
Redeemable by issuer
beginning
October 29, 2012
January 30, 2023
December 13, 2012
February 15, 2023
1,000 1,250,000
1,250
1,250
April 30, 2013
May 15, 2023
September 19, 2013
September 30, 2023
3-mo. SOFR+
3.72761
3-mo. SOFR+
4.30161
October 31, 2013
November 15, 2023
N/A
25 22,000,000
25 59,800,000
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 27, 2021
November 15, 2026
March 7, 2023
May 15, 2028
September 21, 2023
November 15, 2028
6.300 %
1,000 1,750,000
5.950
6.250
5.000
4.700
4.000
3.875
4.150
7.375
7.625
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
1,000 1,250,000
1,000 1,500,000
550
—
1,750
2,000
1,500
1,500
1,500
1,500
2,300
1,000
1,250
1,500
950
1,495
1,750
2,000
1,500
1,500
1,500
1,500
2,300
1,000
—
—
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)
Series Z(14)
Series AA(15)
$
17,600 $
18,995
(1) Citi redeemed Series A in its entirety on October 30, 2023.
(2) Citi redeemed Series B in its entirety on August 15, 2023.
(3)
(4)
(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. Beginning in the
third quarter of 2023, dividends are 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. The spread incorporates the original contractual spread and a 0.26161% tenor spread adjustment.
Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Citi redeemed
$400 million of Series J on December 29, 2023. Beginning in the fourth quarter of 2023, dividends are payable quarterly on March 30, June 30, September 30 and
December 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors. The spread incorporates the original contractual spread and a
0.26161% tenor spread adjustment.
(5) Citi redeemed Series K in its entirety on November 15, 2023.
(6)
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.
242
(14) 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, May 15, 2028, 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.
(15) 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, 2028, 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.
N/A Not applicable, as the series has been redeemed.
243
23. 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.
244
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, 2023
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
$
31,852 $
31,852 $
— $
— $
— $
— $
— $ —
123,787
64,963
—
—
123,787
64,963
2,332
3,751
—
—
21,097
21,097
—
—
—
5,562
—
5,562
2,344
204,680
12,197
192,483
48,187
—
902
1,493
21,317
368
545
—
883
3
86
70
—
610
12
—
21,314
2,243
2,779
282
475
—
37
3
—
—
10
—
—
129
—
—
13,655
417
2,587
—
95
—
136
2,468
—
3,880
—
—
—
2,344
— 62,744
—
429
—
7,609
—
—
—
37
108
—
$
475,664 $
66,188 $
409,476 $
58,909 $
3,691 $
16,883 $
136 $ 79,619
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
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.
(2)
Included on Citigroup’s December 31, 2023 and 2022 Consolidated Balance Sheet.
(3) A significant unconsolidated VIE is an entity in which the Company has any variable interest or continuing involvement considered to be significant, regardless of
the likelihood of loss.
(4) Citigroup mortgage securitizations also include agency and non-agency (private label) re-securitization activities. These SPEs are not consolidated. See “Re-
(5)
securitizations” below for further discussion.
Included within this line are loans to third-party-sponsored private equity funds, which represent $6 billion and $69 billion in unconsolidated VIE assets and
$282 million and $498 million in maximum exposure to loss as of December 31, 2023 and 2022, respectively.
245
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, 2023 and 2022, the
Company’s maximum exposure to loss related to these
transactions was $8.5 billion and $33.6 billion,
respectively (see Notes 15 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 14 and 26 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.
246
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 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 include third-party assets of consolidated VIEs
only and exclude intercompany balances that eliminate in consolidation. The liabilities 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,
2023
2022
44 $
11,350
767
35,141
21,207
56,348 $
(2,481)
53,867 $
160
66,188 $
61
9,153
594
35,026
19,782
54,808
(2,520)
52,288
105
62,201
December 31,
2023
2022
9,692 $
8,443
927
9,807
10,324
622
19,062 $
20,753
$
$
$
$
$
$
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
December 31, 2023
December 31, 2022
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Non-agency-sponsored mortgage securitizations
$
— $
129 $
Asset-based financing
Municipal securities tender option bond trusts (TOBs)
Municipal investments
Investment funds
Other
—
417
—
—
—
13,655
—
2,587
95
—
— $
—
1,108
—
—
—
—
10,726
—
3,420
68
—
Total funding commitments
$
417 $
16,466 $
1,108 $
14,214
247
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, 2023
$
December 31, 2022
— $
1.9
8.3
51.8
0.6
—
1.6
8.6
44.2
0.6
55.0
$
62.6 $
248
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.
The Company’s primary 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, 2023
December 31, 2022
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
$
$
6.9 $
5.1
21.4
33.4 $
7.9
6.4
19.5
33.8
The following table summarizes selected cash flow
information related to Citigroup’s credit card securitizations:
In billions of dollars
2023
2022
2021
Proceeds from new securitizations
$
1.5 $
0.3 $ —
Pay down of maturing notes
(2.4)
(2.1)
(6.0)
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 3.8
years as of December 31, 2023 and 3.5 years as of
December 31, 2022.
In billions of dollars
Dec. 31,
2023
Dec. 31,
2022
Term notes issued to third parties
Term notes retained by Citigroup
affiliates
Total Master Trust liabilities
$
$
5.4 $
1.5
6.9 $
6.3
1.6
7.9
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 1.3 years as of
December 31, 2023 and 2.2 years as of December 31, 2022.
In billions of dollars
Dec. 31,
2023
Dec. 31,
2022
Term notes issued to third parties
Term notes retained by Citigroup
affiliates
Total Omni Trust liabilities
$
$
1.5 $
3.6
5.1 $
1.6
4.8
6.4
249
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 Services, Markets and Banking
securitizations. Citi’s Services, Markets and Banking
businesses 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, a U.S. agency-sponsored entity, such as Fannie
Mae or Freddie Mac, or a 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.
2023
2022
2021
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
$
4.9 $
4.9
0.1
—
—
4.8 $
3.5
—
0.2
—
6.9 $
13.9 $
6.7
0.1
—
0.1
13.4
—
0.2
—
6.1 $
6.4
0.1
—
0.2
25.2
25.4
—
0.1
—
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, 2023 were $0.4 million and $88.7
million, respectively.
Agency and non-agency securitization gains for the year
ended December 31, 2022 were $1.3 million and $154.8
million, respectively, and $3.9 million and $493.4 million,
respectively, for the year ended December 31, 2021.
2023
Non-agency-sponsored
mortgages(1)
2022
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
689 $
943 $
963 $
659 $
1,119 $
943
250
(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 $0.9 million related to personal loan securitizations at December 31, 2023.
(3) Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 26 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, 2023
Non-agency-sponsored mortgages(1)
Subordinated
interests
Senior
interests
12.9 %
5.9 %
NM
6.0 %
8.6 %
0.2 %
6.1 %
7.3 %
0.9 %
7.7 years
6.8 years
8.1 years
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
(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:
U.S. agency-
sponsored mortgages
December 31, 2023
Non-agency-sponsored mortgages(1)
Subordinated
interests
Senior
interests
Weighted-average discount rate
Weighted-average constant prepayment rate
Weighted-average anticipated net credit losses(2)
Weighted-average life
5.4 %
5.8 %
NM
7.5 years
NM
NM
NM
NM
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
(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.
251
NM
NM
NM
NM
NM
NM
NM
NM
(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 presented 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, 2023
Non-agency-sponsored mortgages
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
$
(20) $
(40)
(17)
(34)
NM
NM
— $
—
—
—
—
—
December 31, 2022
Non-agency-sponsored mortgages
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
$
(19) $
(37)
(15)
(30)
NM
NM
— $
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-
agency-sponsored securitization entities at December 31:
In billions of dollars, except liquidation losses in millions
2023
2022
2023
2022
2023
2022
Securitized assets
90 days past due
Liquidation losses
Securitized assets
Residential mortgages(1)
Commercial and other
Total
$
$
28.2 $
29.9
58.1 $
30.8 $
28.8
59.6 $
0.5 $
—
0.5 $
0.5 $
—
0.5 $
4.3 $
—
4.3 $
2.9
—
2.9
(1) Securitized assets include $117 million of personal loan securitizations as of December 31, 2023.
252
Consumer Loan Securitizations
Beginning in the third quarter of 2023, Citi relaunched a
program securitizing other consumer loans into asset-backed
securities. The principal securitized and the proceeds from
new securitizations for the year ended December 31, 2023
were $1 billion and $0.7 billion, respectively. The gain
recognized on the securitization of consumer loans was
$7.5 million for the year ended December 31, 2023.
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
$691 million and $665 million at December 31, 2023 and
2022, respectively. The MSRs correspond to principal loan
balances of $52 billion and $51 billion as of December 31,
2023 and 2022, respectively.
The following table summarizes the changes in
capitalized MSRs:
In millions of dollars
2023
2022
Balance, beginning of year
$
665 $
Originations
Changes in fair value of MSRs due to
changes in inputs and assumptions
Other changes(1)
Balance, as of December 31
66
28
(68)
$
691 $
404
120
201
(60)
665
(1) Represents changes due to customer payments.
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
2023
2022
2021
Servicing fees
Late fees
Total MSR fees
$
$
129 $
122 $
4
4
133 $
126 $
131
3
134
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, 2023 and 2022. These securities are
backed by either residential or commercial mortgages and are
often structured on behalf of clients.
As of December 31, 2023 and 2022, 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, 2023 and 2022, Citi
transferred agency securities with a fair value of
approximately $17.1 billion and $24.1 billion, respectively, to
re-securitization entities.
As of December 31, 2023, the fair value of Citi-retained
interests in agency re-securitization transactions structured by
Citi totaled approximately $1.7 billion (including $930 million
related to re-securitization transactions executed in 2023),
compared to $1.4 billion as of December 31, 2022 (including
$801 million related to re-securitization transactions executed
in 2022), 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, 2023
and 2022 were approximately $84.1 billion and $79.4 billion,
respectively.
As of December 31, 2023 and 2022, the Company did not
consolidate any private label or agency re-securitization
entities.
253
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,
2023 and 2022, the commercial paper conduits administered
by Citi had approximately $21.1 billion and $19.6 billion of
purchased assets outstanding, respectively, and had unfunded
commitments with clients of approximately $16.7 billion and
$13.9 billion, respectively.
Substantially all of the funding of the conduits is in the
form of short-term commercial paper. At December 31, 2023
and 2022, the weighted-average remaining maturities of the
commercial paper issued by the conduits were approximately
68 and 64 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
254
enhancement, including over-collateralization, cash and excess
spread collateral accounts, direct recourse or third-party
guarantees. Credit enhancement is sized with the objective of
approximating an investment-grade credit rating, based on
Citi’s internal risk ratings. In addition to the transaction-
specific credit enhancement, the conduits have obtained letters
of credit from the Company that equal at least 8% to 10% of
the conduit’s assets with a minimum of $200 million to $350
million. The letters of credit provided by the Company to the
conduits total approximately $2.1 billion as of December 31,
2023 and $1.9 billion as of December 31, 2022. The net result
across multi-seller conduits administered by the Company is
that, in the event that defaulted assets exceed the transaction-
specific credit enhancement 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
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, 2023 and 2022, the Company owned $10.1
billion and $8.6 billion, respectively, of the commercial paper
issued by its administered conduits. The Company’s
investments were not driven by market illiquidity and the
Company is not obligated under any agreement to purchase
the commercial paper issued by the conduits.
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. 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 billions of dollars
2023
2022
2021
Cash flows received on retained
interests and other net cash flows
Purchases of previously transferred
financial assets
$
0.1 $
0.3 $
1.1
—
—
0.2
In millions of dollars
Carrying value of retained
interests
Dec. 31,
2023
Dec. 31,
2022
Dec. 31,
2021
$
604 $
681 $
921
All of Citi’s retained interests were held-to-maturity
securities as of December 31, 2023 and 2022.
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, 2023, Citi had no outstanding voluntary
advances to customer TOB trusts.
