CITIGROUP INC
10-Qs and 10-Ks
PROXIES
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM
10-Q
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended
March 31, 2017
Commission file number 1-9924
Citigroup Inc.
(Exact name of registrant as specified in its charter)
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Delaware
(State or other jurisdiction of incorporation or organization)
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52-1568099
(I.R.S. Employer Identification No.)
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388 Greenwich Street, New York, NY
(Address of principal executive offices)
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10013
(Zip code)
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(212) 559-1000
(Registrant's telephone number, including area code)
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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 and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted 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 and post 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, smaller reporting, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and “emerging growth company” in Rule 12b-2 of the Exchange Act.
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Large accelerated filer
x
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Accelerated filer
o
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Non-accelerated filer
o
(Do not check if a smaller reporting company)
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Smaller reporting company
o
Emerging growth company
o
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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 is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes
o
No
x
Number of shares of Citigroup Inc. common stock outstanding on
March 31, 2017
: 2,753,257,797
Available on the web at www.citigroup.com
CITIGROUP’S FIRST QUARTER
2017
—FORM
10-Q
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OVERVIEW
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MANAGEMENT'S DISCUSSION AND
ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS
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Executive Summary
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Summary of Selected Financial Data
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SEGMENT AND BUSINESS—INCOME (LOSS)
AND REVENUES
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SEGMENT BALANCE SHEET
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Global Consumer Banking (GCB)
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North America GCB
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Latin America GCB
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Asia GCB
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Institutional Clients Group
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Corporate/Other
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OFF-BALANCE SHEET
ARRANGEMENTS
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CAPITAL RESOURCES
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MANAGING GLOBAL RISK TABLE OF
CONTENTS
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MANAGING GLOBAL RISK
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INCOME TAXES
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DISCLOSURE CONTROLS AND
PROCEDURES
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DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT
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FORWARD-LOOKING STATEMENTS
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FINANCIAL STATEMENTS AND NOTES
TABLE OF CONTENTS
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CONSOLIDATED FINANCIAL STATEMENTS
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NOTES TO CONSOLIDATED FINANCIAL
STATEMENTS (UNAUDITED)
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UNREGISTERED SALES OF EQUITY SECURITIES, PURCHASES OF EQUITY SECURITIES AND DIVIDENDS
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1
OVERVIEW
This Quarterly Report on Form 10-Q should be read in conjunction with Citigroup’s Annual Report on Form 10-K for the year ended December 31,
2016
(
2016
Annual Report on Form 10-K).
Additional information about Citigroup is available on Citi’s website at
www.citigroup.com
. Citigroup’s recent annual reports on Form 10-K, quarterly reports on Form 10-Q, proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available free of charge through Citi’s website by clicking on the “Investors” page and selecting “All SEC Filings.” The SEC’s website also contains current reports on Form 8-K, information statements and other information regarding Citi at
www.sec.gov
.
Certain reclassifications, including a realignment of certain businesses, have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation. For additional information on certain recent reclassifications, see Note 3 to the Consolidated Financial Statements.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.
2
Citigroup is managed pursuant to the following segments:
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
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*
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As previously announced, the remaining businesses and portfolios of assets in Citi Holdings are now reported as part of
Corporate/Other
for all periods presented and
Citi Holdings is no longer a separately reported business segment. For additional information, see Note 3 to the Consolidated Financial Statements below.
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(1)
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Asia GCB
includes the results of operations of
GCB
activities in certain
EMEA
countries for all periods presented.
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(2)
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North Americ
a includes the U.S., Canada and Puerto Rico,
Latin America
includes Mexico and
Asia
includes Japan.
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3
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
EXECUTIVE SUMMARY
First
Quarter of
2017
—Solid Performance Across the Franchise
As described further throughout this executive summary, Citi’s first quarter of 2017 results of operations mark a significant improvement compared to the prior-year period as many businesses benefitted from continued momentum from the end of last year. Citi increased revenues in both
Global Consumer Banking (GCB)
and
Institutional Clients Group (ICG)
, while continuing to wind down the legacy assets in
Corporate/Other
and maintaining expense discipline. Citi also continued to make targeted investments to drive revenue growth and improve returns in several businesses, including in equities, Citi-branded cards and Mexico.
In
GCB
, the
North America
credit card business continued to benefit from the acquisition of the Costco portfolio, while mortgage revenues were lower reflecting the impact of the higher rate environment on origination activity, as well as the impact of the previously announced sale of a portion of Citi’s U.S. mortgage servicing rights, as part of Citi’s exit of its U.S. mortgage servicing operations. International
GCB
generated positive operating leverage driven by year-over-year revenue growth in Mexico and
Asia
, excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation).
ICG
showed broad-based momentum, with revenue growth in fixed income and equity markets, treasury and trade solutions, investment banking and the private bank. These increases in revenues were partially offset by lower revenues in
Corporate/Other
,
reflecting the continued wind down of legacy assets, partially offset by certain gains on asset sales, including the sales of the consumer finance business in Canada and the consumer business in Argentina.
Citi also continued to generate significant regulatory capital during the quarter through a combination of earnings and the utilization of approximately $800 million in deferred tax assets (DTAs) (for additional information, see “Income Taxes” below). Citi generated approximately $5.5 billion in regulatory capital during the quarter, before returning approximately $2.2 billion to its common shareholders in the form of common stock repurchases and dividends. Outstanding common shares declined 1% from the prior quarter and 6% from the prior-year period. Despite the return of capital to its shareholders, each of Citigroup’s key regulatory capital metrics remained strong as of the end of the first quarter of 2017 (see “Capital” below).
While economic sentiment has improved, there continue to be various economic and political uncertainties and changes that could impact Citi’s businesses, including as a result of, among others, potential policy changes arising from the U.S. presidential administration and Congress as well as the U.K.’s initiation of the process to withdraw from the European Union. For a more detailed discussion of these risks and uncertainties, see each respective business’s results of operations and “Forward-Looking Statements” below, as well as each respective business’ results of operations and the
“Managing Global Risk” and “Risk Factors” sections in Citi’s 2016 Annual Report on Form 10-K.
First Quarter of 2017 Summary Results
Citigroup
Citigroup reported net income of $4.1 billion, or $1.35 per share, compared to $3.5 billion, or $1.10 per share, in the prior-year period. The 17% increase in net income from the prior-year period was primarily driven by higher revenues and lower credit costs, as expenses remained largely unchanged.
Citigroup revenues of $18.1 billion in the first quarter of 2017 increased 3%, driven by a 16% increase in
ICG
, as well as a 1% increase in
GCB
, partially offset by a 40% decrease in
Corporate
/
Other
due primarily to the continued wind down of legacy assets.
Citigroup’s end-of-period loans increased 2% to $629 billion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s end-of-period loans also grew 2%, as 8% growth in
GCB
and 3% growth in
ICG
were partially offset by the continued wind down of legacy assets in
Corporate/Other
. (Citi’s results of operations excluding the impact of FX translation are non-GAAP financial measures.) Citigroup’s end-of-period deposits increased 2% to $950 billion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s deposits were up 3%, driven by a 4% increase in
GCB
deposits and a 3% increase in
ICG
deposits, slightly offset by a decline in
Corporate/Other
deposits.
Expenses
Citigroup’s operating expenses were largely unchanged versus the prior-year period, as the impact of higher performance-related compensation and higher business volumes were offset by lower repositioning costs and a benefit from FX translation, as investments were largely funded through efficiency savings. Year-over-year,
GCB
operating expenses were largely flat,
ICG
operating expenses increased 1% and
Corporate/Other
operating expenses declined 11%.
Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims of $1.7 billion decreased 19% from the prior-year period. The decrease was driven by a net loan loss reserve release in
ICG
compared to a net loan loss reserve build driven by energy-related exposures in the prior-year period and a decline in the provision for benefits and claims, as well as a modest decline in net credit losses.
Net credit losses of $1.7 billion declined 1% versus the prior-year period. Consumer net credit losses of $1.7 billion increased 10%, driven by the Costco portfolio acquisition, organic volume growth and seasoning, as well as the impact of changes in collection processes in
North America
cards, partially offset by the continued wind down of legacy assets in
Corporate/Other
. Corporate net credit losses decreased $173
4
million to $37 million, driven by improvement in the energy sector.
For additional information on Citi’s consumer and corporate credit costs and allowance for loan losses, see “Credit Risk” below.
Capital
Citigroup’s Tier 1 Capital and Common Equity Tier 1 Capital ratios, on a fully implemented basis, were 14.5% and 12.8% as of March 31, 2017, respectively, compared to 13.8% and 12.3% as of March 31, 2016 (all based on the Basel III Advanced Approaches for determining risk-weighted assets). Citigroup’s Supplementary Leverage ratio as of March 31, 2017, on a fully implemented basis, was 7.3%, compared to 7.4% as of March 31, 2016. For additional information on Citi’s capital ratios and related components, including the impact of Citi’s DTAs on its capital ratios, see “Capital Resources” below.
Global Consumer Banking
GCB
net income decreased 16% to $1.0 billion, as higher revenues were more than offset by higher cost of credit. Operating expenses were largely flat at $4.4 billion, as the addition of the Costco portfolio, volume growth and continued investments were offset by ongoing efficiency savings, lower repositioning costs and a benefit from FX translation.
GCB
revenues of $7.8 billion increased 1% versus the prior-year period. Excluding the impact of FX translation,
GCB
revenues increased 3%, driven by increases in
North America GCB
,
Latin America GCB
and
Asia GCB
.
North America GCB
revenues increased 2% to $4.9 billion, as higher revenues in Citi-branded cards were partially offset by lower revenues in retail banking and Citi retail services. Citi-branded cards revenues of $2.1 billion were up 13% versus the prior-year period, reflecting the contribution from the Costco portfolio and modest organic growth, partially offset by the ongoing impact of higher promotional rate balances. Citi retail services revenues of $1.6 billion decreased 5% versus the prior-year period, driven by the absence of gains on sales of two cards portfolios sold in the first quarter of 2016. Retail banking revenues decreased 3% from the prior-year period, mainly driven by lower mortgage revenues. Excluding mortgage, retail banking revenues were up 5% from the prior-year period, driven by continued growth in average loans, deposits and assets under management.
North America GCB
average deposits of $186 billion were up 3% versus the prior-year period, average retail loans of $55 billion grew 5%, and assets under management of $55 billion grew 12%. Average branded card loans of $83 billion increased 28%, while branded card purchase sales of $73 billion increased 58% versus the prior-year period, both driven by the Costco portfolio acquisition as well as organic growth. Average retail services loans of $45 billion were up 3%, while retail services purchase sales of $17 billion were largely unchanged. For additional information on the results of operations of
North America GCB
for the first quarter of 2017, see “
Global Consumer Banking—North America GCB
” below.
International
GCB
revenues (consisting of
Latin America GCB
and
Asia GCB
(which includes the results of operations
in certain
EMEA
countries)) were largely unchanged at $2.9 billion versus the prior-year period. Excluding the impact of FX translation, international
GCB
revenues increased 3% versus the prior-year period.
Latin America GCB
revenues increased 4% versus the prior-year period,
driven by 8% growth in retail banking, reflecting continued growth in average loans and deposits as well as improved deposit spreads, partially offset by lower cards revenues.
Asia GCB
revenues increased 3% versus the prior-year period, driven by improvement in cards and wealth management, partially offset by lower retail lending revenues. For additional information on the results of operations of
Latin America GCB
and
Asia GCB
for the first quarter of 2017, including the impact of FX translation,
see “
Global Consumer Banking
” below.
Year-over-year, international
GCB
average deposits of $118 billion increased 6%, average retail loans of $83 billion decreased 3%, assets under management of $92 billion increased 4%, average card loans of $23 billion increased 3% and card purchase sales of $23 billion increased 5%, all excluding the impact of FX translation.
Institutional Clients Group
ICG
net income of $3.0 billion increased 61%, driven by the higher revenues and lower cost of credit, partially offset by higher operating expenses.
ICG
operating expenses increased 1% to $4.9 billion, as higher performance-based compensation was partially offset by lower repositioning costs and a benefit from FX translation.
ICG
revenues were $9.1 billion in the first quarter of 2017, up 16% from the prior-year period, driven by an 18% increase in
Markets and securities services
revenues and a 13% increase in
Banking
revenues (including the impact of $115 million of mark-to-market losses on loan hedges related to accrual loans within corporate lending compared to losses of $66 million in the prior-year period).
Banking
revenues of $4.5 billion (excluding the impact of mark-to-market losses on hedges related to accrual loans within corporate lending) increased 14% compared to the prior-year period, driven by strong performance in investment banking, treasury and trade solutions and the private bank. Investment banking revenues of $1.2 billion increased 39% versus the prior-year period. Advisory revenues increased 8% to $246 million versus the prior-year period. Debt underwriting revenues increased 39% to $733 million and equity underwriting revenues nearly doubled to $235 million.
Private bank revenues increased 9% to $744 million versus the prior-year period, driven by loan and deposit growth and improved spreads. Corporate lending revenues decreased 16% to $319 million. Excluding the mark-to-market impact of loan hedges, corporate lending revenues decreased 3% to $434 million versus the prior-year period due to lower average volumes. Treasury and trade solutions revenues increased 9% to $2.1 billion versus the prior-year period, driven by strong fee growth, higher volumes and improved spreads.
5
Markets and securities services
revenues increased 18% to $4.8 billion versus the prior-year period. Fixed income markets revenues increased 19% to $3.6 billion versus the prior-year period, reflecting strength in both rates and currencies as well as spread products. Equity markets revenues increased 10% to $769 million versus the prior-year period, reflecting an improvement in equity derivatives. Securities services revenues decreased 3% to $543 million versus the prior-year period, largely due to the impact of prior-period divestitures. Excluding the divestitures, securities services revenues increased 12%, driven by higher deposit balances and growth in assets under custody. For additional information on the results of operations of
ICG
for the first quarter of 2017, see “
Institutional Clients Group
” below.
Corporate/Other
Corporate/Other
net income was $92 million in the first quarter of 2017, compared to net income of $450 million in the prior-year period, reflecting lower revenues, partially offset by lower operating expenses and lower cost of credit. Expenses of $1.1 billion declined 11% from the prior-year period, primarily driven by the wind-down of legacy assets, partially offset by approximately $100 million of episodic expenses primarily related to the exit of Citi’s U.S. mortgage servicing operations.
Corporate/Other
revenues were $1.2 billion, down 40% from the prior-year period, driven by legacy asset run-off and divestiture activity, as well as lower revenues from treasury-related hedging activity. Revenues in the first quarter of 2017 included nearly $750 million of episodic gains on asset sales, partially offset by an approximate $300 million charge related to the exit of the U.S. mortgage servicing operations. For additional information on the results of operations of
Corporate/Other
for the first quarter of 2017, see “
Corporate/Other
” below.
Corporate/Other
end-of-period assets decreased 23% to $96 billion from the prior-year period as Citi continued to wind down the legacy assets.
6
RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
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First Quarter
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||||||||
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In millions of dollars, except per-share amounts and ratios
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2017
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2016
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% Change
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|||||
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Net interest revenue
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$
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10,857
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$
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11,227
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(3
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)%
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Non-interest revenue
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7,263
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6,328
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15
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||
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Revenues, net of interest expense
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$
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18,120
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$
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17,555
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3
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%
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Operating expenses
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10,477
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10,523
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—
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||
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Provisions for credit losses and for benefits and claims
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1,662
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2,045
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(19
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)
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Income from continuing operations before income taxes
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$
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5,981
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$
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4,987
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20
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%
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Income taxes
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1,863
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1,479
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|
26
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||
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Income from continuing operations
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$
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4,118
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$
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3,508
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17
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%
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Income (loss) from discontinued operations,
net of taxes
(1)
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(18
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)
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(2
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)
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NM
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Net income before attribution of noncontrolling
interests
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$
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4,100
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$
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3,506
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17
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%
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Net income attributable to noncontrolling interests
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10
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5
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|
100
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||
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Citigroup’s net income
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$
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4,090
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$
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3,501
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17
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%
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Less:
|
|
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||||||
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Preferred dividends—Basic
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$
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301
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$
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210
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43
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%
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Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS
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55
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40
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38
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||
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Income allocated to unrestricted common shareholders
for basic and diluted EPS
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$
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3,734
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$
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3,251
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15
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%
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Earnings per share
|
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||||||
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Basic
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||||||
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Income from continuing operations
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$
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1.36
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$
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1.11
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23
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Net income
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1.35
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1.10
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23
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Diluted
|
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||||||
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Income from continuing operations
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$
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1.36
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$
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1.11
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23
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%
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Net income
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1.35
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1.10
|
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23
|
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||
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Dividends declared per common share
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0.16
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0.05
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NM
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||
Statement continues on the next page, including notes to the table.
7
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2
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Citigroup Inc. and Consolidated Subsidiaries
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||||||||
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First Quarter
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||||||||
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In millions of dollars, except per-share amounts, ratios and
direct staff
|
2017
|
2016
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% Change
|
|||||
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At March 31:
|
||||||||
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Total assets
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$
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1,821,635
|
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$
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1,800,967
|
|
1
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%
|
|
Total deposits
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949,990
|
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934,591
|
|
2
|
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||
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Long-term debt
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208,530
|
|
207,835
|
|
—
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||
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Citigroup common stockholders’ equity
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208,879
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|
209,769
|
|
—
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|
||
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Total Citigroup stockholders’ equity
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228,132
|
|
227,522
|
|
—
|
|
||
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Direct staff
(in thousands)
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215
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|
225
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|
(4
|
)
|
||
|
Performance metrics
|
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||||||
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Return on average assets
|
0.91
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%
|
0.79
|
%
|
|
|
||
|
Return on average common stockholders’ equity
(2)
|
7.4
|
|
6.4
|
|
|
|
||
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Return on average total stockholders’ equity
(2)
|
7.3
|
|
6.3
|
|
|
|
||
|
Efficiency ratio (Total operating expenses/Total revenues)
|
58
|
|
60
|
|
|
|
||
|
Basel III ratios—full implementation
|
||||||||
|
Common Equity Tier 1 Capital
(3)
|
12.83
|
%
|
12.34
|
%
|
||||
|
Tier 1 Capital
(3)
|
14.49
|
|
13.81
|
|
||||
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Total Capital
(3)
|
16.54
|
|
15.71
|
|
||||
|
Supplementary Leverage ratio
(4)
|
7.28
|
|
7.44
|
|
||||
|
Citigroup common stockholders’ equity to assets
|
11.47
|
%
|
11.65
|
%
|
||||
|
Total Citigroup stockholders’ equity to assets
|
12.52
|
|
12.63
|
|
||||
|
Dividend payout ratio
(5)
|
11.9
|
|
4.5
|
|
||||
|
Total payout ratio
(6)
|
59
|
%
|
44
|
%
|
||||
|
Book value per common share
|
$
|
75.86
|
|
$
|
71.47
|
|
6
|
%
|
|
Tangible book value (TBV) per share
(7)
|
$
|
65.94
|
|
$
|
62.58
|
|
5
|
%
|
|
Ratio of earnings to fixed charges and preferred stock dividends
|
2.51x
|
|
2.54x
|
|
||||
|
(1)
|
See Note
2
to the Consolidated Financial Statements for additional information on Citi’s discontinued operations.
|
|
(2)
|
The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
|
|
(3)
|
Citi’s regulatory capital ratios reflect full implementation of the U.S. Basel III rules. Risk-weighted assets are based on the Basel III Advanced Approaches for determining total risk-weighted assets.
|
|
(4)
|
Citi’s Supplementary Leverage ratio reflects full implementation of the U.S. Basel III rules.
|
|
(5)
|
Dividends declared per common share as a percentage of net income per diluted share.
|
|
(6)
|
Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders. See “Consolidated Statement of Changes in Stockholders’ Equity”, Note 9 to the Consolidated Financial Statements, and “Equity Security Repurchases” below for the component details.
|
|
(7)
|
For information on TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity” below.
|
8
SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
|
First Quarter
|
||||||||
|
In millions of dollars
|
2017
|
2016
|
% Change
|
|||||
|
Income from continuing operations
|
||||||||
|
Global Consumer Banking
|
||||||||
|
North America
|
$
|
627
|
|
$
|
833
|
|
(25
|
)%
|
|
Latin America
|
130
|
|
146
|
|
(11
|
)
|
||
|
Asia
(1)
|
246
|
|
215
|
|
14
|
|
||
|
Total
|
$
|
1,003
|
|
$
|
1,194
|
|
(16
|
)%
|
|
Institutional Clients Group
|
|
|
|
|
||||
|
North America
|
$
|
1,100
|
|
$
|
546
|
|
NM
|
|
|
EMEA
|
855
|
|
374
|
|
NM
|
|
||
|
Latin America
|
475
|
|
330
|
|
44
|
|
||
|
Asia
|
581
|
|
619
|
|
(6
|
)
|
||
|
Total
|
$
|
3,011
|
|
$
|
1,869
|
|
61
|
%
|
|
Corporate/Other
|
104
|
|
445
|
|
(77
|
)%
|
||
|
Income from continuing operations
|
$
|
4,118
|
|
$
|
3,508
|
|
17
|
%
|
|
Discontinued operations
|
$
|
(18
|
)
|
$
|
(2
|
)
|
NM
|
|
|
Net income attributable to noncontrolling interests
|
10
|
|
5
|
|
100
|
%
|
||
|
Citigroup’s net income
|
$
|
4,090
|
|
$
|
3,501
|
|
17
|
%
|
|
(1)
|
Asia GCB
includes the results of operations of
GCB
activities in certain
EMEA
countries for all periods presented.
|
NM Not meaningful
9
CITIGROUP REVENUES
|
First Quarter
|
||||||||
|
In millions of dollars
|
2017
|
2016
|
% Change
|
|||||
|
Global Consumer Banking
|
||||||||
|
North America
|
$
|
4,944
|
|
$
|
4,830
|
|
2
|
%
|
|
Latin America
|
1,151
|
|
1,229
|
|
(6
|
)
|
||
|
Asia
(1)
|
1,722
|
|
1,655
|
|
4
|
|
||
|
Total
|
$
|
7,817
|
|
$
|
7,714
|
|
1
|
%
|
|
Institutional Clients Group
|
|
|
|
|
||||
|
North America
|
$
|
3,455
|
|
$
|
2,980
|
|
16
|
%
|
|
EMEA
|
2,807
|
|
2,167
|
|
30
|
|
||
|
Latin America
|
1,127
|
|
962
|
|
17
|
|
||
|
Asia
|
1,737
|
|
1,786
|
|
(3
|
)
|
||
|
Total
|
$
|
9,126
|
|
$
|
7,895
|
|
16
|
%
|
|
Corporate/Other
|
1,177
|
|
1,946
|
|
(40
|
)
|
||
|
Total Citigroup Net Revenues
|
$
|
18,120
|
|
$
|
17,555
|
|
3
|
%
|
|
(1)
|
Asia GCB
includes the results of operations of
GCB
activities in certain
EMEA
countries for all periods presented.
|
10
SEGMENT BALANCE SHEET
(1)
|
In millions of dollars
|
Global
Consumer
Banking
|
Institutional
Clients
Group
|
Corporate/Other
and
consolidating
eliminations
(2)
|
Citigroup
Parent company-
issued long-term
debt and
stockholders’
equity
(3)
|
Total
Citigroup
consolidated
|
||||||||||
|
Assets
|
|
|
|
|
|
||||||||||
|
Cash and deposits with banks
|
$
|
9,371
|
|
$
|
64,322
|
|
$
|
106,352
|
|
$
|
—
|
|
$
|
180,045
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell
|
302
|
|
242,241
|
|
386
|
|
—
|
|
242,929
|
|
|||||
|
Trading account assets
|
6,512
|
|
235,799
|
|
2,592
|
|
—
|
|
244,903
|
|
|||||
|
Investments
|
11,172
|
|
112,252
|
|
222,409
|
|
—
|
|
345,833
|
|
|||||
|
Loans, net of unearned income and
|
|
|
|
|
|
||||||||||
|
allowance for loan losses
|
282,901
|
|
305,404
|
|
28,260
|
|
—
|
|
616,565
|
|
|||||
|
Other assets
|
38,422
|
|
94,798
|
|
58,140
|
|
—
|
|
191,360
|
|
|||||
|
Liquidity assets
(4)
|
63,128
|
|
259,291
|
|
(322,419
|
)
|
—
|
|
—
|
|
|||||
|
Total assets
|
$
|
411,808
|
|
$
|
1,314,107
|
|
$
|
95,720
|
|
$
|
—
|
|
$
|
1,821,635
|
|
|
Liabilities and equity
|
|
|
|
|
|
||||||||||
|
Total deposits
|
$
|
311,383
|
|
$
|
619,513
|
|
$
|
19,094
|
|
$
|
—
|
|
$
|
949,990
|
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
3,597
|
|
144,624
|
|
9
|
|
—
|
|
148,230
|
|
|||||
|
Trading account liabilities
|
24
|
|
143,464
|
|
582
|
|
—
|
|
144,070
|
|
|||||
|
Short-term borrowings
|
578
|
|
19,299
|
|
6,250
|
|
—
|
|
26,127
|
|
|||||
|
Long-term debt
(3)
|
1,225
|
|
32,739
|
|
32,940
|
|
141,626
|
|
208,530
|
|
|||||
|
Other liabilities
|
17,811
|
|
77,000
|
|
20,724
|
|
—
|
|
115,535
|
|
|||||
|
Net inter-segment funding (lending)
(3)
|
77,190
|
|
277,468
|
|
15,100
|
|
(369,758
|
)
|
—
|
|
|||||
|
Total liabilities
|
$
|
411,808
|
|
$
|
1,314,107
|
|
$
|
94,699
|
|
$
|
(228,132
|
)
|
$
|
1,592,482
|
|
|
Total equity
(5)
|
—
|
|
—
|
|
1,021
|
|
228,132
|
|
229,153
|
|
|||||
|
Total liabilities and equity
|
$
|
411,808
|
|
$
|
1,314,107
|
|
$
|
95,720
|
|
$
|
—
|
|
$
|
1,821,635
|
|
|
(1)
|
The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of
March 31, 2017
. The respective segment information depicts the assets and liabilities managed by each segment as of such date.
|
|
(2)
|
Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within
Corporate/Other
.
|
|
(3)
|
The total stockholders’ equity and the majority of long-term debt of Citigroup reside in the Citigroup parent company Consolidated Balance Sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
|
|
(4)
|
Represents the attribution of Citigroup’s liquidity assets (primarily consisting of cash and available-for-sale securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.
|
|
(5)
|
Corporate/Othe
r equity represents noncontrolling interests.
|
11
This page intentionally left blank.
12
GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB)
consists of consumer banking businesses in
North America
,
Latin America
(consisting of Citi’s consumer banking business in Mexico) and
Asia
.
GCB
provides traditional banking services to retail customers through retail banking, including commercial banking, and Citi-branded cards and Citi retail services (for additional information on these businesses, see “Citigroup Segments” above).
GCB
is focused on its priority markets in the U.S., Mexico and Asia with 2,601 branches in 19 countries and jurisdictions as of
March 31, 2017
. At
March 31, 2017
,
GCB
had approximately $412 billion of assets and $311 billion of deposits.
GCB
’s overall strategy is to leverage Citi’s global footprint and be the preeminent bank for the emerging affluent and affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies.
|
First Quarter
|
||||||||
|
In millions of dollars except as otherwise noted
|
2017
|
2016
|
% Change
|
|||||
|
Net interest revenue
|
$
|
6,522
|
|
$
|
6,352
|
|
3
|
%
|
|
Non-interest revenue
|
1,295
|
|
1,362
|
|
(5
|
)
|
||
|
Total revenues, net of interest expense
|
$
|
7,817
|
|
$
|
7,714
|
|
1
|
%
|
|
Total operating expenses
|
$
|
4,415
|
|
$
|
4,401
|
|
—
|
%
|
|
Net credit losses
|
$
|
1,603
|
|
$
|
1,371
|
|
17
|
%
|
|
Credit reserve build (release)
|
177
|
|
85
|
|
NM
|
|
||
|
Provision (release) for unfunded lending commitments
|
6
|
|
1
|
|
NM
|
|
||
|
Provision for benefits and claims
|
29
|
|
28
|
|
4
|
|
||
|
Provisions for credit losses and for benefits and claims
|
$
|
1,815
|
|
$
|
1,485
|
|
22
|
%
|
|
Income from continuing operations before taxes
|
$
|
1,587
|
|
$
|
1,828
|
|
(13
|
)%
|
|
Income taxes
|
584
|
|
634
|
|
(8
|
)
|
||
|
Income from continuing operations
|
$
|
1,003
|
|
$
|
1,194
|
|
(16
|
)%
|
|
Noncontrolling interests
|
1
|
|
2
|
|
(50
|
)
|
||
|
Net income
|
$
|
1,002
|
|
$
|
1,192
|
|
(16
|
)%
|
|
Balance Sheet data
(in billions of dollars)
|
|
|
|
|
||||
|
Total EOP assets
|
$
|
412
|
|
$
|
384
|
|
7
|
%
|
|
Average assets
|
$
|
411
|
|
$
|
377
|
|
9
|
|
|
Return on average assets
|
0.99
|
%
|
1.27
|
%
|
|
|
||
|
Efficiency ratio
|
56
|
%
|
57
|
%
|
|
|
||
|
Average deposits
|
$
|
304
|
|
$
|
294
|
|
3
|
|
|
Net credit losses as a percentage of average loans
|
2.24
|
%
|
2.04
|
%
|
|
|
||
|
Revenue by business
|
|
|
|
|
||||
|
Retail banking
|
$
|
3,155
|
|
$
|
3,187
|
|
(1
|
)%
|
|
Cards
(1)
|
4,662
|
|
4,527
|
|
3
|
|
||
|
Total
|
$
|
7,817
|
|
$
|
7,714
|
|
1
|
%
|
|
Income from continuing operations by business
|
|
|
|
|
||||
|
Retail banking
|
$
|
339
|
|
$
|
298
|
|
14
|
%
|
|
Cards
(1)
|
664
|
|
896
|
|
(26
|
)
|
||
|
Total
|
$
|
1,003
|
|
$
|
1,194
|
|
(16
|
)%
|
Table continues on the next page.
13
|
Foreign currency (FX) translation impact
|
|
|
||||||
|
Total revenue—as reported
|
$
|
7,817
|
|
$
|
7,714
|
|
1
|
%
|
|
Impact of FX translation
(2)
|
—
|
|
(103
|
)
|
|
|
||
|
Total revenues—ex-FX
(3)
|
$
|
7,817
|
|
$
|
7,611
|
|
3
|
%
|
|
Total operating expenses—as reported
|
$
|
4,415
|
|
$
|
4,401
|
|
—
|
%
|
|
Impact of FX translation
(2)
|
—
|
|
(42
|
)
|
|
|
||
|
Total operating expenses—ex-FX
(3)
|
$
|
4,415
|
|
$
|
4,359
|
|
1
|
%
|
|
Total provisions for LLR & PBC—as reported
|
$
|
1,815
|
|
$
|
1,485
|
|
22
|
%
|
|
Impact of FX translation
(2)
|
—
|
|
(30
|
)
|
|
|
||
|
Total provisions for LLR & PBC—ex-FX
(3)
|
$
|
1,815
|
|
$
|
1,455
|
|
25
|
%
|
|
Net income—as reported
|
$
|
1,002
|
|
$
|
1,192
|
|
(16
|
)%
|
|
Impact of FX translation
(2)
|
—
|
|
(25
|
)
|
|
|
||
|
Net income—ex-FX
(3)
|
$
|
1,002
|
|
$
|
1,167
|
|
(14
|
)%
|
|
(1)
|
Includes both Citi-branded cards and Citi retail services.
|
|
(2)
|
Reflects the impact of FX translation into U.S. dollars at the
first
quarter of
2017
average exchange rates for all periods presented.
|
|
(3)
|
Presentation of this metric excluding FX translation is a non-GAAP financial measure.
|
NM Not meaningful
14
NORTH AMERICA GCB
North America GCB
provides traditional retail banking, including commercial banking, and its Citi-branded cards and Citi retail services card products to retail customers and small to mid-size businesses, as applicable, in the U.S.
North America GCB
’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Citi-branded cards as well as its co-brand and private label relationships (including among others, Sears, The Home Depot, Macy’s and Best Buy) within Citi retail services.
As of
March 31, 2017
,
North America GCB
’s 705 retail bank branches are concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of
March 31, 2017
,
North America GCB
had approximately 9.6 million retail banking customer accounts, $55.5 billion in retail banking loans and $188.4 billion in deposits. In addition,
North America GCB
had approximately 120 million Citi-branded and Citi retail services credit card accounts with $126.4 billion in outstanding card loan balances.
|
First Quarter
|
% Change
|
|||||||
|
In millions of dollars, except as otherwise noted
|
2017
|
2016
|
||||||
|
Net interest revenue
|
$
|
4,617
|
|
$
|
4,398
|
|
5
|
%
|
|
Non-interest revenue
|
327
|
|
432
|
|
(24
|
)
|
||
|
Total revenues, net of interest expense
|
$
|
4,944
|
|
$
|
4,830
|
|
2
|
%
|
|
Total operating expenses
|
$
|
2,576
|
|
$
|
2,500
|
|
3
|
%
|
|
Net credit losses
|
$
|
1,190
|
|
$
|
933
|
|
28
|
%
|
|
Credit reserve build (release)
|
152
|
|
79
|
|
92
|
|
||
|
Provision for unfunded lending commitments
|
7
|
|
—
|
|
NM
|
|
||
|
Provisions for benefits and claims
|
6
|
|
9
|
|
(33
|
)
|
||
|
Provisions for credit losses and for benefits and claims
|
$
|
1,355
|
|
$
|
1,021
|
|
33
|
%
|
|
Income from continuing operations before taxes
|
$
|
1,013
|
|
$
|
1,309
|
|
(23
|
)%
|
|
Income taxes
|
386
|
|
476
|
|
(19
|
)
|
||
|
Income from continuing operations
|
$
|
627
|
|
$
|
833
|
|
(25
|
)%
|
|
Noncontrolling interests
|
—
|
|
—
|
|
—
|
|
||
|
Net income
|
$
|
627
|
|
$
|
833
|
|
(25
|
)%
|
|
Balance Sheet data
(in billions of dollars)
|
|
|
|
|
||||
|
Average assets
|
$
|
245
|
|
$
|
211
|
|
16
|
%
|
|
Return on average assets
|
1.04
|
%
|
1.59
|
%
|
|
|
||
|
Efficiency ratio
|
52
|
%
|
52
|
%
|
|
|
||
|
Average deposits
|
$
|
185.5
|
|
$
|
180.6
|
|
3
|
|
|
Net credit losses as a percentage of average loans
|
2.63
|
%
|
2.32
|
%
|
|
|
||
|
Revenue by business
|
|
|
|
|
||||
|
Retail banking
|
$
|
1,256
|
|
$
|
1,290
|
|
(3
|
)%
|
|
Citi-branded cards
|
2,096
|
|
1,860
|
|
13
|
|
||
|
Citi retail services
|
1,592
|
|
1,680
|
|
(5
|
)
|
||
|
Total
|
$
|
4,944
|
|
$
|
4,830
|
|
2
|
%
|
|
Income from continuing operations by business
|
|
|
|
|
||||
|
Retail banking
|
$
|
83
|
|
$
|
89
|
|
(7
|
)%
|
|
Citi-branded cards
|
248
|
|
353
|
|
(30
|
)
|
||
|
Citi retail services
|
296
|
|
391
|
|
(24
|
)
|
||
|
Total
|
$
|
627
|
|
$
|
833
|
|
(25
|
)%
|
NM Not meaningful
15
1Q17 vs. 1Q16
Net income
decreased by 25% due to significantly higher cost of credit and higher expenses, partially offset by higher revenues.
Revenues
increased 2%, reflecting higher revenues in Citi-branded cards, partially offset by lower revenues in Citi
retail services and retail banking.
Retail banking revenues declined 3%, mainly due to lower mortgage revenues (decrease of approximately $80 million). The decline in mortgage revenues was driven by lower origination activity and higher cost of funds driven by higher interest rates, as well as the impact of the sale of a portion of Citi’s mortgage servicing rights (MSR) (see “Executive Summary” above). Excluding mortgage revenues, retail banking revenues increased 5%, primarily reflecting continued growth in average loans (5%), average deposits (3%) and assets under management (12%). Citi expects higher interest rates and the impact of the MSR sale to continue to negatively impact mortgage revenues during the remainder of 2017.
Cards revenues increased 4%. In Citi-branded cards, revenues increased 13%, largely reflecting the impact of the Costco portfolio acquisition (completed June 17, 2016) and modest organic growth, partially offset by the ongoing impact of higher promotional rate balances. Average loans grew 28% (4% excluding Costco) and purchase sales grew 58% (4% excluding Costco).
Citi retail services revenues decreased 5%, primarily driven by the absence of gains on the sales of two portfolios sold in the first quarter of 2016. Excluding these gains, revenues increased 1%, driven by volume growth, mostly offset by the continued impact of the previously disclosed renewal and extensions of several partnerships within the portfolio. Average loans were up 3% and purchase sales were largely unchanged.
North America GCB
expects revenue growth in the second quarter of 2017 to be largely driven by the impact of the Costco portfolio acquisition.
Expenses
increased 3%, primarily driven by the addition of the Costco portfolio, volume growth and continued investments, partially offset by efficiency savings and lower repositioning costs.
Provisions
increased 33% from the prior-year period, driven by higher net credit losses and a higher net loan loss reserve build.
Net credit losses increased 28%, primarily driven by higher losses in Citi-branded cards and Citi retail services. In Citi-branded cards, net credit losses increased 39% to $633 million, primarily due to the Costco portfolio acquisition, organic volume growth and seasoning and the impact of changes in collection processes. In Citi retail services, net credit losses increased 15% to $520 million, primarily due to the volume growth and the impact of changes in collection processes. The net loan loss reserve build in the first quarter of 2017 was $159 million, compared to a build of $79 million in the prior-year period, largely supporting volume growth, including the Costco portfolio acquisition.
For additional information on
North America GCB
’s retail banking, including commercial banking, and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.
16
LATIN AMERICA GCB
Latin America GCB
provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses in Mexico through Citibanamex (previously known as Banco Nacional de Mexico, or Banamex), one of Mexico’s largest banks.
At
March 31, 2017
,
Latin America GCB
had 1,499 retail branches in Mexico, with approximately 27.8 million retail banking customer accounts, $19.7 billion in retail banking loans and $27.6 billion in deposits. In addition, the business had approximately 5.7 million Citi-branded card accounts with $5.2 billion in outstanding loan balances.
|
First Quarter
|
% Change
|
|||||||
|
In millions of dollars, except as otherwise noted
|
2017
|
2016
|
||||||
|
Net interest revenue
|
$
|
800
|
|
$
|
853
|
|
(6
|
)%
|
|
Non-interest revenue
|
351
|
|
376
|
|
(7
|
)
|
||
|
Total revenues, net of interest expense
|
$
|
1,151
|
|
$
|
1,229
|
|
(6
|
)%
|
|
Total operating expenses
|
$
|
659
|
|
$
|
718
|
|
(8
|
)%
|
|
Net credit losses
|
$
|
253
|
|
$
|
278
|
|
(9
|
)%
|
|
Credit reserve build (release)
|
12
|
|
17
|
|
(29
|
)
|
||
|
Provision (release) for unfunded lending commitments
|
—
|
|
1
|
|
(100
|
)
|
||
|
Provision for benefits and claims
|
23
|
|
19
|
|
21
|
|
||
|
Provisions for credit losses and for benefits and claims (LLR & PBC)
|
$
|
288
|
|
$
|
315
|
|
(9
|
)%
|
|
Income from continuing operations before taxes
|
$
|
204
|
|
$
|
196
|
|
4
|
%
|
|
Income taxes
|
74
|
|
50
|
|
48
|
|
||
|
Income from continuing operations
|
$
|
130
|
|
$
|
146
|
|
(11
|
)%
|
|
Noncontrolling interests
|
1
|
|
1
|
|
—
|
|
||
|
Net income
|
$
|
129
|
|
$
|
145
|
|
(11
|
)%
|
|
Balance Sheet data
(in billions of dollars)
|
|
|
|
|
||||
|
Average assets
|
$
|
43
|
|
$
|
50
|
|
(14
|
)%
|
|
Return on average assets
|
1.22
|
%
|
1.17
|
%
|
|
|
||
|
Efficiency ratio
|
57
|
%
|
58
|
%
|
|
|
||
|
Average deposits
|
$
|
25.3
|
|
$
|
26.1
|
|
(3
|
)
|
|
Net credit losses as a percentage of average loans
|
4.44
|
%
|
4.58
|
%
|
|
|
||
|
Revenue by business
|
|
|
|
|
||||
|
Retail banking
|
$
|
836
|
|
$
|
856
|
|
(2
|
)%
|
|
Citi-branded cards
|
315
|
|
373
|
|
(16
|
)
|
||
|
Total
|
$
|
1,151
|
|
$
|
1,229
|
|
(6
|
)%
|
|
Income from continuing operations by business
|
|
|
|
|
||||
|
Retail banking
|
$
|
86
|
|
$
|
90
|
|
(4
|
)%
|
|
Citi-branded cards
|
44
|
|
56
|
|
(21
|
)
|
||
|
Total
|
$
|
130
|
|
$
|
146
|
|
(11
|
)%
|
17
|
FX translation impact
|
|
|
|
|
||||
|
Total revenues—as reported
|
$
|
1,151
|
|
$
|
1,229
|
|
(6
|
)%
|
|
Impact of FX translation
(1)
|
—
|
|
(122
|
)
|
|
|
||
|
Total revenues—ex-FX
(2)
|
$
|
1,151
|
|
$
|
1,107
|
|
4
|
%
|
|
Total operating expenses—as reported
|
$
|
659
|
|
$
|
718
|
|
(8
|
)%
|
|
Impact of FX translation
(1)
|
—
|
|
(57
|
)
|
|
|
||
|
Total operating expenses—ex-FX
(2)
|
$
|
659
|
|
$
|
661
|
|
—
|
%
|
|
Provisions for LLR & PBC—as reported
|
$
|
288
|
|
$
|
315
|
|
(9
|
)%
|
|
Impact of FX translation
(1)
|
—
|
|
(31
|
)
|
|
|
||
|
Provisions for LLR & PBC—ex-FX
(2)
|
$
|
288
|
|
$
|
284
|
|
1
|
%
|
|
Net income—as reported
|
$
|
129
|
|
$
|
145
|
|
(11
|
)%
|
|
Impact of FX translation
(1)
|
—
|
|
(27
|
)
|
|
|
||
|
Net income—ex-FX
(2)
|
$
|
129
|
|
$
|
118
|
|
9
|
%
|
|
(1)
|
Reflects the impact of FX translation into U.S. dollars at the
first
quarter of
2017
average exchange rates for all periods presented.
|
|
(2)
|
Presentation of this metric excluding FX translation is a non-GAAP financial measure.
|
The discussion of the results of operations for Latin America GCB below excludes the impact of FX translation for all periods presented. Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a reconciliation of certain of these metrics to the reported results, see the table above.
1Q17 vs. 1Q16
Net income
increased 9%, primarily driven by higher revenues, partially offset by higher credit costs.
Revenues
increased 4%, driven by higher revenues in
retail banking, partially offset by lower revenues in
cards.
Retail banking revenues grew by 8%, reflecting continued growth in volumes, including an increase in average loans (6%), driven by higher personal and commercial loans, and an increase in average deposits (8%), as well as improved deposit spreads. Cards revenues decreased 6%, reflecting lower revolving loans as well as a higher cost to fund non-revolving loans, partially offset by higher volumes (average loans up 5%) and increased purchase sales (8%). While revolving loan balance trends improved during the quarter,
Latin America GCB
expects cards revenues to continue to remain under pressure in the near term.
Expenses were largely unchanged as ongoing investment spending was offset by efficiency savings and lower repositioning costs.
Provisions
increased 1%, driven by a higher provision for
benefits and claims, partially offset by a lower net loan loss reserve build (decline of $4 million). Net credit losses were largely unchanged, as an increase in net credit losses in retail banking was offset by continued improvements in cards, reflecting a continued focus on higher credit quality customers.
For additional information on
Latin
America GCB
’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
18
ASIA GCB
Asia GCB
provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses, as applicable. During the first quarter of 2017, Citi’s most significant revenues in the region were from Singapore, Hong Kong, Korea, Australia, India, Taiwan, Indonesia, Thailand, the Philippines and Malaysia. Included within
Asia GCB
, traditional retail banking and Citi-branded card products are also provided to retail customers in certain
EMEA
countries, primarily in Poland, Russia and the United Arab Emirates.
At
March 31, 2017
, on a combined basis, the businesses had 397 retail branches, approximately 16.4 million retail banking customer accounts, $66.2 billion in retail banking loans and $95.4 billion in deposits. In addition, the businesses had approximately 16.7 million Citi-branded card accounts with $18.3 billion in outstanding loan balances.
|
First Quarter
|
% Change
|
|||||||
|
In millions of dollars, except as otherwise noted
(1)
|
2017
|
2016
|
||||||
|
Net interest revenue
|
$
|
1,105
|
|
$
|
1,101
|
|
—
|
%
|
|
Non-interest revenue
|
617
|
|
554
|
|
11
|
|
||
|
Total revenues, net of interest expense
|
$
|
1,722
|
|
$
|
1,655
|
|
4
|
%
|
|
Total operating expenses
|
$
|
1,180
|
|
$
|
1,183
|
|
—
|
%
|
|
Net credit losses
|
$
|
160
|
|
$
|
160
|
|
—
|
%
|
|
Credit reserve build (release)
|
13
|
|
(11
|
)
|
NM
|
|
||
|
Provision (release) for unfunded lending commitments
|
(1
|
)
|
—
|
|
(100
|
)
|
||
|
Provisions for credit losses
|
$
|
172
|
|
$
|
149
|
|
15
|
%
|
|
Income from continuing operations before taxes
|
$
|
370
|
|
$
|
323
|
|
15
|
%
|
|
Income taxes
|
124
|
|
108
|
|
15
|
|
||
|
Income from continuing operations
|
$
|
246
|
|
$
|
215
|
|
14
|
%
|
|
Noncontrolling interests
|
—
|
|
1
|
|
(100
|
)
|
||
|
Net income
|
$
|
246
|
|
$
|
214
|
|
15
|
%
|
|
Balance Sheet data
(in billions of dollars)
|
|
|
|
|
|
|
||
|
Average assets
|
$
|
123
|
|
$
|
116
|
|
6
|
%
|
|
Return on average assets
|
0.81
|
%
|
0.74
|
%
|
|
|
||
|
Efficiency ratio
|
69
|
%
|
71
|
%
|
||||
|
Average deposits
|
$
|
92.7
|
|
$
|
87.2
|
|
6
|
|
|
Net credit losses as a percentage of average loans
|
0.78
|
%
|
0.76
|
%
|
|
|
||
|
Revenue by business
|
||||||||
|
Retail banking
|
$
|
1,063
|
|
$
|
1,041
|
|
2
|
%
|
|
Citi-branded cards
|
659
|
|
614
|
|
7
|
|
||
|
Total
|
$
|
1,722
|
|
$
|
1,655
|
|
4
|
%
|
|
Income from continuing operations by business
|
|
|
|
|
|
|
||
|
Retail banking
|
$
|
170
|
|
$
|
119
|
|
43
|
%
|
|
Citi-branded cards
|
76
|
|
96
|
|
(21
|
)
|
||
|
Total
|
$
|
246
|
|
$
|
215
|
|
14
|
%
|
19
|
FX translation impact
|
|
|
|
|||||
|
Total revenues—as reported
|
$
|
1,722
|
|
$
|
1,655
|
|
4
|
%
|
|
Impact of FX translation
(2)
|
—
|
|
19
|
|
|
|
||
|
Total revenues—ex-FX
(3)
|
$
|
1,722
|
|
$
|
1,674
|
|
3
|
%
|
|
Total operating expenses—as reported
|
$
|
1,180
|
|
$
|
1,183
|
|
—
|
%
|
|
Impact of FX translation
(2)
|
—
|
|
15
|
|
|
|
||
|
Total operating expenses—ex-FX
(3)
|
$
|
1,180
|
|
$
|
1,198
|
|
(2
|
)%
|
|
Provisions for loan losses—as reported
|
$
|
172
|
|
$
|
149
|
|
15
|
%
|
|
Impact of FX translation
(2)
|
—
|
|
1
|
|
|
|
||
|
Provisions for loan losses—ex-FX
(3)
|
$
|
172
|
|
$
|
150
|
|
15
|
%
|
|
Net income—as reported
|
$
|
246
|
|
$
|
214
|
|
15
|
%
|
|
Impact of FX translation
(2)
|
—
|
|
2
|
|
|
|
||
|
Net income—ex-FX
(3)
|
$
|
246
|
|
$
|
216
|
|
14
|
%
|
|
(1)
|
Asia GCB
includes the results of operations of
GCB
activities in certain
EMEA
countries for all periods presented.
|
|
(2)
|
Reflects the impact of FX translation into U.S. dollars at the
first
quarter of
2017
average exchange rates for all periods presented.
|
|
(3)
|
Presentation of this metric excluding FX translation is a non-GAAP financial measure.
|
|
NM
|
Not meaningful
|
The discussion of the results of operations for Asia GCB below excludes the impact of FX translation for all periods presented. Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a reconciliation of certain of these metrics to the reported results, see the table above.