For certain non-customer trusts, the Company also
provides credit enhancement. At December 31, 2023 and
2022, 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
255
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, 2023 and 2022, liquidity agreements
provided with respect to customer TOB trusts totaled $0.4
billion and $1.1 billion, respectively, of which $0.3 billion and
$0.7 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 $1.2 billion as of
December 31, 2023 and $1.4 billion as of December 31, 2022.
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
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.
256
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 presented 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.
In millions of dollars
Type
Commercial and other real estate
Corporate loans
Other (including investment funds, airlines and shipping)
Total
December 31, 2023
December 31, 2022
Total
unconsolidated
VIE assets
Maximum
exposure to
unconsolidated
VIEs
Total
unconsolidated
VIE assets
Maximum
exposure to
unconsolidated
VIEs
$
42,869 $
8,831 $
27,903
121,711
18,546
35,367
43,236 $
23,120
166,320
$
192,483 $
62,744 $
232,676 $
8,806
15,077
27,986
51,869
257
24. 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.
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.
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.
258
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.
259
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,
2023
December 31,
2022
December 31,
2023
December 31,
2022
277,003 $
255,280 $
17,077,712 $
23,780,711
—
—
—
—
—
—
3,022,127
2,753,912
2,687,662
2,966,025
1,937,025
1,881,291
277,003 $
255,280 $
25,541,413 $
30,565,052
45,851 $
49,779
—
—
48,678 $
43,666
—
—
7,943,054 $
3,737,063
778,397
771,134
6,746,070
3,350,341
789,077
783,591
95,630 $
92,344 $
13,229,648 $
11,669,079
— $
—
—
—
— $
— $
1,750
—
—
— $
—
—
—
317,117 $
72,592
544,315
428,949
266,115
76,935
482,266
387,766
— $
1,362,973 $
1,213,082
— $
1,571
—
—
82,009 $
161,811
49,555
46,742
1,750 $
1,571 $
340,117 $
— $
—
— $
— $
—
— $
496,699 $
567,627
1,064,326 $
1,234,775
374,383 $
349,195 $
41,538,477 $
45,032,245
90,884
165,314
45,862
48,197
350,257
593,136
641,639
(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.
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, 2023 and 2022. 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.
260
Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at December 31, 2023
Derivatives instruments designated as ASC 815 hedges
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)
Derivatives classified in
Trading account assets/liabilities(1)(2)
Liabilities
Assets
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
458 $
99
557 $
1,690 $
—
1,690 $
2,247 $
113,993 $
43,858
86
157,937 $
157,633 $
368
3
158,004 $
19,515 $
—
23,763
43,278 $
16,921 $
648
17,569 $
6,094 $
2,245
8,339 $
385,127 $
387,374 $
(308,431) $
(21,226)
57,717 $
(563) $
(5,208)
51,946 $
5
121
126
1,732
—
1,732
1,858
105,512
47,462
86
153,060
155,027
420
22
155,469
25,425
—
22,521
47,946
18,086
710
18,796
6,293
1,789
8,082
383,353
385,211
(308,431)
(26,101)
50,679
(348)
(12,504)
37,827
(1) The derivatives fair values are also presented in Note 26.
(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 $242 billion, $44 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 with appropriate legal opinion
supporting enforceability of netting. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(5) The net receivables/payables include approximately $4 billion of derivative asset and $10 billion of derivative liability fair values not subject to enforceable
master netting agreements, respectively.
261
In millions of dollars at December 31, 2022
Derivatives instruments designated as ASC 815 hedges
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)
Derivatives classified in
Trading account assets/liabilities(1)(2)
Liabilities
Assets
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
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 derivative fair values are also presented in Note 26.
(2) 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 with appropriate legal opinion
supporting enforceability of netting. 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.
262
For the years ended December 31, 2023, 2022 and 2021,
amounts recognized in Principal transactions in the
Consolidated Statement of Income include certain derivatives
not designated in a qualifying hedging relationship. Citigroup
presents this disclosure by business classification, showing
derivative gains and losses related to its trading activities
together with gains and losses related to non-derivative
instruments within the same trading portfolios, as this
represents how these portfolios are risk managed. See Note 6
for further information.
The amounts recognized in Other revenue in the
Consolidated Statement of Income related to derivatives not
designated in a qualifying hedging relationship are presented
below. The table below does not include any offsetting gains
(losses) on the economically hedged items:
Gains (losses) included in
Other revenue
Year ended December 31,
In millions of dollars
2023
2022
2021
Interest rate contracts
$
Foreign exchange
Total
$
(47) $
(216)
(263) $
141 $
(56)
85 $
(70)
(102)
(172)
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. Hedge effectiveness
assessment methodologies are performed in a similar manner
for similar hedges, and are used consistently throughout the
hedging relationships. The 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.
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 income or Interest expense based
on whether the hedged item is an asset or a liability.
263
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
Gains (losses) on fair value hedges(1)
Year ended December 31,
2023
2022
2021
Other
revenue
Net
interest
income
Other
revenue
Net
interest
income
Other
revenue
Net
interest
income
Interest rate hedges
$
— $
(804) $
— $
(8,322) $
— $
(5,425)
Foreign exchange hedges
Commodity hedges(2)
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(2)
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(3)
Commodity hedges(2)(4)
Total net gain (loss) on the hedging derivatives excluded from
assessment of the effectiveness of fair value hedges
1,433
(46)
—
—
(1,375)
(1,870)
—
—
(627)
(3,983)
—
—
$
1,387 $
(804) $
(3,245) $
(8,322) $
(4,610) $
(5,425)
$
— $
795 $
— $
8,087 $
— $
5,043
(1,433)
46
—
—
1,372
1,870
—
—
628
3,973
—
—
$
(1,387) $
795 $
3,242 $
8,087 $
4,601 $
5,043
$
— $
2
312
— $
— $
— $
— $
—
—
171
94
—
—
79
5
$
314 $
— $
265 $
— $
84 $
(9)
—
—
(9)
(1) Gain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense. The accrued interest income on fair value hedges is recorded in
Net interest income and is excluded from this table. Amounts included both hedges of AFS securities and long-term debt on a net basis, which largely offset in the
current period.
(2) The gain (loss) amounts for commodity hedges are included in Principal transactions for periods beginning 2023.
(3) 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 $(70) million and $73 million for the years ended December 31, 2023 and 2022, respectively.
(4) 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, 2023 includes gain (loss) of
approximately $284 million and $28 million under the mark-to-market approach and amortization approach, respectively. 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.
264
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, 2023 and 2022, 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
As of December 31, 2023
Debt securities AFS(2)(5)
Corporate loans(3)
Long-term debt
As of December 31, 2022
Debt securities AFS(4)(5)
Long-term debt
Carrying amount of
hedged asset/
liability(1)
Cumulative basis adjustment increasing
(decreasing) the carrying amount
Active
De-designated
$
$
111,886 $
4,968
141,449
98,837 $
144,549
(925) $
93
(908)
(2,976) $
(5,040)
(282)
(3)
(5,160)
(333)
(3,399)
(1) Excludes physical commodities inventories with a carrying value of approximately $8 billion as of December 31, 2023, which includes cumulative basis
adjustments of approximately $1.2 billion for active hedges.
(2) These amounts include a cumulative basis adjustment of $248 million for active hedges and $(51) million for de-designated hedges as of December 31, 2023,
related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the portfolio layer approach. The Company
designated approximately $14 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $28 billion as of December 31,
2023) in a portfolio layer-hedging relationship.
(3) All hedged corporate loans are designated in a fair value hedge using the portfolio layer approach. The Company designated approximately $3.6 billion as the
hedged amount (from a closed portfolio of financial assets with a carrying value of $5.0 billion as of December 31, 2023).
(4) 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.
(5) Carrying amount represents the amortized cost.
265
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.
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:
In millions of dollars
2023
2022
2021
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
(434) $
13
(421) $
(3,640) $
34
(3,606) $
(847)
(51)
(898)
Other
revenue
Net interest
income
Other
revenue
Net interest
income
Other
revenue
Net interest
income
— $
(4)
(4) $
(1,897) $
—
(1,897) $
— $
(4)
(4) $
(125) $
—
(125) $
— $
(4)
(4) $
1,075
—
1,075
$
1,480
$
(3,477)
$
(1,969)
(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, 2023 is approximately $(0.8) billion. The
maximum length of time over which forecasted cash flows are
hedged is 15 years.
The after-tax impact of cash flow hedges on AOCI is
presented in Note 21.
266
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 (CTA) 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 CTA 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 CTA 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 CTA within AOCI,
related to net investment hedges, was $(1.4) billion,
$370 million and $855 million for the years ended
December 31, 2023, 2022 and 2021, 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
267
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, 2023 and 2022,
approximately 98% and 98%, 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.
268
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, 2023
Receivable(1)
Payable(2)
Protection
purchased
Protection
sold
Fair values
Notionals
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
$
$
$
$
$
$
7,686 $
653
8,339 $
4,282 $
4,057
8,339 $
986 $
5,816
1,537
8,339 $
7,243 $
839
8,082 $
4,138 $
3,944
8,082 $
1,713 $
4,939
1,430
8,082 $
539,522 $
28,105
567,627 $
444,989 $
122,638
567,627 $
155,910 $
366,156
45,561
567,627 $
491,514
5,185
496,699
393,115
103,584
496,699
128,874
337,583
30,242
496,699
(1) The fair value amount receivable is composed of $2,770 million under protection purchased and $5,569 million under protection sold.
(2) The fair value amount payable is composed of $6,097 million under protection purchased and $1,985 million under protection sold.
In millions of dollars at December 31, 2022
Receivable(1)
Payable(2)
Protection
purchased
Protection
sold
Fair values
Notionals
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
$
$
$
$
$
$
6,867 $
1,522
8,389 $
3,796 $
4,593
8,389 $
1,753 $
4,577
2,059
8,389 $
7,360 $
417
7,777 $
2,970 $
4,807
7,777 $
1,801 $
4,134
1,842
7,777 $
623,981 $
17,658
641,639 $
499,339 $
142,300
641,639 $
147,031 $
443,113
51,495
641,639 $
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.
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.
269
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, 2023 and 2022
was $15 billion and $18 billion, respectively. The Company
posted $12 billion and $15 billion as collateral for this
exposure in the normal course of business as of December 31,
2023 and 2022, 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, 2023, the Company could be required to
post an additional $0.5 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 $33 million upon the single notch downgrade,
resulting in aggregate cash obligations and collateral
requirements of approximately $0.5 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
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
$4.3 billion and $1.4 billion as of December 31, 2023 and
2022, respectively.
At December 31, 2023, the fair value of these previously
derecognized assets was $4.3 billion. The fair value of the
total return swaps as of December 31, 2023 was $121 million
recorded as gross derivative assets and $29 million recorded as
gross derivative liabilities. At December 31, 2022, the fair
value of these previously derecognized assets was $1.4 billion,
and the fair value of the total return swaps was $27 million
recorded as gross derivative assets and $32 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.
270
25. 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, 2023, 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 $517.2 billion and
$431.6 billion at December 31, 2023 and 2022, respectively.
The German, Mexican, 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
$39.8 billion and $48.3 billion at December 31, 2023 and
2022, respectively. The Company’s exposure to Mexico
amounted to $32.8 billion and $31.1 billion at December 31,
2023 and 2022, respectively. The Company’s exposure to
Japan amounted to $29.6 billion and $40.0 billion at
December 31, 2023 and 2022, respectively. The Company’s
exposure to the United Kingdom amounted to $23.8 billion
and $31.7 billion at December 31, 2023 and 2022,
respectively. The foreign government exposures are composed
of investment securities, loans and trading assets.
The Company’s exposure to states and municipalities
amounted to $17.6 billion and $20.1 billion at December 31,
2023 and 2022, respectively, and was composed of trading
assets, investment securities, derivatives and lending activities.
271
26. 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 derivatives and other
positions, and the impact of Citigroup’s own credit risk is
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 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 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 is necessary to reflect differences in
the terms of the actual security being valued, or alternatively,
when prices from independent sources are 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. Vendor and broker 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 do not include adjustments 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
272
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
parties. 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 table below summarizes the CVA and FVA applied
to the fair value of derivative instruments at December 31,
2023 and 2022:
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,
2023
December 31,
2022
$
(580) $
(562)
381
255
(816)
(622)
607
263
$
(506) $
(568)
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 certain 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.
The FVA represents a market funding risk premium
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 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
expected future cash flows determined in step one. Citi’s
273
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)
2023
2022
2021
$
(31) $
(227) $
64
(102)
(212)
(23)
157
155
79
96
(33)
(22)
Total CVA and FVA—
derivative instruments
$
(202) $
(17) $
120
DVA related to own FVO
liabilities(1)
Total CVA, DVA and FVA $
$
(2,078) $
2,685 $
(2,280) $
2,668 $
296
416
(1) See Note 21.
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 within 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
instruments 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 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 within Level 2
of 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 within 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 valuation.
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
274
equity securities are generally classified within Level 3 of the
fair value hierarchy.
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 within 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 within Level 2 or Level 3
depending on the observability of significant inputs to the
valuation.
275
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,
2023 and 2022. 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, 2023
Level 1
Level 2
Level 3
Gross
inventory Netting(1)
Net
balance
Assets
Securities borrowed and purchased under agreements to resell
$
— $
453,715 $
139 $
453,854 $ (247,795) $ 206,059
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed
Residential
Commercial
—
1
—
79,795
597
464
581
116
202
80,376
714
666
—
—
—
80,376
714
666
Total trading mortgage-backed securities
$
1 $
80,856 $
899 $
81,756 $
— $ 81,756
U.S. Treasury and federal agency securities
$ 112,851 $
2,398 $
7 $
115,256 $
— $ 115,256
State and municipal
Foreign government
Corporate
Equity securities
Asset-backed securities
Other trading assets(2)
—
44,203
1,858
32,966
—
97
594
28,238
16,716
12,135
1,223
16,784
3
54
500
292
531
833
597
72,495
19,074
45,393
1,754
17,714
—
—
—
—
—
—
597
72,495
19,074
45,393
1,754
17,714
Total trading non-derivative assets
$ 191,976 $
158,944 $
3,119 $
354,039 $
— $ 354,039
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 received
Total trading derivatives—after netting and collateral
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
$
49 $
156,307 $
2,138 $
158,494
—
158,672
1,022
159,694
8
2
—
41,870
1,400
16,456
1,111
7,564
775
43,278
17,569
8,339
59 $
380,869 $
6,446 $
387,374
59 $
380,869 $
6,446 $
387,374 $ (329,657) $ 57,717
$ (308,431)
(21,226)
— $
29,640 $
75 $
29,715 $
— $ 29,715
—
—
307
1
116
—
423
1
—
—
423
1
— $
29,948 $
191 $
30,139 $
— $ 30,139
80,062 $
299 $
— $
80,361 $
— $ 80,361
—
1,589
60,133
70,871
2,680
159
—
—
—
2,370
72
938
6,757
542
194
362
27
—
—
2,131
—
2,131
131,198
— 131,198
5,412
258
938
6,757
483
—
—
—
—
—
5,412
258
938
6,757
483
—
483
Total investments
$ 143,034 $
112,844 $
1,799 $
257,677 $
— $ 257,677
Table continues on the next page.
276
Gross
inventory Netting(1)
7,594 $
$
— $
Net
balance
In millions of dollars at December 31, 2023
Level 1
Level 2
Level 3
Loans
Mortgage servicing rights
$
—
—
$
7,167
$ 427
—
691
691
—
7,594
691
Non-trading derivatives and other financial assets measured on
a recurring basis
Total assets
Total as a percentage of gross assets(3)
Liabilities
Interest-bearing deposits
Securities loaned and sold under agreements to repurchase
Trading account liabilities
$ 4,677
$
8,321
$
30
$
13,028 $
— $ 13,028
$ 339,746 $ 1,121,860 $ 12,651 $ 1,474,257 $ (577,452) $ 896,805
23.0 %
76.1 %
0.9 %
$
—
—
$
2,411
$
29
$
2,440 $
— $
2,440
228,048
390
228,438 (165,953)
62,485
Securities sold, not yet purchased
91,163
13,460
35
104,658
— 104,658
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
Total trading derivatives—after netting and collateral
Short-term borrowings
Long-term debt
—
8
—
8
—
8
$
91,163 $
13,468 $
35 $ 104,666 $
— $ 104,666
$
$
$
$
49
—
18
—
—
67
$ 149,914
$ 3,223
$
153,186
156,474
727
157,201
44,894
3,034
17,964
7,234
832
848
47,946
18,796
8,082
$ 376,480
$ 8,664
$
385,211
$ (308,431)
(26,101)
67 $ 376,480 $ 8,664 $ 385,211 $ (334,532) $ 50,679
—
—
$
6,064
$ 481
$
6,545 $
— $
6,545
77,958
38,380
116,338
— 116,338
Total non-trading derivatives and other financial liabilities
measured on a recurring basis
Total liabilities
Total as a percentage of gross liabilities(3)
$ 4,298
$
130
$
6
$
4,434 $
— $
4,434
$
95,528 $ 704,559 $ 47,985 $ 848,072 $ (500,485) $ 347,587
11.3 %
83.0 %
5.7 %
(1) Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to
repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2) Amounts exclude $25 million of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820):
Disclosure for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(3) 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.
277
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
$
$
—
2,256
38,383
25,850
1,593
11,955
43,990
10,179
—
24
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
Total investments
— $
11,232 $
30 $
11,262 $
— $ 11,262
—
—
444
2
— $
11,678 $
91,851 $
439 $
—
1,637
58,419
74,250
2,230
2,343
254
—
—
—
165
1,029
4,194
41
—
71 $
— $
586
608
343
10
1
—
485
2
11,749 $
92,290 $
2,223
133,277
4,916
429
1,030
4,194
439
—
—
485
2
— $ 11,749
— $ 92,290
—
2,223
— 133,277
—
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.
278
In millions of dollars at December 31, 2022
Level 1
Level 2
Level 3
Gross
inventory
Netting(1)
Net
balance
Loans
Mortgage servicing rights
Non-trading derivatives and other financial assets measured on a
recurring basis
Total assets
Total as a percentage of gross assets(3)
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
Total trading derivatives—after netting and collateral
Short-term borrowings
Long-term debt
$
—
—
$
3,999
$ 1,361
$
5,360 $
— $ 5,360
—
665
665
—
665
$ 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
—
70
2
—
247
$ 169,049
185,279
40,905
25,093
6,715
$ 427,041
$ 3,396
716
2,808
1,223
1,062
$ 9,205
$ 172,620
185,995
43,783
26,318
7,777
$ 436,493
$ (346,545)
(30,032)
247
—
—
$ 427,041
6,184
$
69,878
$ 9,205
38
$
36,117
$ 436,493 $ (376,577) $ 59,916
— $ 6,222
$
— 105,995
6,222 $
105,995
Non-trading derivatives and other financial liabilities measured on a
recurring basis
Total liabilities
Total as a percentage of gross liabilities(3)
$ 4,197
$
240
$
2
$
4,439 $
— $ 4,439
$ 102,003
$ 674,144
$ 46,461
$ 822,608 $ (462,544) $ 360,064
12.4 %
82.0 %
5.6 %
(1) Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to
repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2) Amounts exclude $27 million of investments measured at NAV in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosure for
Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(3) 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.
279
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, 2023 and
2022. 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
Net realized/unrealized
gains (losses) included in(1)
Transfers
Dec. 31,
2022
Principal
transactions Other(1)(2)
into
Level 3
out of
Level 3 Purchases
Issuances
Sales
Settlements
Unrealized
gains
(losses)
still held(3)
Dec. 31,
2023
$
149 $
8 $
— $ — $
(2) $
308 $
— $ — $
(324) $
139 $
13
600
166
145
7
2
(25)
—
—
—
396
103
202
(543)
(110)
(88)
616
197
118
—
—
—
(495)
(242)
(150)
—
—
—
581
116
202
14
(20)
(15)
$
911 $
(16) $
— $
701 $
(741) $
931 $
— $
(887) $
— $
899 $
(21)
$
1 $
7
119
394
192
668
648
(4) $
(3)
(18)
289
68
25
184
— $
10 $ — $
— $
— $ — $
— $
7 $
—
—
—
—
—
—
21
8
(2)
(66)
—
174
285
(691)
1,163
99
105
609
(39)
(138)
(437)
146
801
919
—
—
—
—
—
2
(20)
(163)
(940)
(174)
(930)
—
—
—
—
—
(1,086)
(6)
3
54
500
292
531
833
$ 2,940 $
525 $
— $ 1,838 $ (2,114) $
4,134 $
2 $ (4,200) $
(6) $ 3,119 $
—
—
(1)
(6)
62
12
28
74
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
U.S. Treasury and
federal agency
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)
Interest rate contracts
$
355 $
(1,588) $
— $
(172) $
(314) $
21 $
6 $
58 $
549 $ (1,085) $
(1,481)
Foreign exchange
contracts
Equity contracts
Commodity contracts
Credit derivatives
Total trading derivatives,
net(4)
50
(1,104)
278
(157)
412
(672)
324
(220)
—
—
—
—
91
32
235
(1)
46
858
77
307
135
(819)
(389)
(8)
—
—
—
—
(107)
(114)
(34)
—
(332)
295
185
(1,634)
(212)
279
6
(73)
(144)
(927)
(284)
(54)
$
(578) $
(1,744) $
— $
185 $
974 $
(1,060) $
6 $
(197) $
196 $ (2,218) $
(2,890)
Table continues on the next page.
280
2
1
3
—
31
(3)
(4)
—
—
—
82
109
(16)
20
—
9
—
(13)
—
(27)
Net realized/unrealized
gains (losses) included in(1)
Transfers
Dec. 31,
2022
Principal
transactions Other(1)(2)
into
Level 3
out of
Level 3 Purchases
Issuances
Sales
Settlements
Unrealized
gains
(losses)
still held(3)
Dec. 31,
2023
In millions of dollars
Investments
Mortgage-backed
securities
U.S. government-
sponsored agency
guaranteed
Residential
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
586
608
343
10
1
—
430
$
30 $
41
— $
—
4 $ — $
(3) $
47 $
— $
(3) $
— $
75 $
1
—
—
90
—
(16)
—
116
$
71 $
— $
5 $ — $
(3) $
137 $
— $
(19) $
— $
191 $
$ — $
— $
(1) $ — $
(20) $
51 $
— $
(30) $
— $ — $
—
—
—
—
—
—
—
— $
— $
—
27
(13)
(2)
17
(1)
1
31
2
27
49
—
30
—
8
(86)
(327)
(61)
—
—
(63)
—
64
850
131
—
—
62
42
—
—
—
(51)
(951)
(98)
—
—
—
(30)
—
—
—
(28)
—
—
—
—
—
—
—
542
194
362
27
—
—
483
64 $
116 $
(560) $
1,337 $
— $ (1,207) $
— $ 1,799 $
(236) $
32 $
(309) $
— $
241 $ — $
(662) $
427 $
28
—
—
—
50
66
—
(68)
691
22
(32)
(41)
30
Total investments
Loans
$ 2,049 $
$ 1,361 $
Mortgage servicing rights
665
Other financial assets
measured at fair value on
a recurring basis
Liabilities
57
—
(24)
—
(2)
Interest-bearing deposits
$
15 $
(7) $
(4) $
50 $
(118) $
— $
84 $ — $
(13) $
29 $
1,031
(5)
—
—
(24)
1,335
61
—
(2,018)
390
50
3
38
(30)
1
44
—
—
—
22
4
62
(49)
(2)
(31)
—
—
—
—
488
—
(141)
(7)
(34)
35
—
481
123
3
2
—
Long-term debt
36,117
(1,039)
—
4,913
(10,215)
9,811
—
(3,285) 38,380
(2,644)
Other financial liabilities
measured on a recurring
basis
2
—
6
—
(1)
6
49
(20)
(24)
6
—
(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,
2023.