1Q17 vs. 1Q16
Net income
increased 14%, reflecting higher revenues and lower expenses, partially offset by higher cost of credit.
Revenues
increased 3%, driven by improvement in cards and wealth management revenues, partially offset by lower retail lending revenues.
Retail banking revenues increased 1%, mainly due to an increase in wealth management revenues and higher insurance revenues, which were largely offset by the repositioning of the retail loan portfolio. Wealth management revenues increased due to modest improvement in investor sentiment, stronger equity markets and an increase in assets under management (5%). These increases were largely offset by a 5% decrease in lending revenues, reflecting continued lower average loans (decrease of 5%). The lower average loans were due to the optimization of this portfolio away from lower-yielding mortgage loans to focus on growing higher return personal loans.
Cards revenues increased 6%, due to higher volumes, improved revolve rates and higher yields. The volume growth was driven by a 3% increase in average loans and a 4% increase in purchase sales, both of which benefited from a portfolio acquisition in Australia.
Expenses
decreased 2% as volume growth and ongoing investment spending were more than offset by lower repositioning expenses compared to the prior year.
Provisions
increased 15%, primarily due to reserve builds related to the cards portfolio acquisition in Australia, partially offset by lower net credit losses. Overall credit quality continued to remain stable in the region.
For additional information on
Asia
GCB
’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
20
INSTITUTIONAL CLIENTS GROUP
Institutional Clients Group (ICG)
includes
Banking
and
Markets and securities services
(for additional information on these businesses, see “Citigroup Segments” above).
ICG
provides corporate, institutional, public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services.
ICG
transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.
ICG
revenue is generated primarily from fees and spreads associated with these activities.
ICG
earns fee income for assisting clients in clearing transactions, providing brokerage and investment banking services and other such activities. Revenue generated from these activities is recorded in
Commissions and fees
and
Investment banking
. Revenue is also generated from transaction processing and assets under custody and administration. Revenue generated from these activities is primarily recorded in
Administration and other fiduciary fees
. In addition, as a market maker,
ICG
facilitates transactions, including holding product inventory to meet client demand, and earns the differential between the price at which it buys and sells the products. These price differentials and the unrealized gains and losses on the inventory are recorded in
Principal transactions
(for additional information on
Principal transactions
revenue, see Note 6 to the Consolidated Financial Statements).
Other
primarily includes mark-to-market gains and losses on certain credit derivatives, gains and losses on available-for-sale (AFS) securities and other non-recurring gains and losses. Interest income earned on assets held less interest paid to customers on deposits and long-term and short-term debt is recorded as
Net interest revenue
.
The amount and types of
Markets
revenues are impacted by a variety of interrelated factors, including market liquidity; changes in market variables such as interest rates, foreign exchange rates, equity prices, commodity prices, and credit spreads, as well as their implied volatilities; investor confidence; and other macroeconomic conditions. Assuming all other market conditions do not change, increases in client activity levels or bid/offer spreads generally result in increases in revenues. However, changes in market conditions can significantly impact client activity levels, bid/offer spreads, and the fair value of product inventory. For example, a decrease in market liquidity may increase bid/offer spreads, decrease client activity levels, and widen credit spreads on product inventory positions.
ICG’s
management of the
Markets
businesses involves daily monitoring and evaluating of the above factors at the trading desk as well as the country level.
ICG
does not separately track the impact on total
Markets
revenues of the volume of transactions, bid/offer spreads, fair value changes of product inventory positions and economic hedges because, as noted above, these components are interrelated and are not deemed useful or necessary individually to manage the
Markets
businesses at an aggregate
level.
In the
Markets
businesses, client revenues are those revenues directly attributable to client transactions at the time of inception, including commissions, interest, or fees earned. Client revenues do not include the results of client facilitation activities (for example, holding product inventory in anticipation of client demand) or the results of certain economic hedging activities.
ICG
’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 97 countries and jurisdictions. At
March 31, 2017
,
ICG
had approximately $1.3 trillion of assets and $620 billion of deposits, while two of its businesses, securities services and issuer services, managed approximately $15.9 trillion of assets under custody compared to $14.8 trillion at the end of the prior-year period.
21
|
First Quarter
|
% Change
|
|||||||
|
In millions of dollars, except as otherwise noted
|
2017
|
2016
|
||||||
|
Commissions and fees
|
$
|
985
|
|
$
|
1,004
|
|
(2
|
)%
|
|
Administration and other fiduciary fees
|
644
|
|
597
|
|
8
|
|
||
|
Investment banking
|
1,044
|
|
740
|
|
41
|
|
||
|
Principal transactions
|
2,668
|
|
1,576
|
|
69
|
|
||
|
Other
(1)
|
(5
|
)
|
(7
|
)
|
29
|
|
||
|
Total non-interest revenue
|
$
|
5,336
|
|
$
|
3,910
|
|
36
|
%
|
|
Net interest revenue (including dividends)
|
3,790
|
|
3,985
|
|
(5
|
)
|
||
|
Total revenues, net of interest expense
|
$
|
9,126
|
|
$
|
7,895
|
|
16
|
%
|
|
Total operating expenses
|
$
|
4,945
|
|
$
|
4,872
|
|
1
|
%
|
|
Net credit losses
|
$
|
25
|
|
$
|
211
|
|
(88
|
)%
|
|
Credit reserve build (release)
|
(176
|
)
|
108
|
|
NM
|
|
||
|
Provision (release) for unfunded lending commitments
|
(54
|
)
|
71
|
|
NM
|
|
||
|
Provisions for credit losses
|
$
|
(205
|
)
|
$
|
390
|
|
NM
|
|
|
Income from continuing operations before taxes
|
$
|
4,386
|
|
$
|
2,633
|
|
67
|
%
|
|
Income taxes
|
1,375
|
|
764
|
|
80
|
|
||
|
Income from continuing operations
|
$
|
3,011
|
|
$
|
1,869
|
|
61
|
%
|
|
Noncontrolling interests
|
15
|
|
10
|
|
50
|
|
||
|
Net income
|
$
|
2,996
|
|
$
|
1,859
|
|
61
|
%
|
|
EOP assets (in billions of dollars)
|
$
|
1,314
|
|
$
|
1,293
|
|
2
|
%
|
|
Average assets
(in billions of dollars)
|
$
|
1,318
|
|
$
|
1,272
|
|
4
|
%
|
|
Return on average assets
|
0.92
|
%
|
0.59
|
%
|
|
|
||
|
Efficiency ratio
|
54
|
%
|
62
|
%
|
|
|
||
|
Revenues by region
|
|
|
||||||
|
North America
|
$
|
3,455
|
|
$
|
2,980
|
|
16
|
%
|
|
EMEA
|
2,807
|
|
2,167
|
|
30
|
|
||
|
Latin America
|
1,127
|
|
962
|
|
17
|
|
||
|
Asia
|
1,737
|
|
1,786
|
|
(3
|
)
|
||
|
Total
|
$
|
9,126
|
|
$
|
7,895
|
|
16
|
%
|
|
Income from continuing operations by region
|
|
|
||||||
|
North America
|
$
|
1,100
|
|
$
|
546
|
|
NM
|
|
|
EMEA
|
855
|
|
374
|
|
NM
|
|
||
|
Latin America
|
475
|
|
330
|
|
44
|
|
||
|
Asia
|
581
|
|
619
|
|
(6
|
)
|
||
|
Total
|
$
|
3,011
|
|
$
|
1,869
|
|
61
|
%
|
|
Average loans by region
(in billions of dollars)
|
|
|
||||||
|
North America
|
$
|
140
|
|
$
|
133
|
|
5
|
%
|
|
EMEA
|
65
|
|
63
|
|
3
|
|
||
|
Latin America
|
37
|
|
39
|
|
(5
|
)
|
||
|
Asia
|
60
|
|
60
|
|
—
|
|
||
|
Total
|
$
|
302
|
|
$
|
295
|
|
2
|
%
|
|
EOP deposits by business
(in billions of dollars)
|
||||||||
|
Treasury and trade solutions
|
$
|
417
|
|
$
|
417
|
|
—
|
%
|
|
All other
ICG
businesses
|
203
|
|
192
|
|
6
|
|
||
|
Total
|
$
|
620
|
|
$
|
609
|
|
2
|
%
|
|
(1)
|
First quarter of 2016 includes a previously disclosed charge of approximately $180 million primarily reflecting the write down of Citi’s net investment in Venezuela as a result of changes in the exchange rate during the quarter.
|
NM Not meaningful
22
ICG Revenue Details—Excluding (Loss) on Loan Hedges
|
First Quarter
|
% Change
|
|||||||
|
In millions of dollars
|
2017
|
2016
|
||||||
|
Investment banking
revenue details
|
||||||||
|
Advisory
|
$
|
246
|
|
$
|
227
|
|
8
|
%
|
|
Equity underwriting
|
235
|
|
118
|
|
99
|
|
||
|
Debt underwriting
|
733
|
|
528
|
|
39
|
|
||
|
Total investment banking
|
$
|
1,214
|
|
$
|
873
|
|
39
|
%
|
|
Treasury and trade solutions
|
2,075
|
|
1,903
|
|
9
|
|
||
|
Corporate lending—excluding (loss) on loan hedges
(1)
|
434
|
|
448
|
|
(3
|
)
|
||
|
Private bank
|
744
|
|
684
|
|
9
|
|
||
|
Total banking revenues (ex-(loss) on loan hedges)
|
$
|
4,467
|
|
$
|
3,908
|
|
14
|
%
|
|
Corporate lending—(loss) on loan hedges
(1)
|
$
|
(115
|
)
|
$
|
(66
|
)
|
(74
|
)%
|
|
Total banking revenues (including (loss) on loan hedges)
|
$
|
4,352
|
|
$
|
3,842
|
|
13
|
%
|
|
Fixed income markets
|
$
|
3,622
|
|
$
|
3,051
|
|
19
|
%
|
|
Equity markets
|
769
|
|
697
|
|
10
|
|
||
|
Securities services
|
543
|
|
561
|
|
(3
|
)
|
||
|
Other
(2)
|
(160
|
)
|
(256
|
)
|
38
|
|
||
|
Total markets and securities services revenues
|
$
|
4,774
|
|
$
|
4,053
|
|
18
|
%
|
|
Total revenues, net of interest expense
|
$
|
9,126
|
|
$
|
7,895
|
|
16
|
%
|
|
Commissions and fees
|
$
|
140
|
|
$
|
124
|
|
13
|
%
|
|
Principal transactions
(3)
|
2,318
|
|
1,344
|
|
72
|
|
||
|
Other
|
149
|
|
216
|
|
(31
|
)
|
||
|
Total non-interest revenue
|
$
|
2,607
|
|
$
|
1,684
|
|
55
|
%
|
|
Net interest revenue
|
1,015
|
|
1,367
|
|
(26
|
)
|
||
|
Total fixed income markets
|
$
|
3,622
|
|
$
|
3,051
|
|
19
|
%
|
|
Rates and currencies
|
$
|
2,503
|
|
$
|
2,236
|
|
12
|
%
|
|
Spread products / other fixed income
|
1,119
|
|
815
|
|
37
|
|
||
|
Total fixed income markets
|
$
|
3,622
|
|
$
|
3,051
|
|
19
|
%
|
|
Commissions and fees
|
$
|
316
|
|
$
|
357
|
|
(11
|
)%
|
|
Principal transactions
(3)
|
166
|
|
51
|
|
NM
|
|
||
|
Other
|
8
|
|
2
|
|
NM
|
|
||
|
Total non-interest revenue
|
$
|
490
|
|
$
|
410
|
|
20
|
%
|
|
Net interest revenue
|
279
|
|
287
|
|
(3
|
)
|
||
|
Total equity markets
|
$
|
769
|
|
$
|
697
|
|
10
|
|
|
(1)
|
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.
|
|
(2)
|
First quarter of 2016 includes the previously disclosed charge of approximately $180 million, primarily reflecting the write down of Citi’s net investment in Venezuela as a result of changes in the exchange rate during the quarter.
|
(3) Excludes principal transactions revenues of
ICG
businesses other than
Markets
, primarily treasury and trade solutions and the private bank.
NM Not meaningful
23
1Q17 vs. 1Q16
Net income
increased 61%, primarily driven by higher revenues and lower cost of credit, partially offset by higher operating expenses.
|
•
|
Revenues
increased 16%, reflecting higher revenues in both
Banking
(increase of 13%, increase of 14% excluding the loss on hedges on accrual loans), and
Markets and securities services
(increase of 18%), primarily due to fixed income markets and equity markets.
Banking
revenues were driven by strong performance in investment banking, treasury and trade solutions and the private bank. Citi expects revenues in
ICG
will likely continue to reflect the overall market environment during the remainder of
2017
, including a normal seasonal decline in
Markets and securities services
revenues in the second quarter of 2017.
|
Within
Banking
:
|
•
|
Investment banking
revenues increased 39%, largely reflecting increased industry-wide debt and equity underwriting activity and momentum in advisory during the current quarter. Debt underwriting revenues increased 39%, driven by the increase in market activity and wallet share. Equity underwriting revenues increased 99% largely due to the rebound from the prior year period’s slow activity. Advisory revenues increased 8% reflecting increased wallet share, despite a modest decline in market M&A activity.
|
|
•
|
Treasury and trade solutions
revenues increased 9%, driven by strong fee growth, higher volumes and improved spreads. Client activity in both cash and trade drove revenue growth across all regions. End of period deposit balances were unchanged (1% increase excluding the impact of FX translation) and average trade loans were unchanged (1% increase excluding the impact of FX translation).
|
|
•
|
Corporate lending
revenues decreased 16%. Excluding the impact of losses on hedges on accrual loans, revenues decreased 3% driven by lower average volumes.
|
|
•
|
Private Bank
revenues increased 9%, reflecting revenue growth in all regions. The increase was mostly driven by loan and deposit growth, improved banking spreads and increased managed investments revenues.
|
Within
Markets and securities services
:
|
•
|
Fixed income markets
revenues increased 19%, primarily due to higher revenues in
EMEA
and
North America.
The increase was largely driven by higher principal transactions revenues (up 72%), slightly offset by lower net interest revenues (down 26%). The increase in principal transactions revenues was driven by both higher rates and currencies revenues and higher spread products revenues, reflecting increased client revenues and recovery from a challenging trading environment in the prior year. Net interest revenues were lower largely due to a change in mix of trading positions in support of client activity.
|
Rates and currencies revenues increased 12% driven mainly by higher rates revenues, driven by strength in
EMEA
and
North America,
partially offset by a decrease in G10 FX revenues reflecting low volatility and lower client activity, particularly in
Asia
. Spread products and other fixed income revenues increased 37% primarily due to recovery from the challenging trading environment in the prior year, particularly in securitized products, and continued momentum and higher client revenues in credit and municipal products.
|
•
|
Equity markets
revenues increased by 10%, driven by
c
ontinued growth in client balances and an improvement in equity derivatives, particularly in
EMEA
and
Asia
. These drivers were partially offset by lower cash equities revenues, primarily in
North America
, driven by lower volumes and commissions, reflecting the ongoing shift to electronic trading by clients across the industry.
|
|
•
|
Securities services
revenues decreased by 3%. Excluding the impact of prior period divestitures, revenues grew 12%, driven by higher deposit balances and higher interest revenue, primarily in
North America
and
Latin America
, and higher fee revenue from growth in assets under custody and client volumes.
|
Expenses
increased 1% as higher incentive compensation was partially offset by lower repositioning costs and a benefit from FX translation.
Provisions
decreased by $595 million to a benefit of $205 million in the current quarter, reflecting a net loan loss reserve release of $230 million (compared to a $179 million build in the prior-year period largely related to energy and energy-related exposures) and lower net credit losses of $25 million ($211 million in the prior-year period). The lower cost of credit was driven by ratings upgrades and continued stability in commodity prices.
24
CORPORATE/OTHER
Corporate/Other
includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses, Corporate Treasury, certain North America and international legacy consumer loan portfolios, other legacy assets and discontinued operations (for additional information on
Corporate/Other
, see “Citigroup Segments” above). At
March 31, 2017
,
Corporate/Other
had $96 billion in assets, a decrease of 23% year-over-year and 7% from December 31, 2016.
|
First Quarter
|
% Change
|
|||||||
|
In millions of dollars
|
2017
|
2016
|
||||||
|
Net interest revenue
|
$
|
545
|
|
$
|
890
|
|
(39
|
)%
|
|
Non-interest revenue
|
632
|
|
1,056
|
|
(40
|
)%
|
||
|
Total revenues, net of interest expense
|
$
|
1,177
|
|
$
|
1,946
|
|
(40
|
)%
|
|
Total operating expenses
|
$
|
1,117
|
|
$
|
1,250
|
|
(11
|
)%
|
|
Net credit losses
|
$
|
81
|
|
$
|
142
|
|
(43
|
)%
|
|
Credit reserve build (release)
|
(35
|
)
|
(31
|
)
|
(13
|
)
|
||
|
Provision (release) for unfunded lending commitments
|
5
|
|
(1
|
)
|
NM
|
|
||
|
Provision for benefits and claims
|
1
|
|
60
|
|
(98
|
)
|
||
|
Provisions for loan losses and for benefits and claims
|
52
|
|
170
|
|
(69
|
)%
|
||
|
Income from continuing operations before taxes
|
$
|
8
|
|
$
|
526
|
|
(98
|
)%
|
|
Income taxes (benefits)
|
(96
|
)
|
81
|
|
NM
|
|
||
|
Income from continuing operations
|
$
|
104
|
|
$
|
445
|
|
(77
|
)%
|
|
Income (loss) from discontinued operations, net of taxes
|
(18
|
)
|
(2
|
)
|
NM
|
|
||
|
Net income before attribution of noncontrolling interests
|
$
|
86
|
|
$
|
443
|
|
(81
|
)%
|
|
Noncontrolling interests
|
(6
|
)
|
(7
|
)
|
14
|
%
|
||
|
Net income
|
$
|
92
|
|
$
|
450
|
|
(80
|
)%
|
NM Not meaningful
1Q17 vs. 1Q16
Net income
was $92 million, compared to $450 million in the prior-year period, due to lower revenues, partially offset by lower expenses and lower cost of credit.
Revenues
decreased 40%, driven by legacy asset run-off and divestiture activity, as well as lower revenue from treasury-related hedging activity. Revenues in the current quarter included approximately $750 million in gains on asset sales, which more than offset a roughly $300 million charge related to the exit of Citi’s U.S. mortgage servicing operations.
Expenses
decreased 11%, primarily driven by the wind-down of legacy assets, partially offset by approximately $100 million in episodic expenses primarily related to the exit of the U.S. mortgage servicing operations.
Excluding the episodic items noted above,
Corporate/Other
generated an approximate $350 million loss from continuing operations before taxes. Citi expects that revenues and expenses in
Corporate/Other
should continue to decline with the ongoing wind-down of legacy assets, and
Corporate/Other
should generate underlying negative earnings before taxes per quarter of roughly the same amount going forward.
Provisions
decreased 69%, primarily due to lower net credit losses and a lower provision for benefits and claims. Net credit losses declined 43% to $81 million, reflecting the impact of ongoing divestiture activity as well as continued improvement in the legacy
North America
mortgage portfolio. The provision for benefits and claims declined by $59 million
to $1 million, reflecting lower insurance-related business activity.
Payment Protection Insurance (PPI)
In March 2017, the U.K. Financial Conduct Authority (FCA) released a policy statement with the final rules and guidance related to PPI. During the current quarter, Citi increased its PPI reserves by approximately $55 million, driven by the ongoing level of claim volumes and the impact of the final rules and guidance. Citi’s PPI reserve as of March 31, 2017 was $246 million, compared to $228 million as of the end of 2016.
For background information on PPI, see “Citi Holdings” in Citi’s
2016
Annual Report on Form 10-K.
25
OFF-BALANCE SHEET ARRANGEMENTS
The table below shows where a discussion of Citi’s various off-balance sheet arrangements may be found in this Form 10-Q. For additional information on Citi’s off-balance sheet arrangements, see “Off-Balance Sheet Arrangements” and Notes 1, 21 and 26 to the Consolidated Financial Statements in Citigroup’s 2016 Annual Report on Form 10-K.
Types of Off-Balance Sheet Arrangements Disclosures in this Form 10-Q
|
Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEs
|
See Note 18 to the Consolidated Financial Statements.
|
|
Letters of credit, and lending and other commitments
|
See Note 22 to the Consolidated Financial Statements.
|
|
Guarantees
|
See Note 22 to the Consolidated Financial Statements.
|
26
CAPITAL RESOURCES
Overview
Capital is used principally to support assets in Citi’s businesses and to absorb 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, noncumulative perpetual preferred stock and equity issued through awards under employee benefit plans, among other issuances.
Further, Citi’s capital levels may also be affected by changes in accounting and regulatory standards as well as U.S. corporate tax laws, and the impact of future events on Citi’s business results, such as changes in interest and foreign exchange rates, as well as business and asset dispositions.
During the
first
quarter of
2017
, Citi returned a total of approximately $2.2 billion of capital to common shareholders in the form of share repurchases (approximately 30 million common shares) and dividends.
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. For additional information regarding Citi’s capital management, see “Capital Resources—Capital Management” in Citigroup’s
2016
Annual Report on Form 10-K.
Capital Planning and Stress Testing
Citi is subject to an annual assessment by the Federal Reserve Board 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 additional information regarding Citi’s capital planning and stress testing, including potential changes in Citi’s
regulatory capital requirements and future CCAR processes, see “Forward-Looking Statements” below and “Capital Resources—Current Regulatory Capital Standards—Capital Planning and Stress Testing” and “Risk Factors—Strategic Risks” in Citigroup’s
2016
Annual Report on Form 10-K.
Current Regulatory Capital Standards
Citi is subject to regulatory capital standards issued by the Federal Reserve Board which constitute the U.S. Basel III rules. These rules establish an integrated capital adequacy framework, encompassing both risk-based capital ratios and leverage ratios. For additional information regarding the risk-based capital ratios, Tier 1 Leverage ratio, and Supplementary Leverage ratio, see “Capital Resources—Current Regulatory Capital Standards” in Citigroup’s
2016
Annual Report on Form 10-K.
GSIB Surcharge
The Federal Reserve Board also adopted a rule which imposes a risk-based capital surcharge upon U.S. bank holding companies that are identified as global systemically important bank holding companies (GSIBs), including Citi. GSIB surcharges under the rule initially range from 1% to 4.5% of total risk-weighted assets. Citi’s initial GSIB surcharge effective January 1, 2016 was 3.5%. However, ongoing efforts in addressing quantitative measures of systemic importance have resulted in a reduction of Citi’s GSIB surcharge to 3%, effective January 1, 2017. For additional information regarding the identification of a GSIB and the methodology for annually determining the GSIB surcharge, see “Capital Resources—Current Regulatory Capital Standards—GSIB Surcharge” in Citigroup’s 2016 Annual Report on Form 10-K.
Transition Provisions
The U.S. Basel III rules contain several differing, largely multi-year transition provisions (i.e., “phase-ins” and “phase-outs”). Citi considers all of these transition provisions as being fully implemented on January 1, 2019 (full implementation). For additional information regarding the transition provisions under the U.S. Basel III rules, including with respect to the GSIB surcharge, see “Capital Resources—Current Regulatory Capital Standards—Transition Provisions” in Citigroup’s 2016 Annual Report on Form 10-K.
27
Citigroup’s Capital Resources Under Current Regulatory Standards
Citi is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6% and 8%, respectively.
Citi’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2017, inclusive of the 50% phase-in of both the 2.5% Capital Conservation Buffer and the 3% GSIB surcharge (all of which is to be composed of Common Equity Tier 1 Capital), are 7.25%, 8.75% and 10.75%, respectively. Citi’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2016, inclusive of the 25% phase-in of both the 2.5% Capital Conservation Buffer and the 3.5% GSIB surcharge (all of which is to be
composed of Common Equity Tier 1 Capital), were 6%, 7.5% and 9.5%, respectively.
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%, a Total Capital ratio of at least 10%, and not be subject to a Federal Reserve Board directive to maintain higher capital levels.
The following tables set forth the capital tiers, total risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citi as of
March 31, 2017
and
December 31, 2016
.
Citigroup Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
|
March 31, 2017
|
December 31, 2016
|
||||||||||||
|
In millions of dollars, except ratios
|
Advanced Approaches
|
Standardized Approach
|
Advanced Approaches
|
Standardized Approach
|
|||||||||
|
Common Equity Tier 1 Capital
|
$
|
161,665
|
|
$
|
161,665
|
|
$
|
167,378
|
|
$
|
167,378
|
|
|
|
Tier 1 Capital
|
177,104
|
|
177,104
|
|
178,387
|
|
178,387
|
|
|||||
|
Total Capital (Tier 1 Capital + Tier 2 Capital)
(1)
|
201,500
|
|
214,080
|
|
202,146
|
|
214,938
|
|
|||||
|
Total Risk-Weighted Assets
|
1,166,202
|
|
1,142,579
|
|
1,166,764
|
|
1,126,314
|
|
|||||
|
Common Equity Tier 1 Capital ratio
(2)
|
13.86
|
%
|
14.15
|
%
|
14.35
|
%
|
14.86
|
%
|
|||||
|
Tier 1 Capital ratio
(2)
|
15.19
|
|
15.50
|
|
15.29
|
|
15.84
|
|
|||||
|
Total Capital ratio
(2)
|
17.28
|
|
18.74
|
|
17.33
|
|
19.08
|
|
|||||
|
In millions of dollars, except ratios
|
March 31, 2017
|
December 31, 2016
|
|||||||
|
Quarterly Adjusted Average Total Assets
(3)
|
$
|
1,776,048
|
|
$
|
1,768,415
|
|
|||
|
Total Leverage Exposure
(4)
|
2,375,616
|
|
2,351,883
|
|
|||||
|
Tier 1 Leverage ratio
|
9.97
|
%
|
10.09
|
%
|
|||||
|
Supplementary Leverage ratio
|
7.46
|
|
7.58
|
|
|||||
|
(1)
|
Under the Advanced Approaches framework eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
|
|
(2)
|
As of
March 31, 2017
and
December 31, 2016
, Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
|
|
(3)
|
Tier 1 Leverage ratio denominator.
|
|
(4)
|
Supplementary Leverage ratio denominator.
|
As indicated in the table above, Citigroup’s capital ratios at
March 31, 2017
were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of
March 31, 2017
.
28
Components of Citigroup Capital Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
|
In millions of dollars
|
March 31,
2017 |
December 31, 2016
|
||||
|
Common Equity Tier 1 Capital
|
||||||
|
Citigroup common stockholders’ equity
(1)
|
$
|
209,063
|
|
$
|
206,051
|
|
|
Add: Qualifying noncontrolling interests
|
197
|
|
259
|
|
||
|
Regulatory Capital Adjustments and Deductions:
|
||||||
|
Less: Net unrealized losses on securities available-for-sale (AFS), net of tax
(2)(3)
|
(116
|
)
|
(320
|
)
|
||
|
Less: Defined benefit plans liability adjustment, net of tax
(3)
|
(1,035
|
)
|
(2,066
|
)
|
||
|
Less: Accumulated net unrealized losses on cash flow hedges, net of tax
(4)
|
(562
|
)
|
(560
|
)
|
||
|
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax
(3)(5)
|
(138
|
)
|
(37
|
)
|
||
|
Less: Intangible assets:
|
||||||
|
Goodwill, net of related deferred tax liabilities (DTLs)
(6)
|
21,448
|
|
20,858
|
|
||
|
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related
DTLs
(3)
|
3,790
|
|
2,926
|
|
||
|
Less: Defined benefit pension plan net assets
(3)
|
669
|
|
514
|
|
||
|
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general
business credit carry-forwards
(3)(7)
|
16,862
|
|
12,802
|
|
||
|
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
and MSRs
(3)(7)(8)
|
6,677
|
|
4,815
|
|
||
|
Total Common Equity Tier 1 Capital
|
$
|
161,665
|
|
$
|
167,378
|
|
|
Additional Tier 1 Capital
|
||||||
|
Qualifying perpetual preferred stock
(1)
|
$
|
19,069
|
|
$
|
19,069
|
|
|
Qualifying trust preferred securities
(9)
|
1,372
|
|
1,371
|
|
||
|
Qualifying noncontrolling interests
|
23
|
|
17
|
|
||
|
Regulatory Capital Adjustment and Deductions:
|
||||||
|
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax
(3)(5)
|
(35
|
)
|
(24
|
)
|
||
|
Less: Defined benefit pension plan net assets
(3)
|
167
|
|
343
|
|
||
|
Less: DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards
(3)(7)
|
4,215
|
|
8,535
|
|
||
|
Less: Permitted ownership interests in covered funds
(10)
|
618
|
|
533
|
|
||
|
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries
(11)
|
60
|
|
61
|
|
||
|
Total Additional Tier 1 Capital
|
$
|
15,439
|
|
$
|
11,009
|
|
|
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
|
$
|
177,104
|
|
$
|
178,387
|
|
|
Tier 2 Capital
|
||||||
|
Qualifying subordinated debt
|
$
|
23,278
|
|
$
|
22,818
|
|
|
Qualifying trust preferred securities
(12)
|
319
|
|
317
|
|
||
|
Qualifying noncontrolling interests
|
30
|
|
22
|
|
||
|
Excess of eligible credit reserves over expected credit losses
(13)
|
827
|
|
660
|
|
||
|
Regulatory Capital Adjustment and Deduction:
|
||||||
|
Add: Unrealized gains on AFS equity exposures includable in Tier 2 Capital
|
2
|
|
3
|
|
||
|
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries
(11)
|
60
|
|
61
|
|
||
|
Total Tier 2 Capital
|
$
|
24,396
|
|
$
|
23,759
|
|
|
Total Capital (Tier 1 Capital + Tier 2 Capital)
|
$
|
201,500
|
|
$
|
202,146
|
|
Footnotes are presented on the following page.
29
Citigroup Risk-Weighted Assets Under Current Regulatory Standards (Basel III Transition Arrangements)
|
March 31, 2017
|
December 31, 2016
|
||||||||||||
|
In millions of dollars
|
Advanced Approaches
|
|
Standardized Approach
|
|
Advanced Approaches
|
|
Standardized Approach
|
|
|||||
|
Credit Risk
(14)
|
$
|
766,382
|
|
$
|
1,070,053
|
|
$
|
773,483
|
|
$
|
1,061,786
|
|
|
|
Market Risk
|
72,247
|
|
72,526
|
|
64,006
|
|
64,528
|
|
|||||
|
Operational Risk
|
327,573
|
|
—
|
|
329,275
|
|
—
|
|
|||||
|
Total Risk-Weighted Assets
|
$
|
1,166,202
|
|
$
|
1,142,579
|
|
$
|
1,166,764
|
|
$
|
1,126,314
|
|
|
|
(1)
|
Issuance costs of $184 million related to preferred stock outstanding at
March 31, 2017
and
December 31, 2016
, are excluded from common stockholders’ equity and netted against preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. generally accepted accounting principles (GAAP).
|
|
(2)
|
In addition, includes the net amount of unamortized loss on held-to-maturity (HTM) securities. This amount relates to securities that were previously transferred from AFS to HTM, and non-credit-related factors such as changes in interest rates and liquidity spreads for HTM securities with other-than-temporary impairment.
|
|
(3)
|
The transition arrangements for significant regulatory capital adjustments and deductions impacting Common Equity Tier 1 Capital and/or Additional Tier 1 Capital are set forth in the chart entitled “Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions,” as presented in Citigroup’s 2016 Annual Report on Form 10-K.
|
|
(4)
|
Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in
Accumulated other comprehensive income (loss)
(AOCI) that relate to the hedging of items not recognized at fair value on the balance sheet.
|
|
(5)
|
The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected and own-credit valuation adjustments on derivatives are excluded from Common Equity Tier 1 Capital, in accordance with the U.S. Basel III rules.
|
|
(6)
|
Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
|
|
(7)
|
Of Citi’s approximately $45.9 billion of net DTAs at
March 31, 2017
, approximately $19.6 billion were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $26.3 billion were excluded. Excluded from Citi’s regulatory capital at March 31, 2017 was approximately $27.7 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences, of which approximately $23.5 billion were deducted from Common Equity Tier 1 Capital and approximately $4.2 billion were deducted from Additional Tier 1 Capital, reduced by approximately $1.4 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be deducted from both Common Equity Tier 1 Capital and Additional Tier 1 Capital under the transition arrangements of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted in full from Common Equity Tier 1 Capital under these rules, if in excess of 10%/15% limitations.
|
|
(8)
|
Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At
March 31, 2017
and December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $6.7 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital at March 31, 2017. Changes to the U.S. corporate tax regime that impact the value of Citi’s DTAs arising from temporary differences, which exceed the then current amount deducted from Citi’s Common Equity Tier 1 Capital, would further reduce Citi’s regulatory capital to the extent of such excess after tax. For additional information regarding potential U.S. corporate tax reform, see “Risk Factors—Strategic Risks” in Citigroup’s
2016
Annual Report on Form 10-K.
|
|
(9)
|
Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
|
|
(10)
|
Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act that prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013.
|
|
(11)
|
50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
|
|
(12)
|
Effective January 1, 2016, non-grandfathered trust preferred securities are not eligible for inclusion in Tier 1 Capital, but are eligible for inclusion in Tier 2 Capital subject to full phase-out by January 1, 2022. Non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital in an amount up to 50% and 60% during 2017 and 2016, respectively, of the aggregate outstanding principal amounts of such issuances as of January 1, 2014, in accordance with the transition arrangements for non-qualifying capital instruments under the U.S. Basel III rules.
|
|
(13)
|
Advanced Approaches banking organizations are permitted to include in Tier 2 Capital eligible credit reserves that exceed expected credit losses to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets.
|
|
(14)
|
Under the U.S. Basel III rules, credit risk-weighted assets during the transition period reflect the effects of transitional arrangements related to regulatory capital adjustments and deductions and, as a result, will differ from credit risk-weighted assets derived under full implementation of the rules.
|
30
Citigroup Capital Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
|
In millions of dollars
|
Three months ended March 31, 2017
|
||
|
Common Equity Tier 1 Capital
|
|||
|
Balance, beginning of period
|
$
|
167,376
|
|
|
Net income
|
4,090
|
|
|
|
Common and preferred stock dividends declared
|
(746
|
)
|
|
|
Net increase in treasury stock
|
(1,277
|
)
|
|
|
Net decrease in common stock and additional paid-in capital
|
(429
|
)
|
|
|
Net decrease in foreign currency translation adjustment net of hedges, net of tax
|
1,318
|
|
|
|
Net decrease in unrealized losses on securities AFS, net of tax
|
16
|
|
|
|
Net increase in defined benefit plans liability adjustment, net of tax
|
(1,043
|
)
|
|
|
Net change in adjustment related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax
|
41
|
|
|
|
Net increase in goodwill, net of related DTLs
|
(590
|
)
|
|
|
Net increase in identifiable intangible assets other than MSRs, net of related DTLs
|
(864
|
)
|
|
|
Net increase in defined benefit pension plan net assets
|
(155
|
)
|
|
|
Net increase in DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards
|
(4,034
|
)
|
|
|
Net increase in excess over 10%/15% limitations for other DTAs, certain common
stock investments and MSRs
|
(1,886
|
)
|
|
|
Other
|
(152
|
)
|
|
|
Net decrease in Common Equity Tier 1 Capital
|
$
|
(5,711
|
)
|
|
Common Equity Tier 1 Capital Balance, end of period
|
$
|
161,665
|
|
|
Additional Tier 1 Capital
|
|||
|
Balance, beginning of period
|
$
|
10,992
|
|
|
Net increase in qualifying trust preferred securities
|
1
|
|
|
|
Net change in adjustment related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax
|
11
|
|
|
|
Net decrease in defined benefit pension plan net assets
|
176
|
|
|
|
Net decrease in DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards
|
4,337
|
|
|
|
Net increase in permitted ownership interests in covered funds
|
(85
|
)
|
|
|
Other
|
7
|
|
|
|
Net increase in Additional Tier 1 Capital
|
$
|
4,447
|
|
|
Tier 1 Capital Balance, end of period
|
$
|
177,104
|
|
|
Tier 2 Capital
|
|||
|
Balance, beginning of period
|
$
|
23,759
|
|
|
Net increase in qualifying subordinated debt
|
460
|
|
|
|
Net increase in qualifying trust preferred securities
|
2
|
|
|
|
Net increase in excess of eligible credit reserves over expected credit losses
|
167
|
|
|
|
Other
|
8
|
|
|
|
Net increase in Tier 2 Capital
|
$
|
637
|
|
|
Tier 2 Capital Balance, end of period
|
$
|
24,396
|
|
|
Total Capital (Tier 1 Capital + Tier 2 Capital)
|
$
|
201,500
|
|
31
Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
|
In millions of dollars
|
Three months ended March 31, 2017
|
||
|
Total Risk-Weighted Assets, beginning of period
|
$
|
1,166,764
|
|
|
Changes in Credit Risk-Weighted Assets
|
|||
|
Net decrease in retail exposures
(1)
|
(4,312
|
)
|
|
|
Net increase in wholesale exposures
(2)
|
4,445
|
|
|
|
Net decrease in repo-style transactions
|
(197
|
)
|
|
|
Net decrease in securitization exposures
|
(235
|
)
|
|
|
Net increase in equity exposures
|
465
|
|
|
|
Net decrease in over-the-counter (OTC) derivatives
(3)
|
(4,199
|
)
|
|
|
Net decrease in derivatives CVA
(4)
|
(1,061
|
)
|
|
|
Net decrease in other exposures
(5)
|
(1,665
|
)
|
|
|
Net decrease in supervisory 6% multiplier
(6)
|
(342
|
)
|
|
|
Net decrease in Credit Risk-Weighted Assets
|
$
|
(7,101
|
)
|
|
Changes in Market Risk-Weighted Assets
|
|||
|
Net increase in risk levels
(7)
|
$
|
10,995
|
|
|
Net decrease due to model and methodology updates
(8)
|
(2,754
|
)
|
|
|
Net increase in Market Risk-Weighted Assets
|
$
|
8,241
|
|
|
Net decrease in Operational Risk-Weighted Assets
(9)
|
$
|
(1,702
|
)
|
|
Total Risk-Weighted Assets, end of period
|
$
|
1,166,202
|
|
|
(1)
|
Retail exposures decreased during the three months ended
March 31, 2017
primarily due to residential mortgage loan sales and repayments, divestitures of certain legacy assets and reductions in qualifying revolving (cards) exposures attributable to seasonal holiday spending repayments, partially offset by the impact of FX translation.
|
|
(2)
|
Wholesale exposures increased during the three months ended
March 31, 2017
primarily due to increases in commercial loans and loan commitments, as well as the impact of FX translation.
|
|
(3)
|
OTC derivatives decreased during the three months ended
March 31, 2017
primarily due to changes in fair value and improved portfolio credit quality.
|
|
(4)
|
Derivatives CVA decreased during the three months ended
March 31, 2017
primarily driven by model enhancements, partially offset by increased exposure and volatility.
|
|
(5)
|
Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures decreased during the three months ended
March 31, 2017
primarily due to a reduction in assets subject to risk-weighting arising from the transitioning to higher regulatory capital deductions effective January 1, 2017, and from the previously-announced sale of a portion of Citi’s mortgage servicing rights, which were offset, in part, by an increase in exchange-traded exposures.
|
|
(6)
|
Supervisory 6% multiplier does not apply to derivatives CVA.
|
|
(7)
|
Risk levels increased during the three months ended
March 31, 2017
primarily due to increases in exposure levels subject to Stressed Value at Risk and comprehensive risk, as well as an increase in positions subject to securitization charges.
|
|
(8)
|
Risk-weighted assets declined during the three months ended
March 31, 2017
due to changes in model inputs regarding volatility, as well as methodology changes for standard specific risk charges.
|
|
(9)
|
During the first quarter of 2017, operational risk-weighted assets decreased by $1.7 billion due to quarterly updates to model parameters.
|
32
Capital Resources of Citigroup’s Subsidiary U.S. Depository Institutions Under Current Regulatory Standards
Citigroup’s subsidiary U.S. depository institutions are also subject to regulatory capital standards issued by their respective primary federal bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
During 2017, Citi’s primary subsidiary U.S. depository institution, Citibank, N.A. (Citibank), is subject to effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios, inclusive of the 50% phase-in of the 2.5% Capital Conservation Buffer, of 5.75%, 7.25% and 9.25%, respectively. Citibank’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total
Capital ratios during 2016, inclusive of the 25% phase-in of the 2.5% Capital Conservation Buffer, were 5.125%, 6.625% and 8.625%, respectively. Citibank is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6% and 8%, respectively.
The following tables set forth the capital tiers, total risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citibank, Citi’s primary subsidiary U.S. depository institution, as of
March 31, 2017
and
December 31, 2016
.
Citibank Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
|
March 31, 2017
|
December 31, 2016
|
||||||||||||
|
In millions of dollars, except ratios
|
Advanced Approaches
|
Standardized Approach
|
Advanced Approaches
|
Standardized Approach
|
|||||||||
|
Common Equity Tier 1 Capital
|
$
|
126,543
|
|
$
|
126,543
|
|
$
|
126,220
|
|
$
|
126,220
|
|
|
|
Tier 1 Capital
|
127,859
|
|
127,859
|
|
126,465
|
|
126,465
|
|
|||||
|
Total Capital (Tier 1 Capital + Tier 2 Capital)
(1)
|
140,431
|
|
151,628
|
|
138,821
|
|
150,291
|
|
|||||
|
Total Risk-Weighted Assets
|
984,660
|
|
1,016,037
|
|
973,933
|
|
1,001,016
|
|
|||||
|
Common Equity Tier 1 Capital ratio
(2)(3)
|
12.85
|
%
|
12.45
|
%
|
12.96
|
%
|
12.61
|
%
|
|||||
|
Tier 1 Capital ratio
(2)(3)
|
12.99
|
|
12.58
|
|
12.99
|
|
12.63
|
|
|||||
|
Total Capital ratio
(2)(3)
|
14.26
|
|
14.92
|
|
14.25
|
|
15.01
|
|
|||||
|
In millions of dollars, except ratios
|
March 31, 2017
|
December 31, 2016
|
|||||||
|
Quarterly Adjusted Average Total Assets
(4)
|
$
|
1,350,921
|
|
$
|
1,333,161
|
|
|||
|
Total Leverage Exposure
(5)
|
1,885,462
|
|
1,859,394
|
|
|||||
|
Tier 1 Leverage ratio
(3)
|
9.46
|
%
|
9.49
|
%
|
|||||
|
Supplementary Leverage ratio
|
6.78
|
|
6.80
|
|
|||||
|
(1)
|
Under the Advanced Approaches framework eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
|
|
(2)
|
As of
March 31, 2017
and
December 31, 2016
, Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach framework. As of
March 31, 2017
and
December 31, 2016
, Citibank’s reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework.
|
|
(3)
|
Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8%, 10% and 5%, 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. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Prompt Corrective Action Framework” in Citigroup’s 2016 Annual Report on Form 10-K.
|
|
(4)
|
Tier 1 Leverage ratio denominator.
|
|
(5)
|
Supplementary Leverage ratio denominator.
|
As indicated in the table above, Citibank’s capital ratios at
March 31, 2017
were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of
March 31, 2017
under the revised PCA regulations which became effective January 1, 2015.
33
Impact of Changes on Citigroup and Citibank Capital Ratios Under Current Regulatory Capital Standards
The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in
Advanced Approaches and Standardized Approach risk-weighted assets, quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), under current regulatory capital standards (reflecting Basel III Transition Arrangements), as of
March 31, 2017
.
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.
Impact of Changes on Citigroup and Citibank Risk-Based Capital Ratios (Basel III Transition Arrangements)
|
Common Equity
Tier 1 Capital ratio
|
Tier 1 Capital ratio
|
Total Capital ratio
|
||||
|
In basis points
|
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
|
Impact of
$1 billion
change in risk-
weighted assets
|
Impact of
$100 million
change in
Tier 1 Capital
|
Impact of
$1 billion
change in risk-
weighted assets
|
Impact of
$100 million
change in
Total Capital
|
Impact of
$1 billion
change in risk-
weighted assets
|
|
Citigroup
|
||||||
|
Advanced Approaches
|
0.9
|
1.2
|
0.9
|
1.3
|
0.9
|
1.5
|
|
Standardized Approach
|
0.9
|
1.2
|
0.9
|
1.4
|
0.9
|
1.6
|
|
Citibank
|
||||||
|
Advanced Approaches
|
1.0
|
1.3
|
1.0
|
1.3
|
1.0
|
1.4
|
|
Standardized Approach
|
1.0
|
1.2
|
1.0
|
1.2
|
1.0
|
1.5
|
Impact of Changes on Citigroup and Citibank Leverage Ratios (Basel III Transition Arrangements)
|
Tier 1 Leverage ratio
|
Supplementary Leverage ratio
|
|||
|
In basis points
|
Impact of
$100 million
change in
Tier 1 Capital
|
Impact of
$1 billion
change in quarterly adjusted average total assets
|
Impact of
$100 million
change in
Tier 1 Capital
|
Impact of
$1 billion
change in Total Leverage Exposure
|
|
Citigroup
|
0.6
|
0.6
|
0.4
|
0.3
|
|
Citibank
|
0.7
|
0.7
|
0.5
|
0.4
|
Citigroup Broker-Dealer Subsidiaries
At
March 31, 2017
, 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 approximately $10.5 billion, which exceeded the minimum requirement by approximately $8.6 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total capital of $17.4 billion at
March 31, 2017
, 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 broker-dealer subsidiaries were in compliance with
their regulatory capital requirements at
March 31, 2017
.