(4) Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
281
Securities loaned and sold
under agreements to
repurchase
Trading account liabilities
Securities sold, not yet
purchased
Other trading liabilities
Short-term borrowings
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
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
U.S. Treasury and federal
agency 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)
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)
4 $
(4) $
— $
2 $
(1) $
1 $
— $ — $
(1) $
1 $
37
23
412
174
613
576
9
(41)
101
45
(41)
249
—
—
—
—
—
—
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)
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
(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
$
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) $ — $ — $
— $
— $ — $
— $ — $
772
786
188
16
3
—
316
—
—
—
—
—
—
—
(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
—
(49)
(23)
(2)
—
(5)
—
4
Total investments
$ 2,227 $
— $
(150) $
588 $
(509) $
980 $
— $ (1,087) $
— $ 2,049 $
(104)
Table continues on the next page.
282
145
199
—
—
7
(65)
—
(14)
Securities loaned and sold
under agreements to
repurchase
Trading account liabilities
Securities sold, not yet
purchased
Other trading liabilities
Short-term borrowings
In millions of dollars
Dec. 31,
2021
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,
2022
Loans
$
711 $
Mortgage servicing rights
404
— $
—
15 $
426 $
(208) $
— $
569 $ — $
(152) $ 1,361 $
201
—
—
—
120
—
(60)
665
Other financial assets
measured at fair value on a
recurring basis
Liabilities
73
—
(12)
29
(26)
46
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 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, 2022 to December 31, 2023:
• During the 12 months ended December 31, 2023, transfers
of Long-term debt were $4.9 billion from Level 2 to Level
3. Of the $4.9 billion transfer, approximately $4.2 billion
related to interest rate option volatility inputs becoming
unobservable and/or significant relative to their overall
valuation, and $0.6 billion related to equity and credit
derivative inputs (in addition to other volatility inputs, e.g.,
interest rate volatility inputs) becoming unobservable and/
or significant to their overall valuation. In other instances,
market changes have resulted in some inputs becoming
more observable, and some unobservable inputs becoming
less significant to the overall valuation of the instruments
(e.g., when an option becomes deep-in or deep-out of the
money). This has primarily resulted in $10.2 billion of
certain structured long-term debt products being
transferred from Level 3 to Level 2 during the 12 months
ended December 31, 2023.
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, 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 primarily 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.
283
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 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, 2023
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
$
$
$
$
$
$
139 Model-based
Credit spread
Interest rate
15 bps
4.00 %
15 bps
4.00 %
15 bps
4.00 %
679 Price-based
401 Yield analysis
Price
Yield
$
1.67
$
124.63
$
55.39
4.63 %
19.08 %
8.93 %
1,582 Price-based
Price
778 Model-based
Credit spread
259 Price-based
38 Model-based
Price
WAL
$
$
0.01
$
123.74
$
79.71
35 bps
550 bps
304 bps
—
$ 12,189.17
$
168.09
2.24 years
2.24 years
2.24 years
Recovery (in millions) $
7,398
$
3.50
$
$
7,398
129.00
$
$
7,398
65.87
475 Price-based
57 Yield analysis
Price
Yield
366 Comparables analysis Illiquidity discount
PE ratio
Revenue multiple
EBITDA multiples
Discount to price
5.93 %
8.00 %
9.30x
2.80x
15.80x
8.50 %
18.86 %
10.00 %
16.50x
13.40x
15.80x
8.50 %
8.57 %
8.82 %
11.37x
12.28x
15.80x
8.50 %
56 Cash flow
50 Price-based
Price
$
0.40
$
158.92
$
56.78
Derivatives—gross(6)
Interest rate contracts (gross)
$
5,237 Model-based
IR normal volatility
Interest rate
Foreign exchange contracts
(gross)
Equity contracts (gross)(7)
$
$
1,652 Model-based
IR normal volatility
4,239 Model-based
Equity volatility
IR basis
Equity forward
Equity-FX
correlation
Equity-Equity
correlation
WAL
(0.07) %
2.70 %
(0.07) %
(1.45) %
0.10 %
54.14 %
15.00 %
5.40 %
12.05 %
147.79 %
334.35 %
273.54 %
1.44 %
3.20 %
1.50 %
7.11 %
38.35 %
101.44 %
(79.00) %
70.00 %
(7.66) %
(6.49) %
97.44 %
80.42 %
2.24 years
2.24 years
2.24 years
Recovery (in millions) $
7,398
$
7,398
$
7,398
Commodity and other contracts
(gross)
$
1,943 Model-based
Forward price
Credit derivatives (gross)
$
1,135 Model-based
Commodity volatility
Commodity
correlation
Credit spread
Credit spread
volatility
284
31.70 %
14.72 %
425.51 %
149.99 %
134.65 %
37.03 %
(45.33) %
93.02 %
45.03 %
11.43 bps
1,519 bps
140.34 bps
23.94 %
115.66 %
42.76 %
90.87
98.80
115.47 %
31.79 %
(7.28) %
43.17 %
As of December 31, 2023
Fair value(1)
(in millions)
Methodology
Input
Low(2)(3)
High(2)(3)
Weighted
average(4)
378 Price-based
Recovery rate
Upfront points
Price
15.00 %
1.25 %
75.00 %
117.31 %
36.56 %
58.10 %
$
37.67
$
97.00
$
79.54
Non-trading derivatives and
other financial assets and
liabilities measured on a
recurring basis (gross)
Loans and leases
$
$
36 Price-based
316 Price-based
Price
Price
$
$
0.01
98.80
$
$
104.79
98.80
$
$
111 Model-based
Forward price
Mortgage servicing rights
$
595 Cash flow
66 Model-based
Commodity volatility
Commodity
correlation
Equity volatility
WAL
Yield
33.48 %
26.51 %
(45.33) %
41.61 %
348.43 %
66.80 %
93.02 %
45.40 %
1.00 years
8.76 years
1.29 years
— %
12.00 %
8.06 %
Liabilities
Interest-bearing deposits
Securities loaned and sold under
agreements to repurchase
$
$
29 Model-based
Forward price
100.00 %
100.00 %
100.00 %
390 Model-based
Interest rate
3.92 %
5.27 %
3.96 %
Trading account liabilities
Securities sold, not yet
purchased and other trading
liabilities
Short-term borrowings and
long-term debt
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)
$
23 Price-based
7 Yield analysis
Price
Yield
5 Model-based
FX volatility
$
—
$ 12,189.17
$
28.70
7.46 %
3.56 %
7.46 %
28.13 %
7.46 %
13.17 %
$
38,794 Model-based
IR normal volatility
0.32 %
20.00 %
1.25 %
Fair value(1)
(in millions)
Methodology
Input
Low(2)(3)
High(2)(3)
Weighted
average(4)
$
$
$
$
$
$
$
$
146 Model-based
732 Yield analysis
228 Price-based
2,360 Price-based
147 Price-based
31 Model-based
Credit spread
Interest rate
Yield
Price
Price
Price
WAL
$
$
$
Recovery (in millions) $
304 Price-based
308 Yield analysis
Price
Yield
$
287 Comparables analysis Revenue multiple
PE ratio
Illiquidity discount
101 Price-based
Cost of capital
15 bps
2.61 %
4.41 %
15 bps
2.61 %
20.30 %
15 bps
2.61 %
9.74 %
1.04
$
99.71
$
51.51
0.01
$
994.68
—
$ 9,087.76
2.24 years
2.24 years
7,148
10.50
$
$
7,148
145.00
$
$
$
$
5.76 %
3.60x
14.00x
8.60 %
8.10 %
18.58 %
13.90x
15.70x
17.00 %
17.50 %
245.85
114.29
2.24 years
7,148
74.97
9.34 %
12.40x
15.16x
10.16 %
10.44 %
7,108 Model-based
IR normal volatility
0.33 %
1.82 %
0.96 %
1,437 Model-based
IR normal volatility
0.33 %
1.47 %
0.67 %
285
As of December 31, 2022
Fair value(1)
(in millions)
Methodology
Input
Low(2)(3)
High(2)(3)
Equity contracts (gross)(7)
$
4,430 Model-based
IR basis
Equity volatility
Credit spread
Equity volatility
Equity forward
Equity-FX
correlation
Equity-Equity
correlation
WAL
(4.23) %
0.05 %
116 bps
0.05 %
68.34 %
9.68 %
300.72 %
626 bps
300.72 %
271.61 %
Weighted
average(4)
(0.03) %
33.91 %
594 bps
41.47 %
103.50 %
(95.00) %
50.00 %
(16.33) %
(3.98) %
98.68 %
85.63 %
2.24 years
2.24 years
2.24 years
Recovery (in millions) $ 7,148.00
$ 7,148.00
$
7,148.00
Equity-IR correlation
(18.83) %
60.00 %
32.37 %
Commodity and other contracts
(gross)
$
2,724 Model-based
Forward price
Commodity volatility
Commodity
correlation
14.27 %
10.43 %
385.50 %
151.50 %
106.08 %
33.55 %
(32.00) %
91.94 %
36.70 %
Credit derivatives (gross)
$
1,520 Model-based
Credit spread
2.50 bps
955.10 bps
101.27 bps
Credit correlation
Recovery rate
Credit spread
volatility
25.00 %
25.00 %
80.00 %
75.00 %
42.38 %
42.27 %
35.58 %
64.79 %
40.47 %
439 Price-based
Price
$
31.71
$
99.00
$
78.75
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
$
$
$
$
$
$
57 Price-based
Price
$
80.16
$
105.32
$
92.65
1,059 Model-based
Equity volatility
Forward price
Equity forward
304 Price-based
580 Cash flow
84 Model-based
Price
WAL
Yield
0.05 %
14.27 %
68.34 %
300.72 %
324.85 %
271.61 %
42.62 %
105.07 %
103.49 %
$
0.01
$
100.53
$
84.77
3.92 years
9.33 years
7.71 years
(0.40) %
13.20 %
5.36 %
15 Model-based
Forward price
100.00 %
101.30 %
100.07 %
970 Model-based
Interest rate
4.01 %
4.97 %
4.07 %
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 %
(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.
286
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
287
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, 2023
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, 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
Fair value
Level 2
Level 3
$
1,171 $
4
328
495 $
—
—
676
4
328
359
—
359
$
1,862 $
495 $
1,367
Fair value
Level 2
Level 3
$
2,336 $
1
69
457 $
—
—
1,879
1
69
597
—
597
$
3,003 $
457 $
2,546
(1) Net of mark-to-market 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.
288
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, 2023
Loans HFS
Loans(5)
Non-marketable equity
securities measured using
the measurement
alternative
Other real estate owned
As of December 31, 2022
Loans HFS
Other real estate owned
Loans(5)
Fair value(1)
(in millions)
Methodology
Input
Low(2)
High
Weighted
average(3)
$
$
$
$
674 Price-based
296 Recovery analysis
$
Price
Appraised value(4) $
67.50
$
100.00
$
93.39
12,000
$ 75,997,078
$ 46,121,923
250 Price-based
Price
$
1.57
$
2,637.00
$
1,114.06
109 Comparable analysis
3 Price-based
Revenue multiple
Appraised value(4) $
2.3x
35.7x
11.69x
401,042
$
2,061,700
$
155,696
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
Non-marketable equity
securities measured using
the measurement alternative $
363 Price-based
Price
$
0.46
$
2,416.43
$
557.86
234 Comparable analysis
Revenue multiple
4.95x
73.10x
19.68x
(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) Weighted averages are calculated based on the fair values of the instruments.
(4) Appraised values are disclosed in whole dollars.
(5) Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
Nonrecurring Fair Value Changes
The following table presents total nonrecurring fair value
measurements for the period, included in earnings, attributable
to the change in fair value relating to assets that were still
held:
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,
2023
2022
$
$
(119) $
—
(148)
(72)
(339) $
(58)
—
13
315
270
(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.