34
Basel III (Full Implementation)
Citigroup’s Capital Resources Under Basel III
(Full Implementation)
Citi currently estimates that its effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratio requirements under the U.S. Basel III rules, on a fully implemented basis, inclusive of the 2.5% Capital Conservation Buffer and the Countercyclical Capital Buffer at its current level of 0%, as well as an expected 3% GSIB surcharge, may be 10%, 11.5% and 13.5%, respectively.
Further, under the U.S. Basel III rules, Citi must also comply with a 4% minimum Tier 1 Leverage ratio requirement and an effective 5% minimum Supplementary Leverage ratio requirement.
The following tables set forth the capital tiers, total risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios, assuming full implementation under the U.S. Basel III rules, for Citi as of
March 31, 2017
and
December 31, 2016
.
At March 31, 2017, Citi’s constraining risk-based capital ratios were those derived under the Basel III Advanced Approaches framework.
Citigroup Capital Components and Ratios Under Basel III (Full Implementation)
|
March 31, 2017
|
December 31, 2016
|
||||||||||||
|
In millions of dollars, except ratios
|
Advanced Approaches
|
Standardized Approach
|
Advanced Approaches
|
Standardized Approach
|
|||||||||
|
Common Equity Tier 1 Capital
|
$
|
152,835
|
|
$
|
152,835
|
|
$
|
149,516
|
|
$
|
149,516
|
|
|
|
Tier 1 Capital
|
172,626
|
|
172,626
|
|
169,390
|
|
169,390
|
|
|||||
|
Total Capital (Tier 1 Capital + Tier 2 Capital)
(1)
|
197,027
|
|
209,607
|
|
193,160
|
|
205,975
|
|
|||||
|
Total Risk-Weighted Assets
|
1,191,503
|
|
1,166,447
|
|
1,189,680
|
|
1,147,956
|
|
|||||
|
Common Equity Tier 1 Capital ratio
(2)(3)
|
12.83
|
%
|
13.10
|
%
|
12.57
|
%
|
13.02
|
%
|
|||||
|
Tier 1 Capital ratio
(2)(3)
|
14.49
|
|
14.80
|
|
14.24
|
|
14.76
|
|
|||||
|
Total Capital ratio
(2)(3)
|
16.54
|
|
17.97
|
|
16.24
|
|
17.94
|
|
|||||
|
In millions of dollars, except ratios
|
March 31, 2017
|
December 31, 2016
|
|||||||
|
Quarterly Adjusted Average Total Assets
(4)
|
$
|
1,772,780
|
|
$
|
1,761,923
|
|
|||
|
Total Leverage Exposure
(5)
|
2,372,348
|
|
2,345,391
|
|
|||||
|
Tier 1 Leverage ratio
(3)
|
9.74
|
%
|
9.61
|
%
|
|||||
|
Supplementary Leverage ratio
(3)
|
7.28
|
|
7.22
|
|
|||||
|
(1)
|
Under the Advanced Approaches framework eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
|
|
(2)
|
As of
March 31, 2017
and
December 31, 2016
, Citi’s Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
|
|
(3)
|
Citi’s Basel III capital ratios and related components, on a fully implemented basis, are non-GAAP financial measures.
|
|
(4)
|
Tier 1 Leverage ratio denominator.
|
|
(5)
|
Supplementary Leverage ratio denominator.
|
35
Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 12.8% at
March 31, 2017
, compared to 12.6% at
December 31, 2016
(all based on application of the Advanced Approaches for determining total risk-weighted assets). The quarter-over-quarter growth in the ratio was primarily due to quarterly
net income of $4.1 billion and beneficial net movements in AOCI, offset in part by the return of approximately $2.2 billion of capital to common shareholders.
Components of Citigroup Capital Under Basel III (Advanced Approaches with Full Implementation)
|
In millions of dollars
|
March 31,
2017 |
December 31, 2016
|
||||
|
Common Equity Tier 1 Capital
|
||||||
|
Citigroup common stockholders’ equity
(1)
|
$
|
209,063
|
|
$
|
206,051
|
|
|
Add: Qualifying noncontrolling interests
|
133
|
|
129
|
|
||
|
Regulatory Capital Adjustments and Deductions:
|
||||||
|
Less: Accumulated net unrealized losses on cash flow hedges, net of tax
(2)
|
(562
|
)
|
(560
|
)
|
||
|
Less: Cumulative unrealized net loss related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax
(3)
|
(173
|
)
|
(61
|
)
|
||
|
Less: Intangible assets:
|
||||||
|
Goodwill, net of related DTLs
(4)
|
21,448
|
|
20,858
|
|
||
|
Identifiable intangible assets other than MSRs, net of related DTLs
|
4,738
|
|
4,876
|
|
||
|
Less: Defined benefit pension plan net assets
|
836
|
|
857
|
|
||
|
Less: DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards
(5)
|
21,077
|
|
21,337
|
|
||
|
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
and MSRs
(5)(6)
|
8,997
|
|
9,357
|
|
||
|
Total Common Equity Tier 1 Capital
|
$
|
152,835
|
|
$
|
149,516
|
|
|
Additional Tier 1 Capital
|
||||||
|
Qualifying perpetual preferred stock
(1)
|
$
|
19,069
|
|
$
|
19,069
|
|
|
Qualifying trust preferred securities
(7)
|
1,372
|
|
1,371
|
|
||
|
Qualifying noncontrolling interests
|
28
|
|
28
|
|
||
|
Regulatory Capital Deductions:
|
||||||
|
Less: Permitted ownership interests in covered funds
(8)
|
618
|
|
533
|
|
||
|
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries
(9)
|
60
|
|
61
|
|
||
|
Total Additional Tier 1 Capital
|
$
|
19,791
|
|
$
|
19,874
|
|
|
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
|
$
|
172,626
|
|
$
|
169,390
|
|
|
Tier 2 Capital
|
||||||
|
Qualifying subordinated debt
|
$
|
23,278
|
|
$
|
22,818
|
|
|
Qualifying trust preferred securities
(10)
|
319
|
|
317
|
|
||
|
Qualifying noncontrolling interests
|
37
|
|
36
|
|
||
|
Excess of eligible credit reserves over expected credit losses
(11)
|
827
|
|
660
|
|
||
|
Regulatory Capital Deduction:
|
||||||
|
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries
(9)
|
60
|
|
61
|
|
||
|
Total Tier 2 Capital
|
$
|
24,401
|
|
$
|
23,770
|
|
|
Total Capital (Tier 1 Capital + Tier 2 Capital)
(12)
|
$
|
197,027
|
|
$
|
193,160
|
|
|
(1)
|
Issuance costs of $184 million related to preferred stock outstanding at
March 31, 2017
and
December 31, 2016
, are excluded from common stockholders’ equity and netted against preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
|
|
(2)
|
Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in AOCI that relate to the hedging of items not recognized at fair value on the balance sheet.
|
Footnotes continue on the following page.
36
|
(3)
|
The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected and own-credit valuation adjustments on derivatives are excluded from Common Equity Tier 1 Capital, in accordance with the U.S. Basel III rules.
|
|
(4)
|
Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
|
|
(5)
|
Of Citi’s approximately $45.9 billion of net DTAs at
March 31, 2017
, approximately $17.2 billion were includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while approximately $28.7 billion were excluded. Excluded from Citi’s Common Equity Tier 1 Capital at March 31, 2017 was a total of approximately $30.1 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences, reduced by approximately $1.4 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be fully deducted from Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted from Common Equity Tier 1 Capital, if in excess of 10%/15% limitations.
|
|
(6)
|
Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At
March 31, 2017
and December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $9.0 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital at March 31, 2017. Changes to the U.S. corporate tax regime that impact the value of Citi’s DTAs arising from temporary differences, which exceed the then current amount deducted from Citi’s Common Equity Tier 1 Capital, would further reduce Citi’s regulatory capital to the extent of such excess after tax. For additional information regarding potential U.S. corporate tax reform, see “Risk Factors—Strategic Risks” in Citigroup’s
2016
Annual Report on Form 10-K.
|
|
(7)
|
Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
|
|
(8)
|
Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act that prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013.
|
|
(9)
|
50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
|
|
(10)
|
Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.
|
|
(11)
|
Advanced Approaches banking organizations are permitted to include in Tier 2 Capital eligible credit reserves that exceed expected credit losses to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets.
|
|
(12)
|
Total Capital as calculated under Advanced Approaches, which differs from the Standardized Approach in the treatment of the amount of eligible credit reserves includable in Tier 2 Capital.
|
37
Citigroup Capital Rollforward Under Basel III (Advanced Approaches with Full Implementation)
|
In millions of dollars
|
Three months ended March 31, 2017
|
||
|
Common Equity Tier 1 Capital
|
|||
|
Balance, beginning of period
|
$
|
149,512
|
|
|
Net income
|
4,090
|
|
|
|
Common and preferred stock dividends declared
|
(746
|
)
|
|
|
Net increase in treasury stock
|
(1,277
|
)
|
|
|
Net decrease in common stock and additional paid-in capital
|
(429
|
)
|
|
|
Net decrease in foreign currency translation adjustment net of hedges, net of tax
|
1,318
|
|
|
|
Net decrease in unrealized losses on securities AFS, net of tax
|
220
|
|
|
|
Net increase in defined benefit plans liability adjustment, net of tax
|
(12
|
)
|
|
|
Net change in adjustment related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax
|
52
|
|
|
|
Net increase in goodwill, net of related DTLs
|
(590
|
)
|
|
|
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs
|
138
|
|
|
|
Net decrease in defined benefit pension plan net assets
|
21
|
|
|
|
Net decrease in DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards
|
303
|
|
|
|
Net decrease in excess over 10%/15% limitations for other DTAs, certain common stock
investments and MSRs
|
321
|
|
|
|
Other
|
(86
|
)
|
|
|
Net increase in Common Equity Tier 1 Capital
|
$
|
3,323
|
|
|
Common Equity Tier 1 Capital Balance, end of period
|
$
|
152,835
|
|
|
Additional Tier 1 Capital
|
|||
|
Balance, beginning of period
|
$
|
19,874
|
|
|
Net increase in qualifying trust preferred securities
|
1
|
|
|
|
Net increase in permitted ownership interests in covered funds
|
(85
|
)
|
|
|
Other
|
1
|
|
|
|
Net decrease in Additional Tier 1 Capital
|
$
|
(83
|
)
|
|
Tier 1 Capital Balance, end of period
|
$
|
172,626
|
|
|
Tier 2 Capital
|
|||
|
Balance, beginning of period
|
$
|
23,770
|
|
|
Net increase in qualifying subordinated debt
|
460
|
|
|
|
Net increase in excess of eligible credit reserves over expected credit losses
|
167
|
|
|
|
Other
|
4
|
|
|
|
Net increase in Tier 2 Capital
|
$
|
631
|
|
|
Tier 2 Capital Balance, end of period
|
$
|
24,401
|
|
|
Total Capital (Tier 1 Capital + Tier 2 Capital)
|
$
|
197,027
|
|
38
Citigroup Risk-Weighted Assets Under Basel III (Full Implementation)
|
March 31, 2017
|
December 31, 2016
|
||||||||||||
|
In millions of dollars
|
Advanced Approaches
|
|
Standardized Approach
|
|
Advanced Approaches
|
|
Standardized Approach
|
|
|||||
|
Credit Risk
|
$
|
791,683
|
|
$
|
1,093,921
|
|
$
|
796,399
|
|
$
|
1,083,428
|
|
|
|
Market Risk
|
72,247
|
|
72,526
|
|
64,006
|
|
64,528
|
|
|||||
|
Operational Risk
|
327,573
|
|
—
|
|
329,275
|
|
—
|
|
|||||
|
Total Risk-Weighted Assets
|
$
|
1,191,503
|
|
$
|
1,166,447
|
|
$
|
1,189,680
|
|
$
|
1,147,956
|
|
|
Total risk-weighted assets under the Basel III Advanced Approaches increased slightly from year-end 2016, substantially due to an increase in market risk-weighted assets, partially offset by a decrease in operational risk-weighted assets due to quarterly updates to model parameters, as well as a decline in credit risk-weighted assets. The decrease in credit risk-weighted assets under the Basel III Advanced Approaches was primarily due to decreases in residential mortgage and qualifying revolving (cards) exposures, decreases in OTC derivative exposures and derivatives CVA, as well as the previously-announced sale of a portion of Citi’s mortgage servicing rights and sales of certain legacy assets, partially offset by the impact of FX translation and higher corporate loan exposures.
Total risk-weighted assets under the Basel III Standardized Approach increased due to substantially higher credit and market risk-weighted assets. The increase in credit risk-weighted assets under the Basel III Standardized Approach resulted from the impact of FX translation, increases in commercial loans and commitments, and increases in repo-style transactions, partially offset by a reduction in qualifying revolving (cards) and residential mortgage exposures as well as the previously-announced sale of a portion of Citi’s mortgage servicing rights and sales of certain legacy assets.
The increase in market risk-weighted assets under both approaches over this period was primarily due to increases in exposure levels subject to Stressed Value at Risk and comprehensive risk, as well as an increase in positions subject to securitization charges.
39
Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches with Full Implementation)
|
In millions of dollars
|
Three months ended
March 31, 2017 |
||
|
Total Risk-Weighted Assets, beginning of period
|
$
|
1,189,680
|
|
|
Changes in Credit Risk-Weighted Assets
|
|||
|
Net decrease in retail exposures
(1)
|
(4,312
|
)
|
|
|
Net increase in wholesale exposures
(2)
|
4,445
|
|
|
|
Net decrease in repo-style transactions
|
(197
|
)
|
|
|
Net decrease in securitization exposures
|
(235
|
)
|
|
|
Net increase in equity exposures
|
542
|
|
|
|
Net decrease in over-the-counter (OTC) derivatives
(3)
|
(4,199
|
)
|
|
|
Net decrease in derivatives CVA
(4)
|
(1,061
|
)
|
|
|
Net increase in other exposures
(5)
|
508
|
|
|
|
Net decrease in supervisory 6% multiplier
(6)
|
(207
|
)
|
|
|
Net decrease in Credit Risk-Weighted Assets
|
$
|
(4,716
|
)
|
|
Changes in Market Risk-Weighted Assets
|
|||
|
Net increase in risk levels
(7)
|
$
|
10,995
|
|
|
Net decrease due to model and methodology updates
(8)
|
(2,754
|
)
|
|
|
Net increase in Market Risk-Weighted Assets
|
$
|
8,241
|
|
|
Net decrease in Operational Risk-Weighted Assets
(9)
|
$
|
(1,702
|
)
|
|
Total Risk-Weighted Assets, end of period
|
$
|
1,191,503
|
|
|
(1)
|
Retail exposures decreased during the three months ended
March 31, 2017
primarily due to residential mortgage loan sales and repayments, divestitures of certain legacy assets and reductions in qualifying revolving (cards) exposures attributable to seasonal holiday spending repayments, partially offset by the impact of FX translation.
|
|
(2)
|
Wholesale exposures increased during the three months ended
March 31, 2017
primarily due to increases in commercial loans and loan commitments, as well as the impact of FX translation.
|
|
(3)
|
OTC derivatives decreased during the three months ended
March 31, 2017
primarily due to changes in fair value and improved portfolio credit quality.
|
|
(4)
|
Derivatives CVA decreased during the three months ended
March 31, 2017
primarily driven by model enhancements, partially offset by increased exposure and volatility.
|
|
(5)
|
Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios.
|
|
(6)
|
Supervisory 6% multiplier does not apply to derivatives CVA.
|
|
(7)
|
Risk levels increased during the three months ended
March 31, 2017
primarily due to increases in exposure levels subject to Stressed Value at Risk and comprehensive risk, as well as an increase in positions subject to securitization charges.
|
|
(8)
|
Risk-weighted assets declined during the three months ended
March 31, 2017
due to changes in model inputs regarding volatility, as well as methodology changes for standard specific risk charges.
|
|
(9)
|
During the first quarter of 2017, operational risk-weighted assets decreased by $1.7 billion due to quarterly updates to model parameters.
|
40
Supplementary Leverage Ratio
Citigroup’s Supplementary Leverage ratio was 7.3% for the first quarter of 2017, compared to 7.2% for the fourth quarter of 2016. The growth in the ratio quarter-over-quarter was principally driven by an increase in Tier 1 Capital attributable largely to quarterly net income of $4.1 billion, which was partially offset by an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets as well as an increase in the potential future exposure on derivative contracts.
The following table sets forth Citi’s Supplementary Leverage ratio and related components, assuming full implementation under the U.S. Basel III rules, for the
three months ended
March 31, 2017 and December 31, 2016.
Citigroup Basel III Supplementary Leverage Ratio and Related Components (Full Implementation)
|
In millions of dollars, except ratios
|
March 31, 2017
|
December 31, 2016
|
||||
|
Tier 1 Capital
|
$
|
172,626
|
|
$
|
169,390
|
|
|
Total Leverage Exposure (TLE)
|
||||||
|
On-balance sheet assets
(1)
|
$
|
1,830,554
|
|
$
|
1,819,802
|
|
|
Certain off-balance sheet exposures:
(2)
|
||||||
|
Potential future exposure on derivative contracts
|
220,573
|
|
211,009
|
|
||
|
Effective notional of sold credit derivatives, net
(3)
|
65,584
|
|
64,366
|
|
||
|
Counterparty credit risk for repo-style transactions
(4)
|
25,205
|
|
22,002
|
|
||
|
Unconditionally cancellable commitments
|
67,101
|
|
66,663
|
|
||
|
Other off-balance sheet exposures
|
221,105
|
|
219,428
|
|
||
|
Total of certain off-balance sheet exposures
|
$
|
599,568
|
|
$
|
583,468
|
|
|
Less: Tier 1 Capital deductions
|
57,774
|
|
57,879
|
|
||
|
Total Leverage Exposure
|
$
|
2,372,348
|
|
$
|
2,345,391
|
|
|
Supplementary Leverage ratio
|
7.28
|
%
|
7.22
|
%
|
||
|
(1)
|
Represents the daily average of on-balance sheet assets for the quarter.
|
|
(2)
|
Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
|
|
(3)
|
Under the U.S. Basel III rules, banking organizations are required to include in TLE the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
|
|
(4)
|
Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions.
|
Citibank’s Supplementary Leverage ratio, assuming full implementation under the U.S. Basel III rules, was 6.7% for the first quarter of 2017, compared to 6.6% for the fourth quarter of 2016. The growth in the ratio quarter-over-quarter was principally driven by an increase in Tier 1 Capital attributable largely to quarterly net income, partially offset by cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup.
41
Regulatory Capital Standards Developments
The Basel Committee on Banking Supervision (Basel Committee) issued various proposed and final rules during the first quarter of 2017, which are designed to provide further clarification, modification or enhancement to certain elements of the Basel III capital framework.
Identification and Management of Step-in Risk
In March 2017, the Basel Committee issued a second consultative document which proposes guidelines regarding the identification and management of so-called “step-in risk,” which is defined as “the risk that a bank decides to provide financial support to an unconsolidated entity that is facing stress, in the absence of, or in excess of, any contractual obligations to provide such support.” This consultative document establishes a proposed framework that would be used by banks for conducting a self-assessment of step-in risk, which would also be reported to each bank’s respective national supervisors. The self-assessment of step-in risk would consider the risk characteristics of certain unconsolidated entities, as well as the banks’ relationship to such entities. The proposed framework, however, would not require any additional regulatory capital or liquidity charges beyond the current Basel III rules.
Pillar 3 Disclosure Requirements - Consolidated and
Enhanced Framework
In March 2017, the Basel Committee issued a final rule
which adopts further revisions arising from the second phase of its review of the “Pillar 3” disclosure requirements, and which builds on the initial revisions from phase one of the review which were finalized in January 2015.
The final rule consolidates all existing Basel Committee disclosure requirements into the Pillar 3 framework, with these constituting the disclosure requirements regarding the composition of capital, leverage ratio, Liquidity Coverage Ratio, Net Stable Funding Ratio,
indicators for measuring the global systemic importance of banks, Countercyclical Capital Buffer, interest rate risk in the banking book, and remuneration. Moreover, the final rule introduces enhancements to the Pillar 3 framework, in part, by incorporating a “dashboard” of a banking organization’s key regulatory capital and liquidity metrics. Lastly, the final rule sets forth revisions and additions to the Pillar 3 framework resulting from ongoing reforms to the regulatory capital framework, including incorporating disclosure requirements arising from the Financial Stability Board’s total loss-absorbing capacity (TLAC) regime applicable to global systemically important banks (GSIBs), and revised disclosure requirements for market risk attributable to the revised market risk framework.
The final rule does not include disclosure requirements arising from the Basel Committee’s ongoing finalization of the Basel III reforms, such as those with respect to certain potential revisions to credit and operational risk disclosures, which will be included within the scope of the third phase of the review of the Pillar 3 framework.
Citi is currently subject to the Advanced Approaches disclosure requirements under the U.S. Basel III rules. The U.S. banking agencies may revise the nature and extent of these disclosure requirements in the future, as a result of the Basel Committee’s revised Pillar 3 disclosure requirements.
Regulatory Treatment of Accounting Provisions for Expected Credit Losses - Interim Approach and Transitional Arrangements
In March 2017, the Basel Committee issued a final rule which retains, for an interim period, the current Basel III treatment, under both the Standardized Approach and Internal Ratings-Based Approaches, applicable to accounting provisions for credit losses. Such measure is in recognition of the promulgation by both the International Accounting Standards Board and more recently the U.S. Financial Accounting Standards Board of new accounting pronouncements (IFRS 9, “
Financial Instruments
,” and
ASU 2016-13, “
Financial Instruments - Credit Losses,
”
respectively) regarding the impairment of financial assets and adoption of provisioning standards which incorporate forward-looking assessments in the estimation of expected credit losses, which represents a substantial departure from the recognition of credit losses under the current incurred loss model. Measuring the impairment of loans and other financial assets under expected credit loss models may result in earlier recognition of, and higher accounting provisions for, credit losses, and consequently may increase volatility in regulatory capital. The current Basel III treatment is being retained so as to afford the Basel Committee additional time in which to thoroughly consider and develop a permanent regulatory capital treatment with respect to accounting provisions for expected credit losses.
Moreover, the final rule provides for optional transitional arrangements, which may be availed by jurisdictions, that would permit banking organizations to more evenly absorb the potentially significant adverse impact on regulatory capital arising from the recognition of higher expected credit loss provisions. The final rule also establishes standards with which these transitional arrangements must comply.
The U.S. banking agencies may revise the Basel III rules in the future in conjunction with the adoption by U.S. banking organizations of the current expected credit loss model as set forth under ASU 2016-13.
Revised Assessment Framework for Global Systemically Important Banks
In March 2017, the Basel Committee issued a consultative document which proposes revisions to the framework for assessing the global systemic importance of banks. The current framework employed by the Basel Committee as to the identification of GSIBs and the assessment of a surcharge, is based primarily on quantitative measurement indicators underlying five equally weighted broad categories of systemic importance: (i) size, (ii) interconnectedness, (iii) cross-jurisdictional activity, (iv) substitutability/financial institution infrastructure, and (v) complexity. With the exception of size, each of the other
42
categories are comprised of multiple indicators, and amounting to 12 indicators in total.
The proposal, which reflects the results of the Basel Committee’s planned initial review, sets forth several modifications to its GSIB framework, the most significant of which for Citi would be the removal of the existing cap on the substitutability/financial institution infrastructure category. Among the other changes proposed by the Basel Committee and estimated to be of lesser impact to Citi, would be the introduction within the substitutability/financial institution infrastructure category of a trading volume indicator, accompanied by an equivalent reduction in the current weighting of the existing underwriting indicator. Moreover, the Basel Committee’s proposed requirement to expand the scope of consolidation to include exposures of insurance subsidiaries within the size, interconnectedness, and complexity categories would raise the global aggregate of these respective measures of systemic importance to which all GSIBs are subject, and as a result it is estimated that Citi would benefit on a relative basis vis-a-vis certain other GSIBs, given that its insurance subsidiaries are presently consolidated under U.S. generally accepted accounting principles and for regulatory purposes. Aside from these proposed modifications, the Basel Committee is also separately seeking feedback on the potential for a new indicator regarding short-term wholesale funding.
In contrast, a U.S. bank holding company that is designated a GSIB under the Federal Reserve Board’s rule, 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 same five broad categories of systemic importance resident under the Basel Committee’s framework to identify a GSIB and derive a surcharge. Under the second method (“method 2”), the substitutability category is replaced with a quantitative measure intended to assess the extent of a GSIB’s reliance on short-term wholesale funding.
Accordingly, if the Federal Reserve Board were to adopt the Basel Committee’s proposed revisions with respect to the U.S. GSIB framework, Citi’s method 1 GSIB surcharge would increase from its 2017 level of 2% to an estimated 2.5%, while its estimated method 2 GSIB surcharge would remain unchanged at its 2017 level of 3%. Further, while it is currently estimated that under these circumstances method 2 would remain Citi’s binding constraint for GSIB surcharge purposes, nonetheless an increase in Citi’s method 1 GSIB surcharge could impact the extent to which Citi satisfies certain TLAC minimum requirements in the future.
43
Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity
Tangible common equity (TCE), as defined by Citi, represents common stockholders’ equity less goodwill and identifiable intangible assets (other than MSRs). Other companies may calculate TCE in a different manner. TCE, tangible book value per share and returns on average TCE are non-GAAP financial measures.
|
In millions of dollars or shares, except per share amounts
|
March 31,
2017 |
December 31,
2016 |
||||
|
Total Citigroup stockholders’ equity
|
$
|
228,132
|
|
$
|
225,120
|
|
|
Less: Preferred stock
|
19,253
|
|
19,253
|
|
||
|
Common stockholders’ equity
|
$
|
208,879
|
|
$
|
205,867
|
|
|
Less:
|
||||||
|
Goodwill
|
22,265
|
|
21,659
|
|
||
|
Identifiable intangible assets (other than MSRs)
|
5,013
|
|
5,114
|
|
||
|
Goodwill and identifiable intangible assets (other than MSRs) related to assets held-for-sale
|
48
|
|
72
|
|
||
|
Tangible common equity (TCE)
|
$
|
181,553
|
|
$
|
179,022
|
|
|
Common shares outstanding (CSO)
|
2,753.3
|
|
2,772.4
|
|
||
|
Book value per share (common equity/CSO)
|
$
|
75.86
|
|
$
|
74.26
|
|
|
Tangible book value per share (TCE/CSO)
|
65.94
|
|
64.57
|
|
||
|
In millions of dollars
|
Three months ended March 31, 2017
|
Three months ended March 31, 2016
|
||||
|
Net income available to common shareholders
|
$
|
3,789
|
|
$
|
3,291
|
|
|
Average common stockholders’ equity
|
$
|
207,040
|
|
$
|
207,084
|
|
|
Average TCE
|
$
|
180,288
|
|
$
|
181,336
|
|
|
Less: Average net DTAs excluded from Common Equity Tier 1 Capital
(1)
|
28,951
|
|
29,988
|
|
||
|
Average TCE, excluding average net DTAs excluded from Common Equity Tier 1 Capital
|
$
|
151,337
|
|
$
|
151,348
|
|
|
Return on average common stockholders’ equity
|
7.4
|
%
|
6.4
|
%
|
||
|
Return on average TCE (ROTCE)
(2)
|
8.5
|
|
7.3
|
|
||
|
Return on average TCE, excluding average net DTAs excluded from Common Equity Tier 1 Capital
|
10.2
|
|
8.7
|
|
||
|
(1)
|
Represents average net DTAs excluded in arriving at Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules. The average is based upon quarter-end amounts over the most recent two quarters through March 31, 2017 and March 31, 2016, respectively.
|
|
(2)
|
ROTCE represents annualized net income available to common shareholders as a percentage of average TCE.
|
44
Managing Global Risk Table of Contents
|
MANAGING GLOBAL RISK
|
|
||
|
CREDIT RISK
(1)
|
|
||
|
Consumer Credit
|
|
||
|
Corporate Credit
|
|
||
|
Additional Consumer and Corporate Credit Details
|
|
||
|
Loans Outstanding
|
|
||
|
Details of Credit Loss Experience
|
|
||
|
Allowance for Loan Losses
|
59
|
|
|
|
Non-Accrual Loans and Assets and Renegotiated Loans
|
|
||
|
LIQUIDITY RISK
|
|
||
|
High-Quality Liquid Assets (HQLA)
|
|
||
|
Loans
|
65
|
|
|
|
Deposits
|
65
|
|
|
|
Long-Term Debt
|
66
|
|
|
|
Secured Funding Transactions and Short-Term Borrowings
|
68
|
|
|
|
Liquidity Coverage Ratio (LCR)
|
68
|
|
|
|
Credit Ratings
|
69
|
|
|
|
MARKET RISK
(1)
|
|
||
|
Market Risk of Non-Trading Portfolios
|
|
||
|
Market Risk of Trading Portfolios
|
|
||
|
COUNTRY RISK
|
|
||
|
(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.
|
45
MANAGING GLOBAL RISK
For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s mission and value proposition, the key principles that guide it, and Citi's risk appetite.
For more information on Citi’s management of global risk, including its three lines of defense, see “Managing Global Risk” in Citi’s
2016
Annual Report on Form 10-K.
46
CREDIT RISK
For additional information on credit risk, including Citi’s credit risk management, measurement and stress testing, see “Credit Risk” and “Risk Factors” in Citi’s
2016
Annual Report on Form 10-K.
CONSUMER CREDIT
Citi provides traditional retail banking, including commercial banking, and credit card products in 19 countries through
North America GCB
,
Latin America GCB
and
Asia GCB
. The retail banking products include consumer mortgages, home equity, personal, commercial loans and lines of credit, and similar related products with a focus on lending to prime customers. Citi uses its risk appetite framework to define its
lending parameters. In addition, Citi uses proprietary scoring models for new customer approvals. As stated in “
Global Consumer Banking
” above,
GCB
’s overall strategy is to leverage Citi’s global footprint and seek to be the preeminent bank for the affluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies.
GCB
’s commercial banking business focuses on small to mid-sized businesses.
Consumer Credit Portfolio
The following tables show Citi’s quarterly end-of-period consumer loans:
(1)
|
In billions of dollars
|
1Q’16
|
2Q’16
|
3Q’16
|
4Q’16
|
1Q’17
|
||||||||||
|
Retail banking:
|
|||||||||||||||
|
Mortgages
|
$
|
82.2
|
|
$
|
81.6
|
|
$
|
81.4
|
|
$
|
79.4
|
|
$
|
81.2
|
|
|
Commercial banking
|
32.2
|
|
32.6
|
|
33.2
|
|
32.0
|
|
33.9
|
|
|||||
|
Personal and other
|
27.6
|
|
27.2
|
|
27.0
|
|
24.9
|
|
26.3
|
|
|||||
|
Total retail banking
|
$
|
142.0
|
|
$
|
141.4
|
|
$
|
141.6
|
|
$
|
136.3
|
|
$
|
141.4
|
|
|
Cards:
|
|||||||||||||||
|
Citi-branded cards
(2)
|
$
|
87.8
|
|
$
|
100.1
|
|
$
|
103.9
|
|
$
|
108.3
|
|
$
|
105.7
|
|
|
Citi retail services
|
42.5
|
|
43.3
|
|
43.9
|
|
47.3
|
|
44.2
|
|
|||||
|
Total cards
|
$
|
130.3
|
|
$
|
143.4
|
|
$
|
147.8
|
|
$
|
155.6
|
|
$
|
149.9
|
|
|
Total
GCB
|
$
|
272.3
|
|
$
|
284.8
|
|
$
|
289.4
|
|
$
|
291.9
|
|
$
|
291.3
|
|
|
GCB
regional distribution:
|
|||||||||||||||
|
North America
|
59
|
%
|
62
|
%
|
62
|
%
|
64
|
%
|
62
|
%
|
|||||
|
Latin America
|
9
|
|
8
|
|
8
|
|
8
|
|
9
|
|
|||||
|
Asia
(3)
|
32
|
|
30
|
|
30
|
|
28
|
|
29
|
|
|||||
|
Total
GCB
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
|||||
|
Corporate / Other
|
$
|
45.3
|
|
$
|
41.3
|
|
$
|
39.0
|
|
$
|
33.2
|
|
$
|
29.3
|
|
|
Total consumer loans
|
$
|
317.6
|
|
$
|
326.1
|
|
$
|
328.4
|
|
$
|
325.1
|
|
$
|
320.6
|
|
|
(1)
|
End-of-period loans include interest and fees on credit cards.
|
|
(2)
|
In the second quarter of 2016, Citi completed the acquisition of the $10.6 billion Costco U.S. co-branded credit card portfolio.
|
|
(3)
|
Asia
includes loans and leases in certain
EMEA
countries for all periods presented.
|
For information on changes to Citi’s end-of-period consumer loans, see “Liquidity Risk—Loans” below.
47
Overall Consumer Credit Trends
The following charts show the quarterly trends in delinquencies and net credit losses across both retail banking, including commercial banking, and cards for total
GCB
and by region.
|
Global Consumer Banking
|
|
North America
|
|
Latin America
|
|
Asia
(1)
|
|
(1)
|
Asia
includes
GCB
activities in certain
EMEA
countries for all periods presented.
|
North America GCB
provides mortgages, home equity loans, personal loans and commercial banking products through Citi’s retail banking network, and card products through Citi-branded cards and Citi retail services businesses. The retail bank is concentrated in six major metropolitan cities in the United States (for additional information on the U.S. retail bank, see “
North America GCB
” above).
As of March 31, 2017, approximately 69% of
North America GCB
consumer loans consisted of Citi-branded and Citi retail services cards, which drove the overall credit performance of
North America GCB
(for additional information on
North America GCB
’s cards portfolios, including delinquencies and net credit losses, see “Credit Card Trends” below).
Latin America GCB
operates in Mexico through Citibanamex, one of Mexico’s largest banks, and provides credit cards, consumer mortgages, personal loans and commercial banking products.
Latin America GCB
serves a more mass market segment in Mexico and focuses on developing multi-product relationships with customers.
As set forth in the chart above, 90+ days past due delinquencies and net credit loss rates improved in
Latin America GCB
year-over-year as of the first quarter of 2017, while the delinquency rate decreased and the net credit loss rate increased quarter-over-quarter. The improvement in delinquencies was primarily driven by higher payment rates. The sequential increase in the net credit loss rate was driven by seasonality and lower loan growth.
Asia GCB
operates in 17 countries in
Asia
and
EMEA
and provides credit cards, consumer mortgages, personal loans and commercial banking products.
As shown in the chart above, 90+ days past due delinquency and net credit loss rates were largely stable in
Asia GCB
year-over-year and quarter-over-quarter as of the first quarter of 2017. This stability reflects the strong credit profiles in
Asia GCB
’s target customer segments. In addition, regulatory changes in many markets in
Asia
over the past few years have resulted in stable or improved portfolio credit quality, despite weaker macroeconomic conditions in several countries.
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 13 to the Consolidated Financial Statements.
48
Credit Card Trends
The following charts show the quarterly trends in delinquencies and net credit losses for total
GCB
cards, Citi’s
North America
Citi-branded cards and Citi retail services portfolios as well as for Citi’s
Latin America
and
Asia
Citi-branded cards portfolios.
|
Total Cards
|
|
North America Citi-Branded Cards
|
|
North America Citi Retail Services
|
|
Latin America Citi-Branded Cards
|
|
Asia Citi-Branded Cards
(1)
|
|
(1)
|
Asia
includes loans and leases in certain
EMEA
countries for all periods presented.
|
49
North America GCB
’s Citi-branded cards portfolio issues proprietary and co-branded cards. As shown in the chart above, 90+ days past due delinquency rates in Citi-branded cards increased year-over-year as of the first quarter of 2017 due to seasoning and the impact of changes in collection processes, and modestly decreased quarter-over-quarter, due to the flow-through of delinquencies to credit losses related to the Costco conversion. Net credit loss rates increased year-over-year due to seasoning and the impact of changes in collection processes and quarter-over quarter due to the flow-through of delinquencies to credit losses related to the Costco conversion, seasonality and the impact to changes in collection processes.
Citi retail services partners directly with more than 20 retailers and dealers to offer private-label and co-branded consumer and commercial cards. Citi retail services’ target market is focused on select industry segments such as specialty retail, consumer electronics and fuel. Citi retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
Citi retail services’ delinquency and net credit loss rates increased year-over-year and quarter-over-quarter as of the first quarter of 2017, primarily due to seasoning as well as the impact of changes in collection processes. The net credit loss rate also increased quarter-over-quarter due to seasonality.
Latin America GCB
issues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency rates have continued to improve or remained stable year-over-year and quarter-over-quarter as of the first quarter of 2017. Net credit loss rates decreased year-over-year, primarily driven by the higher payment rates, while net credit loss rates increased quarter-over-quarter due to seasonality.
Asia GCB
issues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency and net credit loss rates have remained broadly stable, driven by mature and well-diversified cards portfolios.
For additional information on cost of credit, delinquency and other information for Citi’s cards portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.
North America Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s
North America
Citi-branded cards and Citi 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.
Citi-Branded
|
FICO distribution
|
March 31, 2017
|
December 31, 2016
|
||
|
> 720
|
61
|
%
|
64
|
%
|
|
660 - 720
|
27
|
|
26
|
|
|
620 - 660
|
7
|
|
6
|
|
|
< 620
|
5
|
|
4
|
|
|
Total
|
100
|
%
|
100
|
%
|
Citi Retail Services
|
FICO distribution
|
March 31, 2017
|
December 31, 2016
|
||
|
> 720
|
40
|
%
|
42
|
%
|
|
660 - 720
|
35
|
|
35
|
|
|
620 - 660
|
14
|
|
13
|
|
|
< 620
|
11
|
|
10
|
|
|
Total
|
100
|
%
|
100
|
%
|
The percentage of loans outstanding with borrowers with
FICO scores greater than 720 declined sequentially due to seasonality reflecting high quality transactors with higher holiday spending as of year-end 2016. Otherwise the portfolios continued to demonstrate strong underlying credit quality.
For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.
50
North America Consumer Mortgage Lending
Citi’s
North
America
consumer mortgage portfolio consists of both residential first mortgages and home equity loans. The following table shows the outstanding quarterly end-of-period loans for Citi’s
North America
residential first mortgage and home equity loan portfolios:
|
In billions of dollars
|
1Q’16
|
2Q’16
|
3Q’16
|
4Q’16
|
1Q’17
|
||||||||||
|
GCB
:
|
|||||||||||||||
|
Residential firsts
|
$
|
39.2
|
|
$
|
40.1
|
|
$
|
40.1
|
|
$
|
40.2
|
|
$
|
40.3
|
|
|
Home equity
|
3.7
|
|
3.8
|
|
3.9
|
|
4.0
|
|
4.0
|
|
|||||
|
Total
GCB
|
$
|
42.9
|
|
$
|
43.9
|
|
$
|
44.0
|
|
$
|
44.2
|
|
$
|
44.3
|
|
|
Corporate/Other
:
|
|||||||||||||||
|
Residential firsts
|
$
|
17.6
|
|
$
|
15.8
|
|
$
|
14.8
|
|
$
|
13.4
|
|
$
|
12.3
|
|
|
Home equity
|
18.3
|
|
17.3
|
|
16.1
|
|
15.0
|
|
13.4
|
|
|||||
|
Total
Corporate/Other
|
$
|
35.9
|
|
$
|
33.1
|
|
$
|
30.9
|
|
$
|
28.4
|
|
$
|
25.7
|
|
|
Total Citigroup—
North America
|
$
|
78.8
|
|
$
|
77.0
|
|
$
|
74.9
|
|
$
|
72.6
|
|
$
|
70.0
|
|
For additional information on delinquency and net credit loss trends in Citi’s consumer mortgage portfolio, see “Additional Consumer Credit Details” below.
Home Equity Loans—Revolving HELOCs
As set forth in the table above, Citi had $17.4 billion of home equity loans as of
March 31, 2017
, of which $4.2 billion are fixed-rate home equity loans and $13.2 billion are extended under home equity lines of credit (Revolving HELOCs). Fixed-rate home equity loans are fully amortizing. Revolving HELOCs allow for amounts to be drawn for a period of time with the payment of interest only and then, at the end of the draw period, then then-outstanding amount is converted to an amortizing loan, or “reset” (the interest-only payment feature during the revolving period is standard for this product across the industry). Upon reset, these borrowers will be required to pay both interest, usually at a variable rate, and principal that amortizes typically over 20 years, rather than the standard 30-year amortization.
Of the Revolving HELOCs at
March 31, 2017
, $6.4 billion had reset (compared to $6.2 billion at
December 31, 2016
) and $6.8 billion were still within their revolving period that had not reset (compared to $7.8 billion at
December 31, 2016
). The following chart indicates the FICO and combined loan-to-value (CLTV) characteristics of Citi’s Revolving HELOCs portfolio and the year in which they reset:
|
North America Home Equity Lines of Credit Amortization – Citigroup
Total ENR by Reset Year
In billions of dollars as of March 31, 2017
|
Note: Totals may not sum due to rounding.
Approximately 49% of Citi’s total Revolving HELOCs portfolio had reset as of
March 31, 2017
(compared to 44% as of
December 31, 2016
). Of the remaining Revolving HELOCs portfolio, approximately 33% will commence amortization during the remainder of
2017
. Citi’s customers with Revolving HELOCs that reset could experience “payment shock” due to the higher required payments on the loans. Citi currently estimates that the monthly loan payment for its Revolving HELOCs that reset during the remainder of 2017 could increase on average by approximately $354, or 146%. Increases in interest rates could further increase these payments given the variable nature of the interest rates on these loans post-reset. Of the Revolving HELOCs that will reset during the remainder of
2017
, approximately $95 million, or 3%, of the loans have a CLTV greater than 100% as of
March 31, 2017
. Borrowers’ high loan-to-value positions, as well as the cost and availability of refinancing options, could limit borrowers’ ability to refinance their Revolving HELOCs as these loans begin to reset.
Approximately 6.4% of the Revolving HELOCs that have reset as of
March 31, 2017
were 30+ days past due, compared to 3.9% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 6.7% and 3.9%, respectively, as of
December 31, 2016
. As newly amortizing loans continue to season, the delinquency rate of Citi’s total home equity loan portfolio could increase. In addition, resets to date have generally occurred during a period of historically low interest rates, which Citi believes has likely reduced the overall “payment shock” to the borrower.
Citi monitors this reset risk closely and will continue to consider any potential impact in determining its allowance for loan loss reserves. In addition, management continues to review and take additional actions to offset potential reset risk, such as a borrower outreach program to provide reset risk education and proactively working with high-risk borrowers through a specialized single point of contact unit.
51
Additional Consumer Credit Details
Consumer Loan Delinquency Amounts and Ratios
|
|
EOP
loans
(1)
|
90+ days past due
(2)
|
30–89 days past due
(2)
|
||||||||||||||||||
|
In millions of dollars,
except EOP loan amounts in billions |
March 31,
2017 |
March 31,
2017 |
December 31,
2016 |
March 31,
2016 |
March 31,
2017 |
December 31,
2016 |
March 31,
2016 |
||||||||||||||
|
Global Consumer Banking
(3)(4)
|
|||||||||||||||||||||
|
Total
|
$
|
291.3
|
|
$
|
2,241
|
|
$
|
2,293
|
|
$
|
2,022
|
|
$
|
2,516
|
|
$
|
2,540
|
|
$
|
2,360
|
|
|
Ratio
|
0.77
|
%
|
0.79
|
%
|
0.75
|
%
|
0.87
|
%
|
0.87
|
%
|
0.87
|
%
|
|||||||||
|
Retail banking
|
|||||||||||||||||||||
|
Total
|
$
|
141.4
|
|
$
|
488
|
|
$
|
474
|
|
$
|
498
|
|
$
|
777
|
|
$
|
726
|
|
$
|
793
|
|
|
Ratio
|
0.35
|
%
|
0.35
|
%
|
0.35
|
%
|
0.55
|
%
|
0.54
|
%
|
0.56
|
%
|
|||||||||
|
North America
|
55.5
|
|
182
|
|
181
|
|
152
|
|
189
|
|
214
|
|
198
|
|
|||||||
|
Ratio
|
0.33
|
%
|
0.33
|
%
|
0.29
|
%
|
0.35
|
%
|
0.39
|
%
|
0.38
|
%
|
|||||||||
|
Latin America
|
19.7
|
|
141
|
|
136
|
|
172
|
|
246
|
|
185
|
|
256
|
|
|||||||
|
Ratio
|
0.72
|
%
|
0.76
|
%
|
0.87
|
%
|
1.25
|
%
|
1.03
|
%
|
1.29
|
%
|
|||||||||
|
Asia
(5)
|
66.2
|
|
165
|
|
157
|
|
174
|
|
342
|
|
327
|
|
339
|
|
|||||||
|
Ratio
|
0.25
|
%
|
0.25
|
%
|
0.25
|
%
|
0.52
|
%
|
0.52
|
%
|
0.49
|
%
|
|||||||||
|
Cards
|
|||||||||||||||||||||
|
Total
|
$
|
149.9
|
|
$
|
1,753
|
|
$
|
1,819
|
|
$
|
1,524
|
|
$
|
1,739
|
|
$
|
1,814
|
|
$
|
1,567
|
|
|
Ratio
|
1.17
|
%
|
1.17
|
%
|
1.17
|
%
|
1.16
|
%
|
1.17
|
%
|
1.20
|
%
|
|||||||||
|
North America—Citi-branded
|
82.2
|
|
698
|
|
748
|
|
530
|
|
632
|
|
688
|
|
492
|
|
|||||||
|
Ratio
|
0.85
|
%
|
0.87
|
%
|
0.82
|
%
|
0.77
|
%
|
0.80
|
%
|
0.76
|
%
|
|||||||||
|
North America—Citi retail services
|
44.2
|
|
735
|
|
761
|
|
665
|
|
730
|
|
777
|
|
688
|
|
|||||||
|
Ratio
|
1.66
|
%
|
1.61
|
%
|
1.56
|
%
|
1.65
|
%
|
1.64
|
%
|
1.62
|
%
|
|||||||||
|
Latin America
|
5.2
|
|
137
|
|
130
|
|
149
|
|
145
|
|
125
|
|
152
|
|
|||||||
|
Ratio
|
2.63
|
%
|
2.71
|
%
|
2.81
|
%
|
2.79
|
%
|
2.60
|
%
|
2.87
|
%
|
|||||||||
|
Asia
(5)
|
18.3
|
|
183
|
|
180
|
|
180
|
|
232
|
|
224
|
|
235
|
|
|||||||
|
Ratio
|
1.00
|
%
|
1.03
|
%
|
1.02
|
%
|
1.27
|
%
|
1.28
|
%
|
1.34
|
%
|
|||||||||
|
Corporate/Other
—Consumer
(6)(7)
|
|||||||||||||||||||||
|
Total
|
$
|
29.3
|
|
$
|
684
|
|
$
|
834
|
|
$
|
896
|
|
$
|
615
|
|
$
|
735
|
|
$
|
929
|
|
|
Ratio
|
2.45
|
%
|
2.62
|
%
|
2.08
|
%
|
2.20
|
%
|
2.31
|
%
|
2.16
|
%
|
|||||||||
|
International
|
2.1
|
|
77
|
|
94
|
|
145
|
|
60
|
|
49
|
|
161
|
|
|||||||
|
Ratio
|
3.67
|
%
|
3.92
|
%
|
2.27
|
%
|
2.86
|
%
|
2.04
|
%
|
2.52
|
%
|
|||||||||
|
North America
|
27.2
|
|
607
|
|
740
|
|
751
|
|
555
|
|
686
|
|
768
|
|
|||||||
|
Ratio
|
2.35
|
%
|
2.52
|
%
|
2.05
|
%
|
2.15
|
%
|
2.33
|
%
|
2.09
|
%
|
|||||||||
|
Total Citigroup
|
320.6
|
|
$
|
2,925
|
|
$
|
3,127
|
|
$
|
2,918
|
|
$
|
3,131
|
|
$
|
3,275
|
|
$
|
3,289
|
|
|
|
Ratio
|
0.92
|
%
|
0.97
|
%
|
0.93
|
%
|
0.98
|
%
|
1.01
|
%
|
1.05
|
%
|
|||||||||
|
(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 balances for
North America—Citi-branded
and
North America—Citi retail services
are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
|
|
(4)
|
The 90+ days past due and 30–89 days past due and related ratios for
GCB North America
exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $313 million ($0.7 billion), $327 million ($0.7 billion) and $456 million ($1.1 billion) at March 31, 2017, December 31, 2016, and March 31, 2016, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $84 million, $70 million and $86 million at March 31, 2017, December 31, 2016, and March 31, 2016, respectively.
|
|
(5)
|
Asia
includes delinquencies and loans in certain
EMEA
countries for all periods presented.
|
|
(6)
|
The 90+ days past due and 30–89 days past due and related ratios for
Corporate/Other—North America
consumer exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due (and EOP loans) were $0.8 billion ($1.4 billion), $0.9 billion ($1.4 billion) and $1.3 billion ($1.9 billion) at March 31, 2017, December 31, 2016, and March 31, 2016, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.1 billion, $0.2 billion and $0.2 billion at March 31, 2017, December 31, 2016, and March 31, 2016, respectively.
|
52
|
(7)
|
The March 31, 2017, December 31, 2016, and March 31, 2016 loans 90+ days past due and 30–89 days past due and related ratios for
North America
exclude $7 million, $7 million and $9 million, respectively, of loans that are carried at fair value.
|
Consumer Loan Net Credit Losses and Ratios
|
|
Average
loans
(1)
|
Net credit losses
(2)(3)
|
||||||||||
|
In millions of dollars, except average loan amounts in billions
|
1Q17
|
1Q17
|
4Q16
|
1Q16
|
||||||||
|
Global Consumer Banking
|
|
|
|
|||||||||
|
Total
|
$
|
289.6
|
|
$
|
1,603
|
|
$
|
1,516
|
|
$
|
1,371
|
|
|
Ratio
|
2.24
|
%
|
2.10
|
%
|
2.04
|
%
|
||||||
|
Retail banking
|
||||||||||||
|
Total
|
$
|
138.8
|
|
$
|
236
|
|
$
|
286
|
|
$
|
221
|
|
|
Ratio
|
0.69
|
%
|
0.82
|
%
|
0.64
|
%
|
||||||
|
North America
|
55.4
|
|
37
|
|
83
|
|
25
|
|
||||
|
Ratio
|
0.27
|
%
|
0.60
|
%
|
0.19
|
%
|
||||||
|
Latin America
|
18.3
|
|
137
|
|
138
|
|
134
|
|
||||
|
Ratio
|
3.04
|
%
|
2.97
|
%
|
2.81
|
%
|
||||||
|
Asia
(4)
|
65.1
|
|
62
|
|
65
|
|
62
|
|
||||
|
Ratio
|
0.39
|
%
|
0.40
|
%
|
0.37
|
%
|
||||||
|
Cards
|
||||||||||||
|
Total
|
$
|
150.8
|
|
$
|
1,367
|
|
$
|
1,230
|
|
$
|
1,150
|
|
|
Ratio
|
3.68
|
%
|
3.28
|
%
|
3.52
|
%
|
||||||
|
North America—Citi-branded
|
82.6
|
|
633
|
|
539
|
|
455
|
|
||||
|
Ratio
|
3.11
|
%
|
2.61
|
%
|
2.83
|
%
|
||||||
|
North America—Retail services
|
45.3
|
|
520
|
|
483
|
|
453
|
|
||||
|
Ratio
|
4.66
|
%
|
4.28
|
%
|
4.14
|
%
|
||||||
|
Latin America
|
4.8
|
|
116
|
|
110
|
|
144
|
|
||||
|
Ratio
|
9.80
|
%
|
8.75
|
%
|
11.14
|
%
|
||||||
|
Asia
(4)
|
18.1
|
|
98
|
|
98
|
|
98
|
|
||||
|
Ratio
|
2.20
|
%
|
2.25
|
%
|
2.27
|
%
|
||||||
|
Corporate/Other
—Consumer
(3)
|
||||||||||||
|
Total
|
$
|
31.7
|
|
$
|
69
|
|
$
|
60
|
|
$
|
143
|
|
|
Ratio
|
0.88
|
%
|
0.69
|
%
|
1.25
|
%
|
||||||
|
International
|
2.1
|
|
26
|
|
32
|
|
78
|
|
||||
|
Ratio
|
5.02
|
%
|
5.30
|
%
|
4.68
|
%
|
||||||
|
North America
|
29.6
|
|
43
|
|
28
|
|
65
|
|
||||
|
Ratio
|
0.59
|
%
|
0.35
|
%
|
0.66
|
%
|
||||||
|
Total Citigroup
|
$
|
321.3
|
|
$
|
1,672
|
|
$
|
1,576
|
|
$
|
1,514
|
|
|
Ratio
|
2.11
|
%
|
1.95
|
%
|
1.92
|
%
|
||||||
|
(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)
|
As a result of the entry into agreements in October 2016 to sell its Brazil and Argentina consumer banking businesses, these businesses were classified as held-for-sale (HFS). The Argentina consumer banking business sale closed at the end of the first quarter 2017. As a result of HFS accounting treatment, approximately $42 million and $41 million of net credit losses (NCLs) were recorded as a reduction in revenue (
Other revenue
) during the fourth quarter of 2016 and first quarter of 2017, respectively. Accordingly, these NCLs are not included in this table. Loans HFS are excluded from this table as they are recorded in
Other assets
.
|
|
(4)
|
Asia
includes NCLs and average loans in certain
EMEA
countries for all periods presented.
|
53
CORPORATE CREDIT
Consistent with its overall strategy, Citi’s corporate clients are typically large, multi-national corporations which value Citi’s global network. Citi aims to establish relationships with these clients that encompass multiple products, consistent with client needs, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory.
Corporate Credit Portfolio
The following table sets forth Citi’s corporate credit portfolio within
ICG
(excluding private bank), before consideration of collateral or hedges, by remaining tenor for the periods indicated:
|
|
At March 31, 2017
|
At December 31, 2016
|
||||||||||||||||||||||
|
In billions of dollars
|
Due
within
1 year
|
Greater
than 1 year
but within
5 years
|
Greater
than
5 years
|
Total
exposure
|
Due
within
1 year
|
Greater
than 1 year
but within
5 years
|
Greater
than
5 years
|
Total
exposure
|
||||||||||||||||
|
Direct outstandings (on-balance sheet)
(1)
|
$
|
129
|
|
$
|
82
|
|
$
|
20
|
|
$
|
231
|
|
$
|
109
|
|
$
|
94
|
|
$
|
22
|
|
$
|
225
|
|
|
Unfunded lending commitments (off-balance sheet)
(2)
|
113
|
|
221
|
|
23
|
|
357
|
|
103
|
|
218
|
|
23
|
|
344
|
|
||||||||
|
Total exposure
|
$
|
242
|
|
$
|
303
|
|
$
|
43
|
|
$
|
588
|
|
$
|
212
|
|
$
|
312
|
|
$
|
45
|
|
$
|
569
|
|
|
(1)
|
Includes drawn loans, overdrafts, bankers’ acceptances and leases.
|
|
(2)
|
Includes unused commitments to lend, letters of credit and financial guarantees.
|
Portfolio Mix—Geography, Counterparty and Industry
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage by region based on Citi’s internal management geography:
|
March 31,
2017 |
December 31,
2016 |
|||
|
North America
|
53
|
%
|
55
|
%
|
|
EMEA
|
26
|
|
26
|
|
|
Asia
|
13
|
|
12
|
|
|
Latin America
|
8
|
|
7
|
|
|
Total
|
100
|
%
|
100
|
%
|
The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived primarily through the use of validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of
the obligor and factors that affect the loss-given-default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are
considered investment grade, while those below are considered non-investment grade.
Citigroup also has incorporated climate risk assessment and reporting criteria for certain obligors, as necessary. Factors evaluated include consideration of climate risk to an
obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
|
|
Total exposure
|
|||
|
|
March 31,
2017 |
December 31,
2016 |
||
|
AAA/AA/A
|
48
|
%
|
48
|
%
|
|
BBB
|
34
|
|
34
|
|
|
BB/B
|
16
|
|
16
|
|
|
CCC or below
|
2
|
|
2
|
|
|
Total
|
100
|
%
|
100
|
%
|
Note: Total exposure includes direct outstandings and unfunded lending commitments.
54
Citi’s corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi’s total corporate credit portfolio by industry:
|
|
Total exposure
|
|||
|
|
March 31,
2017 |
December 31,
2016 |
||
|
Transportation and industrial
|
21
|
%
|
22
|
%
|
|
Consumer retail and health
|
16
|
|
16
|
|
|
Technology, media and telecom
|
12
|
|
12
|
|
|
Power, chemicals, metals and mining
|
11
|
|
11
|
|
|
Energy and commodities
(1)
|
8
|
|
9
|
|
|
Real estate
|
7
|
|
7
|
|
|
Banks/broker-dealers/finance companies
|
6
|
|
6
|
|
|
Hedge funds
|
5
|
|
5
|
|
|
Insurance and special purpose entities
|
5
|
|
5
|
|
|
Public sector
|
5
|
|
5
|
|
|
Other industries
|
4
|
|
2
|
|
|
Total
|
100
|
%
|
100
|
%
|
Note: Total exposure includes direct outstandings and unfunded lending commitments.
(1) In addition to this exposure, Citi has energy-related exposure within the “Public sector” (e.g., energy-related state-owned entities) and “Transportation and industrial” sector (e.g., off-shore drilling entities) included in the table above. As of
March 31, 2017
, Citi’s total exposure to these energy-related entities remained largely consistent with the prior quarter, at approximately $6 billion, of which approximately $4 billion consisted of direct outstanding funded loans.
Exposure to Banks, Broker-Dealers and Finance Companies
As of
March 31, 2017
, Citi’s total corporate credit exposure to banks, broker-dealers and finance companies was approximately $37 billion, of which $26.2 billion represented direct outstanding funded loans, or 4% of Citi’s total outstanding loans. Also as of
March 31, 2017
, approximately 76% of Citi’s bank, broker-dealers and finance companies total corporate credit exposure was rated investment grade. Included in the amounts noted above, as of
March 31, 2017
, Citi’s total corporate credit exposure to banks was approximately $24.6 billion, with approximately $19.7 billion consisting of direct outstanding funded loans, or 3% of Citi’s total outstanding loans. Of the approximate $24.6 billion as of
March 31, 2017
, approximately 28% related to
Asia
, 29% related to
EMEA
, 21% related to
North America
and 23% related to
Latin America
. More than 72% of Citi’s total corporate credit exposure to banks had a tenor of less than 12 months as of
March 31, 2017
.
In addition to the corporate lending exposures described
above, Citi has additional exposure to banks, broker-dealers
and finance companies in the form of derivatives and
securities financing transactions, which are typically
executed as repurchase and reverse repurchase agreements or
securities loaned or borrowed arrangements. As of
March 31, 2017
, Citi had net derivative credit exposure to banks, broker-dealers and finance companies of approximately $8.8 billion after the application of netting arrangements, legally enforceable margin agreements and other collateral arrangements. The collateral considered as part of the net derivative credit exposure was represented primarily by high quality, liquid assets. As of
March 31, 2017
, Citi had net credit exposure to banks, broker-dealers and finance companies in the form of securities financing transactions of $5.2 billion after the application of netting and collateral arrangements. The collateral considered in the net exposure for the securities financing transactions exposure was primarily cash and highly liquid investment grade securities.
55
Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in
Other revenue
on the Consolidated Statement of Income.
At
March 31, 2017
and
December 31, 2016
, $27.6 billion and $29.5 billion, respectively, of the corporate credit portfolio was economically hedged. Citigroup’s expected loss model used in the calculation of its loan loss reserve 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 corporate credit portfolio exposures with the following risk rating distribution:
Rating of Hedged Exposure
|
March 31,
2017 |
December 31,
2016 |
|||
|
AAA/AA/A
|
16
|
%
|
16
|
%
|
|
BBB
|
49
|
|
49
|
|
|
BB/B
|
31
|
|
31
|
|
|
CCC or below
|
4
|
|
4
|
|
|
Total
|
100
|
%
|
100
|
%
|
The credit protection was economically hedging underlying corporate credit portfolio exposures with the following industry distribution:
Industry of Hedged Exposure
|
March 31,
2017 |
December 31,
2016 |
|||
|
Transportation and industrial
|
28
|
%
|
29
|
%
|
|
Energy and commodities
|
19
|
|
20
|
|
|
Consumer retail and health
|
13
|
|
10
|
|
|
Technology, media and telecom
|
13
|
|
13
|
|
|
Power, chemicals, metals and mining
|
12
|
|
12
|
|
|
Public sector
|
6
|
|
5
|
|
|
Banks/broker-dealers
|
4
|
|
4
|
|
|
Insurance and special purpose entities
|
3
|
|
3
|
|
|
Other industries
|
2
|
|
4
|
|
|
Total
|
100
|
%
|
100
|
%
|
56
ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS
Loans Outstanding
|
1st Qtr.
|
4th Qtr.
|
3rd Qtr.
|
2nd Qtr.
|
1st Qtr.
|
|||||||||||
|
In millions of dollars
|
2017
|
2016
|
2016
|
2016
|
2016
|
||||||||||
|
Consumer loans
|
|
|
|
|
|
||||||||||
|
In U.S. offices
|
|
|
|
|
|
||||||||||
|
Mortgage and real estate
(1)
|
$
|
71,170
|
|
$
|
72,957
|
|
$
|
75,057
|
|
$
|
77,242
|
|
$
|
79,128
|
|
|
Installment, revolving credit, and other
|
3,252
|
|
3,395
|
|
3,465
|
|
3,486
|
|
3,504
|
|
|||||
|
Cards
|
125,799
|
|
132,654
|
|
124,637
|
|
120,113
|
|
106,892
|
|
|||||
|
Commercial and industrial
|
7,434
|
|
7,159
|
|
6,989
|
|
7,041
|
|
6,793
|
|
|||||
|
Total
|
$
|
207,655
|
|
$
|
216,165
|
|
$
|
210,148
|
|
$
|
207,882
|
|
$
|
196,317
|
|
|
In offices outside the U.S.
|
|||||||||||||||
|
Mortgage and real estate
(1)
|
$
|
43,822
|
|
$
|
42,803
|
|
$
|
45,751
|
|
$
|
46,049
|
|
$
|
47,831
|
|
|
Installment, revolving credit, and other
|
26,014
|
|
24,887
|
|
28,217
|
|
27,830
|
|
28,778
|
|
|||||
|
Cards
|
24,497
|
|
23,783
|
|
25,833
|
|
25,844
|
|
26,312
|
|
|||||
|
Commercial and industrial
|
17,728
|
|
16,568
|
|
17,498
|
|
17,520
|
|
17,352
|
|
|||||
|
Lease financing
|
83
|
|
81
|
|
113
|
|
140
|
|
139
|
|
|||||
|
Total
|
$
|
112,144
|
|
$
|
108,122
|
|
$
|
117,412
|
|
$
|
117,383
|
|
$
|
120,412
|
|
|
Total consumer loans
|
$
|
319,799
|
|
$
|
324,287
|
|
$
|
327,560
|
|
$
|
325,265
|
|
$
|
316,729
|
|
|
Unearned income
(2)
|
757
|
|
776
|
|
812
|
|
817
|
|
826
|
|
|||||
|
Consumer loans, net of unearned income
|
$
|
320,556
|
|
$
|
325,063
|
|
$
|
328,372
|
|
$
|
326,082
|
|
$
|
317,555
|
|
|
Corporate loans
|
|
|
|
|
|
||||||||||
|
In U.S. offices
|
|
|
|
|
|
||||||||||
|
Commercial and industrial
|
$
|
49,845
|
|
$
|
49,586
|
|
$
|
50,156
|
|
$
|
50,286
|
|
$
|
44,104
|
|
|
Loans to financial institutions
|
35,734
|
|
35,517
|
|
35,801
|
|
32,001
|
|
36,865
|
|
|||||
|
Mortgage and real estate
(1)
|
40,052
|
|
38,691
|
|
41,078
|
|
40,175
|
|
38,697
|
|
|||||
|
Installment, revolving credit, and other
|
32,212
|
|
34,501
|
|
32,571
|
|
32,491
|
|
33,273
|
|
|||||
|
Lease financing
|
1,511
|
|
1,518
|
|
1,532
|
|
1,546
|
|
1,597
|
|
|||||
|
Total
|
$
|
159,354
|
|
$
|
159,813
|
|
$
|
161,138
|
|
$
|
156,499
|
|
$
|
154,536
|
|
|
In offices outside the U.S.
|
|
|
|
|
|
||||||||||
|
Commercial and industrial
|
$
|
87,258
|
|
$
|
81,882
|
|
$
|
84,492
|
|
$
|
87,432
|
|
$
|
85,836
|
|
|
Loans to financial institutions
|
33,763
|
|
26,886
|
|
27,305
|
|
27,856
|
|
28,652
|
|
|||||
|
Mortgage and real estate
(1)
|
5,527
|
|
5,363
|
|
5,595
|
|
5,455
|
|
5,769
|
|
|||||
|
Installment, revolving credit, and other
|
16,576
|
|
19,965
|
|
25,462
|
|
24,855
|
|
21,583
|
|
|||||
|
Lease financing
|
253
|
|
251
|
|
243
|
|
255
|
|
280
|
|
|||||
|
Governments and official institutions
|
5,970
|
|
5,850
|
|
6,506
|
|
5,757
|
|
5,303
|
|
|||||
|
Total
|
$
|
149,347
|
|
$
|
140,197
|
|
$
|
149,603
|
|
$
|
151,610
|
|
$
|
147,423
|
|
|
Total corporate loans
|
$
|
308,701
|
|
$
|
300,010
|
|
$
|
310,741
|
|
$
|
308,109
|
|
$
|
301,959
|
|
|
Unearned income
(3)
|
(662
|
)
|
(704
|
)
|
(678
|
)
|
(676
|
)
|
(690
|
)
|
|||||
|
Corporate loans, net of unearned income
|
$
|
308,039
|
|
$
|
299,306
|
|
$
|
310,063
|
|
$
|
307,433
|
|
$
|
301,269
|
|
|
Total loans—net of unearned income
|
$
|
628,595
|
|
$
|
624,369
|
|
$
|
638,435
|
|
$
|
633,515
|
|
$
|
618,824
|
|
|
Allowance for loan losses—on drawn exposures
|
(12,030
|
)
|
(12,060
|
)
|
(12,439
|
)
|
(12,304
|
)
|
(12,712
|
)
|
|||||
|
Total loans—net of unearned income
and allowance for credit losses |
$
|
616,565
|
|
$
|
612,309
|
|
$
|
625,996
|
|
$
|
621,211
|
|
$
|
606,112
|
|
|
Allowance for loan losses as a percentage of total loans—
net of unearned income (4) |
1.93
|
%
|
1.94
|
%
|
1.97
|
%
|
1.96
|
%
|
2.07
|
%
|
|||||
|
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income (4) |
2.96
|
%
|
2.88
|
%
|
2.95
|
%
|
2.89
|
%
|
3.09
|
%
|
|||||
|
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income (4) |
0.83
|
%
|
0.91
|
%
|
0.90
|
%
|
0.95
|
%
|
0.98
|
%
|
|||||
|
(1)
|
Loans secured primarily by real estate.
|
|
(2)
|
Unearned income on consumer loans primarily represents unamortized origination fees, costs, premiums and discounts.
|
|
(3)
|
Unearned income on corporate loans primarily represents interest received in advance but not yet earned on loans originated on a discount basis.
|
|
(4)
|
All periods exclude loans that are carried at fair value.
|
57
Details of Credit Loss Experience
|
1st Qtr.
|
4th Qtr.
|
3rd Qtr.
|
2nd Qtr.
|
1st Qtr.
|
|||||||||||
|
In millions of dollars
|
2017
|
2016
|
2016
|
2016
|
2016
|
||||||||||
|
Allowance for loan losses at beginning of period
|
$
|
12,060
|
|
$
|
12,439
|
|
$
|
12,304
|
|
$
|
12,712
|
|
$
|
12,626
|
|
|
Provision for loan losses
|
|||||||||||||||
|
Consumer
|
$
|
1,816
|
|
$
|
1,659
|
|
$
|
1,815
|
|
$
|
1,276
|
|
$
|
1,571
|
|
|
Corporate
|
(141
|
)
|
68
|
|
(69
|
)
|
114
|
|
315
|
|
|||||
|
Total
|
$
|
1,675
|
|
$
|
1,727
|
|
$
|
1,746
|
|
$
|
1,390
|
|
$
|
1,886
|
|
|
Gross credit losses
|
|||||||||||||||
|
Consumer
|
|||||||||||||||
|
In U.S. offices
|
$
|
1,444
|
|
$
|
1,343
|
|
$
|
1,181
|
|
$
|
1,213
|
|
$
|
1,231
|
|
|
In offices outside the U.S.
|
597
|
|
605
|
|
702
|
|
678
|
|
689
|
|
|||||
|
Corporate
|
|||||||||||||||
|
In U.S. offices
|
48
|
|
32
|
|
29
|
|
62
|
|
189
|
|
|||||
|
In offices outside the U.S.
|
55
|
|
103
|
|
36
|
|
95
|
|
34
|
|
|||||
|
Total
|
$
|
2,144
|
|
$
|
2,083
|
|
$
|
1,948
|
|
$
|
2,048
|
|
$
|
2,143
|
|
|
Credit recoveries
(1)
|
|||||||||||||||
|
Consumer
|
|||||||||||||||
|
In U.S. offices
|
$
|
242
|
|
$
|
235
|
|
$
|
227
|
|
$
|
262
|
|
$
|
256
|
|
|
In offices outside the U.S.
|
127
|
|
137
|
|
173
|
|
154
|
|
150
|
|
|||||
|
Corporate
|
|||||||||||||||
|
In U.S. offices
|
2
|
|
2
|
|
16
|
|
3
|
|
4
|
|
|||||
|
In offices outside the U.S.
|
64
|
|
13
|
|
7
|
|
13
|
|
9
|
|
|||||
|
Total
|
$
|
435
|
|
$
|
387
|
|
$
|
423
|
|
$
|
432
|
|
$
|
419
|
|
|
Net credit losses
|
|||||||||||||||
|
In U.S. offices
|
$
|
1,248
|
|
$
|
1,138
|
|
$
|
967
|
|
$
|
1,010
|
|
$
|
1,160
|
|
|
In offices outside the U.S.
|
461
|
|
558
|
|
558
|
|
606
|
|
564
|
|
|||||
|
Total
|
$
|
1,709
|
|
$
|
1,696
|
|
$
|
1,525
|
|
$
|
1,616
|
|
$
|
1,724
|
|
|
Other—net
(2)(3)(4)(5)(6)(7)
|
$
|
4
|
|
$
|
(410
|
)
|
$
|
(86
|
)
|
$
|
(182
|
)
|
$
|
(76
|
)
|
|
Allowance for loan losses at end of period
|
$
|
12,030
|
|
$
|
12,060
|
|
$
|
12,439
|
|
$
|
12,304
|
|
$
|
12,712
|
|
|
Allowance for loan losses as a percentage of total loans
(8)
|
1.93
|
%
|
1.94
|
%
|
1.97
|
%
|
1.96
|
%
|
2.07
|
%
|
|||||
|
Allowance for unfunded lending commitments
(9)
|
$
|
1,377
|
|
$
|
1,418
|
|
$
|
1,388
|
|
$
|
1,432
|
|
$
|
1,473
|
|
|
Total allowance for loan losses and unfunded lending commitments
|
$
|
13,407
|
|
$
|
13,478
|
|
$
|
13,827
|
|
$
|
13,736
|
|
$
|
14,185
|
|
|
Net consumer credit losses
|
$
|
1,672
|
|
$
|
1,576
|
|
$
|
1,483
|
|
$
|
1,475
|
|
$
|
1,514
|
|
|
As a percentage of average consumer loans
|
2.11
|
%
|
1.95
|
%
|
1.80
|
%
|
1.87
|
%
|
1.90
|
%
|
|||||
|
Net corporate credit losses
|
$
|
37
|
|
$
|
120
|
|
$
|
42
|
|
$
|
141
|
|
$
|
210
|
|
|
As a percentage of average corporate loans
|
0.05
|
%
|
0.16
|
%
|
0.05
|
%
|
0.19
|
%
|
0.29
|
%
|
|||||
|
Allowance by type at end of period
(10)
|
|||||||||||||||
|
Consumer
|
$
|
9,495
|
|
$
|
9,358
|
|
$
|
9,673
|
|
$
|
9,432
|
|
$
|
9,807
|
|
|
Corporate
|
2,535
|
|
2,702
|
|
2,766
|
|
2,872
|
|
2,905
|
|
|||||
|
Total
|
$
|
12,030
|
|
$
|
12,060
|
|
$
|
12,439
|
|
$
|
12,304
|
|
$
|
12,712
|
|
|
(1)
|
Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
|
|
(2)
|
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.
|
|
(3)
|
The first quarter of 2017 includes a reduction of approximately $161 million related to the sale or transfer to held-for-sale (HFS) of various loan portfolios, including a reduction of $37 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the first quarter includes an increase of approximately $164 million related to FX translation.
|
|
(4)
|
The fourth quarter of 2016 includes a reduction of approximately $267 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $3 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the fourth quarter includes a reduction of approximately $141 million related to FX translation.
|
|
(5)
|
The third quarter of 2016 includes a reduction of approximately $58 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $50 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the third quarter includes a reduction of approximately $46 million related to FX translation.
|
58
|
(6)
|
The second quarter of 2016 includes a reduction of approximately $101 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $24 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes a reduction of approximately $75 million related to FX translation.
|
|
(7)
|
The first quarter of 2016 includes a reduction of approximately $148 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $29 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the first quarter includes an increase of approximately $63 million related to FX translation.
|
|
(8)
|
March 31, 2017, December 31, 2016, September 30, 2016, June 30, 2016 and March 31, 2016 exclude $4.0 billion, $3.5 billion, $4.0 billion, $4.1 billion and $4.8 billion, respectively, of loans which are carried at fair value.
|
|
(9)
|
Represents additional credit reserves recorded as
Other liabilities
on the Consolidated Balance Sheet.
|
|
(10)
|
Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and troubled debt restructurings. See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.
|
Allowance for Loan Losses
The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios:
|
|
March 31, 2017
|
|||||||
|
In billions of dollars
|
Allowance for
loan losses
|
Loans, net of
unearned income
|
Allowance as a
percentage of loans
(1)
|
|||||
|
North America
cards
(2)
|
$
|
5.3
|
|
$
|
126.4
|
|
4.2
|
%
|
|
North America
mortgages
(3)
|
1.0
|
|
69.9
|
|
1.4
|
|
||
|
North America
other
|
0.4
|
|
12.8
|
|
3.1
|
|
||
|
International cards
|
1.3
|
|
24.0
|
|
5.4
|
|
||
|
International other
(4)
|
1.5
|
|
87.5
|
|
1.7
|
|
||
|
Total consumer
|
$
|
9.5
|
|
$
|
320.6
|
|
3.0
|
%
|
|
Total corporate
|
2.5
|
|
308.0
|
|
0.8
|
|
||
|
Total Citigroup
|
$
|
12.0
|
|
$
|
628.6
|
|
1.9
|
%
|
|
(1)
|
Allowance as a percentage of loans excludes loans that are carried at fair value.
|
|
(2)
|
Includes both Citi-branded cards and Citi retail services. The
$5.3 billion
of loan loss reserves represented approximately 14 months of coincident net credit loss coverage.
|
|
(3)
|
Of the
$1.0 billion
, approximately $0.9 billion was allocated to
North America
mortgages in
Corporate/Other
. Of the
$1.0 billion
, approximately
$0.4 billion
and
$0.6 billion
are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the
$69.9 billion
in loans, approximately
$65.2 billion
and
$4.5 billion
of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 13 to the Consolidated Financial Statements.
|
|
(4)
|
Includes mortgages and other retail loans.
|
|
|
December 31, 2016
|
|||||||
|
In billions of dollars
|
Allowance for
loan losses
|
Loans, net of
unearned income
|
Allowance as a
percentage of loans
(1)
|
|||||
|
North America
cards
(2)
|
$
|
5.2
|
|
$
|
133.3
|
|
3.9
|
%
|
|
North America
mortgages
(3)
|
1.1
|
|
72.6
|
|
1.5
|
|
||
|
North America
other
|
0.5
|
|
13.6
|
|
3.7
|
|
||
|
International cards
|
1.2
|
|
23.1
|
|
5.2
|
|
||
|
International other
(4)
|
1.4
|
|
82.8
|
|
1.7
|
|
||
|
Total consumer
|
$
|
9.4
|
|
$
|
325.4
|
|
2.9
|
%
|
|
Total corporate
|
2.7
|
|
299.0
|
|
0.9
|
|
||
|
Total Citigroup
|
$
|
12.1
|
|
$
|
624.4
|
|
1.9
|
%
|
|
(1)
|
Allowance as a percentage of loans excludes loans that are carried at fair value.
|
|
(2)
|
Includes both Citi-branded cards and Citi retail services. The $5.2 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.
|
|
(3)
|
Of the $1.1 billion, approximately $1.0 billion was allocated to
North America
mortgages in
Corporate/Other
. Of the $1.1 billion, approximately $0.4 billion and $0.7 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $72.6 billion in loans, approximately $67.7 billion and $4.8 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 13 to the Consolidated Financial Statements.
|
|
(4)
|
Includes mortgages and other retail loans.
|
59
Non-Accrual Loans and Assets and Renegotiated Loans
There is a certain amount of overlap among non-accrual loans and assets and renegotiated loans. The following summary provides a general description of each category:
Non-Accrual Loans and Assets:
|
•
|
Corporate and consumer (commercial banking) non-accrual status is based on the determination that payment of interest or principal is doubtful.
|
|
•
|
A corporate loan may be classified as non-accrual and still be performing under the terms of the loan structure. Payments received on corporate non-accrual loans are generally applied to loan principal and not reflected as interest income. Approximately 65% and 64% of Citi’s corporate non-accrual loans were performing at
March 31, 2017
and
December 31, 2016
, respectively.
|
|
•
|
Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments.
|
|
•
|
Mortgage loans in regulated bank entities discharged through Chapter 7 bankruptcy, other than FHA insured loans, are classified as non-accrual. Non-bank mortgage loans discharged through Chapter 7 bankruptcy are classified as non-accrual at 90 days or more past due. In addition, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage loan is 90 days or more past due.
|
|
•
|
North America
Citi-branded cards and Citi 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 contractual delinquency.
|
Renegotiated Loans:
|
•
|
Includes both corporate and consumer loans whose terms have been modified in a troubled debt restructuring (TDR).
|
|
•
|
Includes both accrual and non-accrual TDRs.
|
60
Non-Accrual Loans and Assets
The table below summarizes Citigroup’s non-accrual loans as of the periods indicated. Non-accrual loans may still be current on interest payments. In situations where Citi reasonably expects that only a portion of the principal owed will ultimately be collected, all payments received are reflected as a reduction of principal and not as interest income. For all other non-accrual loans, cash interest receipts are generally recorded as revenue.
|
Mar. 31,
|
Dec. 31,
|
Sept. 30,
|
Jun. 30,
|
Mar. 31,
|
|||||||||||
|
In millions of dollars
|
2017
|
2016
|
2016
|
2016
|
2016
|
||||||||||
|
Corporate non-accrual loans
(1)
|
|||||||||||||||
|
North America
|
$
|
993
|
|
$
|
984
|
|
$
|
1,057
|
|
$
|
1,280
|
|
$
|
1,331
|
|
|
EMEA
|
828
|
|
904
|
|
857
|
|
762
|
|
469
|
|
|||||
|
Latin America
|
342
|
|
379
|
|
380
|
|
267
|
|
410
|
|
|||||
|
Asia
|
176
|
|
154
|
|
121
|
|
151
|
|
117
|
|
|||||
|
Total corporate non-accrual loans
|
$
|
2,339
|
|
$
|
2,421
|
|
$
|
2,415
|
|
$
|
2,460
|
|
$
|
2,327
|
|
|
Consumer non-accrual loans
(1)
|
|||||||||||||||
|
North America
|
$
|
1,926
|
|
$
|
2,160
|
|
$
|
2,429
|
|
$
|
2,520
|
|
$
|
2,519
|
|
|
Latin America
|
737
|
|
711
|
|
841
|
|
884
|
|
817
|
|
|||||
|
Asia
(2)
|
292
|
|
287
|
|
282
|
|
301
|
|
265
|
|
|||||
|
Total consumer non-accrual loans
|
$
|
2,955
|
|
$
|
3,158
|
|
$
|
3,552
|
|
$
|
3,705
|
|
$
|
3,601
|
|
|
Total non-accrual loans
|
$
|
5,294
|
|
$
|
5,579
|
|
$
|
5,967
|
|
$
|
6,165
|
|
$
|
5,928
|
|
|
(1)
|
Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was
$194 million
at
March 31, 2017
,
$187 million
at
December 31, 2016
,
$194 million
at
March 31, 2016
,
$212 million
at
June 30,
2016
and
$236 million
at
March 31,
2016
.
|
(2)
Asia GCB
includes balances in certain
EMEA
countries for all periods presented.
The changes in Citigroup’s non-accrual loans were as follows:
|
Three months ended
|
Three months ended
|
|||||||||||||||||
|
March 31, 2017
|
March 31, 2016
|
|||||||||||||||||
|
In millions of dollars
|
Corporate
|
Consumer
|
Total
|
Corporate
|
Consumer
|
Total
|
||||||||||||
|
Non-accrual loans at beginning of period
|
$
|
2,421
|
|
$
|
3,158
|
|
$
|
5,579
|
|
$
|
1,596
|
|
$
|
3,658
|
|
$
|
5,254
|
|
|
Additions
(1)
|
253
|
|
824
|
|
1,077
|
|
1,047
|
|
914
|
|
1,961
|
|
||||||
|
Sales and transfers to held-for-sale
|
(36
|
)
|
(135
|
)
|
(171
|
)
|
(8
|
)
|
(162
|
)
|
(170
|
)
|
||||||
|
Returned to performing
|
(37
|
)
|
(164
|
)
|
(201
|
)
|
(15
|
)
|
(141
|
)
|
(156
|
)
|
||||||
|
Paydowns/settlements
|
(183
|
)
|
(280
|
)
|
(463
|
)
|
(98
|
)
|
(245
|
)
|
(343
|
)
|
||||||
|
Charge-offs
|
(54
|
)
|
(524
|
)
|
(578
|
)
|
(140
|
)
|
(439
|
)
|
(579
|
)
|
||||||
|
Other
|
(25
|
)
|
76
|
|
51
|
|
(55
|
)
|
16
|
|
(39
|
)
|
||||||
|
Ending balance
|
$
|
2,339
|
|
$
|
2,955
|
|
$
|
5,294
|
|
$
|
2,327
|
|
$
|
3,601
|
|
$
|
5,928
|
|
|
(1)
|
The increases in corporate non-accrual loans in the first quarter of 2016 primarily related to Citi’s
North America and EMEA
energy and energy-related corporate credit exposure.
|
61
The table below summarizes Citigroup’s other real estate owned (OREO) assets as of the periods indicated. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:
|
Mar. 31,
|
Dec. 31,
|
Sept. 30,
|
Jun. 30,
|
Mar. 31,
|
|||||||||||
|
In millions of dollars
|
2017
|
2016
|
2016
|
2016
|
2016
|
||||||||||
|
OREO
|
|||||||||||||||
|
North America
|
$
|
136
|
|
$
|
161
|
|
$
|
132
|
|
$
|
151
|
|
$
|
159
|
|
|
EMEA
|
1
|
|
—
|
|
1
|
|
—
|
|
1
|
|
|||||
|
Latin America
|
31
|
|
18
|
|
18
|
|
19
|
|
35
|
|
|||||
|
Asia
|
5
|
|
7
|
|
10
|
|
5
|
|
10
|
|
|||||
|
Total OREO
|
$
|
173
|
|
$
|
186
|
|
$
|
161
|
|
$
|
175
|
|
$
|
205
|
|
|
Non-accrual assets
|
|
|
|
|
|
||||||||||
|
Corporate non-accrual loans
|
$
|
2,339
|
|
$
|
2,421
|
|
$
|
2,415
|
|
$
|
2,460
|
|
$
|
2,327
|
|
|
Consumer non-accrual loans
|
2,955
|
|
3,158
|
|
3,552
|
|
3,705
|
|
3,601
|
|
|||||
|
Non-accrual loans (NAL)
|
$
|
5,294
|
|
$
|
5,579
|
|
$
|
5,967
|
|
$
|
6,165
|
|
$
|
5,928
|
|
|
OREO
|
$
|
173
|
|
$
|
186
|
|
$
|
161
|
|
$
|
175
|
|
$
|
205
|
|
|
Non-accrual assets (NAA)
|
$
|
5,467
|
|
$
|
5,765
|
|
$
|
6,128
|
|
$
|
6,340
|
|
$
|
6,133
|
|
|
NAL as a percentage of total loans
|
0.84
|
%
|
0.89
|
%
|
0.93
|
%
|
0.97
|
%
|
0.96
|
%
|
|||||
|
NAA as a percentage of total assets
|
0.30
|
|
0.32
|
|
0.34
|
|
0.35
|
|
0.34
|
|
|||||
|
Allowance for loan losses as a percentage of NAL
(1)
|
227
|
|
216
|
|
208
|
|
200
|
|
214
|
|
|||||
|
(1)
|
The allowance for loan losses includes the allowance for Citi’s credit card portfolios and purchased distressed loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios) and purchased distressed loans as these continue to accrue interest until charge-off.
|
62
Renegotiated Loans
The following table presents Citi’s loans modified in TDRs.
|
In millions of dollars
|
Mar. 31, 2017
|
Dec. 31, 2016
|
||||
|
Corporate renegotiated loans
(1)
|
|
|||||
|
In U.S. offices
|
|
|||||
|
Commercial and industrial
(2)
|
$
|
136
|
|
$
|
89
|
|
|
Mortgage and real estate
|
80
|
|
84
|
|
||
|
Loans to financial institutions
|
9
|
|
9
|
|
||
|
Other
|
177
|
|
228
|
|
||
|
$
|
402
|
|
$
|
410
|
|
|
|
In offices outside the U.S.
|
|
|||||
|
Commercial and industrial
(2)
|
$
|
254
|
|
$
|
319
|
|
|
Mortgage and real estate
|
4
|
|
3
|
|
||
|
Loans to financial institutions
|
15
|
|
—
|
|
||
|
$
|
273
|
|
$
|
322
|
|
|
|
Total corporate renegotiated loans
|
$
|
675
|
|
$
|
732
|
|
|
Consumer renegotiated loans
(3)(4)(5)
|
|
|||||
|
In U.S. offices
|
|
|||||
|
Mortgage and real estate
(6)
|
$
|
4,541
|
|
$
|
4,695
|
|
|
Cards
|
1,327
|
|
1,313
|
|
||
|
Installment and other
|
138
|
|
117
|
|
||
|
$
|
6,006
|
|
$
|
6,125
|
|
|
|
In offices outside the U.S.
|
|
|||||
|
Mortgage and real estate
|
$
|
357
|
|
$
|
447
|
|
|
Cards
|
496
|
|
435
|
|
||
|
Installment and other
|
379
|
|
443
|
|
||
|
$
|
1,232
|
|
$
|
1,325
|
|
|
|
Total consumer renegotiated loans
|
$
|
7,238
|
|
$
|
7,450
|
|
|
(1)
|
Includes $466 million and $445 million of non-accrual loans included in the non-accrual loans table above at
March 31, 2017
and December 31, 2016, respectively. The remaining loans are accruing interest.
|
|
(2)
|
In addition to modifications reflected as TDRs at March 31, 2017, Citi also modified $185 million of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices outside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession.
|
|
(3)
|
Includes
$1,438 million
and
$1,502 million
of non-accrual loans included in the non-accrual loans table above at
March 31, 2017
and December 31,
2016
, respectively. The remaining loans are accruing interest.
|
|
(4)
|
Includes
$47 million
and
$58 million
of commercial real estate loans at
March 31, 2017
and December 31,
2016
, respectively.
|
|
(5)
|
Includes
$126 million
and
$105 million
of other commercial loans at
March 31, 2017
and December 31,
2016
, respectively.
|
|
(6)
|
Reduction in the three months ended
March 31, 2017
includes
$89 million
related to TDRs sold or transferred to held-for-sale.
|
63
LIQUIDITY RISK
For additional information on funding and liquidity at Citigroup, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors” in Citi’s 2016 Annual Report on Form 10-K.
High-Quality Liquid Assets (HQLA)
|
Citibank
|
Non-Bank and Other
(1)
|
Total
|
|||||||||||||||||||||||||
|
In billions of dollars
|
Mar. 31, 2017
|
Dec. 31, 2016
|
Mar. 31, 2016
|
Mar. 31, 2017
|
Dec. 31, 2016
|
Mar. 31, 2016
|
Mar. 31, 2017
|
Dec. 31, 2016
|
Mar. 31, 2016
|
||||||||||||||||||
|
Available cash
|
$
|
83.8
|
|
$
|
68.3
|
|
$
|
74.2
|
|
$
|
24.5
|
|
$
|
19.8
|
|
$
|
24.5
|
|
$
|
108.3
|
|
$
|
88.1
|
|
$
|
98.7
|
|
|
U.S. sovereign
|
113.8
|
|
123.0
|
|
117.7
|
|
22.7
|
|
22.5
|
|
22.6
|
|
136.5
|
|
145.5
|
|
140.3
|
|
|||||||||
|
U.S. agency/agency MBS
|
59.2
|
|
61.7
|
|
68.9
|
|
0.8
|
|
0.6
|
|
0.5
|
|
60.0
|
|
62.3
|
|
69.4
|
|
|||||||||
|
Foreign government debt
(2)
|
84.5
|
|
87.9
|
|
86.8
|
|
17.2
|
|
15.6
|
|
19.6
|
|
101.7
|
|
103.5
|
|
106.4
|
|
|||||||||
|
Other investment grade
|
0.3
|
|
0.3
|
|
1.1
|
|
1.5
|
|
1.2
|
|
1.6
|
|
1.8
|
|
1.5
|
|
2.7
|
|
|||||||||
|
Total HQLA (EOP)
|
$
|
341.6
|
|
$
|
341.2
|
|
$
|
348.7
|
|
$
|
66.7
|
|
$
|
59.7
|
|
$
|
68.8
|
|
$
|
408.3
|
|
$
|
400.9
|
|
$
|
417.5
|
|
|
Total HQLA (AVG)
|
$
|
353.5
|
|
$
|
345.7
|
|
$
|
335.1
|
|
$
|
59.3
|
|
$
|
58.0
|
|
$
|
65.0
|
|
$
|
412.8
|
|
$
|
403.7
|
|
$
|
400.1
|
|
Note: Except as indicated, amounts set forth in the table above are as of period end and may increase or decrease intra-period in the ordinary course of business. 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 that would be required for secured funding transactions. The Federal Reserve Board adopted final rules requiring disclosure of HQLA, the Liquidity Coverage Ratio and related components on an average basis each quarter, as compared to end-of-period starting on April 1, 2017 (for additional information, see “Liquidity Coverage Ratio (LCR)” below). Citi has presented in this form 10-Q the average information on these metrics currently available, which includes average total HQLA, average LCR and average net outflows under the LCR; other component information is not currently available.
|
(1)
|
Citibanamex and Citibank (Switzerland) AG account for approximately $6 billion of the “Non-Bank and Other” HQLA balance as of March 31, 2017.
|
|
(2)
|
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 Hong Kong, Taiwan, Korea, Singapore, India, Brazil and Mexico.
|
As set forth in the table above, sequentially, Citi’s total HQLA increased both on an end-of-period and an average basis, due primarily to an increase in cash driven by higher deposits.
Citi’s HQLA as set forth above does not include Citi’s available borrowing capacity from the Federal Home Loan Banks (FHLBs) of which Citi is a member, which was approximately $28 billion as of
March 31, 2017
(compared to $21 billion as of December 31, 2016 and $37 billion as of March 31, 2016) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.
In general, Citi’s liquidity is fungible across legal entities within its bank group. Citi’s bank subsidiaries, including Citibank, can lend to the Citi parent and broker-dealer entities in accordance with Section 23A of the Federal Reserve Act. As of
March 31, 2017
, the capacity available for lending to these entities under Section 23A was approximately $15 billion, unchanged from $15 billion as of December 31, 2016 and compared to $14 billion as of March 31, 2016, subject to certain eligible non-cash collateral requirements.