289
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
HTM debt securities, net of allowance(1)
Securities borrowed and purchased under agreements to resell
Loans(2)(3)
Other financial assets(3)(4)
Liabilities
Deposits
Securities loaned and sold under agreements to repurchase
Long-term debt(5)
Other financial liabilities(6)
In billions of dollars
Assets
HTM debt securities, net of allowance(1)
Securities borrowed and purchased under agreements to resell
Loans(2)(3)
Other financial assets(3)(4)
Liabilities
Deposits
Securities loaned and sold under agreements to repurchase
Long-term debt(5)
Other financial liabilities(6)
December 31, 2023
Estimated fair value
Carrying
value
Estimated
fair value
Level 1
Level 2
Level 3
2.5
—
2.9
—
$
259.7 $
240.6 $
124.0 $
114.1 $
139.6
663.3
347.5
139.7
673.2
—
—
139.7
—
673.2
347.5
243.1
17.8
86.6
$
1,306.2 $
1,305.9 $
— $ 1,116.5 $
189.4
215.6
170.3
132.8
215.6
173.4
132.8
—
—
—
215.6
168.0
—
5.4
29.2
103.6
December 31, 2022
Estimated fair value
Carrying
value
Estimated
fair value
Level 1
Level 2
Level 3
$
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
Includes $5.5 billion and $5.5 billion of non-marketable equity securities carried at cost at December 31, 2023 and 2022, respectively.
(1)
(2) The carrying value of loans is net of the allowance for credit losses on loans of $18.1 billion for December 31, 2023 and $17.0 billion for December 31, 2022. In
(3)
(4)
addition, the carrying values exclude $0.3 billion and $0.4 billion of lease finance receivables at December 31, 2023 and 2022, 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.
(5) The carrying value includes long-term debt balances under qualifying fair value hedges.
(6)
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, 2023 and
2022 were off-balance sheet liabilities of $14.2 billion and
$13.7 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 cancelable by providing notice to the borrower.
290
27. 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.
The Company has elected fair value accounting for its
mortgage servicing rights (MSRs). See Note 23 for additional
details on Citi’s MSRs.
Additional discussion regarding other applicable areas in
which fair value elections were made is presented in Note 26.
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
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,
2023
2022
$
$
$
$
$
$
$
267 $
97
2,038
6
2,044 $
28 $
(23)
5 $
(109)
(296)
(1,763)
(1)
(1,764)
201
(455)
(254)
2,413 $
(2,423)
(97) $
(217)
138
(18)
(12,998)
(13,192) $
42
110
(239)
1,424
15,589
16,926
Includes gains (losses) associated with interest rate lock commitments for originated loans for which the Company has elected the fair value option.
(1)
(2) Includes DVA that is included in AOCI. See Notes 21 and 26.
291
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 21 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
loss of $2,078 million and gain of $2,685 million for the years
ended December 31, 2023 and 2022, 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
income and interest expense are measured based on the
contractual rates specified in the transactions and are reported
as Interest income 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, 2023
December 31, 2022
Trading assets
Loans
Trading assets
Loans
Carrying amount reported on the Consolidated Balance Sheet
$
4,518 $
7,594 $
6,011 $
5,360
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
88
—
—
10
1
1
167
—
—
51
2
1
In addition to the amounts reported above, $391 million
and $729 million of unfunded commitments related to certain
credit products selected for fair value accounting were
outstanding as of December 31, 2023 and 2022, respectively.
292
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 income is
measured based on the contractual interest rates and reported
as Interest income 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, 2023 and 2022 due to instrument-specific credit
risk totaled to a gain of $39 million and loss of $155 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 trading activities. Under ASC 815, the investment
is bifurcated into a debt host contract and a commodity
derivative instrument. Citigroup elects the fair value option for
the debt host contract, and reports the 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 $0.6
billion and $0.3 billion at December 31, 2023 and 2022,
respectively.
As part of its commodity 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.
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 economically
hedged with derivative instruments. The Company has elected
the fair value option to mitigate accounting mismatches in
cases where hedge accounting is complex and to achieve
operational simplifications.
The following table provides information about certain mortgage loans HFS carried at fair value:
December 31,
2023
December 31,
2022
$
571 $
17
3
—
793
(10)
1
—
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
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, 2023 and 2022 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.
293
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
or Short-term borrowings 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,
2023
December 31,
2022
$
60.4 $
—
45.9
5.3
4.7
53.4
0.1
42.5
5.0
5.0
$
116.3 $
106.0
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,
2023
December 31,
2022
$
116,338 $
105,995
(2,842)
(2,944)
December 31,
2023
December 31,
2022
$
6,545 $
(60)
6,222
(9)
294
Collateral
At December 31, 2023 and 2022, the approximate fair value of
securities collateral received by Citi that may be resold or
repledged, excluding the impact of allowable netting, was
$817.9 billion and $725.5 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, 2023 and 2022, 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.
28. 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 billions of dollars
Investment securities
Loans
Trading account assets
Total
December 31,
2023
December 31,
2022
$
$
229.2 $
292.3
199.3
720.8 $
246.3
261.4
136.0
643.7
At December 31, 2023 and 2022, $511.6 billion and
$502.0 billion, respectively, of these pledged assets may not
be sold or repledged by the secured parties.
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,
2023
December 31,
2022
$
$
3,479 $
4,820
15,538
19,017 $
12,156
16,976
In addition to the restricted cash amounts presented
above, at December 31, 2023 approximately $3.9 billion was
held at the Deposit Insurance Agency (DIA) and was subject
to restrictions imposed by the Russian government. At
December 31, 2022, $1.8 billion was held at the National
Settlements Depository (NSD) and was also subject to
restrictions imposed by the Russian government. In April
2023, the balances held in the NSD were transferred to the
DIA. For the rest of 2023, all balances that previously would
have been transferred to the NSD were transferred to the DIA.
These restricted amounts are reported within Other assets on
the Consolidated Balance Sheet.
295
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, 2023
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(3)
Total
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
Maximum potential amount of future payments
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
(in millions of dollars)
$
17.8 $
4.8
24.2
0.6
104.1
138.0
0.2
27.7
63.5 $
5.8
16.3
1.2
—
—
0.2
7.7
81.3 $
10.6
40.5
1.8
104.1
138.0
0.4
35.4
674
49
362
16
—
—
5
50
$
317.4 $
94.7 $
412.1 $
1,156
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
(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, 2023 and 2022, this maximum potential exposure was estimated to be approximately $138 billion and $130 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.
Includes guarantees to the Fixed Income Clearing Corporation under the sponsored member repo program.
(3)
296
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 24 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 24. 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 presented 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 $11 million and $10 million at
297
December 31, 2023 and 2022, 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, 2023 and
2022, this maximum potential exposure was estimated to be
$138.0 billion and $129.6 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, 2023 and 2022, 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 coverage for certain losses
associated with purchased products, and protection for certain
travel-related purchases. 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, 2023 and 2022,
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
298
the contingencies potentially triggering the obligation to
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, 2023 or 2022 for potential
obligations that could arise from Citi’s involvement with VTN
associations.
Long-Term Care Insurance Indemnification
In 2000, Travelers Life & Annuity (Travelers), then a
subsidiary of Citi, entered into a reinsurance agreement to
transfer the risks and rewards of its long-term care (LTC)
business to GE Life (now Genworth Financial Inc., or
Genworth), then a subsidiary of the General Electric Company
(GE). As part of this transaction, the reinsurance obligations
were provided by two regulated insurance subsidiaries of GE
Life, which funded two collateral trusts with securities.
Presently, as discussed below, the trusts are referred to as the
Genworth Trusts.
As part of GE’s spin-off of Genworth in 2004, GE
retained the risks and rewards associated with the 2000
Travelers reinsurance agreement by providing a reinsurance
contract to Genworth through GE’s Union Fidelity Life
Insurance Company (UFLIC) subsidiary that covers the
Travelers LTC policies. In addition, GE provided a capital
maintenance agreement in favor of UFLIC that is designed to
assure that UFLIC will have the funds to pay its reinsurance
obligations. As a result of these reinsurance agreements and
the spin-off of Genworth, Genworth has reinsurance protection
from UFLIC (supported by GE) and has reinsurance
obligations in connection with the Travelers LTC policies. As
noted below, the Genworth reinsurance obligations now
benefit Brighthouse Financial, Inc. (Brighthouse). While
neither Brighthouse nor Citi are direct beneficiaries of the
capital maintenance agreement between GE and UFLIC,
Brighthouse and Citi benefit indirectly from the existence of
the capital maintenance agreement, which helps assure that
UFLIC will continue to have funds necessary to pay its
reinsurance obligations to Genworth.
In connection with Citi’s 2005 sale of Travelers to
MetLife Inc. (MetLife), Citi provided an indemnification to
MetLife for losses (including policyholder claims) relating to
the LTC business for the entire term of the Travelers LTC
policies, which, as noted above, are reinsured by subsidiaries
of Genworth. In 2017, MetLife spun off its retail insurance
business to Brighthouse. As a result, the Travelers LTC
policies now reside with Brighthouse. The original reinsurance
agreement between Travelers (now Brighthouse) and
Genworth remains in place and Brighthouse is the sole
beneficiary of the Genworth Trusts. The Genworth Trusts are
designed to provide collateral to Brighthouse in an amount
equal to the statutory liabilities of Brighthouse in respect of
the Travelers LTC policies. The assets in the Genworth Trusts
are evaluated and adjusted periodically to ensure that the fair
value of the assets continues to provide collateral in an amount
equal to these estimated statutory liabilities, as the liabilities
change over time.
If both (i) Genworth fails to perform under the original
Travelers/GE Life reinsurance agreement for any reason,
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, 2023 and 2022 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
24 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
299
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 $17.8 billion and $18.0 billion as of
December 31, 2023 and 2022, 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.
FICC Sponsored Member Repo Program
Citi acts as a sponsoring member of the Government
Securities Division of the Fixed Income Clearing Corporation
(FICC) to clear eligible resale and repurchase agreements on
behalf of its clients that become sponsored members of the
FICC. Citi, as sponsoring member, is required to provide a
guarantee to the FICC with respect to the prompt payment and
performance of its sponsored members. Because Citi obtains a
security interest in the cash or high-quality securities collateral
that the clients place with the clearing house, Citi expects the
risk of loss from this guarantee to be remote. See Note 12 for
additional information on Citi’s resale and repurchase
agreements, including risk mitigation practices for these
transactions.
Carrying Value—Guarantees and Indemnifications
At December 31, 2023 and 2022, the total carrying amounts of
the liabilities related to the guarantees and indemnifications
included in the tables above amounted to approximately $1.2
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
$52.5 billion and $51.8 billion at December 31, 2023 and
2022, respectively. Securities and other marketable assets held
as collateral amounted to $67.7 billion and $63.7 billion at
December 31, 2023 and 2022, 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 $3.1 billion and
$3.7 billion at December 31, 2023 and 2022, 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.
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
In billions of dollars at December 31, 2023
Financial standby letters of credit
Loans sold with recourse
Other
Total
In billions of dollars at December 31, 2022
Financial standby letters of credit
Loans sold with recourse
Other
Total
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
Not
rated
Total
70.5 $
10.8 $
—
—
—
7.7
70.5 $
18.5 $
— $
1.8
—
1.8 $
Maximum potential amount of future payments
Investment
grade
Non-
investment
grade
Not
rated
Total
77.9 $
10.4 $
—
—
—
8.5
77.9 $
18.9 $
1.3 $
1.7
—
3.0 $
$
$
$
$
81.3
1.8
7.7
90.8
89.6
1.7
8.5
99.8
300
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(2)
Total
U.S.
$
942 $
638
5,471
13,629
612,101
203,851
4,983
Outside of
U.S.(1)
December 31,
2023
December 31,
2022
4,403 $
5,345 $
607
24
1,637
64,904
108,449
163
1,245
5,495
15,266
677,005
312,300
5,146
5,316
2,394
6,380
15,170
683,232
297,399
5,673
$
841,615 $
180,187 $
1,021,802 $ 1,015,564
(1) Consumer commitments related to the business HFS countries under sales agreements are reflected in their original categories until the respective sales are
completed.