64
Loans
The table below sets forth the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:
|
In billions of dollars
|
Mar. 31, 2017
|
Dec. 31, 2016
|
Mar. 31, 2016
|
||||||
|
Global Consumer Banking
|
|||||||||
|
North America
|
$
|
183.3
|
|
$
|
182.0
|
|
$
|
161.6
|
|
|
Latin America
|
23.1
|
|
23.5
|
|
24.4
|
|
|||
|
Asia
(1)
|
83.2
|
|
81.9
|
|
84.9
|
|
|||
|
Total
|
$
|
289.6
|
|
$
|
287.4
|
|
$
|
270.9
|
|
|
Institutional Clients Group
|
|||||||||
|
Corporate lending
|
118.1
|
|
118.9
|
|
121.6
|
|
|||
|
Treasury and trade solutions (TTS)
|
70.5
|
|
71.5
|
|
70.4
|
|
|||
|
Private bank, markets and securities services and other
|
113.2
|
|
113.9
|
|
103.0
|
|
|||
|
Total
|
$
|
301.8
|
|
$
|
304.3
|
|
$
|
295.0
|
|
|
Total
Corporate/Other
|
31.8
|
|
34.6
|
|
46.3
|
|
|||
|
Total Citigroup loans (AVG)
|
$
|
623.2
|
|
$
|
626.3
|
|
$
|
612.2
|
|
|
Total Citigroup loans (EOP)
|
$
|
628.6
|
|
$
|
624.4
|
|
$
|
618.8
|
|
|
(1)
|
Includes loans in certain
EMEA
countries for all periods presented.
|
As set forth in the table above, end-of-period loans increased 2% year-over-year and 1% quarter-over-quarter. On an average basis, loans increased 2% year-over-year and remained largely unchanged sequentially, both on a reported basis and excluding the impact of FX translation.
Excluding the impact of FX translation, average
GCB
loans grew 7% year-over-year, driven by 13% growth in
North America.
Within
North America,
Citi-branded cards increased 28% year-over-year, primarily due to the acquisition of the Costco portfolio, as well as modest organic growth. International
GCB
loans declined 1%, as 6% growth in Mexico was more than offset by a 3% decline in
Asia,
reflecting Citi’s continued optimization of its portfolio in this region to generate higher returns.
Average
ICG
loans increased 3% year-over-year, primarily driven by the private bank. Corporate lending decreased 2%, primarily driven by a lower level of episodic funding required by
ICG’s
target market clients in the first quarter of 2017, compared to the prior-year period. The majority of
ICG’s
target market clients are investment grade, with a generally strong liquidity position. In the quarter, these target clients accessed the capital markets to fund ongoing, longer-term financing requirements in the continued attractive rate environment. Treasury and trade solutions loans increased 1% as the business continued to support its clients while distributing trade loan originations to optimize its balance sheet and returns. Private bank and markets and securities services loans grew 10% year-over-year, driven primarily by the private bank.
Average
Corporate/Other
loans decreased 32% year-over-year, driven by $10 billion of reductions in average
North
America
mortgages, including transfers to held-for-sale (see Note 13 to the Consolidated Financial Statements).
Deposits
The table below sets forth the average deposits, by business and/or segment, and the total end-of-period deposits for each of the periods indicated:
|
In billions of dollars
|
Mar. 31, 2017
|
Dec. 31, 2016
|
Mar. 31, 2016
|
||||||
|
Global Consumer Banking
|
|||||||||
|
North America
|
$
|
185.5
|
|
$
|
186.0
|
|
$
|
180.6
|
|
|
Latin America
|
25.3
|
|
25.2
|
|
26.1
|
|
|||
|
Asia
(1)
|
92.7
|
|
89.9
|
|
87.2
|
|
|||
|
Total
|
$
|
303.5
|
|
$
|
301.1
|
|
$
|
293.9
|
|
|
Institutional Clients Group
|
|||||||||
|
Treasury and trade solutions (TTS)
|
416.2
|
|
415.4
|
|
402.1
|
|
|||
|
Banking ex-TTS
|
120.8
|
|
122.4
|
|
113.5
|
|
|||
|
Markets and securities services
|
80.1
|
|
81.7
|
|
77.4
|
|
|||
|
Total
|
$
|
617.1
|
|
$
|
619.5
|
|
$
|
593.0
|
|
|
Corporate/Other
|
20.3
|
|
14.5
|
|
24.8
|
|
|||
|
Total Citigroup deposits (AVG)
|
$
|
940.9
|
|
$
|
935.1
|
|
$
|
911.7
|
|
|
Total Citigroup deposits (EOP)
|
$
|
950.0
|
|
$
|
929.4
|
|
$
|
934.6
|
|
|
(1)
|
Includes deposits in certain
EMEA
countries
for all periods presented.
|
End-of-period deposits increased 2% year-over-year and quarter-over-quarter. On an average basis, deposits increased 3% year-over-year and 1% sequentially.
Excluding the impact of FX translation, average deposits grew 4% from the prior-year period as Citi experienced strong customer engagement across all major businesses and regions.
65
Long-Term Debt
The weighted-average maturities of unsecured long-term debt issued by Citigroup and its affiliates (including Citibank) with a remaining life greater than one year (excluding remaining trust preferred securities outstanding) was approximately 6.9 years as of
March 31, 2017
, a slight decline from both the prior-year period and sequentially.
Citi’s long-term debt outstanding at the parent includes senior and subordinated debt and a portion of what Citi refers to as customer-related debt, consisting of structured notes, such as equity- and credit-linked notes, as well as non-structured notes. Citi’s issuance of customer-related debt is generally driven by customer demand and supplements benchmark debt issuance as a source of funding for Citi’s parent and non-bank entities. Citi’s long-term debt at the bank also includes FHLB advances and securitizations.
Long-Term Debt Outstanding
The following table sets forth Citi’s end-of-period total long-term debt outstanding for each of the periods indicated:
|
In billions of dollars
|
Mar. 31, 2017
|
Dec. 31, 2016
|
Mar. 31, 2016
|
||||||
|
Parent and other
(1)
|
|
|
|
|
|
|
|||
|
Benchmark debt:
|
|||||||||
|
Senior debt
|
$
|
100.2
|
|
$
|
99.9
|
|
$
|
94.0
|
|
|
Subordinated debt
|
26.3
|
|
26.8
|
|
29.4
|
|
|||
|
Trust preferred
|
1.7
|
|
1.7
|
|
1.7
|
|
|||
|
Customer-related debt:
|
|
|
|
||||||
|
Structured debt
|
24.3
|
|
22.8
|
|
23.6
|
|
|||
|
Non-structured debt
|
2.9
|
|
3.0
|
|
3.3
|
|
|||
|
Local country and other
(2)
|
2.0
|
|
2.5
|
|
4.1
|
|
|||
|
Total parent and other
|
$
|
157.4
|
|
$
|
156.7
|
|
$
|
156.1
|
|
|
Bank
|
|
|
|
|
|
|
|||
|
FHLB borrowings
|
$
|
20.3
|
|
$
|
21.6
|
|
$
|
17.1
|
|
|
Securitizations
(3)
|
24.0
|
|
23.5
|
|
28.7
|
|
|||
|
CBNA Benchmark Debt
|
2.5
|
|
—
|
|
—
|
|
|||
|
Local country and other
(2)
|
4.3
|
|
4.4
|
|
5.9
|
|
|||
|
Total bank
|
$
|
51.1
|
|
$
|
49.5
|
|
$
|
51.7
|
|
|
Total long-term debt
|
$
|
208.5
|
|
$
|
206.2
|
|
$
|
207.8
|
|
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
|
(1)
|
“Parent and other” includes long-term debt issued to third parties by the parent holding company (Citigroup) and Citi’s non-bank subsidiaries (including broker-dealer subsidiaries) that are consolidated into Citigroup. As of March 31, 2017, “parent and other” included $15.8 billion of long-term debt issued by Citi’s broker-dealer subsidiaries.
|
|
(2)
|
Local country debt includes debt issued by Citi’s affiliates in support of their local operations.
|
|
(3)
|
Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.
|
Year-over-year, Citi’s total long-term debt outstanding increased modestly, as an increase in senior debt at the parent more than offset continued reductions in securitizations at the bank entities. Sequentially, Citi’s total long-term debt outstanding increased, primarily driven by the issuance of benchmark debt at the bank, as parent and other debt remained largely unchanged.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such repurchases help reduce Citi’s overall funding costs (and assist it in meeting regulatory changes and requirements). During the first quarter of 2017, Citi repurchased an aggregate of approximately $0.9 billion of its outstanding long-term debt.
66
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:
|
|
1Q17
|
4Q16
|
1Q16
|
|||||||||||||||
|
In billions of dollars
|
Maturities
|
Issuances
|
Maturities
|
Issuances
|
Maturities
|
Issuances
|
||||||||||||
|
Parent and other
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Benchmark debt:
|
||||||||||||||||||
|
Senior debt
|
$
|
5.3
|
|
$
|
5.2
|
|
$
|
2.2
|
|
$
|
9.7
|
|
$
|
4.3
|
|
$
|
5.2
|
|
|
Subordinated debt
|
1.2
|
|
0.7
|
|
0.2
|
|
—
|
|
—
|
|
1.5
|
|
||||||
|
Trust preferred
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
|
Customer-related debt:
|
|
|
||||||||||||||||
|
Structured debt
|
6.6
|
|
6.2
|
|
1.8
|
|
1.6
|
|
2.0
|
|
3.6
|
|
||||||
|
Non-structured debt
|
0.2
|
|
—
|
|
0.3
|
|
—
|
|
0.2
|
|
—
|
|
||||||
|
Local country and other
|
0.6
|
|
0.2
|
|
0.1
|
|
—
|
|
0.1
|
|
1.9
|
|
||||||
|
Total parent and other
|
$
|
13.9
|
|
$
|
12.3
|
|
$
|
4.6
|
|
$
|
11.3
|
|
$
|
6.6
|
|
$
|
12.2
|
|
|
Bank
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
FHLB borrowings
|
$
|
1.8
|
|
$
|
0.5
|
|
$
|
5.1
|
|
$
|
5.1
|
|
$
|
1.7
|
|
$
|
1.0
|
|
|
Securitizations
|
2.0
|
|
2.5
|
|
4.1
|
|
3.3
|
|
2.3
|
|
—
|
|
||||||
|
CBNA Benchmark Debt
|
—
|
|
2.5
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||
|
Local country and other
|
1.2
|
|
0.8
|
|
1.2
|
|
0.6
|
|
0.7
|
|
0.7
|
|
||||||
|
Total bank
|
$
|
5.0
|
|
$
|
6.3
|
|
$
|
10.4
|
|
$
|
9.0
|
|
$
|
4.7
|
|
$
|
1.7
|
|
|
Total
|
$
|
18.9
|
|
$
|
18.6
|
|
$
|
15.0
|
|
$
|
20.3
|
|
$
|
11.3
|
|
$
|
13.9
|
|
The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) during the first quarter of 2017, as well as its aggregate expected annual long-term debt maturities as of
March 31, 2017
:
|
|
Maturities
|
||||||||||||||||||||||||||
|
In billions of dollars
|
1Q17
|
2017
|
2018
|
2019
|
2020
|
2021
|
2022
|
Thereafter
|
Total
|
||||||||||||||||||
|
Parent and other
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Benchmark debt:
|
|
||||||||||||||||||||||||||
|
Senior debt
|
$
|
5.3
|
|
$
|
8.8
|
|
$
|
18.2
|
|
$
|
14.1
|
|
$
|
8.9
|
|
$
|
14.0
|
|
$
|
2.5
|
|
$
|
33.7
|
|
$
|
100.2
|
|
|
Subordinated debt
|
1.2
|
|
—
|
|
0.9
|
|
1.3
|
|
—
|
|
—
|
|
1.1
|
|
22.9
|
|
26.3
|
|
|||||||||
|
Trust preferred
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
1.7
|
|
1.7
|
|
|||||||||
|
Customer-related debt:
|
|
||||||||||||||||||||||||||
|
Structured debt
|
6.6
|
|
—
|
|
4.6
|
|
2.7
|
|
2.0
|
|
2.3
|
|
1.2
|
|
11.4
|
|
24.3
|
|
|||||||||
|
Non-structured debt
|
0.2
|
|
0.4
|
|
0.6
|
|
0.1
|
|
0.3
|
|
0.1
|
|
—
|
|
1.4
|
|
2.9
|
|
|||||||||
|
Local country and other
|
0.6
|
|
—
|
|
0.7
|
|
0.2
|
|
0.1
|
|
0.6
|
|
0.3
|
|
0.3
|
|
2.0
|
|
|||||||||
|
Total parent and other
|
$
|
13.9
|
|
$
|
9.2
|
|
$
|
25.0
|
|
$
|
18.4
|
|
$
|
11.3
|
|
$
|
17.0
|
|
$
|
5.1
|
|
$
|
71.4
|
|
$
|
157.4
|
|
|
Bank
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
FHLB borrowings
|
$
|
1.8
|
|
$
|
6.0
|
|
$
|
13.8
|
|
$
|
0.6
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
20.3
|
|
|
Securitizations
|
2.0
|
|
3.3
|
|
9.4
|
|
6.5
|
|
0.1
|
|
3.8
|
|
0.1
|
|
0.9
|
|
24.0
|
|
|||||||||
|
CBNA Benchmark Debt
|
—
|
|
—
|
|
—
|
|
2.5
|
|
—
|
|
—
|
|
—
|
|
—
|
|
2.5
|
|
|||||||||
|
Local country and other
|
1.2
|
|
0.4
|
|
1.8
|
|
0.6
|
|
0.8
|
|
0.1
|
|
0.1
|
|
0.3
|
|
4.3
|
|
|||||||||
|
Total bank
|
$
|
5.0
|
|
$
|
9.7
|
|
$
|
25.0
|
|
$
|
10.2
|
|
$
|
0.9
|
|
$
|
3.9
|
|
$
|
0.2
|
|
$
|
1.2
|
|
$
|
51.1
|
|
|
Total long-term debt
|
$
|
18.9
|
|
$
|
18.9
|
|
$
|
50.0
|
|
$
|
28.6
|
|
$
|
12.2
|
|
$
|
20.9
|
|
$
|
5.3
|
|
$
|
72.6
|
|
$
|
208.5
|
|
67
Secured Funding Transactions and Short-Term Borrowings
Citi supplements its primary sources of funding with short-term borrowings. Short-term borrowings generally include (i) secured funding transactions (securities loaned or sold under agreements to repurchase, or repos) and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).
Outside of secured funding transactions, Citi’s short-term borrowings increased year-over-year (a 25% increase), but declined sequentially (a 15% decline). The increase year-over-year was driven by an increase in FHLB borrowing, as Citi continued to optimize liquidity across its legal vehicles.
Secured Funding
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both secured lending activity and a portion of securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which is typically collateralized by foreign government debt securities. Generally, daily changes in the level of Citi’s secured funding are primarily due to fluctuations in secured lending activity in the matched book (as described below) and securities inventory.
Secured funding of $148 billion as of March 31, 2017 declined 6% from the prior-year period and increased 5% sequentially. Excluding the impact of FX translation, secured funding decreased 3% from the prior-year period and increased 3% sequentially, both driven by normal business activity. Average balances for secured funding were approximately $149 billion for the quarter ended March 31, 2017.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high quality, liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less liquid securities, including equity securities, corporate bonds and asset-backed securities. The tenor of Citi’s matched book liabilities is generally equal to or longer than the tenor of the corresponding matched book assets.
The remainder of the secured funding activity in the broker-dealer subsidiaries serves to fund securities inventory held in the context of market making and customer activities. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral, and stipulating financing tenor. The weighted average maturity of Citi’s secured funding of less liquid securities inventory was greater than 110 days as of March 31, 2017.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions.
Additionally, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.
Liquidity Coverage Ratio (LCR)
In addition to internal measures that Citi has developed for a 30-day stress scenario, Citi also monitors its liquidity by reference to the LCR, as calculated pursuant to the U.S. LCR rules (for additional information, see “Liquidity Risk” in Citi’s
2016
Annual Report on Form 10-K). The table below sets forth the components of Citi’s LCR calculation and HQLA in excess of net outflows as of the periods indicated:
|
In billions of dollars
|
Mar. 31, 2017
|
Dec. 31, 2016
|
Mar. 31, 2016
|
||||||
|
HQLA
|
$
|
412.8
|
|
$
|
403.7
|
|
$
|
400.1
|
|
|
Net outflows
|
334.4
|
|
332.5
|
|
333.3
|
|
|||
|
LCR
|
123
|
%
|
121
|
%
|
120
|
%
|
|||
|
HQLA in excess of net outflows
|
$
|
78.4
|
|
$
|
71.3
|
|
$
|
66.8
|
|
Note: The amounts set forth in the table above are presented on an average basis.
As set forth in the table above, Citi’s LCR increased both year-over-year and sequentially driven by an increase in HQLA which more than offset a modest increase in net outflows.
68
Credit Ratings
The table below sets forth the ratings for Citigroup and Citibank as of
March 31, 2017
. While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Inc. (CGMI) were “A2/P-1” at Moody’s, “A+/A-1” at Standard & Poor’s and “A+/F1” at Fitch as of
March 31, 2017
. The long-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were BBB+/A-2 at Standard & Poor’s and A/F1 at Fitch as of
March 31, 2017
.
|
|
Citigroup Inc.
|
Citibank, N.A.
|
||||
|
|
Senior
debt
|
Commercial
paper
|
Outlook
|
Long-
term
|
Short-
term
|
Outlook
|
|
Fitch Ratings (Fitch)
|
A
|
F1
|
Stable
|
A+
|
F1
|
Stable
|
|
Moody’s Investors Service (Moody’s)
|
Baa1
|
P-2
|
Stable
|
A1
|
P-1
|
Stable
|
|
Standard & Poor’s (S&P)
|
BBB+
|
A-2
|
Stable
|
A+
|
A-1
|
Stable
|
Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including derivative triggers, which could take the form of cash obligations and collateral requirements.
The following information is provided for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank of a hypothetical, simultaneous
ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, judgments and uncertainties. Uncertainties include potential ratings limitations that certain entities may have with respect to permissible counterparties, as well as general subjective counterparty behavior. For example, certain corporate customers and markets counterparties could re-evaluate their business relationships with Citi and limit transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi’s funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors— Liquidity Risks” in Citi’s
2016
Annual Report on Form 10-K.
Citigroup Inc. and Citibank—Potential Derivative Triggers
As of
March 31, 2017
, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.6 billion, compared to $0.4 billion as of
December 31, 2016
. Other funding sources, such as secured funding and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of
March 31, 2017
, 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 by approximately $0.8 billion, compared to $1.2 billion as of
December 31, 2016
, due to derivative triggers.
In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, across all three major rating agencies, could result in increased aggregate cash obligations and collateral requirements of approximately $1.4 billion, compared to $1.6 billion as of
December 31, 2016
(see also Note 19 to the Consolidated Financial Statements). As set forth under “High-Quality Liquid Assets” above, the liquidity resources of Citibank were approximately $353 billion and the liquidity resources of Citi’s non-bank and other entities were approximately $59 billion, for a total of approximately $413 billion as of
March 31, 2017
. These liquidity resources are available 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 from 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
69
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 one-notch downgrade of Citibank’s senior debt/long-term rating by S&P could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of
March 31, 2017
, Citibank had liquidity commitments of approximately $10.1 billion to consolidated asset-backed commercial paper conduits, compared to $10.0 billion as of December 31, 2016 (as referenced in Note 18 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank and Citibanamex 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.
70
MARKET RISK
Market risk emanates from both Citi’s trading and non-trading portfolios. Trading portfolios comprise all assets and liabilities marked-to-market, with results reflected in earnings. Non-trading portfolios include all other assets and liabilities.
For additional information on market risk and market risk management at Citi, see “Market Risk” and “Risk Factors” in Citi’s
2016
Annual Report on Form 10-K.
The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point increase in interest rates.
|
In millions of dollars (unless otherwise noted)
|
Mar. 31, 2017
|
Dec. 31, 2016
|
Mar. 31, 2016
|
||||||
|
Estimated annualized impact to net interest revenue
|
|||||||||
|
U.S. dollar
(1)
|
$
|
1,644
|
|
$
|
1,586
|
|
$
|
1,362
|
|
|
All other currencies
|
581
|
|
550
|
|
587
|
|
|||
|
Total
|
$
|
2,225
|
|
$
|
2,136
|
|
$
|
1,949
|
|
|
As a percentage of average interest-earning assets
|
0.14
|
%
|
0.13
|
%
|
0.13
|
%
|
|||
|
Estimated initial impact to AOCI (after-tax)
(2)
|
$
|
(3,830
|
)
|
$
|
(4,671
|
)
|
$
|
(4,950
|
)
|
|
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)
(3)
|
(43
|
)
|
(53
|
)
|
(57
|
)
|
|||
|
(1)
|
Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the estimated impact to net interest revenue in the table, since these exposures are managed economically in combination with mark-to-market positions. The U.S. dollar interest rate exposure associated with these businesses was $(180) million for a 100 basis point instantaneous increase in interest rates as of
March 31, 2017
.
|
|
(2)
|
Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
|
|
(3)
|
The estimated initial impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi’s DTA position and is based on only the estimated initial AOCI impact above.
|
The sequential increase in the estimated impact to net interest revenue primarily reflected changes in balance sheet composition, including increases in certain of Citi’s deposit balances. The sequential decrease in the estimated impact to AOCI primarily reflected changes to the positioning of Citi Treasury’s investment securities and related interest rate derivatives portfolio.
In the event of an unanticipated parallel instantaneous 100 basis point increase in interest rates, Citi expects the negative impact to AOCI would be offset in stockholders’ equity through the combination of expected incremental net interest revenue and the expected recovery of the impact on AOCI through accretion of Citi’s investment portfolio over a period of time. As of
March 31, 2017
, Citi expects that the negative
$3.8 billion impact to AOCI in such a scenario could potentially be offset over approximately 18 months.
The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis) under four different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies. While Citi also monitors the impact of a parallel decrease in interest rates, a 100 basis point decrease in short-term rates is not meaningful, as it would imply negative interest rates in many of Citi's markets.
|
In millions of dollars (unless otherwise noted)
|
Scenario 1
|
Scenario 2
|
Scenario 3
|
Scenario 4
|
||||||||
|
Overnight rate change (bps)
|
100
|
|
100
|
|
—
|
|
—
|
|
||||
|
10-year rate change (bps)
|
100
|
|
—
|
|
100
|
|
(100
|
)
|
||||
|
Estimated annualized impact to net interest revenue
|
||||||||||||
|
U.S. dollar
|
$
|
1,644
|
|
$
|
1,533
|
|
$
|
96
|
|
$
|
(114
|
)
|
|
All other currencies
|
581
|
|
536
|
|
33
|
|
(33
|
)
|
||||
|
Total
|
$
|
2,225
|
|
$
|
2,069
|
|
$
|
129
|
|
$
|
(147
|
)
|
|
Estimated initial impact to AOCI (after-tax)
(1)
|
$
|
(3,830
|
)
|
$
|
(2,430
|
)
|
$
|
(1,550
|
)
|
$
|
1,261
|
|
|
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)
(2)
|
(43
|
)
|
(27
|
)
|
(18
|
)
|
14
|
|
||||
Note: Each scenario in the table above assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated.
|
(1)
|
Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
|
71
|
(2)
|
The estimated initial impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi’s deferred tax asset position and is based on only the estimated AOCI impact above.
|
As shown in the table above, the magnitude of the impact to Citi’s net interest revenue and AOCI is greater under scenario 2 as compared to scenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter and intermediate term maturities.
In recent years, a number of central banks, including the European Central Bank, the Bank of Japan and the Swiss National Bank, have implemented negative interest rates, and additional governmental entities could do so in the future. While negative interest rates can adversely impact net interest revenue (as well as net interest margin), Citi has, to date, been able to partially offset the impact of negative rates in these jurisdictions through a combination of business and Citi Treasury interest rate risk mitigation activities, including applying negative rates to client accounts (for additional information on Citi Treasury’s ongoing interest rate mitigation activities, see “Market Risk—Market Risk of Non-Trading Portfolios” in Citi’s 2016 Annual Reporting on Form 10-K).
Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of
March 31, 2017
, 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 $1.4 billion, or 0.8%, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the Euro and the Australian dollar.
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign-currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further impact the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 17 to the Consolidated Financial Statements.
|
For the quarter ended
|
|||||||||
|
In millions of dollars (unless otherwise noted)
|
Mar. 31, 2017
|
Dec. 31, 2016
|
Mar. 31, 2016
|
||||||
|
Change in FX spot rate
(1)
|
4.5
|
%
|
(5.2
|
)%
|
2.1
|
%
|
|||
|
Change in TCE due to FX translation, net of hedges
|
$
|
654
|
|
$
|
(1,668
|
)
|
$
|
396
|
|
|
As a percentage of TCE
|
0.4
|
%
|
(0.9
|
)%
|
0.2
|
%
|
|||
|
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
to changes in FX translation, net of hedges (bps)
|
(2
|
)
|
—
|
|
(1
|
)
|
|||
|
(1)
|
FX spot rate change is a weighted average based upon Citi’s quarterly average GAAP capital exposure to foreign countries.
|
72
Interest Revenue/Expense and Net Interest Margin
|
1st Qtr.
|
4th Qtr.
|
1st Qtr.
|
Change
|
||||||||||||
|
In millions of dollars, except as otherwise noted
|
2017
|
|
2016
|
|
2016
|
1Q17 vs. 1Q16
|
|||||||||
|
Interest revenue
(1)
|
$
|
14,546
|
|
|
$
|
14,551
|
|
|
$
|
14,286
|
|
2
|
%
|
||
|
Interest expense
(2)
|
3,566
|
|
|
3,277
|
|
|
2,940
|
|
21
|
|
|||||
|
Net interest revenue
|
$
|
10,980
|
|
|
$
|
11,274
|
|
|
$
|
11,346
|
|
(3
|
)%
|
||
|
Interest revenue—average rate
|
3.63
|
%
|
3.60
|
%
|
3.68
|
%
|
(5
|
)
|
bps
|
||||||
|
Interest expense—average rate
|
1.16
|
|
1.06
|
|
0.99
|
|
17
|
|
bps
|
||||||
|
Net interest margin
|
2.74
|
|
2.79
|
|
2.92
|
|
(18
|
)
|
bps
|
||||||
|
Interest-rate benchmarks
|
|
|
|||||||||||||
|
Two-year U.S. Treasury note—average rate
|
1.24
|
%
|
1.01
|
%
|
0.84
|
%
|
40
|
|
bps
|
||||||
|
10-year U.S. Treasury note—average rate
|
2.45
|
|
|
2.14
|
|
|
1.91
|
|
54
|
|
bps
|
||||
|
10-year vs. two-year spread
|
121
|
|
bps
|
113
|
|
bps
|
107
|
|
bps
|
|
|
|
|||
Note: All interest expense amounts include FDIC deposit insurance assessments.
|
(1)
|
Net interest revenue
includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $123 million, $112 million, and $119 million for the three months ended
March 31, 2017
,
December 31, 2016
and
March 31, 2016
, respectively.
|
|
(2)
|
Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal Transactions in the Consolidated Statements of Income and is therefore not reflected in Interest expense in the table above.
|
Citi’s net interest revenue declined 3% to $10.9 billion ($11.0 billion on a taxable equivalent basis) versus the prior-year period, due to lower trading-related net interest revenue ($949 million, down approximately 28% or $375 million), and lower net interest revenue associated with legacy assets in
Corporate/Other
($402 million, down approximately 35% or $218 million), as well as the impact of FX translation (negative $58 million), partially offset by higher net interest revenue in the remaining accrual businesses (core accrual net interest revenue). Core accrual net interest revenue increased 3% to $9.5 billion versus the prior-year period, driven by the addition of the Costco portfolio, other volume growth and the impact of the December 2016 interest rate increase, partially
offset by the impact of one less accrual day in 2017, an increase in the FDIC assessment and higher long-term debt.
Citi’s net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest-earning assets. Citi’s NIM was 2.74% on a taxable equivalent basis in the first quarter of 2017, a decrease of 18 bps from the prior-year period. Citi’s core accrual NIM declined 9 bps as the higher core accrual net interest revenue was more than offset by balance sheet growth, particularly in cash balances. (Citi’s core accrual net interest revenue and core accrual NIM are non-GAAP financial measures. Citi believes these measures provide a more meaningful depiction for investors of the underlying fundamentals of its business results.)
73
Additional Interest Rate Details
Average Balances and Interest Rates—Assets
(1)(2)(3)
Taxable Equivalent Basis
|
|
Average volume
|
Interest revenue
|
% Average rate
|
|||||||||||||||||||||
|
1st Qtr.
|
4th Qtr.
|
1st Qtr.
|
1st Qtr.
|
4th Qtr.
|
1st Qtr.
|
1st Qtr.
|
4th Qtr.
|
1st Qtr.
|
||||||||||||||||
|
In millions of dollars, except rates
|
2017
|
2016
|
2016
|
2017
|
2016
|
2016
|
2017
|
2016
|
2016
|
|||||||||||||||
|
Assets
|
|
|
|
|
|
|
||||||||||||||||||
|
Deposits with banks
(4)
|
$
|
154,765
|
|
$
|
143,119
|
|
$
|
117,765
|
|
$
|
295
|
|
$
|
268
|
|
$
|
219
|
|
0.77
|
%
|
0.74
|
%
|
0.75
|
%
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell
(5)
|
|
|
|
|
|
|||||||||||||||||||
|
In U.S. offices
|
$
|
144,003
|
|
$
|
145,799
|
|
$
|
150,044
|
|
$
|
368
|
|
$
|
360
|
|
$
|
374
|
|
1.04
|
%
|
0.98
|
%
|
1.00
|
%
|
|
In offices outside the U.S.
(4)
|
103,032
|
|
89,565
|
|
78,571
|
|
293
|
|
236
|
|
273
|
|
1.15
|
%
|
1.05
|
%
|
1.40
|
%
|
||||||
|
Total
|
$
|
247,035
|
|
$
|
235,364
|
|
$
|
228,615
|
|
$
|
661
|
|
$
|
596
|
|
$
|
647
|
|
1.09
|
%
|
1.01
|
%
|
1.14
|
%
|
|
Trading account assets
(6)(7)
|
|
|
|
|
|
|||||||||||||||||||
|
In U.S. offices
|
$
|
101,836
|
|
$
|
100,473
|
|
$
|
104,982
|
|
$
|
884
|
|
$
|
956
|
|
$
|
953
|
|
3.52
|
%
|
3.79
|
%
|
3.65
|
%
|
|
In offices outside the U.S.
(4)
|
94,015
|
|
94,309
|
|
90,623
|
|
423
|
|
415
|
|
518
|
|
1.82
|
%
|
1.75
|
%
|
2.30
|
%
|
||||||
|
Total
|
$
|
195,851
|
|
$
|
194,782
|
|
$
|
195,605
|
|
$
|
1,307
|
|
$
|
1,371
|
|
$
|
1,471
|
|
2.71
|
%
|
2.80
|
%
|
3.02
|
%
|
|
Investments
|
|
|
|
|
|
|||||||||||||||||||
|
In U.S. offices
|
|
|
|
|
|
|||||||||||||||||||
|
Taxable
|
$
|
221,450
|
|
$
|
220,461
|
|
$
|
228,980
|
|
$
|
1,034
|
|
$
|
999
|
|
$
|
1,000
|
|
1.89
|
%
|
1.80
|
%
|
1.76
|
%
|
|
Exempt from U.S. income tax
|
18,680
|
|
18,802
|
|
19,400
|
|
196
|
|
192
|
|
169
|
|
4.26
|
%
|
4.06
|
%
|
3.50
|
%
|
||||||
|
In offices outside the U.S.
(4)
|
107,225
|
|
106,289
|
|
103,763
|
|
789
|
|
772
|
|
754
|
|
2.98
|
%
|
2.89
|
%
|
2.92
|
%
|
||||||
|
Total
|
$
|
347,355
|
|
$
|
345,552
|
|
$
|
352,143
|
|
$
|
2,019
|
|
$
|
1,963
|
|
$
|
1,923
|
|
2.36
|
%
|
2.26
|
%
|
2.20
|
%
|
|
Loans (net of unearned income)
(9)
|
|
|
|
|
|
|||||||||||||||||||
|
In U.S. offices
|
$
|
367,397
|
|
$
|
371,928
|
|
$
|
350,107
|
|
$
|
6,273
|
|
$
|
6,302
|
|
$
|
5,873
|
|
6.92
|
%
|
6.74
|
%
|
6.75
|
%
|
|
In offices outside the U.S.
(4)
|
255,941
|
|
254,100
|
|
262,133
|
|
3,697
|
|
3,731
|
|
3,901
|
|
5.86
|
%
|
5.84
|
%
|
5.99
|
%
|
||||||
|
Total
|
$
|
623,338
|
|
$
|
626,028
|
|
$
|
612,240
|
|
$
|
9,970
|
|
$
|
10,033
|
|
$
|
9,774
|
|
6.49
|
%
|
6.38
|
%
|
6.42
|
%
|
|
Other interest-earning assets
(9)
|
$
|
56,733
|
|
$
|
62,602
|
|
$
|
56,260
|
|
$
|
294
|
|
$
|
320
|
|
$
|
252
|
|
2.10
|
%
|
2.03
|
%
|
1.80
|
%
|
|
Total interest-earning assets
|
$
|
1,625,077
|
|
$
|
1,607,447
|
|
$
|
1,562,628
|
|
$
|
14,546
|
|
$
|
14,551
|
|
$
|
14,286
|
|
3.63
|
%
|
3.60
|
%
|
3.68
|
%
|
|
Non-interest-earning assets
(6)
|
$
|
205,477
|
|
$
|
212,355
|
|
$
|
214,943
|
|
|||||||||||||||
|
Total assets
|
$
|
1,830,554
|
|
$
|
1,819,802
|
|
$
|
1,777,571
|
|
|||||||||||||||
|
(1)
|
Net interest revenue
includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $123 million, $112 million, and $119 million for the three months ended
March 31, 2017
,
December 31, 2016
and
March 31, 2016
, respectively.
|
|
(2)
|
Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.
|
|
(3)
|
Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
|
|
(4)
|
Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
|
|
(5)
|
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However,
Interest revenue
excludes the impact of ASC 210-20-45.
|
|
(6)
|
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in
Non-interest-earning assets
and
Other non-interest-bearing liabilities
.
|
|
(7)
|
Interest expense
on
Trading account liabilities
of
ICG
is reported as a reduction of
Interest revenue
.
Interest revenue
and
Interest expense
on cash collateral positions are reported in interest on
Trading account assets
and
Trading account liabilities
, respectively.
|
|
(8)
|
Includes cash-basis loans.
|
|
(9)
|
Includes brokerage receivables.
|
74
Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue
(1)(2)(3)
Taxable Equivalent Basis
|
Average volume
|
Interest expense
|
% Average rate
|
||||||||||||||||||||||
|
1st Qtr.
|
4th Qtr.
|
1st Qtr.
|
1st Qtr.
|
4th Qtr.
|
1st Qtr.
|
1st Qtr.
|
4th Qtr.
|
1st Qtr.
|
||||||||||||||||
|
In millions of dollars, except rates
|
2017
|
2016
|
2016
|
2017
|
2016
|
2016
|
2017
|
2016
|
2016
|
|||||||||||||||
|
Liabilities
|
|
|
|
|
|
|
||||||||||||||||||
|
Deposits
|
|
|
|
|
||||||||||||||||||||
|
In U.S. offices
(4)
|
$
|
302,294
|
|
$
|
293,969
|
|
$
|
277,648
|
|
$
|
507
|
|
$
|
473
|
|
$
|
316
|
|
0.68
|
%
|
0.64
|
%
|
0.46
|
%
|
|
In offices outside the U.S.
(5)
|
428,743
|
|
424,902
|
|
424,055
|
|
908
|
|
874
|
|
888
|
|
0.86
|
%
|
0.82
|
%
|
0.84
|
%
|
||||||
|
Total
|
$
|
731,037
|
|
$
|
718,871
|
|
$
|
701,703
|
|
$
|
1,415
|
|
$
|
1,347
|
|
$
|
1,204
|
|
0.78
|
%
|
0.75
|
%
|
0.69
|
%
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
(6)
|
|
|
|
|
|
|
||||||||||||||||||
|
In U.S. offices
|
$
|
94,461
|
|
$
|
94,922
|
|
$
|
103,523
|
|
$
|
282
|
|
$
|
237
|
|
$
|
260
|
|
1.21
|
%
|
0.99
|
%
|
1.01
|
%
|
|
In offices outside the U.S.
(5)
|
54,425
|
|
55,215
|
|
59,392
|
|
211
|
|
187
|
|
242
|
|
1.57
|
%
|
1.35
|
%
|
1.64
|
%
|
||||||
|
Total
|
$
|
148,886
|
|
$
|
150,137
|
|
$
|
162,915
|
|
$
|
493
|
|
$
|
424
|
|
$
|
502
|
|
1.34
|
%
|
1.12
|
%
|
1.24
|
%
|
|
Trading account liabilities
(7)(8)
|
|
|
|
|
|
|
||||||||||||||||||
|
In U.S. offices
|
$
|
32,215
|
|
$
|
33,266
|
|
$
|
23,636
|
|
$
|
84
|
|
$
|
61
|
|
$
|
52
|
|
1.06
|
%
|
0.73
|
%
|
0.88
|
%
|
|
In offices outside the U.S.
(5)
|
59,667
|
|
48,404
|
|
41,676
|
|
63
|
|
63
|
|
36
|
|
0.43
|
%
|
0.52
|
%
|
0.35
|
%
|
||||||
|
Total
|
$
|
91,882
|
|
$
|
81,670
|
|
$
|
65,312
|
|
$
|
147
|
|
$
|
124
|
|
$
|
88
|
|
0.65
|
%
|
0.60
|
%
|
0.54
|
%
|
|
Short-term borrowings
(9)
|
|
|
|
|
|
|
||||||||||||||||||
|
In U.S. offices
|
$
|
71,607
|
|
$
|
71,381
|
|
$
|
56,834
|
|
$
|
85
|
|
$
|
79
|
|
$
|
29
|
|
0.48
|
%
|
0.44
|
%
|
0.21
|
%
|
|
In offices outside the U.S.
(5)
|
24,006
|
|
23,554
|
|
22,642
|
|
114
|
|
98
|
|
71
|
|
1.93
|
%
|
1.66
|
%
|
1.26
|
%
|
||||||
|
Total
|
$
|
95,613
|
|
$
|
94,935
|
|
$
|
79,476
|
|
$
|
199
|
|
$
|
177
|
|
$
|
100
|
|
0.84
|
%
|
0.74
|
%
|
0.51
|
%
|
|
Long-term debt
(10)
|
|
|
|
|
|
|
||||||||||||||||||
|
In U.S. offices
|
$
|
178,656
|
|
$
|
178,006
|
|
$
|
172,429
|
|
$
|
1,255
|
|
$
|
1,148
|
|
$
|
995
|
|
2.85
|
%
|
2.57
|
%
|
2.32
|
%
|
|
In offices outside the U.S.
(5)
|
5,313
|
|
5,631
|
|
6,854
|
|
57
|
|
57
|
|
51
|
|
4.35
|
%
|
4.03
|
%
|
2.99
|
%
|
||||||
|
Total
|
$
|
183,969
|
|
$
|
183,637
|
|
$
|
179,283
|
|
$
|
1,312
|
|
$
|
1,205
|
|
$
|
1,046
|
|
2.89
|
%
|
2.61
|
%
|
2.35
|
%
|
|
Total interest-bearing liabilities
|
$
|
1,251,387
|
|
$
|
1,229,250
|
|
$
|
1,188,689
|
|
$
|
3,566
|
|
$
|
3,277
|
|
$
|
2,940
|
|
1.16
|
%
|
1.06
|
%
|
0.99
|
%
|
|
Demand deposits in U.S. offices
|
$
|
37,748
|
|
$
|
41,699
|
|
$
|
31,336
|
|
|||||||||||||||
|
Other non-interest-bearing liabilities
(7)
|
314,106
|
|
319,567
|
|
332,065
|
|
||||||||||||||||||
|
Total liabilities
|
$
|
1,603,241
|
|
$
|
1,590,516
|
|
$
|
1,552,090
|
|
|||||||||||||||
|
Citigroup stockholders’ equity
(11)
|
$
|
226,312
|
|
$
|
228,218
|
|
$
|
224,320
|
|
|||||||||||||||
|
Noncontrolling interest
|
1,001
|
|
1,068
|
|
1,161
|
|
||||||||||||||||||
|
Total equity
(11)
|
$
|
227,313
|
|
$
|
229,286
|
|
$
|
225,481
|
|
|||||||||||||||
|
Total liabilities and stockholders’ equity
|
$
|
1,830,554
|
|
$
|
1,819,802
|
|
$
|
1,777,571
|
|
|||||||||||||||
|
Net interest revenue as a percentage of average interest-earning assets
(12)
|
||||||||||||||||||||||||
|
In U.S. offices
|
$
|
959,115
|
|
$
|
960,324
|
|
$
|
940,526
|
|
$
|
6,837
|
|
$
|
7,105
|
|
$
|
6,953
|
|
2.89
|
%
|
2.94
|
%
|
2.97
|
%
|
|
In offices outside the U.S.
(6)
|
665,962
|
|
647,123
|
|
622,102
|
|
4,143
|
|
4,169
|
|
4,393
|
|
2.52
|
|
2.56
|
|
2.84
|
|
||||||
|
Total
|
$
|
1,625,077
|
|
$
|
1,607,447
|
|
$
|
1,562,628
|
|
$
|
10,980
|
|
$
|
11,274
|
|
$
|
11,346
|
|
2.74
|
%
|
2.79
|
%
|
2.92
|
%
|
|
(1)
|
Net interest revenue
includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $123 million, $112 million, and $119 million for the three months ended
March 31, 2017
,
December 31, 2016
and
March 31, 2016
, respectively.
|
|
(2)
|
Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
|
|
(3)
|
Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
|
|
(4)
|
Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts, and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.
|
|
(5)
|
Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
|
|
(6)
|
Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However,
Interest expense
excludes the impact of ASC 210-20-45.
|
|
(7)
|
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in
Non-interest-earning assets
and
Other non-interest-bearing liabilities
.
|
75
|
(8)
|
Interest expense
on
Trading account liabilities
of
ICG
is reported as a reduction of
Interest revenue
.
Interest revenue
and
Interest expense
on cash collateral positions are reported in interest on
Trading account assets
and
Trading account liabilities
, respectively.
|
|
(9)
|
Includes brokerage payables.
|
|
(10)
|
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as
Long-term debt
, as these obligations are accounted for in changes in fair value recorded in
Principal transactions
.
|
|
(11)
|
Includes stockholders’ equity from discontinued operations.
|
|
(12)
|
Includes allocations for capital and funding costs based on the location of the asset.
|
Analysis of Changes in Interest Revenue
(1)(2)(3)
|
|
1st Qtr. 2017 vs. 4th Qtr. 2016
|
1st Qtr. 2017 vs. 1st Qtr. 2016
|
||||||||||||||||
|
|
Increase (decrease)
due to change in:
|
Increase (decrease)
due to change in:
|
||||||||||||||||
|
In millions of dollars
|
Average
volume
|
Average
rate
|
Net
change
|
Average
volume
|
Average
rate
|
Net
change
|
||||||||||||
|
Deposits with banks
(4)
|
$
|
22
|
|
$
|
5
|
|
$
|
27
|
|
$
|
70
|
|
$
|
6
|
|
$
|
76
|
|
|
Federal funds sold and securities borrowed or
purchased under agreements to resell
|
||||||||||||||||||
|
In U.S. offices
|
$
|
(4
|
)
|
$
|
12
|
|
$
|
8
|
|
$
|
(15
|
)
|
$
|
9
|
|
$
|
(6
|
)
|
|
In offices outside the U.S.
(4)
|
37
|
|
20
|
|
57
|
|
75
|
|
(55
|
)
|
20
|
|
||||||
|
Total
|
$
|
33
|
|
$
|
32
|
|
$
|
65
|
|
$
|
60
|
|
$
|
(46
|
)
|
$
|
14
|
|
|
Trading account assets
(5)
|
||||||||||||||||||
|
In U.S. offices
|
$
|
13
|
|
$
|
(85
|
)
|
$
|
(72
|
)
|
$
|
(28
|
)
|
$
|
(41
|
)
|
$
|
(69
|
)
|
|
In offices outside the U.S.
(4)
|
(1
|
)
|
9
|
|
8
|
|
19
|
|
(114
|
)
|
(95
|
)
|
||||||
|
Total
|
$
|
12
|
|
$
|
(76
|
)
|
$
|
(64
|
)
|
$
|
(9
|
)
|
$
|
(155
|
)
|
$
|
(164
|
)
|
|
Investments
(1)
|
||||||||||||||||||
|
In U.S. offices
|
$
|
4
|
|
$
|
35
|
|
$
|
39
|
|
$
|
(40
|
)
|
$
|
101
|
|
$
|
61
|
|
|
In offices outside the U.S.
(4)
|
7
|
|
10
|
|
17
|
|
25
|
|
10
|
|
35
|
|
||||||
|
Total
|
$
|
11
|
|
$
|
45
|
|
$
|
56
|
|
$
|
(15
|
)
|
$
|
111
|
|
$
|
96
|
|
|
Loans (net of unearned income)
(6)
|
||||||||||||||||||
|
In U.S. offices
|
$
|
(77
|
)
|
$
|
48
|
|
$
|
(29
|
)
|
$
|
294
|
|
$
|
106
|
|
$
|
400
|
|
|
In offices outside the U.S.
(4)
|
27
|
|
(61
|
)
|
(34
|
)
|
(91
|
)
|
(113
|
)
|
(204
|
)
|
||||||
|
Total
|
$
|
(50
|
)
|
$
|
(13
|
)
|
$
|
(63
|
)
|
$
|
203
|
|
$
|
(7
|
)
|
$
|
196
|
|
|
Other interest-earning assets
(7)
|
$
|
(30
|
)
|
$
|
4
|
|
$
|
(26
|
)
|
$
|
2
|
|
$
|
40
|
|
$
|
42
|
|
|
Total interest revenue
|
$
|
(2
|
)
|
$
|
(3
|
)
|
$
|
(5
|
)
|
$
|
311
|
|
$
|
(51
|
)
|
$
|
260
|
|
|
(1)
|
The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation.
|
|
(2)
|
Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
|
|
(3)
|
Detailed average volume,
Interest revenue
and
Interest expense
exclude
Discontinued operations
. See Note
2
to the Consolidated Financial Statements.
|
|
(4)
|
Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
|
|
(5)
|
Interest expense
on
Trading account liabilities
of
ICG
is reported as a reduction of
Interest revenue
.
Interest revenue
and
Interest expense
on cash collateral positions are reported in interest on
Trading account assets
and
Trading account liabilities
, respectively.
|
|
(6)
|
Includes cash-basis loans.
|
|
(7)
|
Includes brokerage receivables.
|
76
Analysis of Changes in Interest Expense and Net Interest Revenue
(1)(2)(3)
|
|
1st Qtr. 2017 vs. 4th Qtr. 2016
|
1st Qtr. 2017 vs. 1st Qtr. 2016
|
||||||||||||||||
|
|
Increase (decrease)
due to change in:
|
Increase (decrease)
due to change in:
|
||||||||||||||||
|
In millions of dollars
|
Average
volume
|
Average
rate
|
Net
change
|
Average
volume
|
Average
rate
|
Net
change
|
||||||||||||
|
Deposits
|
||||||||||||||||||
|
In U.S. offices
|
$
|
14
|
|
$
|
20
|
|
$
|
34
|
|
$
|
30
|
|
$
|
161
|
|
$
|
191
|
|
|
In offices outside the U.S.
(4)
|
8
|
|
26
|
|
34
|
|
10
|
|
10
|
|
20
|
|
||||||
|
Total
|
$
|
22
|
|
$
|
46
|
|
$
|
68
|
|
$
|
40
|
|
$
|
171
|
|
$
|
211
|
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
||||||||||||||||||
|
In U.S. offices
|
$
|
(1
|
)
|
$
|
46
|
|
$
|
45
|
|
$
|
(24
|
)
|
$
|
46
|
|
$
|
22
|
|
|
In offices outside the U.S.
(4)
|
(3
|
)
|
27
|
|
24
|
|
(20
|
)
|
(11
|
)
|
(31
|
)
|
||||||
|
Total
|
$
|
(4
|
)
|
$
|
73
|
|
$
|
69
|
|
$
|
(44
|
)
|
$
|
35
|
|
$
|
(9
|
)
|
|
Trading account liabilities
(5)
|
||||||||||||||||||
|
In U.S. offices
|
$
|
(2
|
)
|
$
|
25
|
|
$
|
23
|
|
$
|
21
|
|
$
|
11
|
|
$
|
32
|
|
|
In offices outside the U.S.
(4)
|
13
|
|
(13
|
)
|
—
|
|
18
|
|
9
|
|
27
|
|
||||||
|
Total
|
$
|
11
|
|
$
|
12
|
|
$
|
23
|
|
$
|
39
|
|
$
|
20
|
|
$
|
59
|
|
|
Short-term borrowings
(6)
|
||||||||||||||||||
|
In U.S. offices
|
$
|
—
|
|
$
|
6
|
|
$
|
6
|
|
$
|
9
|
|
$
|
47
|
|
$
|
56
|
|
|
In offices outside the U.S.
(4)
|
2
|
|
14
|
|
16
|
|
5
|
|
38
|
|
43
|
|
||||||
|
Total
|
$
|
2
|
|
$
|
20
|
|
$
|
22
|
|
$
|
14
|
|
$
|
85
|
|
$
|
99
|
|
|
Long-term debt
|
||||||||||||||||||
|
In U.S. offices
|
$
|
4
|
|
$
|
103
|
|
$
|
107
|
|
$
|
37
|
|
$
|
223
|
|
$
|
260
|
|
|
In offices outside the U.S.
(4)
|
(3
|
)
|
3
|
|
—
|
|
(13
|
)
|
19
|
|
6
|
|
||||||
|
Total
|
$
|
1
|
|
$
|
106
|
|
$
|
107
|
|
$
|
24
|
|
$
|
242
|
|
$
|
266
|
|
|
Total interest expense
|
$
|
32
|
|
$
|
257
|
|
$
|
289
|
|
$
|
73
|
|
$
|
553
|
|
$
|
626
|
|
|
Net interest revenue
|
$
|
(34
|
)
|
$
|
(260
|
)
|
$
|
(294
|
)
|
$
|
238
|
|
$
|
(604
|
)
|
$
|
(366
|
)
|
|
(1)
|
The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation.
|
|
(2)
|
Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
|
|
(3)
|
Detailed average volume,
Interest revenue
and
Interest expense
exclude
Discontinued operations
. See Note
2
to the Consolidated Financial Statements.
|
|
(4)
|
Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
|
|
(5)
|
Interest expense
on
Trading account liabilities
of
ICG
is reported as a reduction of
Interest revenue
.
Interest revenue
and
Interest expense
on cash collateral positions are reported in interest on
Trading account assets
and
Trading account liabilities
, respectively.
|
|
(6)
|
Includes brokerage payables.
|
77
Market Risk of Trading Portfolios
For additional information on Citi’s market risk of trading portfolios, see “Market Risk—Market Risk of Trading Portfolios” in Citi’s 2016 Annual Report on Form 10-K.
Value at Risk
As of March 31, 2017, Citi estimates that the conservative features of its VAR calibration contribute an approximate 22% add-on (compared to 25% at December 31, 2016) to what would be a VAR estimated under the assumption of stable and perfectly normal distributed markets.
As set forth in the table below, Citi's average trading VAR as of March 31, 2017 increased sequentially, mainly due to changes in interest rate exposures across the portfolio, including increased mark-to-market hedging activity against non-trading positions in the markets and securities services business within
ICG
. Additionally, average credit spread risk declined from exposure changes. Average trading and credit portfolio VAR as of March 31, 2017 increased less than Trading VAR, mainly due to lower spread volatilities affecting the hedges to the lending portfolio. Trading VAR as of March 31, 2017 increased from December 31, 2016 mainly due to interest rate risk changes as well as reduced diversification benefit across the portfolio, partially offset by lower foreign exchange risk.
Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
|
First Quarter
|
Fourth Quarter
|
First Quarter
|
||||||||||||||||
|
In millions of dollars
|
March 31, 2017
|
2017 Average
|
Dec. 31, 2016
|
2016 Average
|
March 31, 2016
|
2016 Average
|
||||||||||||
|
Interest rate
|
$
|
52
|
|
$
|
48
|
|
$
|
37
|
|
$
|
33
|
|
$
|
37
|
|
$
|
41
|
|
|
Credit spread
|
54
|
|
56
|
|
63
|
|
64
|
|
62
|
|
$
|
64
|
|
|||||
|
Covariance adjustment
(1)
|
(17
|
)
|
(17
|
)
|
(17
|
)
|
(28
|
)
|
(29
|
)
|
(27
|
)
|
||||||
|
Fully diversified interest rate and credit spread
|
$
|
89
|
|
$
|
87
|
|
$
|
83
|
|
$
|
69
|
|
$
|
70
|
|
$
|
78
|
|
|
Foreign exchange
|
16
|
|
24
|
|
32
|
|
23
|
|
25
|
|
29
|
|
||||||
|
Equity
|
17
|
|
15
|
|
13
|
|
14
|
|
9
|
|
15
|
|
||||||
|
Commodity
|
23
|
|
23
|
|
27
|
|
27
|
|
17
|
|
14
|
|
||||||
|
Covariance adjustment
(1)
|
(53
|
)
|
(63
|
)
|
(70
|
)
|
(62
|
)
|
(62
|
)
|
(56
|
)
|
||||||
|
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)
(2)
|
$
|
92
|
|
$
|
86
|
|
$
|
85
|
|
$
|
71
|
|
$
|
59
|
|
$
|
80
|
|
|
Specific risk-only component
(3)
|
$
|
—
|
|
$
|
2
|
|
$
|
3
|
|
$
|
5
|
|
$
|
7
|
|
$
|
7
|
|
|
Total trading VAR—general market risk factors only (excluding credit portfolios)
(2)
|
$
|
92
|
|
$
|
84
|
|
$
|
82
|
|
$
|
66
|
|
$
|
52
|
|
$
|
73
|
|
|
Incremental impact of the credit portfolio
(4)
|
$
|
15
|
|
$
|
14
|
|
$
|
20
|
|
$
|
18
|
|
$
|
29
|
|
$
|
28
|
|
|
Total trading and credit portfolio VAR
|
$
|
107
|
|
$
|
100
|
|
$
|
105
|
|
$
|
89
|
|
$
|
88
|
|
$
|
108
|
|
|
(1)
|
Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each individual risk type. The benefit reflects the fact that the risks within each 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 individual risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.
|
(2) The total Trading VAR includes mark-to-market and certain fair value option trading positions in
ICG,
with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.
|
(3)
|
The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.
|
|
(4)
|
The credit portfolio is composed of mark-to-market positions associated with non-trading business units including Citi Treasury, the CVA relating to derivative counterparties and all associated CVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges to the loan portfolio, fair value option loans and hedges to the leveraged finance pipeline within capital markets origination in
ICG
.
|
78
The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
|
|
First Quarter
|
Fourth Quarter
|
First Quarter
|
|||||||||||||||
|
2017
|
2016
|
2016
|
||||||||||||||||
|
In millions of dollars
|
Low
|
High
|
Low
|
High
|
Low
|
High
|
||||||||||||
|
Interest rate
|
$
|
29
|
|
$
|
70
|
|
$
|
25
|
|
$
|
45
|
|
$
|
29
|
|
$
|
64
|
|
|
Credit spread
|
51
|
|
63
|
|
57
|
|
72
|
|
56
|
|
69
|
|
||||||
|
Fully diversified interest rate and credit spread
|
$
|
59
|
|
$
|
109
|
|
$
|
61
|
|
$
|
83
|
|
$
|
66
|
|
$
|
97
|
|
|
Foreign exchange
|
16
|
|
35
|
|
15
|
|
32
|
|
24
|
|
40
|
|
||||||
|
Equity
|
6
|
|
25
|
|
7
|
|
25
|
|
9
|
|
24
|
|
||||||
|
Commodity
|
18
|
|
30
|
|
21
|
|
33
|
|
10
|
|
18
|
|
||||||
|
Total trading
|
$
|
61
|
|
$
|
107
|
|
$
|
58
|
|
$
|
85
|
|
$
|
59
|
|
$
|
106
|
|
|
Total trading and credit portfolio
|
75
|
|
123
|
|
78
|
|
105
|
|
85
|
|
131
|
|
||||||
Note: No covariance adjustment can be inferred from the above table as the high and low for each market factor will be from different close of business dates.
The following table provides the VAR for
ICG
, excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio:
|
In millions of dollars
|
Mar. 31, 2017
|
||
|
Total—all market risk factors, including general and specific risk
|
$
|
91
|
|
|
Average—during quarter
|
$
|
81
|
|
|
High—during quarter
|
95
|
|
|
|
Low—during quarter
|
64
|
|
|
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 exceeded the Regulatory VAR. Given the conservative calibration of Citi’s VAR model (as a result of taking the greater of short- and long-term volatilities and fat-tail scaling of volatilities), Citi would expect fewer exceptions under normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.
As of March 31, 2017, there were two back-testing exceptions observed for Citi’s Regulatory VAR for the prior 12 months. As previously disclosed, trading losses on June 3, 2016 marginally exceeded the VAR estimate at the Citigroup level, driven by higher volatility in the interest rate and foreign exchange markets following the release of weak non-farm payroll data. Separately, trading losses on November 14, 2016 exceeded the VAR estimate at the Citigroup level, driven by the widening of municipal bond yields following the election results in the United States.
79
COUNTRY RISK
For additional information on country risk at Citi, see “Country Risk” in Citi’s
2016
Annual Report on Form 10-K.
Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by
country (excluding the U.S.) as of
March 31, 2017
. 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 25% of corporate
loans presented in the table below are to U.K. domiciled
entities (28% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 81% of the total U.K. funded loans and 90% of
the total U.K. unfunded commitments were investment grade
as of
March 31, 2017
. 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.
For a discussion of uncertainties arising as a result of the vote in the U.K. to withdraw from the EU, see “Risk Factors—Strategic Risks” in Citigroup’s 2016 Annual Report on form 10-K.
|
In billions of dollars
|
ICG
loans
(1)
|
GCB loans
(2)
|
Other funded
(3)
|
Unfunded
(4)
|
Net MTM on derivatives/repos
(5)
|
Total hedges (on loans and CVA)
|
Investment securities
(6)
|
Trading account assets
(7)
|
Total
as of
1Q17
|
Total
as of
4Q16
|
Total
as of
1Q16
|
||||||||||||||||||||||
|
United Kingdom
|
$
|
31.4
|
|
$
|
—
|
|
$
|
3.4
|
|
$
|
56.3
|
|
$
|
11.5
|
|
$
|
(2.1
|
)
|
$
|
8.4
|
|
$
|
(0.3
|
)
|
$
|
108.6
|
|
$
|
107.5
|
|
$
|
103.5
|
|
|
Mexico
|
8.8
|
|
24.9
|
|
0.4
|
|
6.0
|
|
1.8
|
|
(0.8
|
)
|
14.0
|
|
4.0
|
|
59.1
|
|
52.4
|
|
61.1
|
|
|||||||||||
|
Hong Kong
|
13.7
|
|
10.3
|
|
0.7
|
|
8.1
|
|
1.3
|
|
(0.7
|
)
|
5.8
|
|
1.1
|
|
40.3
|
|
35.9
|
|
34.5
|
|
|||||||||||
|
Singapore
|
12.2
|
|
12.0
|
|
0.1
|
|
5.6
|
|
1.1
|
|
(0.3
|
)
|
8.5
|
|
0.6
|
|
39.8
|
|
36.4
|
|
37.2
|
|
|||||||||||
|
India
|
10.6
|
|
6.4
|
|
0.7
|
|
7.5
|
|
3.0
|
|
(1.3
|
)
|
7.9
|
|
1.4
|
|
36.2
|
|
30.9
|
|
32.8
|
|
|||||||||||
|
Korea
|
2.5
|
|
19.5
|
|
0.4
|
|
3.6
|
|
1.5
|
|
(1.0
|
)
|
7.6
|
|
1.9
|
|
36.0
|
|
34.0
|
|
38.5
|
|
|||||||||||
|
Brazil
|
13.7
|
|
0.2
|
|
0.2
|
|
3.4
|
|
4.5
|
|
(2.8
|
)
|
3.5
|
|
4.3
|
|
27.0
|
|
26.8
|
|
27.8
|
|
|||||||||||
|
Ireland
|
8.2
|
|
—
|
|
0.7
|
|
15.7
|
|
0.3
|
|
—
|
|
—
|
|
0.4
|
|
25.3
|
|
24.8
|
|
24.5
|
|
|||||||||||
|
Australia
|
3.9
|
|
10.8
|
|
0.1
|
|
6.0
|
|
1.0
|
|
(1.0
|
)
|
4.1
|
|
(1.0
|
)
|
23.9
|
|
22.4
|
|
25.9
|
|
|||||||||||
|
Taiwan
|
4.5
|
|
8.4
|
|
0.1
|
|
1.1
|
|
0.7
|
|
(0.2
|
)
|
1.8
|
|
2.1
|
|
18.5
|
|
16.6
|
|
15.5
|
|
|||||||||||
|
Japan
|
2.6
|
|
—
|
|
0.2
|
|
9.4
|
|
2.8
|
|
(1.7
|
)
|
3.8
|
|
1.2
|
|
18.3
|
|
18.3
|
|
11.1
|
|
|||||||||||
|
Germany
|
0.1
|
|
—
|
|
—
|
|
3.9
|
|
5.1
|
|
(2.9
|
)
|
9.4
|
|
2.4
|
|
18.0
|
|
16.0
|
|
21.9
|
|
|||||||||||
|
China
|
5.8
|
|
4.3
|
|
0.2
|
|
1.6
|
|
1.3
|
|
(1.1
|
)
|
4.3
|
|
1.0
|
|
17.4
|
|
17.2
|
|
22.9
|
|
|||||||||||
|
Canada
|
1.8
|
|
0.6
|
|
0.5
|
|
6.1
|
|
2.0
|
|
(0.7
|
)
|
4.6
|
|
0.1
|
|
15.0
|
|
17.0
|
|
17.4
|
|
|||||||||||
|
Poland
|
3.1
|
|
1.6
|
|
—
|
|
3.1
|
|
0.5
|
|
(0.3
|
)
|
4.1
|
|
0.1
|
|
12.2
|
|
11.8
|
|
14.8
|
|
|||||||||||
|
Malaysia
|
1.3
|
|
4.3
|
|
0.3
|
|
1.5
|
|
0.2
|
|
(0.1
|
)
|
0.8
|
|
0.8
|
|
9.1
|
|
9.3
|
|
10.8
|
|
|||||||||||
|
Netherlands
|
—
|
|
—
|
|
—
|
|
—
|
|
4.1
|
|
(0.6
|
)
|
4.1
|
|
(0.8
|
)
|
6.8
|
|
5.1
|
|
6.8
|
|
|||||||||||
|
Thailand
|
0.8
|
|
2.0
|
|
—
|
|
1.3
|
|
0.1
|
|
—
|
|
1.7
|
|
0.3
|
|
6.2
|
|
5.8
|
|
6.2
|
|
|||||||||||
|
Russia
|
2.3
|
|
1.0
|
|
—
|
|
1.2
|
|
0.5
|
|
(0.2
|
)
|
0.9
|
|
0.3
|
|
6.0
|
|
5.3
|
|
5.1
|
|
|||||||||||
|
United Arab Emirates
|
3.1
|
|
1.4
|
|
0.1
|
|
1.5
|
|
0.4
|
|
(0.4
|
)
|
—
|
|
(0.2
|
)
|
5.9
|
|
6.0
|
|
6.4
|
|
|||||||||||
|
Colombia
|
2.6
|
|
1.7
|
|
—
|
|
1.1
|
|
0.1
|
|
(0.1
|
)
|
0.5
|
|
(0.1
|
)
|
5.8
|
|
5.6
|
|
5.9
|
|
|||||||||||
|
Luxembourg
|
—
|
|
—
|
|
—
|
|
—
|
|
0.6
|
|
(0.3
|
)
|
5.2
|
|
0.2
|
|
5.7
|
|
5.4
|
|
6.2
|
|
|||||||||||
|
Indonesia
|
1.7
|
|
1.1
|
|
0.1
|
|
1.2
|
|
0.2
|
|
(0.2
|
)
|
1.2
|
|
0.2
|
|
5.5
|
|
5.2
|
|
5.2
|
|
|||||||||||
|
Chile
|
1.8
|
|
—
|
|
2.0
|
|
0.1
|
|
0.2
|
|
—
|
|
—
|
|
—
|
|
4.1
|
|
4.0
|
|
3.8
|
|
|||||||||||
|
Turkey
|
2.9
|
|
—
|
|
0.4
|
|
0.4
|
|
0.3
|
|
(0.2
|
)
|
0.3
|
|
(0.1
|
)
|
4.0
|
|
3.9
|
|
4.8
|
|
|||||||||||
|
(1)
|
ICG
loans reflect funded corporate loans and private bank loans, net of unearned income. As of
March 31, 2017
, private bank loans in the table above totaled $20.8 billion, concentrated in Singapore ($7.5 billion), Hong Kong ($6.6 billion) and the U.K. ($5.5 billion).
|
|
(2)
|
GCB
loans include funded loans in Brazil and Colombia related to businesses that were transferred to
Corporate/Other
as of January 1, 2016.
|
|
(3)
|
Other funded includes other direct exposure such as accounts receivable, loans held-for-sale, other loans in
Corporate/Other
and investments accounted for under the equity method.
|
|
(4)
|
Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.
|
80
|
(5)
|
Net mark-to-market (MTM) on derivatives and securities lending / borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.
|
|
(6)
|
Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost.
|
|
(7)
|
Trading account assets are shown on a net basis and include derivative exposure where the underlying reference entity is located in that country.
|
81
INCOME TAXES
Deferred Tax Assets
For additional information on Citi’s deferred tax assets (DTAs), see “Risk Factors—Strategic Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and Note 9 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
At
March 31, 2017
, Citigroup had recorded net DTAs of approximately $45.9 billion, a decrease of $0.8 billion from
December 31, 2016
. The DTA reduction for the quarter was driven by the generation of earnings and movements in AOCI.
The following table summarizes Citi’s net DTAs balance as of the periods presented. Of Citi’s net DTAs as of
March 31, 2017
, those arising from net operating losses, foreign tax credit and general business credit carry-forwards are 100% deducted in calculating Citi’s regulatory capital, while DTAs arising from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” above). Approximately $17.2 billion of the net DTA was not deducted in calculating regulatory capital pursuant to full Basel III implementation standards as of
March 31, 2017
.
|
Jurisdiction/Component
|
DTAs balance
|
|||||
|
In billions of dollars
|
Mar. 31, 2017
|
December 31,
2016 |
||||
|
Total U.S.
|
$
|
43.8
|
|
$
|
44.6
|
|
|
Total foreign
|
2.1
|
|
2.1
|
|
||
|
Total
|
$
|
45.9
|
|
$
|
46.7
|
|
Effective Tax Rate
Citi’s effective tax rate for the
first
quarter of
2017
was 31.1%, as compared with 29.7% in the
first
quarter of
2016
. The higher effective tax rate predominantly reflects the higher level of pre-tax income in the current quarter.
82
DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of
March 31, 2017
and, based on that evaluation, the CEO and CFO have concluded that at that date, Citigroup’s disclosure controls and procedures were effective.
DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT
Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act of 2012, which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with individuals or entities that are subject to sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law.
During the first quarter of 2017, a branch of Citibank, N.A., located in India, processed a funds transfer involving the Iranian Embassy in New Delhi, India. The value of this funds transfer was INR 27,552.00 (approximately USD 411.00). This payment was for visa services which are permissible under the travel exemption in the Iranian Transactions and Sanctions Regulations.
83
FORWARD-LOOKING STATEMENTS
Certain statements in this Form 10-Q, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the rules and regulations of the SEC. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.
Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events. Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, and similar expressions or future or conditional verbs such as will, should, would and could.
Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including without limitation: (i) the precautionary statements included within each individual business’ discussion and analysis of its results of operations above and in Citi’s 2016 Annual Report on Form 10-K; (ii) the factors listed and described under “Risk Factors” in Citi’s 2016 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:
|
•
|
Citi’s ability to address the shortcomings identified by the Federal Reserve Board and FDIC as a result of their review of Citi’s 2015 annual resolution plan submission and the 2017 resolution plan guidance in Citi’s 2017 resolution plan submission;
|
|
•
|
the potential impact on Citi’s ability to return capital to shareholders due to any changes to the stress testing and CCAR requirements or process, such as the introduction of a firm-specific “stress capital buffer” or incorporation of Citi’s then-effective GSIB surcharge into its post-stress test minimum capital requirements or the introduction of additional macroprudential considerations such as funding and liquidity shocks in the stress testing process;
|
|
•
|
the ongoing regulatory uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, including, among others, uncertainties and potential changes arising from the U.S. presidential administration and Congress, potential changes to various aspects of the regulatory capital framework and the terms of and other uncertainties resulting from the U.K.’s initiation of the process to withdraw from the European Union, and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, strategy or organizational structure and compliance risks and costs;
|
|
•
|
the numerous uncertainties arising as a result of the initiation of the process in the U.K. to withdraw from the European Union, including the terms of the withdrawal, and the potential impact to macroeconomic conditions as well as Citi’s legal entity structure and overall results of operations or financial condition;
|
|
•
|
the impact on the value of Citi’s DTAs and on Citi’s net income or regulatory capital if corporate tax rates in the U.S. or certain state, local or foreign jurisdictions decline, or if other changes are made to the U.S. corporate tax system, including changes resulting in a write down of timing difference DTAs;
|
|
•
|
Citi’s ability to continue to utilize its DTAs (including the foreign tax credit component of its DTAs) and thus reduce the negative impact of the DTAs on Citi’s regulatory capital, including as a result of movements in Citi’s AOCI, which can be impacted by changes in interest rates and foreign exchange rates;
|
|
•
|
the potential impact to Citi if its interpretation or application of the extensive tax laws to which it is subject, such as withholding tax obligations and stamp and other transactional taxes, differs from those of the relevant governmental authorities;
|
|
•
|
Citi’s ability to achieve the expected returns on its ongoing investments in its businesses, including as a result of factors that Citi cannot control;
|
|
•
|
the potential negative impact to Citi’s co-branding and private label credit card relationships as well as Citi’s results of operations or financial condition, including as a result of loss of revenues, impairment of purchased credit card relationships and contract related intangibles or other losses, due to, among other things, operational difficulties of a particular retailer or merchant or early termination of a particular relationship, or external factors, including bankruptcies, liquidations, consolidations and other similar events;
|
|
•
|
the potential impact to Citi’s businesses, credit costs and overall results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties, including those relating to potential outcomes of elections in the EU, potential fiscal or monetary actions or the pursuit of protectionist trade and other policies by the U.S.;
|
|
•
|
the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, foreign exchange controls, sociopolitical instability (including from hyper-inflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets as well as the increased compliance and regulatory risks and costs;
|
|
•
|
the uncertainties regarding the consequences of noncompliance and the potential impact on Citi’s estimates of its eligible debt arising from the Federal Reserve Board’s final total loss-absorbing capacity (TLAC) rules;
|
84
|
•
|
the potential impact of concentrations of risk, such as market risk arising from Citi’s volume of transactions with counterparties in the financial services industry, on Citi’s hedging strategies and results of operations;
|
|
•
|
the potential impacts on Citi’s liquidity and/or costs of funding as a result of external factors, including, among others, market disruptions and governmental fiscal and monetary policies as well as regulatory changes or negative investor perceptions of Citi’s creditworthiness;
|
|
•
|
the impact of ratings downgrades of Citi or one or more of its more significant subsidiaries or issuing entities on Citi’s funding and liquidity as well as the results of operations of certain of its businesses;
|
|
•
|
the potential impact to Citi from a disruption of its operational systems, including as a result of, among other things, human error, fraud or malice, accidental technological failure, electrical or telecommunication outages or failure of computer servers;
|
|
•
|
the potential impact to Citi from an increasing risk of continually evolving cybersecurity risks (including theft of funds or theft, loss, misuse or disclosure of confidential client, customer, corporate or network information or assets), damage to Citi’s reputation, additional costs (including credit costs) to Citi, regulatory penalties, legal exposure and financial losses;
|
|
•
|
the potential impact of incorrect assumptions or estimates in Citi’s financial statements or the impact of ongoing changes to financial accounting and reporting standards or interpretations, such as the FASB’s new accounting standard on credit losses, on how Citi records and reports its financial condition and results of operations;
|
|
•
|
the potential impact to Citi of ongoing implementation and interpretation of regulatory changes and requirements in the U.S. and globally, including on Citi’s compliance risks and costs;
|
|
•
|
the potential outcomes of the extensive legal and regulatory proceedings, investigations and other inquiries to which Citi is or may be subject at any given time, particularly given the increased focus on conduct risk and the severity of the remedies sought and potential collateral consequences to Citi arising from such outcomes;
|
|
•
|
the potential impact to Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk models, including its Basel III risk-weighted asset models, are ineffective, require refinement, modification or enhancement or approval is withdrawn by Citi’s U.S. banking regulators; and
|
|
•
|
the potential impact on Citi’s performance, including its competitive position and ability to effectively manage its businesses and continue to execute its strategy, if Citi is unable to hire and retain highly qualified employees for any reason.
|
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 the forward-looking statements were made.
85
FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
|
CONSOLIDATED FINANCIAL STATEMENTS
|
|
|
Consolidated Statement of Income (Unaudited)—
For the Three Months Ended March 31, 2017 and 2016
|
|
|
Consolidated Statement of Comprehensive Income(Unaudited)—For the Three Months Ended March 31, 2017 and 2016
|
|
|
Consolidated Balance Sheet—March 31, 2017 (Unaudited) and December 31, 2016
|
|
|
Consolidated Statement of Changes in Stockholders’ Equity(Unaudited)—For the Three Months Ended March 31, 2017 and 2016
|
|
|
Consolidated Statement of Cash Flows (Unaudited)—
For the Three Months Ended March 31, 2017 and 2016
|
|
|
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
|
|
|
Note 1—Basis of Presentation and Accounting Changes
|
|
|
Note 2—Discontinued Operations and Significant Disposals
|
|
|
Note 3—Business Segments
|
|
|
Note 4—Interest Revenue and Expense
|
|
|
Note 5—Commissions and Fees
|
|
|
Note 6—Principal Transactions
|
|
|
Note 7—Incentive Plans
|
|
|
Note 8—Retirement Benefits
|
|
|
Note 9—Earnings per Share
|
|
|
Note 10—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements |
|
|
Note 11—Brokerage Receivables and Brokerage Payables
|
|
|
Note 12—Investments
|
|
|
Note 13—Loans
|
|
|
Note 14—Allowance for Credit Losses
|
|
|
Note 15—Goodwill and Intangible Assets
|
|
|
Note 16—Debt
|
|
|
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss) |
|
|
Note 18—Securitizations and Variable Interest Entities
|
|
|
Note 19—Derivatives Activities
|
|
|
Note 20—Fair Value Measurement
|
|
|
Note 21—Fair Value Elections
|
|
|
Note 22—Guarantees and Commitments
|
|
|
Note 23—Contingencies
|
|
|
Note 24—Condensed Consolidating Financial Statements
|
|
86
CONSOLIDATED FINANCIAL STATEMENTS
|
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED)
|
Citigroup Inc. and Subsidiaries
|
|
|
|
Three months ended March 31,
|
|||||
|
In millions of dollars, except per share amounts
|
2017
|
2016
|
||||
|
Revenues
|
||||||
|
Interest revenue
|
$
|
14,423
|
|
$
|
14,167
|
|
|
Interest expense
|
3,566
|
|
2,940
|
|
||
|
Net interest revenue
|
$
|
10,857
|
|
$
|
11,227
|
|
|
Commissions and fees
|
$
|
2,759
|
|
$
|
2,463
|
|
|
Principal transactions
|
3,022
|
|
1,840
|
|
||
|
Administration and other fiduciary fees
|
893
|
|
811
|
|
||
|
Realized gains on sales of investments, net
|
192
|
|
186
|
|
||
|
Other-than-temporary impairment losses on investments
|
||||||
|
Gross impairment losses
|
(12
|
)
|
(465
|
)
|
||
|
Less: Impairments recognized in AOCI
|
—
|
|
—
|
|
||
|
Net impairment losses recognized in earnings
|
$
|
(12
|
)
|
$
|
(465
|
)
|
|
Insurance premiums
|
$
|
169
|
|
$
|
264
|
|
|
Other revenue
|
240
|
|
1,229
|
|
||
|
Total non-interest revenues
|
$
|
7,263
|
|
$
|
6,328
|
|
|
Total revenues, net of interest expense
|
$
|
18,120
|
|
$
|
17,555
|
|
|
Provisions for credit losses and for benefits and claims
|
||||||
|
Provision for loan losses
|
$
|
1,675
|
|
$
|
1,886
|
|
|
Policyholder benefits and claims
|
30
|
|
88
|
|
||
|
Provision (release) for unfunded lending commitments
|
(43
|
)
|
71
|
|
||
|
Total provisions for credit losses and for benefits and claims
|
$
|
1,662
|
|
$
|
2,045
|
|
|
Operating expenses
|
||||||
|
Compensation and benefits
|
$
|
5,534
|
|
$
|
5,556
|
|
|
Premises and equipment
|
620
|
|
651
|
|
||
|
Technology/communication
|
1,659
|
|
1,649
|
|
||
|
Advertising and marketing
|
373
|
|
390
|
|
||
|
Other operating
|
2,291
|
|
2,277
|
|
||
|
Total operating expenses
|
$
|
10,477
|
|
$
|
10,523
|
|
|
Income from continuing operations before income taxes
|
$
|
5,981
|
|
$
|
4,987
|
|
|
Provision for income taxes
|
1,863
|
|
1,479
|
|
||
|
Income from continuing operations
|
$
|
4,118
|
|
$
|
3,508
|
|
|
Discontinued operations
|
||||||
|
Loss from discontinued operations
|
$
|
(28
|
)
|
$
|
(3
|
)
|
|
Benefit for income taxes
|
(10
|
)
|
(1
|
)
|
||
|
Loss from discontinued operations, net of taxes
|
$
|
(18
|
)
|
$
|
(2
|
)
|
|
Net income before attribution of noncontrolling interests
|
$
|
4,100
|
|
$
|
3,506
|
|
|
Noncontrolling interests
|
10
|
|
5
|
|
||
|
Citigroup’s net income
|
$
|
4,090
|
|
$
|
3,501
|
|
|
Basic earnings per share
(1)
|
||||||
|
Income from continuing operations
|
$
|
1.36
|
|
$
|
1.11
|
|
|
Loss from discontinued operations, net of taxes
|
(0.01
|
)
|
—
|
|
||
|
Net income
|
$
|
1.35
|
|
$
|
1.10
|
|
|
Weighted average common shares outstanding
|
2,765.3
|
|
2,943.0
|
|
||
87
|
Diluted earnings per share
(1)
|
||||||
|
Income from continuing operations
|
$
|
1.36
|
|
$
|
1.11
|
|
|
Loss from discontinued operations, net of taxes
|
(0.01
|
)
|
—
|
|
||
|
Net income
|
$
|
1.35
|
|
$
|
1.10
|
|
|
Adjusted weighted average common shares outstanding
|
2,765.5
|
|
2,943.1
|
|
||
(1) 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
|
|
|
(UNAUDITED)
|
||
|
|
Three months ended March 31,
|
|||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Citigroup's net income
|
$
|
4,090
|
|
$
|
3,501
|
|
|
Add: Citigroup's other comprehensive income
|
|
|
||||
|
Net change in unrealized gains and losses on investment securities, net of taxes
|
$
|
220
|
|
$
|
2,034
|
|
|
Net change in debt valuation adjustment (DVA), net of taxes
(1)
|
(60
|
)
|
193
|
|
||
|
Net change in cash flow hedges, net of taxes
|
(2
|
)
|
317
|
|
||
|
Benefit plans liability adjustment, net of taxes
|
(12
|
)
|
(465
|
)
|
||
|
Net change in foreign currency translation adjustment, net of taxes and hedges
|
1,318
|
|
654
|
|
||
|
Citigroup’s total other comprehensive income
|
$
|
1,464
|
|
$
|
2,733
|
|
|
Citigroup’s total comprehensive income
|
$
|
5,554
|
|
$
|
6,234
|
|
|
Add: Other comprehensive income attributable to noncontrolling interests
|
$
|
31
|
|
$
|
27
|
|
|
Add: Net income attributable to noncontrolling interests
|
10
|
|
5
|
|
||
|
Total comprehensive income
|
$
|
5,595
|
|
$
|
6,266
|
|
|
(1)
|
See Note 1 to the Consolidated Financial Statements.
|
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
88
|
CONSOLIDATED BALANCE SHEET
|
Citigroup Inc. and Subsidiaries
|
|
|
(UNAUDITED)
|
||
|
March 31,
|
||||||
|
2017
|
December 31,
|
|||||
|
In millions of dollars
|
(Unaudited)
|
2016
|
||||
|
Assets
|
|
|
|
|
||
|
Cash and due from banks (including segregated cash and other deposits)
|
$
|
22,272
|
|
$
|
23,043
|
|
|
Deposits with banks
|
157,773
|
|
137,451
|
|
||
|
Federal funds sold and securities borrowed or purchased under agreements to resell (including $137,360 and $133,204 as of March 31, 2017 and December 31, 2016, respectively, at fair value)
|
242,929
|
|
236,813
|
|
||
|
Brokerage receivables
|
36,888
|
|
28,887
|
|
||
|
Trading account assets (including $82,157 and $80,986 pledged to creditors at March 31, 2017 and December 31, 2016, respectively)
|
244,903
|
|
243,925
|
|
||
|
Investments:
|
||||||
|
Available for sale (including $8,115 and $8,239 pledged to creditors as of March 31, 2017 and December 31, 2016, respectively)
|
290,282
|
|
299,424
|
|
||
|
Held to maturity (including $898 and $843 pledged to creditors as of March 31, 2017 and December 31, 2016, respectively)
|
47,942
|
|
45,667
|
|
||
|
Non-marketable equity securities (including $1,529 and $1,774 at fair value as of March 31, 2017 and December 31, 2016, respectively)
|
7,609
|
|
8,213
|
|
||
|
Total investments
|
$
|
345,833
|
|
$
|
353,304
|
|
|
Loans:
|
|
|
|
|
||
|
Consumer (including $28 and $29 as of March 31, 2017 and December 31, 2016, respectively, at fair value)
|
320,556
|
|
325,063
|
|
||
|
Corporate (including $4,007 and $3,457 as of March 31, 2017 and December 31, 2016, respectively, at fair value)
|
308,039
|
|
299,306
|
|
||
|
Loans, net of unearned income
|
$
|
628,595
|
|
$
|
624,369
|
|
|
Allowance for loan losses
|
(12,030
|
)
|
(12,060
|
)
|
||
|
Total loans, net
|
$
|
616,565
|
|
$
|
612,309
|
|
|
Goodwill
|
22,265
|
|
21,659
|
|
||
|
Intangible assets (other than MSRs)
|
5,013
|
|
5,114
|
|
||
|
Mortgage servicing rights (MSRs)
|
567
|
|
1,564
|
|
||
|
Other assets (including $17,281 and $15,729 as of March 31, 2017 and December 31, 2016, respectively, at fair value)
|
126,627
|
|
128,008
|
|
||
|
Total assets
|
$
|
1,821,635
|
|
$
|
1,792,077
|
|
The following table presents certain assets of consolidated variable interest entities (VIEs), which are included in the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
|
March 31,
|
||||||
|
2017
|
December 31,
|
|||||
|
In millions of dollars
|
(Unaudited)
|
2016
|
||||
|
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs
|
|
|
|
|
||
|
Cash and due from banks
|
$
|
65
|
|
$
|
142
|
|
|
Trading account assets
|
1,031
|
|
602
|
|
||
|
Investments
|
3,397
|
|
3,636
|
|
||
|
Loans, net of unearned income
|
|
|
|
|
||
|
Consumer
|
49,815
|
|
53,401
|
|
||
|
Corporate
|
19,556
|
|
20,121
|
|
||
|
Loans, net of unearned income
|
$
|
69,371
|
|
$
|
73,522
|
|
|
Allowance for loan losses
|
(1,860
|
)
|
(1,769
|
)
|
||
|
Total loans, net
|
$
|
67,511
|
|
$
|
71,753
|
|
|
Other assets
|
165
|
|
158
|
|
||
|
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs
|
$
|
72,169
|
|
$
|
76,291
|
|
Statement continues on the next page.
89
CONSOLIDATED BALANCE SHEET
Citigroup Inc. and Subsidiaries
(Continued)
|
March 31,
|
||||||
|
2017
|
December 31,
|
|||||
|
In millions of dollars, except shares and per share amounts
|
(Unaudited)
|
2016
|
||||
|
Liabilities
|
|
|
|
|
||
|
Non-interest-bearing deposits in U.S. offices
|
$
|
129,436
|
|
$
|
136,698
|
|
|
Interest-bearing deposits in U.S. offices (including $351 and $434 as of March 31, 2017 and December 31, 2016, respectively, at fair value)
|
310,572
|
|
300,972
|
|
||
|
Non-interest-bearing deposits in offices outside the U.S.
|
79,063
|
|
77,616
|
|
||
|
Interest-bearing deposits in offices outside the U.S. (including $956 and $778 as of March 31, 2017 and December 31, 2016, respectively, at fair value)
|
430,919
|
|
414,120
|
|
||
|
Total deposits
|
$
|
949,990
|
|
$
|
929,406
|
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $40,939 and $33,663 as of March 31, 2017 and December 31, 2016, respectively, at fair value)
|
148,230
|
|
141,821
|
|
||
|
Brokerage payables
|
59,655
|
|
57,152
|
|
||
|
Trading account liabilities
|
144,070
|
|
139,045
|
|
||
|
Short-term borrowings (including $3,473 and $2,700 as of March 31, 2017 and December 31, 2016, respectively, at fair value)
|
26,127
|
|
30,701
|
|
||
|
Long-term debt (including $27,526 and $26,254 as of March 31, 2017 and December 31, 2016, respectively, at fair value)
|
208,530
|
|
206,178
|
|
||
|
Other liabilities (including $12,681 and $10,796 as of March 31, 2017 and December 31, 2016, respectively, at fair value)
|
55,880
|
|
61,631
|
|
||
|
Total liabilities
|
$
|
1,592,482
|
|
$
|
1,565,934
|
|
|
Stockholders’ equity
|
|
|
|
|
||
|
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares:
770,120 as of March 31, 2017
and as of December 31, 2016, at aggregate liquidation value
|
$
|
19,253
|
|
$
|
19,253
|
|
|
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares:
3,099,523,273
and
3,099,482,042
as of March 31, 2017
and December 31, 2016
|
31
|
|
31
|
|
||
|
Additional paid-in capital
|
107,613
|
|
108,042
|
|
||
|
Retained earnings
|
149,731
|
|
146,477
|
|
||
|
Treasury stock, at cost:
March 31, 2017—346,265,476 shares
and December 31, 2016—327,090,192 shares
|
(17,579
|
)
|
(16,302
|
)
|
||
|
Accumulated other comprehensive income (loss)
|
(30,917
|
)
|
(32,381
|
)
|
||
|
Total Citigroup stockholders’ equity
|
$
|
228,132
|
|
$
|
225,120
|
|
|
Noncontrolling interest
|
1,021
|
|
1,023
|
|
||
|
Total equity
|
$
|
229,153
|
|
$
|
226,143
|
|
|
Total liabilities and equity
|
$
|
1,821,635
|
|
$
|
1,792,077
|
|
The following table presents certain liabilities of consolidated VIEs, which are included in the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
|
March 31,
|
||||||
|
2017
|
December 31,
|
|||||
|
In millions of dollars
|
(Unaudited)
|
2016
|
||||
|
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup
|
|
|
|
|
||
|
Short-term borrowings
|
$
|
10,636
|
|
$
|
10,697
|
|
|
Long-term debt
|
24,062
|
|
23,919
|
|
||
|
Other liabilities
|
739
|
|
1,275
|
|
||
|
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup
|
$
|
35,437
|
|
$
|
35,891
|
|
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
90
|
CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY
|
Citigroup Inc. and Subsidiaries
|
|
|
(UNAUDITED)
|
||
|
Three Months Ended March 31,
|
||||||
|
In millions of dollars, except shares in thousands
|
2017
|
2016
|
||||
|
Preferred stock at aggregate liquidation value
|
|
|
|
|
||
|
Balance, beginning of period
|
$
|
19,253
|
|
$
|
16,718
|
|
|
Issuance of new preferred stock
|
—
|
|
1,035
|
|
||
|
Balance, end of period
|
$
|
19,253
|
|
$
|
17,753
|
|
|
Common stock and additional paid-in capital
|
|
|
|
|
||
|
Balance, beginning of period
|
$
|
108,073
|
|
$
|
108,319
|
|
|
Employee benefit plans
|
(426
|
)
|
(660
|
)
|
||
|
Preferred stock issuance expense
|
—
|
|
(31
|
)
|
||
|
Other
|
(3
|
)
|
(7
|
)
|
||
|
Balance, end of period
|
$
|
107,644
|
|
$
|
107,621
|
|
|
Retained earnings
|
|
|
|
|
||
|
Balance, beginning of period
|
$
|
146,477
|
|
$
|
133,841
|
|
|
Adjustment to opening balance, net of taxes
(1)
|
—
|
|
15
|
|
||
|
Adjusted balance, beginning of period
|
$
|
146,477
|
|
$
|
133,856
|
|
|
Citigroup’s net income
|
4,090
|
|
3,501
|
|
||
|
Common dividends
(2)
|
(445
|
)
|
(149
|
)
|
||
|
Preferred dividends
|
(301
|
)
|
(210
|
)
|
||
|
Tax benefit
|
|
|
—
|
|
||
|
Other
(3)
|
(90
|
)
|
—
|
|
||
|
Balance, end of period
|
$
|
149,731
|
|
$
|
136,998
|
|
|
Treasury stock, at cost
|
|
|
|
|
||
|
Balance, beginning of period
|
$
|
(16,302
|
)
|
$
|
(7,677
|
)
|
|
Employee benefit plans
(4)
|
507
|
|
765
|
|
||
|
Treasury stock acquired
(5)
|
(1,784
|
)
|
(1,312
|
)
|
||
|
Balance, end of period
|
$
|
(17,579
|
)
|
$
|
(8,224
|
)
|
|
Citigroup’s accumulated other comprehensive income (loss)
|
|
|
|
|
||
|
Balance, beginning of period
|
$
|
(32,381
|
)
|
$
|
(29,344
|
)
|
|
Adjustment to opening balance, net of taxes
(1)
|
—
|
|
(15
|
)
|
||
|
Adjusted balance, beginning of period
|
$
|
(32,381
|
)
|
$
|
(29,359
|
)
|
|
Citigroup’s total other comprehensive income (loss)
|
1,464
|
|
2,733
|
|
||
|
Balance, end of period
|
$
|
(30,917
|
)
|
$
|
(26,626
|
)
|
|
Total Citigroup common stockholders’ equity
|
$
|
208,879
|
|
$
|
209,769
|
|
|
Total Citigroup stockholders’ equity
|
$
|
228,132
|
|
$
|
227,522
|
|
|
Noncontrolling interests
|
|
|
|
|
||
|
Balance, beginning of period
|
$
|
1,023
|
|
$
|
1,235
|
|
|
Transactions between Citigroup and the noncontrolling-interest shareholders
|
(1
|
)
|
(27
|
)
|
||
|
Net income attributable to noncontrolling-interest shareholders
|
10
|
|
5
|
|
||
|
Other comprehensive income (loss)
attributable to
noncontrolling-interest shareholders
|
31
|
|
27
|
|
||
|
Other
|
(42
|
)
|
(1
|
)
|
||
|
Net change in noncontrolling interests
|
$
|
(2
|
)
|
$
|
4
|
|
|
Balance, end of period
|
$
|
1,021
|
|
$
|
1,239
|
|
|
Total equity
|
$
|
229,153
|
|
$
|
228,761
|
|
|
(1)
|
See Note 1 to the Consolidated Financial Statements for additional details.
|
|
(2)
|
Common dividends declared were
$0.16
per share in the
first
quarter of
2017
and
$0.05
per share in the first quarter of
2016
.
|
|
(3)
|
Includes the impact of ASU 2016-09, Compensation-Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. See Note 1 to the Consolidated Financial Statements.
|
|
(4)
|
Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.
|
91
(5) For the
three months ended
March 31, 2017
and
2016
, 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.