(2) Other commitments and contingencies include commitments to purchase certain debt and equity securities.
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
As a Federal Reserve member bank, Citi is required to
subscribe to half of a certain amount of shares issued by its
Federal Reserve District Bank. As of December 31, 2023 and
2022, Citi holds shares with a carrying value of $4.5 billion,
with the remaining half subject to call by the Federal Reserve
District Bank Board.
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, 2023 and 2022,
Citigroup had approximately $120.9 billion and $111.6 billion
of unsettled reverse repurchase and securities borrowing
agreements, and approximately $96.4 billion and $37.3 billion
of unsettled repurchase and securities lending agreements,
respectively. See Note 12 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.
These amounts are not included in the table above.
301
29. 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, 2023 and 2022.
For additional information regarding Citi’s leases, see
Note 1.
In millions of dollars
2024
2025
2026
2027
2028
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 3.7%)
Lease liability
$
$
$
$
728
647
539
406
307
710
3,337
(363)
2,974
In millions of dollars
ROU asset
Lease liability
December 31,
2023
December 31,
2022
$
2,801 $
2,974
2,892
3,076
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
Dec. 31,
2023
Dec. 31,
2022
Dec. 31,
2021
Operating lease expense
$
842 $
852 $
Variable lease expense
Total lease costs(1)
208
199
$
1,050 $
1,051 $
1,073
872
201
(1) Balances do not include $3 million, $3 million and $12 million of
sublease income for the years ended December 31, 2023, 2022 and
2021, respectively.
The table below provides the supplemental Statement of
Cash Flows information:
In millions of dollars
December 31,
2023
December 31,
2022
Cash paid for amounts included in
the measurement of lease
liabilities
$
ROU assets obtained in exchange
for new operating lease
liabilities(1)
714 $
725
456
775
(1) Represents non-cash activity and, accordingly, is not reflected in the
Consolidated Statement of Cash Flows.
302
30. 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
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.
303
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
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 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.
FDIC Special Assessment
On November 29, 2023, the FDIC published a final rule
implementing a special assessment—primarily on large banks
—to recover the uninsured deposit losses from the failures of
Silicon Valley Bank and Signature Bank. The FDIC estimated
the total cost of the failures to be approximately $16.3 billion,
which is attributable to the protection of uninsured depositors,
an estimate that will be periodically adjusted when warranted.
The FDIC will collect the special assessment at an annual rate
of approximately 13.44 basis points of December 31, 2022
estimated uninsured deposits exceeding $5 billion, over eight
quarterly assessment periods beginning in 2024. In the fourth
quarter of 2023, Citi accrued an estimated liability of $1.7
billion within Other liabilities and reported the corresponding
expense in Other operating expenses in the Consolidated
Statement of Income for the special assessment.
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, 2023, Citigroup estimates
that the reasonably possible unaccrued loss for these matters
ranges up to approximately $1.3 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
304
Foreign Exchange Litigation
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 March 30, 2023, the court granted
defendants’ motion for summary judgment and dismissed all
remaining claims. On April 13, 2023, plaintiffs appealed the
district court’s 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 15-CV-2290 (N.D. Cal.) (Chhabria, J.), 15-CV-9300
(S.D.N.Y.) (Schofield, J.), 22-698 (2d Cir.), and 23-619 (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). After claimants appealed the U.K. Competition Appeal
Tribunal’s judgment on certification, the Court of Appeal
issued a judgment on November 9, 2023, that the U.K.
Competition Appeal Tribunal should not have declined to
certify the proceedings. In December 2023, Citigroup,
Citibank and the other defendants applied to the U.K.’s
Supreme Court for permission to appeal the Court of Appeal’s
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 the U.K. Competition Appeal
Tribunal, CA-2022-002002 and CA-2022-002003 in the Court
of Appeal, and UKSC 2023/0177 in the U.K. Supreme Court.
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.
In 2019, two motions for certification of class actions
filed against Citigroup, Citibank, 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 August 2021,
Citibank’s motion to dismiss plaintiffs’ petition for
certification was denied. In April 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.
On December 13, 2021, a Dutch foundation filed a writ of
summons against Citigroup, Citibank, and other defendants,
captioned STICHTING FX CLAIMS v. NATWEST
MARKETS N.V., ET AL., in the Amsterdam District Court in
the Netherlands. Claimant seeks damages on behalf of certain
institutional investors 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 29, 2023, the court dismissed claims made on behalf of
parties located outside the Netherlands, and permitted the
other claims to go forward. Claimant appealed that decision
and on September 14, 2023, filed a new writ of summons
asserting similar claims on behalf of additional institutional
investors. Additional information concerning this action is
publicly available in court filings under the case numbers
C/13/718639 / HA ZA 22-460 and C/13/743903 / HA ZA
23-1143 in the Amsterdam District Court and under the case
number 200.329.379/01 in the Amsterdam Court of Appeal.
Fund Administration Matter
In 2016, an arbitration proceeding was commenced in Brazil’s
Market Arbitration Chamber against an asset manager of a
Brazilian real estate investment fund and Citibank
Distribuidora de Titulos e Valores Mob S.A. (Citi DTVM).
The claimant alleged that the asset manager had engaged in
fraud in connection with investments in real estate projects
and that Citi DTVM, as fund administrator, should be held
jointly and severally liable for its investment losses. In 2020,
the arbitration panel concluded that the asset manager had
engaged in fraudulent activities in certain real estate projects
and that Citi DTVM was jointly and severally liable pursuant
to the terms of the fund administration contract. The damages
phase of the arbitration proceeding is ongoing.
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. In October 2022, plaintiffs filed an amended
complaint. On October 10, 2023, the court granted defendants’
305
motion to dismiss the amended complaint with prejudice for
all claims against Citigroup, Citibank, and CGMI. Plaintiffs
have appealed the decision to the United States Court of
Appeals for the Ninth Circuit. Additional information
concerning this action is publicly available in court filings
under the docket numbers 20-CV-5832 (N.D. Cal.) (Donato,
J.) and 23-3458 (9th Cir.).
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 allege 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, Citibank, and Citicorp
LLC. In addition, numerous merchants have filed amended or
new complaints against Visa, MasterCard, and in some
instances one or more issuing banks, including Citigroup,
Citibank, and Citicorp Payment Services.
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
306
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 March 15,
2023, the United States Court of Appeals for the Second
Circuit affirmed the district court’s final approval of the
damages class settlement and remanded the case back to the
trial court for administration of the settlement claims process.
On January 8, 2024, the district court issued decisions on two
pending motions for summary judgment. It granted in part and
denied in part defendants’ motions for summary judgment.
The district court also denied Mastercard’s motion for
summary judgment as to Mastercard’s lack of market power.
Other motions for summary judgment remain pending.
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 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 interest rate
swap (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 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. On December 15,
2023, the court denied plaintiffs’ motion for class certification.
On December 28, 2023, plaintiffs filed a petition seeking
interlocutory review of the decision by the United States Court
of Appeals for the Second Circuit. 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. On August 14, 2023, the
court granted defendants’ motion to dismiss with prejudice for
all claims against Citigroup, Citibank, CGMI, and CGML. On
January 10, 2024, plaintiffs filed a notice of appeal. 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., and CGML, captioned PICARD v.
CITIBANK, N.A., ET AL., seeking recovery of monies that
originated at BLMIS and were allegedly received by the Citi
entities as subsequent transferees.
In February 2022, the SIPA trustee filed an amended
complaint against Citibank, Citicorp North America, Inc., and
CGML. In April 2022, these Citi entities moved to dismiss the
amended complaint, which the bankruptcy court denied. In
November 2022, the remaining Citi entities moved to file an
interlocutory appeal of the bankruptcy court’s decision and
answered the amended complaint. Additional information
concerning these actions is publicly available in court filings
under the docket numbers 10-5345 (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 August 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. In September 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.
On July 5, 2023, the United States Court of Appeals for the
Second Circuit granted CGML, Citibank (Switzerland) AG,
Citivic Nominees Ltd., and Citibank, NA London leave to
appeal the district court’s decision permitting a single claim to
proceed against them and ordered those appeals to be heard in
tandem with the liquidators’ pending consolidated direct
appeal.
307
On May 5, 2023, the liquidators voluntarily dismissed the
pending claims against Citibank (Switzerland) AG and Citivic
Nominees Ltd. without prejudice. The claims previously
dismissed against Citibank (Switzerland) AG and Citivic
Nominees Ltd. remain subject to the pending consolidated
direct appeal in the United States Court of Appeals for the
Second Circuit and are unaffected by the liquidators’
voluntary dismissal. 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.) (Mastando, 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,
23-697, 22-2562, 22-2216, 22-2545, 22-2308, 22-2591,
22-2502, 22-2553, 22-2398, 22-2582, 23-965 (consolidated
lead appeal), 23-549, 23-572, 23-573, 23-975, 23-982, 23-987
(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 4133/2019 and 22098/2019 (Italy),
and 20/3617/A, 2021/AR/1658, and 2022/AR/945 (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. The Milan court dismissed
Parmalat’s claim 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. In June 2019, Parmalat filed a further appeal
with the Italian Supreme Court. Additional information
concerning this action is publicly available in court filings
under the docket number 20598/2019.
On January 29, 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. On November 5, 2020, Citibank joined the
proceedings, seeking dismissal of the declaratory judgment
application and raised a counterclaim, seeking €990 million as
damages. 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. In April
2023, after defendants’ motion to dismiss was granted in IN
RE CITIGROUP SECURITIES LITIGATION, the court
maintained the stay in this action pending resolution of the
securities plaintiffs’ motion for leave to amend the complaint
and, if leave is granted, any subsequent motion to dismiss.
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. In April 2023, a
third related derivative action also filed in the Supreme Court
of the State of New York was consolidated for all purposes
into this action. That same month, following the dismissal of
the securities complaint in IN RE CITIGROUP SECURITIES
LITIGATION, the court maintained the stay in this action
pending resolution of the securities plaintiffs’ motion for leave
to amend the complaint and, if leave is granted, any
subsequent motion to dismiss. Additional information
concerning this action is publicly available in court filings
under the docket number 656759/2020 (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
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. In May
2023, on defendants’ motion, the action was transferred to the
United States District Court for the Southern District of New
York so that it could be litigated along with IN RE
CITIGROUP INC. SHAREHOLDER DERIVATIVE
LITIGATION and IN RE CITIGROUP SECURITIES
LITIGATION. Additional information concerning this action
is publicly available in court filings under the docket number
1:23-CV-04058 (S.D.N.Y.) (Preska, J.).
Beginning in October 2020, three putative class action
complaints were filed in the United States District Court for
308
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. On March 24, 2023, the court granted
defendants’ motion to dismiss without prejudice. On May 24,
2023, plaintiffs moved for leave to file a second amended
complaint against Citigroup and certain of Citigroup’s current
or former officers for alleged violations of Sections 10(b) and
20(a) of the Securities Exchange Act of 1934 based on alleged
misstatements concerning risk management and internal
controls. Additional information concerning this action is
publicly available in court filings under the docket number
1:20-CV-09132 (S.D.N.Y.) (Preska, J.).
Sovereign Securities 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. In March 2022, the court dismissed the
amended complaint with prejudice, and the plaintiffs appealed.
On February 1, 2024, the United States Court of Appeals for
the Second Circuit affirmed the dismissal. Additional
information concerning this action is publicly available in
court filings under the docket numbers 15-MD-2673
(S.D.N.Y.) (Gardephe, J.) and 22-943 (2d Cir.).