92
|
CONSOLIDATED STATEMENT OF CASH FLOWS
|
Citigroup Inc. and Subsidiaries
|
|
|
(UNAUDITED)
|
||
|
|
Three months ended March 31,
|
|||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Cash flows from operating activities of continuing operations
|
|
|
|
|
||
|
Net income before attribution of noncontrolling interests
|
$
|
4,100
|
|
$
|
3,506
|
|
|
Net income attributable to noncontrolling interests
|
10
|
|
5
|
|
||
|
Citigroup’s net income
|
$
|
4,090
|
|
$
|
3,501
|
|
|
Loss from discontinued operations, net of taxes
|
(18
|
)
|
(2
|
)
|
||
|
Income from continuing operations—excluding noncontrolling interests
|
$
|
4,108
|
|
$
|
3,503
|
|
|
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations
|
|
|
|
|
||
|
Net gains on significant disposals
(1)
|
(19
|
)
|
(422
|
)
|
||
|
Depreciation and amortization
|
896
|
|
908
|
|
||
|
Provision for loan losses
|
1,675
|
|
1,886
|
|
||
|
Realized gains from sales of investments
|
(192
|
)
|
(186
|
)
|
||
|
Net impairment losses on investments, goodwill and intangible assets
|
40
|
|
465
|
|
||
|
Change in trading account assets
|
(1,073
|
)
|
(23,791
|
)
|
||
|
Change in trading account liabilities
|
5,025
|
|
18,634
|
|
||
|
Change in brokerage receivables net of brokerage payables
|
(5,498
|
)
|
(3,043
|
)
|
||
|
Change in loans held-for-sale (HFS)
|
1,949
|
|
3,896
|
|
||
|
Change in other assets
|
(811
|
)
|
(3,327
|
)
|
||
|
Change in other liabilities
|
(5,685
|
)
|
(179
|
)
|
||
|
Other, net
|
(3,421
|
)
|
1,118
|
|
||
|
Total adjustments
|
$
|
(7,114
|
)
|
$
|
(4,041
|
)
|
|
Net cash provided by (used in) operating activities of continuing operations
|
$
|
(3,006
|
)
|
$
|
(538
|
)
|
|
Cash flows from investing activities of continuing operations
|
|
|
|
|
||
|
Change in deposits with banks
|
$
|
(20,322
|
)
|
$
|
(23,852
|
)
|
|
Change in federal funds sold and securities borrowed or purchased under agreements to resell
|
(6,116
|
)
|
(5,418
|
)
|
||
|
Change in loans
|
(7,953
|
)
|
(5,057
|
)
|
||
|
Proceeds from sales and securitizations of loans
|
3,191
|
|
1,247
|
|
||
|
Purchases of investments
|
(41,584
|
)
|
(59,715
|
)
|
||
|
Proceeds from sales of investments
|
29,456
|
|
39,268
|
|
||
|
Proceeds from maturities of investments
|
24,006
|
|
16,544
|
|
||
|
Proceeds from significant disposals
(1)
|
2,732
|
|
265
|
|
||
|
Capital expenditures on premises and equipment and capitalized software
|
(786
|
)
|
(702
|
)
|
||
|
Proceeds from sales of premises and equipment, subsidiaries and affiliates,
and repossessed assets
|
133
|
|
230
|
|
||
|
Net cash used in investing activities of continuing operations
|
$
|
(17,243
|
)
|
$
|
(37,190
|
)
|
|
Cash flows from financing activities of continuing operations
|
|
|
|
|
||
|
Dividends paid
|
$
|
(744
|
)
|
$
|
(359
|
)
|
|
Issuance of preferred stock
|
—
|
|
1,004
|
|
||
|
Treasury stock acquired
|
(1,858
|
)
|
(1,312
|
)
|
||
|
Stock tendered for payment of withholding taxes
|
(397
|
)
|
(308
|
)
|
||
|
Change in federal funds purchased and securities loaned or sold under agreements to repurchase
|
6,409
|
|
10,712
|
|
||
|
Issuance of long-term debt
|
18,603
|
|
13,904
|
|
||
|
Payments and redemptions of long-term debt
|
(18,885
|
)
|
(11,281
|
)
|
||
|
Change in deposits
|
20,584
|
|
26,704
|
|
||
|
Change in short-term borrowings
|
(4,574
|
)
|
(186
|
)
|
||
93
|
CONSOLIDATED STATEMENT OF CASH FLOWS
|
Citigroup Inc. and Subsidiaries
|
|||||
|
(UNAUDITED) (CONTINUED)
|
Three months ended March 31,
|
|||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Net cash provided by financing activities of continuing operations
|
$
|
19,138
|
|
$
|
38,878
|
|
|
Effect of exchange rate changes on cash and cash equivalents
|
$
|
340
|
|
$
|
190
|
|
|
Change in cash and due from banks
|
$
|
(771
|
)
|
$
|
1,340
|
|
|
Cash and due from banks at beginning of period
|
23,043
|
|
20,900
|
|
||
|
Cash and due from banks at end of period
|
$
|
22,272
|
|
$
|
22,240
|
|
|
Supplemental disclosure of cash flow information for continuing operations
|
|
|
|
|
||
|
Cash paid during the period for income taxes
|
$
|
913
|
|
$
|
688
|
|
|
Cash paid during the period for interest
|
3,250
|
|
2,694
|
|
||
|
Non-cash investing activities
|
|
|
|
|
||
|
Decrease in goodwill associated with significant disposals reclassified to HFS
|
—
|
|
(30
|
)
|
||
|
Transfers to loans HFS from loans
|
2,800
|
|
3,200
|
|
||
|
Transfers to OREO and other repossessed assets
|
30
|
|
56
|
|
||
(1) See Note 2 to the Consolidated Financial Statements for further information on significant disposals.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
94
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION AND ACCOUNTING CHANGES
Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of
March 31, 2017
and for the three-month periods ended
March 31, 2017
and
2016
include the accounts of Citigroup Inc. and its consolidated subsidiaries.
In the opinion of management, all adjustments, consisting of normal recurring adjustments, necessary for a fair presentation have been reflected. The accompanying unaudited Consolidated Financial Statements should be read in conjunction with the Consolidated Financial Statements and related notes included in Citigroup’s Annual Report on Form 10-K for the fiscal year ended December 31,
2016
, (2016 Annual Report on Form 10-K).
Certain financial information that is normally included in annual financial statements prepared in accordance with U.S. generally accepted accounting principles (GAAP), but is not required for interim reporting purposes, has been condensed or omitted.
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. While management uses its best judgment, actual results could differ from those estimates.
As noted above, the Notes to Consolidated Financial Statements are unaudited.
Throughout these Notes, “Citigroup,” “Citi” and the “Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Certain reclassifications have been made to the prior periods’ financial statements and notes to conform to the current period’s presentation.
ACCOUNTING CHANGES
Accounting for Stock-Based Compensation
In March 2016, the FASB issued ASU 2016-09,
Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting
in order to simplify certain complex aspects of the accounting for income taxes and forfeitures related to employee stock-based compensation. The guidance became effective for Citi beginning on January 1, 2017. Under the new standard, excess tax benefits and deficiencies related to employee stock-based compensation are recognized directly within
Income tax expense or benefit
in Citi’s Consolidated Statement of Income, rather than within
Additional paid-in capital
. The impact of this change was not material in the first quarter of 2017. The impact of this change is similarly not expected to be material for the remainder of 2017 as the majority of employees’ deferred stock-based compensation awards are granted within the first quarter of each year, and therefore vest within the first quarter of each year, commensurate with vesting in equal annual installments. For additional information on these receivables and
payables, see Note 7 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
Additionally, as permitted under the new guidance, Citi made an accounting policy election to account for forfeitures of awards as they occur, which represents a change from the previous requirement to estimate forfeitures when recognizing compensation expense. This change resulted in a cumulative effect adjustment to retained earnings that was not material at January 1, 2017.
Recognition and Measurement of Financial Assets and Financial Liabilities
In January 2016, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2016-01,
Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities
, which addresses certain aspects of recognition, measurement, presentation and disclosure of financial instruments.
This ASU requires entities to present separately in
Accumulated other comprehensive income (loss)
(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. It also requires equity investments (except those accounted for under the equity method of accounting or those that result in consolidation of the investee) to be measured at fair value with changes in fair value recognized in net income, thus eliminating eligibility for the current available-for-sale category. However, Federal Reserve Bank and Federal Home Loan Bank stock as well as certain exchange seats will continue to be presented at cost.
Citi early adopted only the provisions of this ASU related to presentation of the change in fair value of liabilities for which the fair value option was elected, related to changes in Citigroup’s own credit spreads in AOCI effective January 1, 2016. Accordingly, as of the first quarter 2016, these amounts are reflected as a component of AOCI, whereas these amounts were previously recognized in Citigroup’s revenues and net income. The impact of adopting this amendment resulted in a cumulative catch-up reclassification from retained earnings to AOCI of an accumulated after-tax loss of approximately
$15 million
at January 1, 2016. Financial statements for periods prior to 2016 were not subject to restatement under the provisions of this ASU. For additional information, see Note 17, Note 20
and Note 21 to the Consolidated Financial Statements. The Company is evaluating the effects that the other provisions of ASU 2016-01,which are effective on January 1, 2018, will have on its Consolidated Financial Statements and related disclosures.
95
FUTURE APPLICATION OF ACCOUNTING STANDARDS
Accounting for Financial Instruments—Credit Losses
In June 2016, the FASB issued ASU No. 2016-13,
Financial Instruments—Credit Losses
(Topic 326)
.
The ASU introduces a new accounting model, the Current Expected Credit Losses model (CECL), which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.
The FASB’s CECL model utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity securities and other receivables at the time the financial asset is originated or acquired. The expected credit losses are adjusted each period for changes in expected lifetime credit losses. For available-for-sale securities where fair value is less than cost, credit-related impairment, if any, will be recognized in an allowance for credit losses and adjusted each period for changes in expected credit risk. This model replaces the multiple existing impairment models in current GAAP, which generally require that a loss be incurred before it is recognized.
The CECL model represents a significant departure from existing GAAP and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The impact of the ASU will depend upon the state of the economy and the nature of Citi’s portfolios at the date of adoption. The ASU will be effective for Citi as of January 1, 2020. Early application is permitted for annual periods beginning January 1, 2019.
Revenue Recognition
In May 2014, the FASB issued ASU No. 2014-09,
Revenue from Contracts with Customers
, which requires an entity to recognize the amount of revenue to which it expects to be entitled for the transfer of promised goods or services to customers. The Company will adopt the guidance as of January 1, 2018 with a cumulative-effect adjustment to opening retained earnings. While the guidance will replace most existing revenue recognition guidance in GAAP, the ASU is not applicable to financial instruments and, therefore, will not impact a majority of the Company’s revenue, including net interest income.
While in scope of the new guidance, the Company does not expect a material change in the timing or measurement of revenues related to deposit fees. Citi’s credit cardholder fees and mortgage servicing fees have been concluded to be out of scope of the standard and therefore will not be impacted by the issuance of this guidance. The Company expects the presentation of expenses associated with underwriting activity to change from the current reporting where underwriting revenue is recorded net of the related expenses to a gross presentation where the expenses are recorded in
Other operating expenses
. This change to a gross presentation will result in an equivalent increase in underwriting revenue recorded in
Commissions and fees
and
associated underwriting expenses recorded in
Other operating expenses
; however, this change in presentation will not have an impact on
Income from continuing operations
. The Company continues to evaluate the effect that the guidance will have on other revenue streams within its scope, including the presentation of certain contract expenses, as well as changes in disclosures required by the new guidance.
Lease Accounting
In February 2016, the FASB issued ASU No. 2016-02,
Leases (Topic 842),
which is intended to increase transparency and comparability of accounting for lease transactions. The ASU will require lessees to recognize all leases on the balance sheet as lease assets and lease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessor accounting is largely unchanged. The guidance is effective beginning January 1, 2019 with an option to early adopt. The Company does not plan to early adopt the ASU. The Company is evaluating the effect that the standard will have on its Consolidated Financial Statements, regulatory capital and related disclosures and the impact is not expected to be material.
Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16,
Income Taxes—Intra-Entity Transfers of Assets Other Than Inventory
, which will require an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. The ASU is effective on January 1, 2018 with early adoption permitted. The Company continues to evaluate the impact of this standard, which is expected to increase DTAs, with an associated decrease in prepaid taxes of approximately
$500 million
.
Subsequent Measurement of Goodwill
In January 2017, the FASB issued ASU No. 2017-04,
Intangibles—Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment.
The ASU simplifies the subsequent measurement of goodwill impairment by eliminating the requirement to calculate the implied fair value of goodwill (i.e., the current Step 2 of the goodwill impairment test) to measure a goodwill impairment charge.
Under
the ASU, the impairment test is simply the comparison of the fair value of a reporting unit with its carrying amount (the current Step 1), with the impairment charge being the deficit in fair value but not exceeding the total amount of goodwill allocated to that reporting unit. The simplified one-step impairment test applies to all reporting units (including those with zero or negative carrying amounts).
The ASU is effective for Citi as of January 1, 2020. Early adoption is permitted for interim and annual goodwill impairment testing dates after January 1, 2017. The impact of the ASU will depend upon the performance of the reporting units and the market conditions impacting the fair value of each reporting unit going forward.
96
Clarifying the Definition of a Business
In January 2017, the FASB issued ASU No. 2017-01,
Business Combinations (Topic 805): Clarifying the Definition of a Business.
The definition of a business directly and indirectly affects many areas of accounting (e.g., acquisitions, disposals, goodwill and consolidation). The ASU narrows the definition of a business by introducing a quantitative screen as the first step, such that if substantially all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets, the set of transferred assets and activities is not a business. If the set is not scoped out from the quantitative screen, the entity then evaluates whether the set meets the requirement that a business include, at a minimum, an input and a substantive process that together significantly contribute to the ability to create outputs.
The ASU is effective for Citi as of January 1, 2018. The ASU will be applied prospectively, with early adoption permitted. The impact of the ASU will depend upon the acquisition and disposal activities of Citi. If fewer transactions qualify as a business, there could be less initial recognition of goodwill, but also less goodwill allocated to disposals.
Premiums on Purchased Callable Debt Securities
In late March 2017, the FASB issued ASU No. 2017-08,
Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20).
The ASU changes the period of amortization of premiums on certain callable debt securities from the full contractual life of the security to the earliest call date of the security. The ASU will not change the accretion of discounts.
The ASU is effective for Citi as of January 1, 2019 through a cumulative effect adjustment to retained earnings, with early adoption permitted. This accounting change will primarily affect Citi’s portfolios of available-for-sale and held-to-maturity state and municipal debt securities. The Company is evaluating the effect that the standard will have on its Consolidated Financial Statements, but based on a preliminary analysis, it is expected to result in a cumulative effect adjustment reducing retained earnings (primarily through a reclassification from AOCI) to reflect the shorter amortization period to the earliest call date for the premiums on callable debt securities. Under the new guidance, interest revenue recorded on callable bonds subject to a premium will decrease before the call date because premiums will be amortized over a shorter time period.
Other Potential Amendments to Current Accounting Standards
The FASB has issued a proposed ASU that will provide targeted improvements to the accounting guidance for hedging activities. The exposure draft contains many proposals for improving how the economic results of risk management are reflected in financial reporting. Specifically, among other improvements, the ASU is expected to expand the list of benchmark interest rates and also increase the ability for entities to construct hedges of interest rate risk that hedge only certain cash flows of a hedged item. If issued in its current form, the ASU is also expected to modify existing guidance related to the timing and income statement line recognition of ineffectiveness and components excluded from hedge relationships and add incremental disclosures regarding hedging activities.
97
2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS
Discontinued Operations
The following sales are reported as
Discontinued operations
within
Corporate/Other
.
Sale of Egg Banking plc Credit Card Business
Citi sold the Egg Banking plc credit card business in 2011. Residual costs from the disposal resulted in losses from
Discontinued operations
, net of taxes, of
$18 million
and
$2 million
for the
three
months ended
March 31, 2017
and
2016
, respectively.
Combined Results for Discontinued Operations
The following summarizes financial information for all
Discontinued operations
for which Citi continues to have minimal residual costs associated with the sales:
|
Three months ended
March 31, |
||||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Total revenues, net of interest expense
|
$
|
—
|
|
$
|
—
|
|
|
Income (loss) from discontinued operations
|
$
|
(28
|
)
|
$
|
(3
|
)
|
|
Provision (benefit) for income taxes
|
(10
|
)
|
(1
|
)
|
||
|
Income (loss) from discontinued operations, net of taxes
|
$
|
(18
|
)
|
$
|
(2
|
)
|
Cash flows for the
Discontinued operations
were not material for the periods presented.
Significant Disposals
The following sales completed during
2017
and
2016
were identified as significant disposals. The major classes of assets and liabilities derecognized from the Consolidated Balance Sheet at closing and the income related to each business until the disposal date are presented below.
Novation of the 80% Primerica Coinsurance Agreement
Effective January 1, 2016, Citi completed a novation (an arrangement that extinguishes Citi’s rights and obligations under a contract) of the Primerica
80%
coinsurance agreement, which was part of
Corporate/Other
, to a third-party re-insurer. The novation resulted in revenues of
$404 million
recorded in
Other revenue
(
$263 million
after-tax) during the first quarter of 2016. Furthermore, the novation resulted in derecognition of
$1.5 billion
of available-for-sale securities and cash,
$0.95 billion
of deferred acquisition costs and
$2.7 billion
of insurance liabilities.
Exit of U.S. Mortgage Service Operations
As previously disclosed, Citigroup signed agreements during the first quarter of 2017 to effectively exit its U.S. mortgage servicing operations by the end of 2018 to intensify focus on originations. The exit of the mortgage servicing operations included the sale of mortgage servicing rights and execution of a subservicing agreement for the remaining Citi-owned loans and certain other mortgage servicing rights. As part of this transaction, Citi will also transfer certain employees.
This transaction, which was part of
Corporate/Other
, resulted in a pretax loss of
$331 million
(
$207 million
after tax) recorded in
Other revenue
during the first quarter of 2017. The loss on sale does not include certain other costs and charges related to the disposed operation recorded primarily in Operating Expenses in the first quarter of 2017, resulting in a total pretax loss of
$382 million
. As part of the completed sale, Citi derecognized a total of
$1,162 million
of servicing related assets, including
$1,046 million
of mortgage servicing rights, related to approximately
750,000
Fannie Mae and Freddie Mac held loans with outstanding balances of approximately
$93 billion
. Excluding the loss on sale and the additional charges recorded during the current period, income before taxes for the disposed operation was immaterial for the three months ended March 31, 2017 and 2016.
Sale of CitiFinancial Canada Consumer Finance Business
On March 31, 2017, Citi sold CitiFinancial Canada (CitiFinancial), which was part of
Corporate/Other
, including
220
retail branches and approximately
1,400
employees. As part of the sale, Citi derecognized total assets of approximately
$1.9 billion
, including
$1.7 billion
consumer loans (net of allowance), and total liabilities of approximately
$1.5 billion
related to intercompany borrowings, which were settled at closing of the transaction. Separately, during the first quarter of 2017, CitiFinancial settled
$0.4 billion
of debt issued through loan securitizations. The transaction generated a pretax gain on sale of
$350 million
recorded in
Other revenue
(
$178 million
after-tax).
Income before taxes, excluding the pretax gain on sale, was as follows:
|
|
Three months ended
March 31, |
|||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Income before taxes
|
$
|
30
|
|
$
|
21
|
|
98
3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the
Global Consumer Banking (GCB)
and
Institutional Clients Group (ICG)
business segments. In addition,
Corporate/Other
includes activities not assigned to a specific business segment, as well as certain North America and international loan portfolios, discontinued operations and other legacy assets.
The prior-period balances reflect reclassifications to conform the presentation for all periods to the current period’s presentation. Effective January 1, 2017, financial data was reclassified to reflect:
|
•
|
the reporting of
the remaining businesses and portfolios of assets of
Citi Holdings as part of
Corporate/Other
which, prior to the first quarter of 2017, was a separately reported business segment;
|
|
•
|
the re-attribution of certain treasury-related costs between
Corporate/Other
,
GCB
and
ICG
;
|
|
•
|
the re-attribution of regional revenues within
ICG
;
and
|
|
•
|
certain other immaterial reclassifications.
|
Citi’s consolidated results remain unchanged for all periods presented as a result of the changes and reclassifications discussed above.
For additional information regarding Citigroup’s business segments, see Note 3 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
The following table presents certain information regarding the Company’s continuing operations by segment:
|
Three months ended March 31,
|
||||||||||||||||||||||||
|
Revenues,
net of interest expense (1) |
Provision (benefits)
for income taxes |
Income (loss) from
continuing operations (2) |
Identifiable assets
|
|||||||||||||||||||||
|
In millions of dollars, except identifiable assets in billions
|
2017
|
2016
|
2017
|
2016
|
2017
|
2016
|
March 31,
2017 |
December 31, 2016
|
||||||||||||||||
|
Global Consumer Banking
|
$
|
7,817
|
|
$
|
7,714
|
|
$
|
584
|
|
$
|
634
|
|
$
|
1,003
|
|
$
|
1,194
|
|
$
|
412
|
|
$
|
412
|
|
|
Institutional Clients Group
|
9,126
|
|
7,895
|
|
1,375
|
|
764
|
|
3,011
|
|
1,869
|
|
1,314
|
|
1,277
|
|
||||||||
|
Corporate/Other
|
1,177
|
|
1,946
|
|
(96
|
)
|
81
|
|
104
|
|
445
|
|
96
|
|
103
|
|
||||||||
|
Total
|
$
|
18,120
|
|
$
|
17,555
|
|
$
|
1,863
|
|
$
|
1,479
|
|
$
|
4,118
|
|
$
|
3,508
|
|
$
|
1,822
|
|
$
|
1,792
|
|
|
(1)
|
Includes total revenues, net of interest expense (excluding
Corporate/Other
), in
North America
of
$8.3 billion
and
$7.8 billion
; in
EMEA
of
$2.8 billion
and
$2.2 billion
; in
Latin America
of
$2.3 billion
and
$2.2 billion
; and in
Asia
of
$3.5 billion
and
$3.4 billion
for the three months ended March 31, 2017 and 2016, respectively. These regional numbers exclude
Corporate/Other
, which largely operates within the U.S.
|
|
(2)
|
Includes pretax provisions for credit losses and for benefits and claims in the
GCB
results of
$1.8 billion
and
$1.5 billion
; in the
ICG
results of
$(205) million
and
$390 million
; and in the
Corporate/Other
results of
$52 million
and
$170 million
for the three months ended March 31, 2017 and 2016, respectively.
|
99
4. INTEREST REVENUE AND EXPENSE
Interest revenue
and
Interest expense
consisted of the following:
|
Three months ended
March 31, |
||||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Interest revenue
|
||||||
|
Loan interest, including fees
|
$
|
9,947
|
|
$
|
9,760
|
|
|
Deposits with banks
|
295
|
|
219
|
|
||
|
Federal funds sold and securities borrowed or purchased under agreements to resell
|
661
|
|
647
|
|
||
|
Investments, including dividends
|
1,960
|
|
1,855
|
|
||
|
Trading account assets
(1)
|
1,266
|
|
1,434
|
|
||
|
Other interest
|
294
|
|
252
|
|
||
|
Total interest revenue
|
$
|
14,423
|
|
$
|
14,167
|
|
|
Interest expense
|
||||||
|
Deposits
(2)
|
$
|
1,415
|
|
$
|
1,204
|
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
493
|
|
502
|
|
||
|
Trading account liabilities
(1)
|
147
|
|
88
|
|
||
|
Short-term borrowings
|
199
|
|
100
|
|
||
|
Long-term debt
|
1,312
|
|
1,046
|
|
||
|
Total interest expense
|
$
|
3,566
|
|
$
|
2,940
|
|
|
Net interest revenue
|
$
|
10,857
|
|
$
|
11,227
|
|
|
Provision for loan losses
|
1,675
|
|
1,886
|
|
||
|
Net interest revenue after provision for loan losses
|
$
|
9,182
|
|
$
|
9,341
|
|
|
(1)
|
Interest expense on
Trading account liabilities
of
ICG
is reported as a reduction of interest revenue from
Trading account assets
.
|
|
(2)
|
Includes deposit insurance fees and charges of
$305 million
and
$235 million
for the three months ended
March 31, 2017
and
2016
, respectively.
|
100
5. COMMISSIONS AND FEES
The primary components of Citi’s
Commissions and fees
revenue are investment banking fees, trading-related fees, fees related to trade and securities services in
ICG
and credit card and bank card fees. For additional information regarding
certain components of
Commissions and fees
revenue, see Note 5 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
The following table presents
Commissions and fees
revenue:
|
Three months ended March 31,
|
||||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Investment banking
|
$
|
862
|
|
$
|
574
|
|
|
Trading-related
|
572
|
|
601
|
|
||
|
Trade and securities services
|
390
|
|
406
|
|
||
|
Credit cards and bank cards
|
311
|
|
271
|
|
||
|
Corporate finance
(1)
|
169
|
|
123
|
|
||
|
Other consumer
(2)
|
164
|
|
158
|
|
||
|
Checking-related
|
120
|
|
116
|
|
||
|
Loan servicing
|
86
|
|
96
|
|
||
|
Other
|
85
|
|
118
|
|
||
|
Total commissions and fees
|
$
|
2,759
|
|
$
|
2,463
|
|
|
(1)
|
Consists primarily of fees earned from structuring and underwriting loan syndications.
|
|
(2)
|
Primarily consists of fees for investment fund administration and management, third-party collections, commercial demand deposit accounts and certain credit card services.
|
6. PRINCIPAL TRANSACTIONS
Citi’s
Principal transactions
revenue consists of realized and unrealized gains and losses from trading activities. For additional information regarding
Principal transactions
revenue, see Note 6 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
The following table presents
Principal transactions
revenue:
|
Three months ended March 31,
|
||||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Global Consumer Banking
(1)
|
$
|
149
|
|
$
|
143
|
|
|
Institutional Clients Group
|
2,668
|
|
1,576
|
|
||
|
Corporate/Other
(1)
|
205
|
|
121
|
|
||
|
Total Citigroup
|
$
|
3,022
|
|
$
|
1,840
|
|
|
Interest rate risks
(2)
|
$
|
1,766
|
|
$
|
807
|
|
|
Foreign exchange risks
(3)
|
588
|
|
613
|
|
||
|
Equity risks
(4)
|
188
|
|
50
|
|
||
|
Commodity and other risks
(5)
|
90
|
|
144
|
|
||
|
Credit products and risks
(6)
|
390
|
|
226
|
|
||
|
Total
|
$
|
3,022
|
|
$
|
1,840
|
|
|
(1)
|
Primarily relates to foreign exchange risks.
|
|
(2)
|
Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.
|
|
(3)
|
Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
|
|
(4)
|
Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
|
|
(5)
|
Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
|
|
(6)
|
Includes revenues from structured credit products.
|
101
7. INCENTIVE PLANS
For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
8. RETIREMENT BENEFITS
For additional information on Citi’s retirement benefits, see Note 8 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
Net (Benefit) Expense
The following table summarizes the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement plans for Significant Plans and All Other Plans:
|
Three months ended March 31,
|
|||||||||||||||||||||||||||
|
|
Pension plans
|
Postretirement benefit plans
|
|||||||||||||||||||||||||
|
|
U.S. plans
|
Non-U.S. plans
|
U.S. plans
|
Non-U.S. plans
|
|||||||||||||||||||||||
|
In millions of dollars
|
2017
|
2016
|
|
2017
|
2016
|
|
2017
|
2016
|
|
2017
|
2016
|
||||||||||||||||
|
Qualified plans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Benefits earned during the period
|
$
|
1
|
|
$
|
1
|
|
$
|
36
|
|
$
|
38
|
|
$
|
—
|
|
$
|
—
|
|
$
|
2
|
|
$
|
3
|
|
|||
|
Interest cost on benefit obligation
|
132
|
|
141
|
|
71
|
|
73
|
|
6
|
|
8
|
|
24
|
|
24
|
|
|||||||||||
|
Expected return on plan assets
|
(216
|
)
|
(218
|
)
|
(70
|
)
|
(72
|
)
|
(1
|
)
|
(2
|
)
|
(21
|
)
|
(21
|
)
|
|||||||||||
|
Amortization of unrecognized
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Prior service benefit
|
—
|
|
—
|
|
(1
|
)
|
—
|
|
—
|
|
—
|
|
(2
|
)
|
(3
|
)
|
|||||||||||
|
Net actuarial loss (gain)
|
41
|
|
36
|
|
16
|
|
19
|
|
(1
|
)
|
—
|
|
8
|
|
8
|
|
|||||||||||
|
Curtailment gains
(1)
|
—
|
|
—
|
|
—
|
|
(3
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||||
|
Settlement loss
(1)
|
—
|
|
—
|
|
—
|
|
1
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||||
|
Net qualified plans (benefit) expense
|
$
|
(42
|
)
|
$
|
(40
|
)
|
|
$
|
52
|
|
$
|
56
|
|
$
|
4
|
|
$
|
6
|
|
$
|
11
|
|
$
|
11
|
|
||
|
Nonqualified plans expense
|
10
|
|
10
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||||
|
Total net (benefit) expense
|
$
|
(32
|
)
|
$
|
(30
|
)
|
$
|
52
|
|
$
|
56
|
|
$
|
4
|
|
$
|
6
|
|
$
|
11
|
|
$
|
11
|
|
|||
(1) (Gains) losses due to curtailment and settlement relate to repositioning and divestiture activities.
102
Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following tables summarize the funded status and amounts recognized in the Consolidated Balance Sheet for the Company’s
Significant Plans.
|
Three months ended March 31, 2017
|
|||||||||||||||
|
|
Pension plans
|
Postretirement benefit plans
|
|||||||||||||
|
In millions of dollars
|
U.S. plans
|
Non-U.S. plans
|
U.S. plans
|
Non-U.S. plans
|
|||||||||||
|
Change in projected benefit obligation
|
|
|
|
|
|
|
|
|
|||||||
|
Projected benefit obligation at beginning of year
|
$
|
14,000
|
|
$
|
6,522
|
|
$
|
686
|
|
$
|
1,141
|
|
|||
|
Plans measured annually
|
(28
|
)
|
(1,784
|
)
|
—
|
|
(303
|
)
|
|||||||
|
Projected benefit obligation at beginning of year—Significant Plans
|
$
|
13,972
|
|
$
|
4,738
|
|
$
|
686
|
|
$
|
838
|
|
|||
|
Benefits earned during the period
|
1
|
|
21
|
|
—
|
|
2
|
|
|||||||
|
Interest cost on benefit obligation
|
139
|
|
60
|
|
6
|
|
20
|
|
|||||||
|
Plan amendments
|
—
|
|
5
|
|
—
|
|
—
|
|
|||||||
|
Actuarial loss
|
72
|
|
134
|
|
3
|
|
39
|
|
|||||||
|
Benefits paid, net of participants’ contributions
|
(187
|
)
|
(75
|
)
|
(16
|
)
|
(11
|
)
|
|||||||
|
Foreign exchange impact and other
|
—
|
|
657
|
|
—
|
|
84
|
|
|||||||
|
Projected benefit obligation at period end—Significant Plans
|
$
|
13,997
|
|
$
|
5,540
|
|
|
$
|
679
|
|
$
|
972
|
|
||
|
Three months ended March 31, 2017
|
|||||||||||||||
|
|
Pension plans
|
Postretirement benefit plans
|
|||||||||||||
|
In millions of dollars
|
U.S. plans
|
Non-U.S. plans
|
U.S. plans
|
Non-U.S. plans
|
|||||||||||
|
Change in plan assets
|
|
|
|
|
|
|
|
|
|||||||
|
Plan assets at fair value at beginning of year
|
$
|
12,363
|
|
$
|
6,149
|
|
$
|
129
|
|
$
|
1,015
|
|
|||
|
Plans measured annually
|
—
|
|
(1,167
|
)
|
—
|
|
(11
|
)
|
|||||||
|
Plan assets at fair value at beginning of year—Significant Plans
|
$
|
12,363
|
|
$
|
4,982
|
|
$
|
129
|
|
$
|
1,004
|
|
|||
|
Actual return on plan assets
|
333
|
|
179
|
|
4
|
|
36
|
|
|||||||
|
Company contributions, net of reimbursements
|
13
|
|
13
|
|
12
|
|
—
|
|
|||||||
|
Plan participants’ contributions
|
—
|
|
1
|
|
—
|
|
—
|
|
|||||||
|
Benefits paid, net of government subsidy
|
(187
|
)
|
(76
|
)
|
(16
|
)
|
(11
|
)
|
|||||||
|
Foreign exchange impact and other
|
—
|
|
786
|
|
—
|
|
99
|
|
|||||||
|
Plan assets at fair value at period end—Significant Plans
|
$
|
12,522
|
|
$
|
5,885
|
|
$
|
129
|
|
$
|
1,128
|
|
|||
|
Funded status of the Significant Plans
|
|||||||||||||||
|
Qualified plans
(1)
|
$
|
(778
|
)
|
$
|
345
|
|
$
|
(550
|
)
|
$
|
156
|
|
|||
|
Nonqualified plans
|
(697
|
)
|
—
|
|
—
|
|
—
|
|
|||||||
|
Funded status of the plans at period end—Significant Plans
|
$
|
(1,475
|
)
|
$
|
345
|
|
$
|
(550
|
)
|
$
|
156
|
|
|||
|
Net amount recognized
|
|
|
|
|
|
|
|
|
|||||||
|
Benefit asset
|
$
|
—
|
|
$
|
801
|
|
$
|
—
|
|
$
|
156
|
|
|||
|
Benefit liability
|
(1,475
|
)
|
(456
|
)
|
(550
|
)
|
—
|
|
|||||||
|
Net amount recognized on the balance sheet—Significant Plans
|
$
|
(1,475
|
)
|
$
|
345
|
|
$
|
(550
|
)
|
$
|
156
|
|
|||
|
Amounts recognized in
AOCI
|
|
|
|
|
|
|
|||||||||
|
Prior service benefit
|
$
|
—
|
|
$
|
32
|
|
$
|
—
|
|
$
|
92
|
|
|||
|
Net actuarial gain (loss)
|
(6,795
|
)
|
(921
|
)
|
104
|
|
(372
|
)
|
|||||||
|
Net amount recognized in equity (pretax)—Significant Plans
|
$
|
(6,795
|
)
|
$
|
(889
|
)
|
$
|
104
|
|
$
|
(280
|
)
|
|||
|
Accumulated benefit obligation at period end—Significant Plans
|
$
|
13,991
|
|
$
|
5,272
|
|
$
|
679
|
|
$
|
972
|
|
|||
|
(1)
|
The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1,
2017
and no minimum required funding is expected for
2017
.
|
103
The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans:
|
In millions of dollars
|
Three months ended March 31, 2017
|
Year ended December 31, 2016
|
|||||
|
Beginning of period balance, net of tax
(1)(2)
|
$
|
(5,164
|
)
|
$
|
(5,116
|
)
|
|
|
Actuarial assumptions changes and plan experience
|
(248
|
)
|
(854
|
)
|
|||
|
Net asset gain due to difference between actual and expected returns
|
253
|
|
400
|
|
|||
|
Net amortization
|
56
|
|
232
|
|
|||
|
Prior service (cost) credit
|
(5
|
)
|
28
|
|
|||
|
Curtailment/settlement gain
(3)
|
—
|
|
17
|
|
|||
|
Foreign exchange impact and other
|
(58
|
)
|
99
|
|
|||
|
Change in deferred taxes, net
|
(10
|
)
|
30
|
|
|||
|
Change, net of tax
|
$
|
(12
|
)
|
$
|
(48
|
)
|
|
|
End of period balance, net of tax
(1)(2)
|
$
|
(5,176
|
)
|
$
|
(5,164
|
)
|
|
|
(1)
|
See Note 17 to the Consolidated Financial Statements for further discussion of net AOCI balance.
|
|
(2)
|
Includes net-of-tax amounts for certain profit sharing plans outside the U.S.
|
|
(3)
|
Gains due to curtailment and settlement relate to repositioning and divestiture activities.
|
Plan Assumptions
The discount rates utilized during the period in determining the pension and postretirement net (benefit) expense for the Significant Plans are as follows:
|
Net benefit (expense) assumed discount rates during the period
|
Three months ended
|
||
|
Mar. 31, 2017
|
Dec. 31, 2016
|
Mar. 31, 2016
|
|
|
U.S. plans
|
|||
|
Qualified pension
|
4.10%
|
3.55%
|
4.40%
|
|
Nonqualified pension
|
4.00
|
3.45
|
4.35
|
|
Postretirement
|
3.90
|
3.30
|
4.20
|
|
Non-U.S. plans
|
|||
|
Pension
|
0.60-11.00
|
0.20-11.55
|
0.75-13.20
|
|
Weighted average
|
5.08
|
4.42
|
5.37
|
|
Postretirement
|
9.65
|
8.25
|
8.60
|
The discount rates utilized at period-end in determining the pension and postretirement benefit obligations for the Significant Plans are as follows:
|
Plan obligations assumed discount rates at period ended
|
Mar. 31, 2017
|
Dec. 31, 2016
|
|
U.S. plans
|
||
|
Qualified pension
|
4.05%
|
4.10%
|
|
Nonqualified pension
|
3.95
|
4.00
|
|
Postretirement
|
3.85
|
3.90
|
|
Non-U.S. plans
|
||
|
Pension
|
0.55-10.45
|
0.60-11.00
|
|
Weighted average
|
4.83
|
5.08
|
|
Postretirement
|
9.25
|
9.65
|
Sensitivities of Certain Key Assumptions
The following table summarizes the estimated effect on the Company’s Significant Plans quarterly expense of a one-percentage-point change in the discount rate:
|
Three months ended March 31, 2017
|
||||||
|
In millions of dollars
|
One-percentage-point increase
|
One-percentage-point decrease
|
||||
|
Pension
|
||||||
|
U.S. plans
|
$
|
7
|
|
$
|
(11
|
)
|
|
Non-U.S. plans
|
(5
|
)
|
7
|
|
||
|
Postretirement
|
||||||
|
U.S. plans
|
$
|
—
|
|
$
|
—
|
|
|
Non-U.S. plans
|
(2
|
)
|
2
|
|
||
104
Contributions
For the U.S. pension plans, there were
no
required minimum cash contributions during the first
three
months of
2017
.
The following table summarizes the Company’s actual contributions for the
three
months ended
March 31, 2017
and
2016
, as well as estimated expected Company contributions for the remainder of 2017 and the actual contributions made in the second, third and fourth quarters of
2016
.
|
|
Pension plans
|
Postretirement plans
|
|||||||||||||||||||||||||
|
|
U.S. plans
(1)
|
Non-U.S. plans
|
U.S. plans
|
Non-U.S. plans
|
|||||||||||||||||||||||
|
In millions of dollars
|
2017
|
2016
|
2017
|
2016
|
2017
|
2016
|
2017
|
2016
|
|||||||||||||||||||
|
Company contributions
(2)
for the three months ended March 31
|
$
|
13
|
|
$
|
15
|
|
$
|
34
|
|
$
|
32
|
|
$
|
12
|
|
$
|
6
|
|
$
|
2
|
|
$
|
2
|
|
|||
|
Company contributions made or expected to be made during the remainder of the year
|
43
|
|
541
|
|
105
|
|
94
|
|
—
|
|
—
|
|
6
|
|
7
|
|
|||||||||||
|
(1)
|
The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans.
|
|
(2)
|
Company contributions are composed of cash contributions made to the plans and benefits paid directly by the Company.
|
Defined Contribution Plans
The following table summarizes the Company’s contributions for the defined contribution plans:
|
Three months ended
March 31, |
||||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
U.S. plans
|
$
|
98
|
|
$
|
96
|
|
|
Non-U.S. plans
|
69
|
|
68
|
|
||
Post Employment Plans
The following table summarizes the components of net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:
|
Three months ended
March 31, |
||||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Service-related expense
|
||||||
|
Interest cost on benefit obligation
|
$
|
—
|
|
$
|
1
|
|
|
Amortization of unrecognized
|
||||||
|
Prior service benefit
|
(8
|
)
|
(8
|
)
|
||
|
Net actuarial loss
|
1
|
|
1
|
|
||
|
Total service-related benefit
|
$
|
(7
|
)
|
$
|
(6
|
)
|
|
Non-service-related expense
|
$
|
8
|
|
$
|
8
|
|
|
Total net benefit expense
|
$
|
1
|
|
$
|
2
|
|
105
9. EARNINGS PER SHARE
The following table reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations:
|
Three months ended
March 31, |
||||||
|
In millions, except per-share amounts
|
2017
|
2016
|
||||
|
Income from continuing operations before attribution of noncontrolling interests
|
$
|
4,118
|
|
$
|
3,508
|
|
|
Less: Noncontrolling interests from continuing operations
|
10
|
|
5
|
|
||
|
Net income from continuing operations (for EPS purposes)
|
$
|
4,108
|
|
$
|
3,503
|
|
|
Income (loss) from discontinued operations, net of taxes
|
(18
|
)
|
(2
|
)
|
||
|
Citigroup's net income
|
$
|
4,090
|
|
$
|
3,501
|
|
|
Less: Preferred dividends
(1)
|
301
|
|
210
|
|
||
|
Net income available to common shareholders
|
$
|
3,789
|
|
$
|
3,291
|
|
|
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with
nonforfeitable rights to dividends, applicable to basic EPS |
55
|
|
40
|
|
||
|
Net income allocated to common shareholders for basic EPS
|
$
|
3,734
|
|
$
|
3,251
|
|
|
Net income allocated to common shareholders for diluted EPS
|
3,734
|
|
3,251
|
|
||
|
Weighted-average common shares outstanding applicable to basic EPS
|
2,765.3
|
|
2,943.0
|
|
||
|
Effect of dilutive securities
(2)
|
||||||
|
Options
(3)
|
0.2
|
|
0.1
|
|
||
|
Adjusted weighted-average common shares outstanding applicable to diluted EPS
(4)
|
2,765.5
|
|
2,943.1
|
|
||
|
Basic earnings per share
(5)
|
||||||
|
Income from continuing operations
|
$
|
1.36
|
|
$
|
1.11
|
|
|
Discontinued operations
|
(0.01
|
)
|
—
|
|
||
|
Net income
|
$
|
1.35
|
|
$
|
1.10
|
|
|
Diluted earnings per share
(5)
|
||||||
|
Income from continuing operations
|
$
|
1.36
|
|
$
|
1.11
|
|
|
Discontinued operations
|
(0.01
|
)
|
—
|
|
||
|
Net income
|
$
|
1.35
|
|
$
|
1.10
|
|
|
(1)
|
During the
first
quarter of
2017
, Citi distributed
$301 million
in dividends on its outstanding preferred stock. As of
March 31, 2017
, Citi estimates it will distribute preferred dividends of approximately
$912 million
during the remainder of 2017, in each case assuming such dividends are declared by the Citi Board of Directors.
|
|
(2)
|
Warrants issued to the U.S. Treasury as part of the Troubled Asset Relief Program (TARP) and the loss-sharing agreement (all of which were subsequently sold to the public in January 2011), with exercise prices of
$178.50
and
$105.71
per share for approximately
21.0 million
and
25.5 million
shares of Citigroup common stock, respectively. Both warrants were not included in the computation of earnings per share in the
three months ended
March 31, 2017
and
2016
because they were anti-dilutive.
|
|
(3)
|
During the first quarters of
2017
and
2016
, weighted-average options to purchase
0.9 million
and
6.2 million
shares of common stock, respectively, were outstanding, but not included in the computation of earnings per share because the weighted-average exercise prices of
$201.01
and
$69.88
per share, respectively, were anti-dilutive.
|
|
(4)
|
Due to rounding, common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to common shares outstanding applicable to diluted EPS.
|
|
(5)
|
Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
|
106
10. FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS
For additional information on the Company’s resale and repurchase agreements and securities borrowing and lending agreements, see Note 11 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
Federal funds sold and securities borrowed or purchased under agreements to resell
, at their respective carrying values, consisted of the following:
|
In millions of dollars
|
March 31,
2017 |
December 31, 2016
|
||||
|
Federal funds sold
|
$
|
—
|
|
$
|
—
|
|
|
Securities purchased under agreements to resell
|
134,924
|
|
131,473
|
|
||
|
Deposits paid for securities borrowed
|
108,005
|
|
105,340
|
|
||
|
Total
(1)
|
$
|
242,929
|
|
$
|
236,813
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
, at their respective carrying values, consisted of the following:
|
In millions of dollars
|
March 31,
2017 |
December 31, 2016
|
||||
|
Federal funds purchased
|
$
|
133
|
|
$
|
178
|
|
|
Securities sold under agreements to repurchase
|
133,129
|
|
125,685
|
|
||
|
Deposits received for securities loaned
|
14,968
|
|
15,958
|
|
||
|
Total
(1)
|
$
|
148,230
|
|
$
|
141,821
|
|
|
(1)
|
The above tables do not include securities-for-securities lending transactions of
$11.8 billion
and
$9.3 billion
at
March 31, 2017
and December 31, 2016, 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
.
|
It is the Company’s policy to take possession of the underlying collateral, monitor its market value relative to the amounts due under the agreements and, when necessary, require prompt transfer of additional collateral in order to maintain contractual margin protection. For resale and repurchase agreements, when necessary, the Company posts additional collateral in order to maintain contractual margin protection.
A substantial portion of the resale and repurchase agreements is recorded at fair value, as described in Notes 20 and 21 to the Consolidated Financial Statements. The remaining portion is carried at the amount of cash initially advanced or received, plus accrued interest, as specified in the respective agreements.