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,
consolidated amended complaint in part. In June 2022, the
court granted in part and denied in part defendants’ partial
motion to dismiss the consolidated amended complaint. In
October 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. Plaintiffs also moved to certify a subclass of
individuals who entered into remarketing agreements with the
defendants during that same period. On September 21, 2023,
the court granted plaintiffs’ motion for class certification,
certifying both an antitrust class and a breach-of-contract
subclass. On October 5, 2023, defendants filed a Rule 23(f)
petition seeking leave to appeal the certification ruling. On
November 8, 2023, the court dismissed certain defendants
from the case, including Citigroup, Citibank, and CGML. The
United States Court of Appeals for the Second Circuit heard
oral argument on defendants’ Rule 23(f) petition on January
23, 2024. Additional information concerning this action is
publicly available in court filings under the docket numbers
19-CV-1608 (S.D.N.Y.) (Furman, J.) and 23-7328 (2d Cir.).
Since April 2018, Citigroup and certain of its affiliates,
including Citibank and CGMI, have been named in state court
qui tam lawsuits in which Edelweiss Fund, LLC alleges that
Citi and other financial institutions defrauded certain state and
municipal VRDO issuers in connection with resetting VRDO
interest rates. Filed under each state’s respective false claims
act, these actions are pending in state courts in California,
Illinois, New Jersey, and New York, and are captioned
STATE OF CALIFORNIA EX REL. EDELWEISS FUND,
LLC v. JP MORGAN CHASE & CO., ET AL., STATE OF
ILLINOIS EX REL. EDELWEISS FUND, LLC v. JP
MORGAN CHASE & CO., ET AL., STATE OF NEW
JERSEY EX REL. EDELWEISS FUND, LLC v. JP
MORGAN CHASE & CO., ET AL., and STATE OF NEW
YORK EX REL. EDELWEISS FUND, LLC v. JP MORGAN
CHASE & CO., ET AL., respectively. Additional information
concerning these actions is publicly available in court filings
under the docket numbers CGC-14-540777 (Cal. Super. Ct.)
(Schulman, J.), 2017 L 000289 (Ill. Cir. Ct.) (Donnelly, J.),
L-885-15 (N.J. Super. Ct.) (Hurd, J.), and 100559/2014 (N.Y.
Sup. Ct.) (Borrok, J.).
Settlement Payments
Payments required in settlement agreements described above
have been made or are covered by existing litigation or other
accruals.
moved to dismiss the amended complaint. In November 2020,
the court granted defendants’ motion to dismiss, and the
plaintiffs appealed. On February 9, 2024, the United States
Court of Appeals for the Second Circuit vacated the dismissal
and remanded the case to the district court for further
proceedings. 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. In March
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. In November 2022, plaintiffs
moved for leave to amend the complaint, which the court
granted on September 25, 2023. On October 16, 2023,
plaintiffs filed a fifth amended 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.).
Variable Rate Demand Obligation Litigation
In 2019, plaintiffs in the consolidated actions CITY OF
PHILADELPHIA v. BANK OF AMERICA CORP, ET AL.
and MAYOR AND CITY COUNCIL OF BALTIMORE v.
BANK OF AMERICA CORP., ET AL. filed a consolidated
complaint naming as defendants Citigroup, Citibank, CGMI,
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.
On June 2, 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 on August 6, 2021, 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
309
31. SUBSIDIARY GUARANTEES
Citigroup Inc. has fully and unconditionally guaranteed the
payments due on debt securities issued by Citigroup Global
Markets Holdings Inc. (CGMHI), a wholly owned subsidiary,
under the Senior Debt Indenture dated as of March 8, 2016,
between CGMHI, Citigroup Inc. and The Bank of New York
Mellon, as trustee. In addition, Citigroup Capital III and
Citigroup Capital XIII (collectively, the Capital Trusts), each
of which is a wholly owned finance subsidiary of Citigroup
Inc., have issued trust preferred securities. Citigroup Inc. has
guaranteed the payments due on the trust preferred securities
SUMMARIZED INCOME STATEMENT
to the extent that the Capital Trusts have insufficient available
funds to make payments on the trust preferred securities. The
guarantee, together with Citigroup Inc.’s other obligations
with respect to the trust preferred securities, effectively
provides a full and unconditional guarantee of amounts due on
the trust preferred securities (see Note 19). No other subsidiary
of Citigroup Inc. guarantees the debt securities issued by
CGMHI or the trust preferred securities issued by the Capital
Trusts.
Summarized financial information for Citigroup Inc. and
CGMHI is presented in the tables below:
In millions of dollars
Total revenues, net of interest expense
Total operating expenses
Provision for credit losses
Equity in undistributed income of subsidiaries
Income (loss) from continuing operations before income taxes
Provision (benefit) for income taxes
Net income
SUMMARIZED BALANCE SHEET
In millions of dollars
Cash and deposits with banks
Securities borrowed and purchased under resale agreements
Trading account assets
Advances to subsidiaries
Investments in subsidiary bank holding company
Investments in non-bank subsidiaries
Other assets
Total assets
Securities loaned and sold under agreements to repurchase
Trading account liabilities
Short-term borrowings
Long-term debt
Advances from subsidiaries
Other liabilities
Stockholders’ equity
Total liabilities and equity
2023
Citigroup parent
company
CGMHI
$
$
$
14,079 $
202
—
(5,572)
8,305 $
(923)
9,228 $
10,615
11,593
53
—
(1,031)
57
(1,088)
December 31, 2023
December 31, 2022
Citigroup parent
company
CGMHI
Citigroup parent
company
CGMHI
$
3,011 $
23,756 $
3,015 $
$
$
—
461
150,845
172,125
46,870
14,202
387,514 $
— $
300
—
162,309
16,724
2,728
205,453
283,174
273,379
—
—
—
167,609
747,918 $
309,862 $
111,233
20,481
184,083
—
85,079
37,180
—
306
146,843
172,721
48,295
13,788
384,968 $
— $
604
—
166,257
14,562
2,356
201,189
27,122
306,273
209,957
—
—
—
163,819
707,171
245,916
115,929
43,850
172,068
—
90,570
38,838
$
387,514 $
747,918 $
384,968 $
707,171
310
32. CONDENSED PARENT COMPANY FINANCIAL STATEMENTS
The following are the Condensed Statements of Income and Comprehensive Income for the years ended December 31, 2023, 2022 and
2021, Condensed Balance Sheet as of December 31, 2023 and 2022 and Condensed Statement of Cash Flows for the years ended
December 31, 2023, 2022 and 2021 for Citigroup Inc., the parent holding company.
Condensed Statements of Income and Comprehensive Income
Parent Company Only
In millions of dollars
Revenues
Dividends from subsidiaries
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
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
Net income
Comprehensive income
Add: Other comprehensive income (loss)
Total Citigroup comprehensive income
Year ended December 31,
2023
2022
2021
$
16,811 $
8,992 $
6,955
6,339
1,460
4,628
5,250
715
6,482
3,757
4,791
294
(844) $
(1,337) $
(1,328)
$
$
$
$
$
$
$
$
$
— $
(31)
(928)
(771)
(23)
(135)
— $
(1)
5,147
—
(36)
976
(5,686)
(1,375)
210
(220)
(64)
(133)
(632)
(1,888) $
(550) $
14,079 $
7,105 $
4,522
9 $
9 $
18
160
15
12
85
15
10
69
83
11
202 $
121 $
173
(5,572) $
6,173 $
16,596
8,305 $
13,157 $
20,945
(923)
(1,688)
(1,007)
9,228 $
14,845 $
21,952
2,235
(8,297)
(6,707)
$
11,463 $
6,548 $
15,245
311
Condensed Balance Sheet
In millions of dollars
Assets
Cash and due from banks
Cash and due from banks—intercompany
Deposits with banks—intercompany
Trading account assets
Trading account assets—intercompany
Investments, net of allowance
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
Trading account liabilities
Trading account liabilities—intercompany
Long-term debt
Advances from subsidiary bank holding company
Advances from non-bank subsidiaries
Other liabilities
Other liabilities—intercompany
Stockholders’ equity
Total liabilities and equity
Parent Company Only
December 31,
2023
2022
$
— $
11
—
15
3,000
3,000
113
348
1
130
176
1
$
150,845 $
146,843
$
$
172,125
172,721
46,870
10,031
4,170
48,295
10,441
3,346
387,514 $
384,968
34 $
266
23
581
162,309
166,257
8,677
8,047
2,560
168
6,629
7,933
2,321
35
205,453
201,189
$
387,514 $
384,968
(1) Citigroup parent company at December 31, 2023 and 2022 included $56.9 billion and $40.2 billion, respectively, of placements to Citibank and its branches, of
which $33.8 billion and $29.2 billion, respectively, had a remaining term of less than 30 days.
312
Condensed Statement of Cash Flows
Parent Company Only
In millions of dollars
Net cash provided by operating activities of continuing operations
Cash flows from investing activities of continuing operations
Changes in investments and advances—intercompany
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
Net change in short-term borrowings and other advances—intercompany
Other financing activities
Net cash provided by (used in) financing activities of continuing operations
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
Year ended December 31,
2023
2022
2021
17,163 $
156 $
3,947
(3,450) $
(3,450) $
(7,815) $
(7,815) $
8,260
8,260
(5,212) $
(5,003) $
2,739
(4,145)
(1,977)
(6,955)
2,162
(329)
—
—
(3,250)
14,661
1,093
(344)
(5,198)
3,300
(3,785)
(7,601)
(86)
501
(337)
(13,717) $
7,157 $
(13,206)
(4) $
3,015
3,011 $
11 $
3,000
3,011 $
(502) $
3,517
3,015 $
15 $
3,000
3,015 $
(999)
4,516
3,517
17
3,500
3,517
(2,000) $
(1,269) $
5,704
1,309
(2,406)
(3,101)
$
$
$
$
$
$
$
$
$
$
313
FINANCIAL DATA SUPPLEMENT
RATIOS
Return on average assets
0.38 % 0.62 %
0.94 %
2023
2022
2021
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)
4.3
4.5
8.5
51
7.7
7.5
8.3
29
11.5
10.9
8.6
20
(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
Average
interest rate
Average
balance
Average
interest rate
Average
balance
Average
interest rate
Average
balance
2023
2022
2021
Banks
Other demand deposits
Other time and savings deposits
Total
5.33 % $
33,682
1.95 % $
33,327
0.16 % $
42,222
2.20
2.60
349,371
239,495
0.70
1.17
390,702
187,780
0.15
0.55
412,815
200,194
2.52 % $
622,548
0.91 % $
611,809
0.28 % $
655,231
(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 presents the estimated amount of uninsured time deposits by maturity profile:
In millions of dollars at December 31, 2023
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)(4)
Total uninsured time deposits(5)
Under 3
months or
less
Over 3
months but
within 6
months
Over 6
months but
within 12
months
Over 12
months
Total
$
32,746 $
12,805 $
22,142 $
2,041 $
69,734
122,638
14,916
9,709
2,675
149,938
$
155,384 $
27,721 $
31,851 $
4,716 $
219,672
(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 per depositor, per insured bank, for single ownership categories.
(3) Time deposits in offices outside the U.S. are assumed to be a depositor’s account as single account ownership.
(4) The insurance coverage is applied in sequence of checking, savings and short- and long-term time deposits accounts.
(5) 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, 2023 were $1.04 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 “Capital
Resources,” “Managing Global Risk—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
20), 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 (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 20
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
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 and reputation, and 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
315
compliance; and changes in the 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.
To the extent that transactions or dealings for its clients are
permitted by U.S. law, Citi may continue to engage in such
activities. Citi, in its First Quarter of 2023 Form 10-Q,
identified and reported certain activities pursuant to Section
219 for the fourth quarter of 2022. Citi identified and reported
certain activities pursuant to Section 219 for the second
quarter of 2023 in its Second Quarter of 2023 Form 10-Q and
for the third quarter of 2023 in its Third Quarter of 2023 Form
10-Q.
During the fourth quarter of 2023, Citi identified two
transactions pursuant to Section 219. On October 20, 2023,
Citibank Europe plc processed two transactions to the Iranian
Embassy in Poland for the payment of fees for tourist visas.
The total value of the transactions was EUR 100.00
(approximately USD 106.58). These transactions were
permissible under the travel exemption of the Iranian
Transactions and Sanctions Regulations. Citi did not realize
any fees for the processing of these transactions.
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,” “—Operational Risks” and “—Compliance
Risks” 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.
The following table summarizes Citi’s common share repurchases for the fourth quarter of 2023:
In thousands, except per share amounts
October 2023
Open market repurchases(1)
Employee transactions(2)
November 2023
Open market repurchases(1)
Employee transactions(2)
December 2023
Open market repurchases(1)
Employee transactions(2)
Total for 4Q23
Total shares
purchased
Average
price paid
per share
1,080 $
—
5,238
—
4,658
—
10,976 $
38.80
—
43.45
—
49.48
—
45.55
(1) Repurchases not made pursuant to any publicly announced plan or program.
(2) During the fourth 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 the employee tax requirements.
Dividends
Citi paid common dividends of $0.53 per share for the fourth
quarter of 2023 and the first quarter of 2024. Citi intends to
maintain a quarterly common dividend of at least $0.53 per
share, subject to financial and macroeconomic conditions and
its 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,” “—Operational Risks” and “—Compliance
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 2023, Citi distributed $1,198 million in dividends
on its outstanding preferred stock. On January 11, 2024, Citi
declared preferred dividends of approximately $279 million
for the first quarter of 2024.
See Note 20 for information on the ability of Citigroup’s
subsidiary depository institutions to pay dividends.
OTHER INFORMATION
Insider Trading Arrangements
During the fourth quarter of 2023, no director or executive
officer of Citi adopted or terminated any Rule 10b5-1 or non-
Rule 10b5-1 trading arrangement (each, as defined in Item 408
of Regulation S-K).
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, 2023. The graph and
table assume that $100 was invested on December 31, 2018 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-2018
31-Dec-2019
31-Dec-2020
31-Dec-2021
31-Dec-2022
31-Dec-2023
Citigroup
100.0
157.8
126.8
128.1
99.7
118.6
S&P 500
Index
100.0
131.5
155.7
200.4
164.1
207.2
S&P
Financials
Index
100.0
132.1
129.9
175.4
156.9
176.0
Note: Citi’s common stock is listed on the NYSE under the
ticker symbol “C” and held by 60,712 common stockholders
of record as of January 31, 2024.
318
CitigroupS&P 500 IndexS&P Financials Index20182019202020212022202375100125150175200225
CORPORATE INFORMATION
EXECUTIVE OFFICERS
Citigroup’s executive officers as of February 23, 2024 are:
Name
Peter Babej
Titi Cole
Jane Fraser
Sunil Garg
Age Position and office held
60 Head of Banking
51 Head of Legacy Franchises
56 Chief Executive Officer, Citigroup Inc.
58 CEO, Citibank, N.A., and Head of
North America
Shahmir Khaliq
53 Head of Services
David Livingstone
60 Chief Client Officer
Gonzalo Luchetti
50 Head of U.S. Personal Banking
Mark A. L. Mason
Brent McIntosh
54 Chief Financial Officer
50 Chief Legal Officer and Corporate
Andrew Morton
Johnbull Okpara
Secretary
62 Head of Markets
52 Controller and Chief Accounting
Officer
Anand Selvakesari
Andy Sieg
Edward Skyler
56 Chief Operating Officer
56 Head of Wealth
50 Head of Enterprise Services & Public
Affairs
Ernesto Torres Cantú
59 Head of International
Zdenek Turek
Sara Wechter
59 Chief Risk Officer
43 Chief Human Resources Officer
Mike Whitaker
60 Head of Operations and Technology
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 September 2023. 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 Head of Global
Operations and Fraud Prevention and Chief Client Officer
for Citi’s Personal Banking and Wealth Management
(PBWM). 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 in March 2021. Previously, she served as CEO of
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.
• Mr. Garg joined Citi in May 1988 and assumed his
current position in February 2021, and in January 2023
also assumed the position of Head of North America.
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. Khaliq joined Citi in 1991 and assumed his current
position in 2023. He served as the Global Head of TTS
from 2021 to 2023. Prior to that, he was Head of
Operations and Technology for the business.
• Mr. Livingstone joined Citi in 2016 and assumed his
current position in September 2023. Previously, he served
as CEO of Citi’s EMEA region from February 2019, and
as Country Officer for Australia and New Zealand from
June 2016. Prior to joining Citi, he spent nine years 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, and over 16 years at the Goldman Sachs Group,
Inc. in a variety of senior roles in the investment banking
division.
• Mr. Luchetti joined Citi in 2006 and assumed his current
position in February 2021. Prior to his current role, he
served as Head of the Consumer Bank in Asia and
EMEA. He also served as the Head of the Asia Retail
Bank and Global Head of Wealth Management and
Insurance. Prior to joining Citi, Mr. Luchetti worked for
JPMorgan Chase and Bain & Company.
• 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 the
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. Morton joined Citi in 2008 and assumed his current
position in March 2022. Prior to his current role, he was
appointed Co-Head of Markets in November 2019, and
prior to that, he was Head of the G10 Rates and Financing
businesses. Prior to joining Citi, Mr. Morton spent 15
years at Lehman Brothers, holding several positions
including European Head of Fixed Income and Global
Head of Fixed Income.
• 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.
• Mr. Selvakesari joined Citi in 1991 and assumed his
current position in March 2023. Previously, he served as
CEO of Citi’s PBWM franchise. Mr. Selvakesari also
served as Head of the U.S. Consumer Bank from 2019 to
2020, and Head of Consumer Banking for Asia Pacific
from 2015 to 2018, as well as in a number of regional and
country roles, including Head of Consumer Banking for
319
ASEAN and India, leading the consumer banking
businesses in Singapore, Malaysia, Indonesia, the
Philippines, Thailand and Vietnam, as well as India.
• Mr. Sieg joined Citi in his current position in September
2023. Previously, he served as the president of Merrill
Wealth Management and held various senior strategy,
product and field leadership roles in the wealth
management business. Mr. Sieg served as a senior wealth
management executive at Citi from 2005 to 2009, and
earlier in his career in the White House as an aide to the
Assistant to the President for Economic and Domestic
Policy.
• Mr. Torres Cantú joined Citi in 1989 and assumed his
current position in September 2023. Previously, he served
as CEO of Latin America. From 2014 to 2019, Mr. Torres
Cantú served as CEO of Citibanamex, and from 2012 to
2014 as CEO of Citibanamex Consumer Banking.
• Mr. Turek joined Citi in 1991 and assumed his current
position in February 2021. Prior to being named Interim
Chief Risk Officer for Citi in December 2020, he served
as EMEA Chief Risk Officer. Mr. Turek 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.
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.
320
CITIGROUP BOARD OF DIRECTORS
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
321
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 23rd day of
February, 2024.
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 J. 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 23rd day of February, 2024.
/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
322
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
2023 Annual Report on Form 10-K: Annual Report on Form
10-K for the year ended December 31, 2023, 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), 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.
AUA: Assets under administration
AUC: Assets under custody
Available liquidity resources*: Resources available at the
balance sheet date to support Citi’s client and business needs,
including HQLA assets; additional unencumbered securities,
323
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 (Cash, Rewards and Value) and
co-branded cards (including Costco and American Airlines).
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.
CGMI: Citigroup Global Markets Inc.
CGML: Citigroup Global Markets Limited
Citi: Citigroup Inc.
Citibank or CBNA: Citibank, N.A. (National Association)
Classifiably managed: Loans primarily evaluated for credit
risk based on internal risk rating classification.
Client investment assets: Represent assets under
management, trust and custody assets.
CLO: Collateralized loan obligations
CODM: chief operating decision maker
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’ gross purchases. Also known as purchase sales.
Credit cycle: A period of time over which credit quality
improves, deteriorates and then improves again (or vice versa).
The duration of a credit cycle can vary from a couple of years
to several years.
Credit derivatives: Financial instruments whose value is
derived from the credit risk associated with the debt of a third-
party issuer (the reference entity), which allow one party (the
protection purchaser) to transfer that risk to another party (the
protection seller).
Critical Audit Matters: Audit matters communicated by
KPMG to Citi’s Audit Committee of the Board of Directors,
relating to accounts or disclosures that are material to the
Consolidated Financial Statements and involved especially
challenging, subjective or complex judgments. See “Report of
Independent Registered Public Accounting Firm” 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
each period. The CTA amount in EOP AOCI is a cumulative
balance, net of tax.
CVA: Credit valuation adjustment
DCM: Debt Capital Markets
Delinquency managed: Loans primarily evaluated for credit
risk based on delinquencies, FICO scores and the value of
underlying collateral.
Divestiture-related impacts: Citi’s results excluding
divestiture-related impacts represent as reported, or GAAP,
financial results adjusted for items that are incurred and
recognized, which are wholly and necessarily a consequence
of actions taken to sell (including through a public offering),
dispose of or wind down business activities associated with
Citi’s announced 14 exit markets.
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
ECM: Equity Capital Markets
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.
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
FASB: Financial Accounting Standards Board
FCA: Financial Conduct Authority
FDIC: Federal Deposit Insurance Corporation
Federal Reserve: The Board of the Governors of the Federal
Reserve System
FFIEC: Federal Financial Institutions Examination Council
FHA: Federal Housing Administration
FHLB: Federal Home Loan Bank
FICO: Fair Issac Corporation
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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
LGD: Loss given default
LIBOR: London Interbank Offered Rate
LLC: Limited Liability Company
LTD: Long-term debt
Firm: Citigroup Inc.
FRB: Federal Reserve Board
FRBNY: Federal Reserve Bank of New York
Freddie Mac: Federal Home Loan Mortgage Corporation
FTCs: Foreign tax credit carry-forwards
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
GSIB: Global Systemically Important Bank
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 the
change is made, the CTA balance is frozen.
IBOR: Interbank Offered Rate
ICRM: Independent Compliance Risk Management
Interchange revenue: Fees earned from merchants based on
Citi’s credit and debit card customers’ sales transactions.
International: The region representing all countries other
than the U.S. and Canada.
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.
LCR: Liquidity Coverage ratio. Represents HQLA divided by
net outflows in the period.
LDA: Loss Distribution Approach
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LTV: Loan-to-value. For residential real estate loans, the
relationship, expressed as a percentage, between the principal
amount of a loan and the estimated value of the collateral (i.e.,
residential real estate) securing the loan.
Managed basis: Results reflected on a managed basis exclude
divestiture-related impacts.
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 Investors Service
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.
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.
Partner payments: Payments made to credit card partners
primarily based on program sales, profitability and customer
acquisitions.
PD: Probability of default
Principal transactions revenue: Primarily trading-related
revenues predominantly generated by the Services, Markets
and Banking businesses. See Note 6.
326
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
Purchased credit-deteriorated: 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.
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.
Reconciling Items: Divestiture-related impacts excluded from
the results of All Other, as well as All Other—Legacy
Franchises on a managed basis. The Reconciling Items are
fully reflected in Citi’s Consolidated Statement of Income for
each respective line item.
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). GAAP
measures excluding the impact of FX translation are non-
GAAP financial measures.
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, Best Buy, Sears
and Macy’s).
Reward costs: The cost to Citi for rewards earned by
cardholders enrolled in credit card rewards programs generally
tied to card spend volumes.
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. GAAP
measures on taxable equivalent basis, including the metrics
derived from these measures, are non-GAAP financial
measures.
TDR: Troubled debt restructuring. Prior to January 1, 2023, a
TDR was deemed to occur when the Company modified the
original terms of a loan agreement by granting a concession to
a borrower that was experiencing financial difficulty. Loans
with short-term and other insignificant modifications that are
not considered concessions were not TDRs. The accounting
guidance for TDRs was eliminated with the adoption of ASU
2022-02. See Note 1.
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.
327
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.
328
Stockholder information
Citigroup common stock is listed on the NYSE under the ticker symbol “C.”
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 16, 2023.
As of January 31, 2024, Citigroup had approximately 60,712 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 2023 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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