A substantial portion of securities borrowing and lending agreements is recorded at the amount of cash advanced or received. The remaining portion is recorded at fair value as the Company elected the fair value option for certain securities borrowed and loaned portfolios, as described in Note 21 to the Consolidated Financial Statements. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
The following tables present the gross and net resale and repurchase agreements and securities borrowing and lending
agreements and the related offsetting amount 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 occurred and a legal opinion supporting enforceability of the offsetting rights has been obtained. Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.
|
|
As of March 31, 2017
|
||||||||||||||
|
In millions of dollars
|
Gross amounts
of recognized assets |
Gross amounts
offset on the Consolidated Balance Sheet (1) |
Net amounts of
assets included on the Consolidated Balance Sheet (2) |
Amounts
not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default (3) |
Net
amounts (4) |
||||||||||
|
Securities purchased under agreements to resell
|
$
|
185,844
|
|
$
|
50,920
|
|
$
|
134,924
|
|
$
|
102,227
|
|
$
|
32,697
|
|
|
Deposits paid for securities borrowed
|
108,005
|
|
—
|
|
108,005
|
|
20,622
|
|
87,383
|
|
|||||
|
Total
|
$
|
293,849
|
|
$
|
50,920
|
|
$
|
242,929
|
|
$
|
122,849
|
|
$
|
120,080
|
|
107
|
In millions of dollars
|
Gross amounts
of recognized liabilities |
Gross amounts
offset on the Consolidated Balance Sheet (1) |
Net amounts of
liabilities included on the Consolidated Balance Sheet (2) |
Amounts
not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default (3) |
Net
amounts (4) |
||||||||||
|
Securities sold under agreements to repurchase
|
$
|
184,049
|
|
$
|
50,920
|
|
$
|
133,129
|
|
$
|
66,956
|
|
$
|
66,173
|
|
|
Deposits received for securities loaned
|
14,968
|
|
—
|
|
14,968
|
|
3,447
|
|
11,521
|
|
|||||
|
Total
|
$
|
199,017
|
|
$
|
50,920
|
|
$
|
148,097
|
|
$
|
70,403
|
|
$
|
77,694
|
|
|
|
As of December 31, 2016
|
||||||||||||||
|
In millions of dollars
|
Gross amounts
of recognized assets |
Gross amounts
offset on the Consolidated Balance Sheet (1) |
Net amounts of
assets included on the Consolidated Balance Sheet (2) |
Amounts
not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default (3) |
Net
amounts (4) |
||||||||||
|
Securities purchased under agreements to resell
|
$
|
176,284
|
|
$
|
44,811
|
|
$
|
131,473
|
|
$
|
102,874
|
|
$
|
28,599
|
|
|
Deposits paid for securities borrowed
|
105,340
|
|
—
|
|
105,340
|
|
16,200
|
|
89,140
|
|
|||||
|
Total
|
$
|
281,624
|
|
$
|
44,811
|
|
$
|
236,813
|
|
$
|
119,074
|
|
$
|
117,739
|
|
|
In millions of dollars
|
Gross amounts
of recognized liabilities |
Gross amounts
offset on the Consolidated Balance Sheet (1) |
Net amounts of
liabilities included on the Consolidated Balance Sheet (2) |
Amounts
not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default (3) |
Net
amounts (4) |
||||||||||
|
Securities sold under agreements to repurchase
|
$
|
170,496
|
|
$
|
44,811
|
|
$
|
125,685
|
|
$
|
63,517
|
|
$
|
62,168
|
|
|
Deposits received for securities loaned
|
15,958
|
|
—
|
|
15,958
|
|
3,529
|
|
12,429
|
|
|||||
|
Total
|
$
|
186,454
|
|
$
|
44,811
|
|
$
|
141,643
|
|
$
|
67,046
|
|
$
|
74,597
|
|
|
(1)
|
Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
|
|
(2)
|
The total of this column for each period excludes Federal funds sold/purchased. See tables above.
|
|
(3)
|
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.
|
|
(4)
|
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 amount of liabilities associated with repurchase agreements and securities lending agreements, by remaining contractual maturity:
|
As of March 31, 2017
|
|||||||||||||||
|
In millions of dollars
|
Open and overnight
|
Up to 30 days
|
31–90 days
|
Greater than 90 days
|
Total
|
||||||||||
|
Securities sold under agreements to repurchase
|
$
|
82,260
|
|
$
|
55,581
|
|
$
|
20,438
|
|
$
|
25,770
|
|
$
|
184,049
|
|
|
Deposits received for securities loaned
|
9,997
|
|
1,274
|
|
2,062
|
|
1,635
|
|
14,968
|
|
|||||
|
Total
|
$
|
92,257
|
|
$
|
56,855
|
|
$
|
22,500
|
|
$
|
27,405
|
|
$
|
199,017
|
|
|
As of December 31, 2016
|
|||||||||||||||
|
In millions of dollars
|
Open and overnight
|
Up to 30 days
|
31–90 days
|
Greater than 90 days
|
Total
|
||||||||||
|
Securities sold under agreements to repurchase
|
$
|
79,740
|
|
$
|
50,399
|
|
$
|
19,396
|
|
$
|
20,961
|
|
$
|
170,496
|
|
|
Deposits received for securities loaned
|
10,813
|
|
2,169
|
|
2,044
|
|
932
|
|
15,958
|
|
|||||
|
Total
|
$
|
90,553
|
|
$
|
52,568
|
|
$
|
21,440
|
|
$
|
21,893
|
|
$
|
186,454
|
|
108
The following tables present the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by class of underlying collateral:
|
As of March 31, 2017
|
|||||||||
|
In millions of dollars
|
Repurchase agreements
|
Securities lending agreements
|
Total
|
||||||
|
U.S. Treasury and federal agency securities
|
$
|
67,821
|
|
$
|
78
|
|
$
|
67,899
|
|
|
State and municipal securities
|
794
|
|
—
|
|
794
|
|
|||
|
Foreign government securities
|
65,167
|
|
1,145
|
|
66,312
|
|
|||
|
Corporate bonds
|
19,098
|
|
698
|
|
19,796
|
|
|||
|
Equity securities
|
10,756
|
|
12,593
|
|
23,349
|
|
|||
|
Mortgage-backed securities
|
10,428
|
|
—
|
|
10,428
|
|
|||
|
Asset-backed securities
|
6,016
|
|
—
|
|
6,016
|
|
|||
|
Other
|
3,969
|
|
454
|
|
4,423
|
|
|||
|
Total
|
$
|
184,049
|
|
$
|
14,968
|
|
$
|
199,017
|
|
|
As of December 31, 2016
|
|||||||||
|
In millions of dollars
|
Repurchase agreements
|
Securities lending agreements
|
Total
|
||||||
|
U.S. Treasury and federal agency securities
|
$
|
66,263
|
|
$
|
—
|
|
$
|
66,263
|
|
|
State and municipal securities
|
334
|
|
—
|
|
334
|
|
|||
|
Foreign government securities
|
52,988
|
|
1,390
|
|
54,378
|
|
|||
|
Corporate bonds
|
17,164
|
|
630
|
|
17,794
|
|
|||
|
Equity securities
|
12,206
|
|
13,913
|
|
26,119
|
|
|||
|
Mortgage-backed securities
|
11,421
|
|
—
|
|
11,421
|
|
|||
|
Asset-backed securities
|
5,428
|
|
—
|
|
5,428
|
|
|||
|
Other
|
4,692
|
|
25
|
|
4,717
|
|
|||
|
Total
|
$
|
170,496
|
|
$
|
15,958
|
|
$
|
186,454
|
|
109
11. BROKERAGE RECEIVABLES AND BROKERAGE
PAYABLES
The Company has receivables and payables for financial instruments sold to and purchased from brokers, dealers and customers, which arise in the ordinary course of business.
For additional information on these receivables and payables, see Note 12 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
Brokerage receivables
and
Brokerage payables
consisted of the following:
|
In millions of dollars
|
March 31,
2017 |
December 31, 2016
|
||||
|
Receivables from customers
|
$
|
12,452
|
|
$
|
10,374
|
|
|
Receivables from brokers, dealers, and clearing organizations
|
24,436
|
|
18,513
|
|
||
|
Total brokerage receivables
(1)
|
$
|
36,888
|
|
$
|
28,887
|
|
|
Payables to customers
|
$
|
37,769
|
|
$
|
37,237
|
|
|
Payables to brokers, dealers, and clearing organizations
|
21,886
|
|
19,915
|
|
||
|
Total brokerage payables
(1)
|
$
|
59,655
|
|
$
|
57,152
|
|
|
(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.
|
12. INVESTMENTS
For additional information regarding Citi’s investment portfolios, including evaluating investments for other-than-temporary impairment, see Note 13 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
Overview
The following table presents Citi’s investments by category:
|
In millions of dollars
|
March 31,
2017 |
December 31,
2016 |
|||||
|
Securities available-for-sale (AFS)
|
$
|
290,282
|
|
$
|
299,424
|
|
|
|
Debt securities held-to-maturity (HTM)
(1)
|
47,942
|
|
45,667
|
|
|||
|
Non-marketable equity securities carried at fair value
(2)
|
1,529
|
|
1,774
|
|
|||
|
Non-marketable equity securities carried at cost
(3)
|
6,080
|
|
6,439
|
|
|||
|
Total investments
|
$
|
345,833
|
|
$
|
353,304
|
|
|
|
(1)
|
Carried at adjusted amortized cost basis, net of any credit-related impairment.
|
|
(2)
|
Unrealized gains and losses for non-marketable equity securities carried at fair value are recognized in earnings.
|
|
(3)
|
Primarily consists of shares issued by the Federal Reserve Bank, Federal Home Loan Banks and various clearing houses of which Citigroup is a member.
|
The following table presents interest and dividend income on investments:
|
Three months ended March 31,
|
||||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Taxable interest
|
$
|
1,760
|
|
$
|
1,677
|
|
|
Interest exempt from U.S. federal income tax
|
146
|
|
143
|
|
||
|
Dividend income
|
54
|
|
35
|
|
||
|
Total interest and dividend income
|
$
|
1,960
|
|
$
|
1,855
|
|
110
The following table presents realized gains and losses on the sales of investments, which excludes losses from other-than-temporary impairment (OTTI):
|
Three months ended March 31,
|
||||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Gross realized investment gains
|
$
|
288
|
|
$
|
379
|
|
|
Gross realized investment losses
|
(96
|
)
|
(193
|
)
|
||
|
Net realized gains on sale of investments
|
$
|
192
|
|
$
|
186
|
|
Securities Available-for-Sale
The amortized cost and fair value of AFS securities were as follows:
|
|
March 31, 2017
|
December 31, 2016
|
||||||||||||||||||||||
|
In millions of dollars
|
Amortized
cost
|
Gross
unrealized
gains
|
Gross
unrealized
losses
|
Fair
value
|
Amortized
cost
|
Gross
unrealized
gains
|
Gross
unrealized
losses
|
Fair
value
|
||||||||||||||||
|
Securities AFS
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
Mortgage-backed securities
(1)
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
U.S. government-sponsored agency guaranteed
|
$
|
35,951
|
|
$
|
241
|
|
$
|
489
|
|
$
|
35,703
|
|
$
|
38,663
|
|
$
|
248
|
|
$
|
506
|
|
$
|
38,405
|
|
|
Prime
|
2
|
|
—
|
|
—
|
|
2
|
|
2
|
|
—
|
|
—
|
|
2
|
|
||||||||
|
Alt-A
|
38
|
|
9
|
|
—
|
|
47
|
|
43
|
|
7
|
|
—
|
|
50
|
|
||||||||
|
Non-U.S. residential
|
3,416
|
|
31
|
|
22
|
|
3,425
|
|
3,852
|
|
13
|
|
7
|
|
3,858
|
|
||||||||
|
Commercial
|
360
|
|
1
|
|
1
|
|
360
|
|
357
|
|
2
|
|
1
|
|
358
|
|
||||||||
|
Total mortgage-backed securities
|
$
|
39,767
|
|
$
|
282
|
|
$
|
512
|
|
$
|
39,537
|
|
$
|
42,917
|
|
$
|
270
|
|
$
|
514
|
|
$
|
42,673
|
|
|
U.S. Treasury and federal agency securities
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
U.S. Treasury
|
$
|
107,543
|
|
$
|
637
|
|
$
|
396
|
|
$
|
107,784
|
|
$
|
113,606
|
|
$
|
629
|
|
$
|
452
|
|
$
|
113,783
|
|
|
Agency obligations
|
9,910
|
|
23
|
|
70
|
|
9,863
|
|
9,952
|
|
21
|
|
85
|
|
9,888
|
|
||||||||
|
Total U.S. Treasury and federal agency securities
|
$
|
117,453
|
|
$
|
660
|
|
$
|
466
|
|
$
|
117,647
|
|
$
|
123,558
|
|
$
|
650
|
|
$
|
537
|
|
$
|
123,671
|
|
|
State and municipal
|
$
|
10,228
|
|
$
|
81
|
|
$
|
684
|
|
$
|
9,625
|
|
$
|
10,797
|
|
$
|
80
|
|
$
|
757
|
|
$
|
10,120
|
|
|
Foreign government
|
99,974
|
|
623
|
|
467
|
|
100,130
|
|
98,112
|
|
590
|
|
554
|
|
98,148
|
|
||||||||
|
Corporate
|
15,897
|
|
91
|
|
109
|
|
15,879
|
|
17,195
|
|
105
|
|
176
|
|
17,124
|
|
||||||||
|
Asset-backed securities
(1)
|
6,522
|
|
9
|
|
8
|
|
6,523
|
|
6,810
|
|
6
|
|
22
|
|
6,794
|
|
||||||||
|
Other debt securities
|
550
|
|
—
|
|
—
|
|
550
|
|
503
|
|
—
|
|
—
|
|
503
|
|
||||||||
|
Total debt securities AFS
|
$
|
290,391
|
|
$
|
1,746
|
|
$
|
2,246
|
|
$
|
289,891
|
|
$
|
299,892
|
|
$
|
1,701
|
|
$
|
2,560
|
|
$
|
299,033
|
|
|
Marketable equity securities AFS
|
$
|
368
|
|
$
|
28
|
|
$
|
5
|
|
$
|
391
|
|
$
|
377
|
|
$
|
20
|
|
$
|
6
|
|
$
|
391
|
|
|
Total securities AFS
|
$
|
290,759
|
|
$
|
1,774
|
|
$
|
2,251
|
|
$
|
290,282
|
|
$
|
300,269
|
|
$
|
1,721
|
|
$
|
2,566
|
|
$
|
299,424
|
|
|
(1)
|
The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
|
111
The following shows the fair value of AFS securities that have been in an unrealized loss position:
|
|
Less than 12 months
|
12 months or longer
|
Total
|
|||||||||||||||
|
In millions of dollars
|
Fair
value
|
Gross
unrealized
losses
|
Fair
value
|
Gross
unrealized
losses
|
Fair
value
|
Gross
unrealized
losses
|
||||||||||||
|
March 31, 2017
|
|
|
|
|
|
|
||||||||||||
|
Securities AFS
|
|
|
|
|
|
|
||||||||||||
|
Mortgage-backed securities
|
|
|
|
|
|
|
||||||||||||
|
U.S. government-sponsored agency guaranteed
|
$
|
21,496
|
|
$
|
423
|
|
$
|
2,043
|
|
$
|
66
|
|
$
|
23,539
|
|
$
|
489
|
|
|
Non-U.S. residential
|
423
|
|
1
|
|
803
|
|
21
|
|
1,226
|
|
22
|
|
||||||
|
Commercial
|
91
|
|
1
|
|
49
|
|
—
|
|
140
|
|
1
|
|
||||||
|
Total mortgage-backed securities
|
$
|
22,010
|
|
$
|
425
|
|
$
|
2,895
|
|
$
|
87
|
|
$
|
24,905
|
|
$
|
512
|
|
|
U.S. Treasury and federal agency securities
|
|
|
|
|
|
|
||||||||||||
|
U.S. Treasury
|
$
|
38,221
|
|
$
|
393
|
|
$
|
955
|
|
$
|
3
|
|
$
|
39,176
|
|
$
|
396
|
|
|
Agency obligations
|
6,099
|
|
70
|
|
145
|
|
—
|
|
6,244
|
|
70
|
|
||||||
|
Total U.S. Treasury and federal agency securities
|
$
|
44,320
|
|
$
|
463
|
|
$
|
1,100
|
|
$
|
3
|
|
$
|
45,420
|
|
$
|
466
|
|
|
State and municipal
|
$
|
1,039
|
|
$
|
47
|
|
$
|
2,883
|
|
$
|
637
|
|
$
|
3,922
|
|
$
|
684
|
|
|
Foreign government
|
33,770
|
|
173
|
|
11,624
|
|
294
|
|
45,394
|
|
467
|
|
||||||
|
Corporate
|
6,278
|
|
93
|
|
881
|
|
16
|
|
7,159
|
|
109
|
|
||||||
|
Asset-backed securities
|
221
|
|
—
|
|
1,369
|
|
8
|
|
1,590
|
|
8
|
|
||||||
|
Other debt securities
|
70
|
|
—
|
|
—
|
|
—
|
|
70
|
|
—
|
|
||||||
|
Marketable equity securities AFS
|
13
|
|
1
|
|
66
|
|
4
|
|
79
|
|
5
|
|
||||||
|
Total securities AFS
|
$
|
107,721
|
|
$
|
1,202
|
|
$
|
20,818
|
|
$
|
1,049
|
|
$
|
128,539
|
|
$
|
2,251
|
|
|
December 31, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Securities AFS
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Mortgage-backed securities
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
U.S. government-sponsored agency guaranteed
|
$
|
23,534
|
|
$
|
436
|
|
$
|
2,236
|
|
$
|
70
|
|
$
|
25,770
|
|
$
|
506
|
|
|
Prime
|
1
|
|
—
|
|
—
|
|
—
|
|
1
|
|
—
|
|
||||||
|
Non-U.S. residential
|
486
|
|
—
|
|
1,276
|
|
7
|
|
1,762
|
|
7
|
|
||||||
|
Commercial
|
75
|
|
1
|
|
58
|
|
—
|
|
133
|
|
1
|
|
||||||
|
Total mortgage-backed securities
|
$
|
24,096
|
|
$
|
437
|
|
$
|
3,570
|
|
$
|
77
|
|
$
|
27,666
|
|
$
|
514
|
|
|
U.S. Treasury and federal agency securities
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
U.S. Treasury
|
$
|
44,342
|
|
$
|
445
|
|
$
|
1,335
|
|
$
|
7
|
|
$
|
45,677
|
|
$
|
452
|
|
|
Agency obligations
|
6,552
|
|
83
|
|
250
|
|
2
|
|
6,802
|
|
85
|
|
||||||
|
Total U.S. Treasury and federal agency securities
|
$
|
50,894
|
|
$
|
528
|
|
$
|
1,585
|
|
$
|
9
|
|
$
|
52,479
|
|
$
|
537
|
|
|
State and municipal
|
$
|
1,616
|
|
$
|
55
|
|
$
|
3,116
|
|
$
|
702
|
|
$
|
4,732
|
|
$
|
757
|
|
|
Foreign government
|
38,226
|
|
243
|
|
8,973
|
|
311
|
|
47,199
|
|
554
|
|
||||||
|
Corporate
|
7,011
|
|
129
|
|
1,877
|
|
47
|
|
8,888
|
|
176
|
|
||||||
|
Asset-backed securities
|
411
|
|
—
|
|
3,213
|
|
22
|
|
3,624
|
|
22
|
|
||||||
|
Other debt securities
|
5
|
|
—
|
|
—
|
|
—
|
|
5
|
|
—
|
|
||||||
|
Marketable equity securities AFS
|
19
|
|
2
|
|
24
|
|
4
|
|
43
|
|
6
|
|
||||||
|
Total securities AFS
|
$
|
122,278
|
|
$
|
1,394
|
|
$
|
22,358
|
|
$
|
1,172
|
|
$
|
144,636
|
|
$
|
2,566
|
|
112
The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
|
|
March 31, 2017
|
December 31, 2016
|
||||||||||
|
In millions of dollars
|
Amortized
cost
|
Fair
value
|
Amortized
cost
|
Fair
value
|
||||||||
|
Mortgage-backed securities
(1)
|
|
|
|
|
||||||||
|
Due within 1 year
|
$
|
127
|
|
$
|
127
|
|
$
|
132
|
|
$
|
132
|
|
|
After 1 but within 5 years
|
633
|
|
635
|
|
736
|
|
738
|
|
||||
|
After 5 but within 10 years
|
1,888
|
|
1,877
|
|
2,279
|
|
2,265
|
|
||||
|
After 10 years
(2)
|
37,119
|
|
36,898
|
|
39,770
|
|
39,538
|
|
||||
|
Total
|
$
|
39,767
|
|
$
|
39,537
|
|
$
|
42,917
|
|
$
|
42,673
|
|
|
U.S. Treasury and federal agency securities
|
|
|
|
|
||||||||
|
Due within 1 year
|
$
|
4,182
|
|
$
|
4,161
|
|
$
|
4,945
|
|
$
|
4,945
|
|
|
After 1 but within 5 years
|
101,314
|
|
101,367
|
|
101,369
|
|
101,323
|
|
||||
|
After 5 but within 10 years
|
11,920
|
|
12,082
|
|
17,153
|
|
17,314
|
|
||||
|
After 10 years
(2)
|
37
|
|
37
|
|
91
|
|
89
|
|
||||
|
Total
|
$
|
117,453
|
|
$
|
117,647
|
|
$
|
123,558
|
|
$
|
123,671
|
|
|
State and municipal
|
|
|
|
|
||||||||
|
Due within 1 year
|
$
|
2,057
|
|
$
|
2,057
|
|
$
|
2,093
|
|
$
|
2,092
|
|
|
After 1 but within 5 years
|
2,675
|
|
2,674
|
|
2,668
|
|
2,662
|
|
||||
|
After 5 but within 10 years
|
319
|
|
316
|
|
335
|
|
334
|
|
||||
|
After 10 years
(2)
|
5,177
|
|
4,578
|
|
5,701
|
|
5,032
|
|
||||
|
Total
|
$
|
10,228
|
|
$
|
9,625
|
|
$
|
10,797
|
|
$
|
10,120
|
|
|
Foreign government
|
|
|
|
|
||||||||
|
Due within 1 year
|
$
|
31,111
|
|
$
|
31,140
|
|
$
|
32,540
|
|
$
|
32,547
|
|
|
After 1 but within 5 years
|
53,827
|
|
53,747
|
|
51,008
|
|
50,881
|
|
||||
|
After 5 but within 10 years
|
12,402
|
|
12,478
|
|
12,388
|
|
12,440
|
|
||||
|
After 10 years
(2)
|
2,634
|
|
2,765
|
|
2,176
|
|
2,280
|
|
||||
|
Total
|
$
|
99,974
|
|
$
|
100,130
|
|
$
|
98,112
|
|
$
|
98,148
|
|
|
All other
(3)
|
|
|
|
|
||||||||
|
Due within 1 year
|
$
|
3,443
|
|
$
|
3,243
|
|
$
|
2,629
|
|
$
|
2,628
|
|
|
After 1 but within 5 years
|
10,306
|
|
10,526
|
|
12,339
|
|
12,334
|
|
||||
|
After 5 but within 10 years
|
6,250
|
|
6,242
|
|
6,566
|
|
6,528
|
|
||||
|
After 10 years
(2)
|
2,970
|
|
2,941
|
|
2,974
|
|
2,931
|
|
||||
|
Total
|
$
|
22,969
|
|
$
|
22,952
|
|
$
|
24,508
|
|
$
|
24,421
|
|
|
Total debt securities AFS
|
$
|
290,391
|
|
$
|
289,891
|
|
$
|
299,892
|
|
$
|
299,033
|
|
|
(1)
|
Includes mortgage-backed securities of U.S. government-sponsored agencies.
|
|
(2)
|
Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
|
|
(3)
|
Includes corporate, asset-backed and other debt securities.
|
113
Debt Securities Held-to-Maturity
The carrying value and fair value of debt securities HTM were as follows:
|
In millions of dollars
|
Amortized
cost basis
(1)
|
Net unrealized gains
(losses)
recognized in
AOCI
|
Carrying
value
(2)
|
Gross
unrealized
gains
|
Gross
unrealized
(losses)
|
Fair
value
|
||||||||||||
|
March 31, 2017
|
|
|
|
|
|
|||||||||||||
|
Debt securities held-to-maturity
|
|
|
|
|
|
|
||||||||||||
|
Mortgage-backed securities
(3)
|
|
|
|
|
|
|
||||||||||||
|
U.S. government agency guaranteed
|
$
|
23,998
|
|
$
|
27
|
|
$
|
24,025
|
|
$
|
46
|
|
$
|
(204
|
)
|
$
|
23,867
|
|
|
Prime
|
7
|
|
—
|
|
7
|
|
10
|
|
—
|
|
17
|
|
||||||
|
Alt-A
|
303
|
|
(25
|
)
|
278
|
|
78
|
|
—
|
|
356
|
|
||||||
|
Non-U.S. residential
|
1,828
|
|
(46
|
)
|
1,782
|
|
60
|
|
—
|
|
1,842
|
|
||||||
|
Commercial
|
26
|
|
—
|
|
26
|
|
—
|
|
—
|
|
26
|
|
||||||
|
Total mortgage-backed securities
|
$
|
26,162
|
|
$
|
(44
|
)
|
$
|
26,118
|
|
$
|
194
|
|
$
|
(204
|
)
|
$
|
26,108
|
|
|
State and municipal
|
$
|
9,530
|
|
$
|
(468
|
)
|
$
|
9,062
|
|
$
|
163
|
|
$
|
(224
|
)
|
$
|
9,001
|
|
|
Foreign government
|
1,202
|
|
—
|
|
1,202
|
|
—
|
|
(21
|
)
|
1,181
|
|
||||||
|
Asset-backed securities
(3)
|
11,565
|
|
(5
|
)
|
11,560
|
|
63
|
|
(6
|
)
|
11,617
|
|
||||||
|
Total debt securities held-to-maturity
|
$
|
48,459
|
|
$
|
(517
|
)
|
$
|
47,942
|
|
$
|
420
|
|
$
|
(455
|
)
|
$
|
47,907
|
|
|
December 31, 2016
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Debt securities held-to-maturity
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Mortgage-backed securities
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
U.S. government agency guaranteed
|
$
|
22,462
|
|
$
|
33
|
|
$
|
22,495
|
|
$
|
47
|
|
$
|
(186
|
)
|
$
|
22,356
|
|
|
Prime
|
31
|
|
(7
|
)
|
24
|
|
10
|
|
(1
|
)
|
33
|
|
||||||
|
Alt-A
|
314
|
|
(27
|
)
|
287
|
|
69
|
|
(1
|
)
|
355
|
|
||||||
|
Non-U.S. residential
|
1,871
|
|
(47
|
)
|
1,824
|
|
49
|
|
—
|
|
1,873
|
|
||||||
|
Commercial
|
14
|
|
—
|
|
14
|
|
—
|
|
—
|
|
14
|
|
||||||
|
Total mortgage-backed securities
|
$
|
24,692
|
|
$
|
(48
|
)
|
$
|
24,644
|
|
$
|
175
|
|
$
|
(188
|
)
|
$
|
24,631
|
|
|
State and municipal
|
$
|
9,025
|
|
$
|
(442
|
)
|
$
|
8,583
|
|
$
|
129
|
|
$
|
(238
|
)
|
$
|
8,474
|
|
|
Foreign government
|
1,339
|
|
—
|
|
1,339
|
|
—
|
|
(26
|
)
|
1,313
|
|
||||||
|
Asset-backed securities
(3)
|
11,107
|
|
(6
|
)
|
11,101
|
|
41
|
|
(5
|
)
|
11,137
|
|
||||||
|
Total debt securities held-to-maturity
(4)
|
$
|
46,163
|
|
$
|
(496
|
)
|
$
|
45,667
|
|
$
|
345
|
|
$
|
(457
|
)
|
$
|
45,555
|
|
|
(1)
|
For securities transferred to HTM from
Trading account assets
, amortized cost basis is defined as the fair value of the securities at the date of transfer plus any accretion income and less any impairments recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any other-than-temporary impairment recognized in earnings.
|
|
(2)
|
HTM securities are carried on the Consolidated Balance Sheet at amortized cost basis, plus or minus any unamortized unrealized gains and losses and fair value hedge adjustments recognized in AOCI prior to reclassifying the securities from AFS to HTM. Changes in the values of these securities are not reported in the financial statements, except for the amortization of any difference between the carrying value at the transfer date and par value of the securities, and the recognition of any non-credit fair value adjustments in AOCI in connection with the recognition of any credit impairment in earnings related to securities the Company continues to intend to hold until maturity.
|
|
(3)
|
The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
|
|
(4)
|
During the fourth quarter of 2016, securities with a total fair value of approximately
$5.8 billion
were transferred from AFS to HTM, composed of
$5 billion
of U.S. government agency mortgage-backed securities and
$830 million
of municipal securities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call, in part, in order to reduce the impact of price volatility on AOCI and certain capital measures under Basel III. While these securities were transferred to HTM at fair value as of the transfer date, no subsequent changes in value may be recorded, other than in connection with the recognition of any subsequent other-than-temporary impairment and the amortization of differences between the carrying values at the transfer date and the par values of each security as an adjustment of yield over the remaining contractual life of each security. Any net unrealized holding losses within AOCI related to the respective securities at the date of transfer, inclusive of any cumulative fair value hedge adjustments, will be amortized over the remaining contractual life of each security as an adjustment of yield in a manner consistent with the amortization of any premium or discount.
|
114
The table below shows the fair value of debt securities HTM that have been in an unrecognized loss position:
|
|
Less than 12 months
|
12 months or longer
|
Total
|
|||||||||||||||
|
In millions of dollars
|
Fair
value |
Gross
unrecognized losses |
Fair
value |
Gross
unrecognized losses |
Fair
value |
Gross
unrecognized losses |
||||||||||||
|
March 31, 2017
|
|
|
|
|
|
|||||||||||||
|
Debt securities held-to-maturity
|
|
|
|
|
|
|
||||||||||||
|
Mortgage-backed securities
|
$
|
3
|
|
$
|
—
|
|
$
|
18,784
|
|
$
|
204
|
|
$
|
18,787
|
|
$
|
204
|
|
|
State and municipal
|
2,005
|
|
52
|
|
1,199
|
|
172
|
|
3,204
|
|
224
|
|
||||||
|
Foreign government
|
1,181
|
|
21
|
|
—
|
|
—
|
|
1,181
|
|
21
|
|
||||||
|
Asset-backed securities
|
—
|
|
—
|
|
1,348
|
|
6
|
|
1,348
|
|
6
|
|
||||||
|
Total debt securities held-to-maturity
|
$
|
3,189
|
|
$
|
73
|
|
$
|
21,331
|
|
$
|
382
|
|
$
|
24,520
|
|
$
|
455
|
|
|
December 31, 2016
|
|
|
|
|
|
|
||||||||||||
|
Debt securities held-to-maturity
|
|
|
|
|
|
|
||||||||||||
|
Mortgage-backed securities
|
$
|
17
|
|
$
|
—
|
|
$
|
17,176
|
|
$
|
188
|
|
$
|
17,193
|
|
$
|
188
|
|
|
State and municipal
|
2,200
|
|
58
|
|
1,210
|
|
180
|
|
3,410
|
|
238
|
|
||||||
|
Foreign government
|
1,313
|
|
26
|
|
—
|
|
—
|
|
1,313
|
|
26
|
|
||||||
|
Asset-backed securities
|
2
|
|
—
|
|
2,503
|
|
5
|
|
2,505
|
|
5
|
|
||||||
|
Total debt securities held-to-maturity
|
$
|
3,532
|
|
$
|
84
|
|
$
|
20,889
|
|
$
|
373
|
|
$
|
24,421
|
|
$
|
457
|
|
Note: Excluded from the gross unrecognized losses presented in the above table are
$(517) million
and
$(496) million
of net unrealized losses recorded in AOCI as of
March 31, 2017
and
December 31, 2016
, respectively, primarily related to the difference between the amortized cost and carrying value of HTM securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at
March 31, 2017
and
December 31, 2016
.
115
The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
|
|
March 31, 2017
|
December 31, 2016
|
||||||||||
|
In millions of dollars
|
Carrying value
|
Fair value
|
Carrying value
|
Fair value
|
||||||||
|
Mortgage-backed securities
|
|
|
|
|
||||||||
|
Due within 1 year
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
|
After 1 but within 5 years
|
755
|
|
758
|
|
760
|
|
766
|
|
||||
|
After 5 but within 10 years
|
53
|
|
54
|
|
54
|
|
55
|
|
||||
|
After 10 years
(1)
|
25,310
|
|
25,296
|
|
23,830
|
|
23,810
|
|
||||
|
Total
|
$
|
26,118
|
|
$
|
26,108
|
|
$
|
24,644
|
|
$
|
24,631
|
|
|
State and municipal
|
|
|
|
|
||||||||
|
Due within 1 year
|
$
|
358
|
|
$
|
358
|
|
$
|
406
|
|
$
|
406
|
|
|
After 1 but within 5 years
|
147
|
|
148
|
|
112
|
|
110
|
|
||||
|
After 5 but within 10 years
|
344
|
|
349
|
|
363
|
|
367
|
|
||||
|
After 10 years
(1)
|
8,213
|
|
8,146
|
|
7,702
|
|
7,591
|
|
||||
|
Total
|
$
|
9,062
|
|
$
|
9,001
|
|
$
|
8,583
|
|
$
|
8,474
|
|
|
Foreign government
|
|
|
|
|
||||||||
|
Due within 1 year
|
$
|
637
|
|
$
|
637
|
|
$
|
824
|
|
$
|
818
|
|
|
After 1 but within 5 years
|
565
|
|
544
|
|
515
|
|
495
|
|
||||
|
After 5 but within 10 years
|
—
|
|
—
|
|
—
|
|
—
|
|
||||
|
After 10 years
(1)
|
—
|
|
—
|
|
—
|
|
—
|
|
||||
|
Total
|
$
|
1,202
|
|
$
|
1,181
|
|
$
|
1,339
|
|
$
|
1,313
|
|
|
All other
(2)
|
|
|
|
|
||||||||
|
Due within 1 year
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
|
After 1 but within 5 years
|
—
|
|
—
|
|
—
|
|
—
|
|
||||
|
After 5 but within 10 years
|
500
|
|
501
|
|
513
|
|
514
|
|
||||
|
After 10 years
(1)
|
11,060
|
|
11,116
|
|
10,588
|
|
10,623
|
|
||||
|
Total
|
$
|
11,560
|
|
$
|
11,617
|
|
$
|
11,101
|
|
$
|
11,137
|
|
|
Total debt securities held-to-maturity
|
$
|
47,942
|
|
$
|
47,907
|
|
$
|
45,667
|
|
$
|
45,555
|
|
|
(1)
|
Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
|
|
(2)
|
Includes corporate and asset-backed securities.
|
Recognition and Measurement of OTTI
The following tables present total OTTI recognized in earnings:
|
OTTI on Investments and Other assets
|
Three months ended
March 31, 2017 |
|||||||||||
|
In millions of dollars
|
AFS
(1)
|
HTM
|
Other
assets |
Total
|
||||||||
|
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:
|
|
|
|
|
||||||||
|
Total OTTI losses recognized during the period
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
|
Less: portion of impairment loss recognized in AOCI (before taxes)
|
—
|
|
—
|
|
—
|
|
—
|
|
||||
|
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
|
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise
|
11
|
|
1
|
|
—
|
|
12
|
|
||||
|
Total impairment losses recognized in earnings
|
$
|
11
|
|
$
|
1
|
|
$
|
—
|
|
$
|
12
|
|
|
(1)
|
Includes OTTI on non-marketable equity securities.
|
116
|
OTTI on Investments and Other assets
|
Three months ended
March 31, 2016 |
|||||||||||
|
In millions of dollars
|
AFS
(1)(2)
|
HTM
|
Other
assets (3) |
Total
|
||||||||
|
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:
|
|
|
|
|
||||||||
|
Total OTTI losses recognized during the period
|
$
|
1
|
|
$
|
—
|
|
$
|
—
|
|
$
|
1
|
|
|
Less: portion of impairment loss recognized in AOCI (before taxes)
|
—
|
|
—
|
|
—
|
|
—
|
|
||||
|
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell
|
$
|
1
|
|
$
|
—
|
|
$
|
—
|
|
$
|
1
|
|
|
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses
|
195
|
|
7
|
|
262
|
|
464
|
|
||||
|
Total impairment losses recognized in earnings
|
$
|
196
|
|
$
|
7
|
|
$
|
262
|
|
$
|
465
|
|
|
(1)
|
Includes OTTI on non-marketable equity securities.
|
|
(2)
|
Includes a
$160 million
impairment related to AFS securities affected by changes in the Venezuela exchange rate during the
three
months ended
March 31, 2016
.
|
|
(3)
|
The impairment charge is related to the carrying value of an equity investment.
|
The following are three-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities held that the Company does not intend to sell nor likely will be required to sell:
|
|
Cumulative OTTI credit losses recognized in earnings on securities still held
|
||||||||||||||
|
In millions of dollars
|
Dec. 31, 2016 balance
|
Credit
impairments recognized in earnings on securities not previously impaired |
Credit
impairments recognized in earnings on securities that have been previously impaired |
Reductions due to
credit-impaired securities sold, transferred or matured |
March 31, 2017 balance
|
||||||||||
|
AFS debt securities
|
|
|
|
|
|
||||||||||
|
Mortgage-backed securities
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
|
State and municipal
|
4
|
|
—
|
|
—
|
|
—
|
|
4
|
|
|||||
|
Foreign government securities
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||
|
Corporate
|
5
|
|
—
|
|
—
|
|
(1
|
)
|
4
|
|
|||||
|
All other debt securities
|
22
|
|
—
|
|
—
|
|
—
|
|
22
|
|
|||||
|
Total OTTI credit losses recognized for AFS debt securities
|
$
|
31
|
|
$
|
—
|
|
$
|
—
|
|
$
|
(1
|
)
|
$
|
30
|
|
|
HTM debt securities
|
|
|
|
|
|
||||||||||
|
Mortgage-backed securities
(1)
|
$
|
101
|
|
$
|
—
|
|
$
|
—
|
|
$
|
(4
|
)
|
$
|
97
|
|
|
State and municipal
|
3
|
|
—
|
|
—
|
|
—
|
|
3
|
|
|||||
|
Total OTTI credit losses recognized for HTM debt securities
|
$
|
104
|
|
$
|
—
|
|
$
|
—
|
|
$
|
(4
|
)
|
$
|
100
|
|
|
(1)
|
Primarily consists of Alt-A securities.
|
117
|
|
Cumulative OTTI credit losses recognized in earnings on securities still held
|
||||||||||||||
|
In millions of dollars
|
Dec. 31, 2015 balance
|
Credit
impairments recognized in earnings on securities not previously impaired |
Credit
impairments recognized in earnings on securities that have been previously impaired |
Reductions due to
credit-impaired securities sold, transferred or matured |
Mar. 31, 2016 balance
|
||||||||||
|
AFS debt securities
|
|
|
|
|
|
||||||||||
|
Mortgage-backed securities
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
|
State and municipal
|
12
|
|
—
|
|
—
|
|
(8
|
)
|
4
|
|
|||||
|
Foreign government securities
|
5
|
|
—
|
|
—
|
|
—
|
|
5
|
|
|||||
|
Corporate
|
9
|
|
1
|
|
—
|
|
(3
|
)
|
7
|
|
|||||
|
All other debt securities
|
47
|
|
—
|
|
—
|
|
(4
|
)
|
43
|
|
|||||
|
Total OTTI credit losses recognized for AFS debt securities
|
$
|
73
|
|
$
|
1
|
|
$
|
—
|
|
$
|
(15
|
)
|
$
|
59
|
|
|
HTM debt securities
|
|
|
|||||||||||||
|
Mortgage-backed securities
(1)
|
$
|
132
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
132
|
|
|
State and municipal
|
4
|
|
—
|
|
—
|
|
—
|
|
4
|
|
|||||
|
Total OTTI credit losses recognized for HTM debt securities
|
$
|
136
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
136
|
|
|
(1)
|
Primarily consists of Alt-A securities.
|
Investments in Alternative Investment Funds That Calculate Net Asset Value
The Company holds investments in certain alternative investment funds that calculate net asset value (NAV), or its equivalent, including hedge funds, private equity funds, funds of funds and real estate funds, as provided by third-party asset managers. Investments in such funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV of the Company’s ownership interest in the funds. Some of these investments are in “covered funds” for purposes of the Volcker
Rule, which prohibits certain proprietary investment activities and limits the ownership of, and relationships with, covered funds. On April 21, 2017, Citi’s request for extension of the permitted holding period under the Volcker Rule for certain of its investments in illiquid funds was approved, allowing the Company to hold such investments until the earlier of 5 years from the July 21, 2017 expiration date of the general conformance period, or the date such investments mature or are otherwise conformed with the Volcker Rule.
|
Fair value
|
Unfunded
commitments |
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
|
Redemption
notice
period
|
|||||||||||
|
In millions of dollars
|
March 31,
2017 |
December 31, 2016
|
March 31,
2017 |
December 31, 2016
|
||||||||||
|
Hedge funds
|
$
|
3
|
|
$
|
4
|
|
$
|
—
|
|
$
|
—
|
|
Generally quarterly
|
10–95 days
|
|
Private equity funds
(1)(2)
|
359
|
|
348
|
|
82
|
|
82
|
|
—
|
—
|
||||
|
Real estate funds
(2)(3)
|
54
|
|
56
|
|
21
|
|
20
|
|
—
|
—
|
||||
|
Total
|
$
|
416
|
|
$
|
408
|
|
$
|
103
|
|
$
|
102
|
|
—
|
—
|
|
(1)
|
Private equity funds include funds that invest in infrastructure, emerging markets and venture capital.
|
|
(2)
|
With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.
|
|
(3)
|
Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.
|
118
13. LOANS
Citigroup loans are reported in
two
categories—consumer and corporate. These categories are classified primarily according to the segment and subsegment that manage the loans. For additional information regarding Citi’s consumer and corporate loans, including related accounting policies, see Note 14 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
Consumer Loans
Consumer loans represent loans and leases managed primarily by
GCB
and
Corporate/Other
. The following table provides Citi’s consumer loans by loan type:
|
In millions of dollars
|
March 31, 2017
|
December 31, 2016
|
||||
|
In U.S. offices
|
|
|
||||
|
Mortgage and real estate
(1)
|
$
|
71,170
|
|
$
|
72,957
|
|
|
Installment, revolving credit, and other
|
3,252
|
|
3,395
|
|
||
|
Cards
|
125,799
|
|
132,654
|
|
||
|
Commercial and industrial
|
7,434
|
|
7,159
|
|
||
|
$
|
207,655
|
|
$
|
216,165
|
|
|
|
In offices outside the U.S.
|
|
|||||
|
Mortgage and real estate
(1)
|
$
|
43,822
|
|
$
|
42,803
|
|
|
Installment, revolving credit, and other
|
26,014
|
|
24,887
|
|
||
|
Cards
|
24,497
|
|
23,783
|
|
||
|
Commercial and industrial
|
17,728
|
|
16,568
|
|
||
|
Lease financing
|
83
|
|
81
|
|
||
|
$
|
112,144
|
|
$
|
108,122
|
|
|
|
Total consumer loans
|
$
|
319,799
|
|
$
|
324,287
|
|
|
Net unearned income
|
$
|
757
|
|
$
|
776
|
|
|
Consumer loans, net of unearned income
|
$
|
320,556
|
|
$
|
325,063
|
|
|
(1)
|
Loans secured primarily by real estate.
|
The Company sold and/or reclassified to held-for-sale
$2.3 billion
and
$2.7 billion
of consumer loans during the
three months
ended
March 31, 2017
and
2016
, respectively.
119
Consumer Loan Delinquency and Non-Accrual Details at
March 31, 2017
|
In millions of dollars
|
Total
current
(1)(2)
|
30–89 days
past due
(3)
|
≥ 90 days
past due
(3)
|
Past due
government
guaranteed
(4)
|
Total
loans
(2)
|
Total
non-accrual
|
90 days past due
and accruing
|
||||||||||||||
|
In North America offices
|
|
|
|
|
|
|
|||||||||||||||
|
Residential first mortgages
(5)
|
$
|
50,423
|
|
$
|
447
|
|
$
|
299
|
|
$
|
1,368
|
|
$
|
52,537
|
|
$
|
763
|
|
$
|
1,117
|
|
|
Home equity loans
(6)(7)
|
16,694
|
|
233
|
|
404
|
|
—
|
|
17,331
|
|
848
|
|
—
|
|
|||||||
|
Credit cards
|
123,638
|
|
1,362
|
|
1,433
|
|
—
|
|
126,433
|
|
—
|
|
1,433
|
|
|||||||
|
Installment and other
|
3,537
|
|
46
|
|
18
|
|
—
|
|
3,601
|
|
24
|
|
1
|
|
|||||||
|
Commercial banking loans
|
9,128
|
|
18
|
|
68
|
|
—
|
|
9,214
|
|
291
|
|
12
|
|
|||||||
|
Total
|
$
|
203,420
|
|
$
|
2,106
|
|
$
|
2,222
|
|
$
|
1,368
|
|
$
|
209,116
|
|
$
|
1,926
|
|
$
|
2,563
|
|
|
In offices outside North America
|
|
|
|
|
|
|
|
||||||||||||||
|
Residential first mortgages
(5)
|
$
|
36,624
|
|
$
|
245
|
|
$
|
156
|
|
$
|
—
|
|
$
|
37,025
|
|
$
|
400
|
|
$
|
—
|
|
|
Credit cards
|
23,272
|
|
394
|
|
331
|
|
—
|
|
23,997
|
|
272
|
|
242
|
|
|||||||
|
Installment and other
|
24,088
|
|
295
|
|
123
|
|
—
|
|
24,506
|
|
149
|
|
—
|
|
|||||||
|
Commercial banking loans
|
25,726
|
|
91
|
|
93
|
|
—
|
|
25,910
|
|
208
|
|
—
|
|
|||||||
|
Total
|
$
|
109,710
|
|
$
|
1,025
|
|
$
|
703
|
|
$
|
—
|
|
$
|
111,438
|
|
$
|
1,029
|
|
$
|
242
|
|
|
Total
GCB
and
Corporate/Other
consumer
|
$
|
313,130
|
|
$
|
3,131
|
|
$
|
2,925
|
|
$
|
1,368
|
|
$
|
320,554
|
|
$
|
2,955
|
|
$
|
2,805
|
|
|
Other
(8)
|
2
|
|
—
|
|
—
|
|
—
|
|
2
|
|
—
|
|
—
|
|
|||||||
|
Total Citigroup
|
$
|
313,132
|
|
$
|
3,131
|
|
$
|
2,925
|
|
$
|
1,368
|
|
$
|
320,556
|
|
$
|
2,955
|
|
$
|
2,805
|
|
|
(1)
|
Loans less than
30
days past due are presented as current.
|
|
(2)
|
Includes
$28 million
of residential first mortgages recorded at fair value.
|
|
(3)
|
Excludes loans guaranteed by U.S. government-sponsored entities.
|
|
(4)
|
Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of
$0.2 billion
and
90
days or more past due of
$1.2 billion
.
|
|
(5)
|
Includes approximately
$0.1 billion
of residential first mortgage loans in process of foreclosure.
|
|
(6)
|
Includes approximately
$0.1 billion
of home equity loans in process of foreclosure.
|
|
(7)
|
Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
|
|
(8)
|
Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the
Corporate/Other
consumer credit metrics.
|
120
Consumer Loan Delinquency and Non-Accrual Details at
December 31, 2016
|
In millions of dollars
|
Total
current
(1)(2)
|
30–89 days
past due
(3)
|
≥ 90 days
past due
(3)
|
Past due
government
guaranteed
(4)
|
Total
loans
(2)
|
Total
non-accrual
|
90 days past due
and accruing
|
||||||||||||||
|
In North America offices
|
|
|
|
|
|
|
|
||||||||||||||
|
Residential first mortgages
(5)
|
$
|
50,766
|
|
$
|
522
|
|
$
|
371
|
|
$
|
1,474
|
|
$
|
53,133
|
|
$
|
848
|
|
$
|
1,227
|
|
|
Home equity loans
(6)(7)
|
18,767
|
|
249
|
|
438
|
|
—
|
|
19,454
|
|
914
|
|
—
|
|
|||||||
|
Credit cards
|
130,327
|
|
1,465
|
|
1,509
|
|
—
|
|
133,301
|
|
—
|
|
1,509
|
|
|||||||
|
Installment and other
|
4,486
|
|
106
|
|
38
|
|
—
|
|
4,630
|
|
70
|
|
2
|
|
|||||||
|
Commercial banking loans
|
8,876
|
|
23
|
|
74
|
|
—
|
|
8,973
|
|
328
|
|
14
|
|
|||||||
|
Total
|
$
|
213,222
|
|
$
|
2,365
|
|
$
|
2,430
|
|
$
|
1,474
|
|
$
|
219,491
|
|
$
|
2,160
|
|
$
|
2,752
|
|
|
In offices outside North America
|
|
|
|
|
|
|
|
||||||||||||||
|
Residential first mortgages
(5)
|
$
|
35,862
|
|
$
|
206
|
|
$
|
135
|
|
$
|
—
|
|
$
|
36,203
|
|
$
|
360
|
|
$
|
—
|
|
|
Credit cards
|
22,363
|
|
368
|
|
324
|
|
—
|
|
23,055
|
|
258
|
|
239
|
|
|||||||
|
Installment and other
|
22,683
|
|
264
|
|
126
|
|
—
|
|
23,073
|
|
163
|
|
—
|
|
|||||||
|
Commercial banking loans
|
23,054
|
|
72
|
|
112
|
|
—
|
|
23,238
|
|
217
|
|
—
|
|
|||||||
|
Total
|
$
|
103,962
|
|
$
|
910
|
|
$
|
697
|
|
$
|
—
|
|
$
|
105,569
|
|
$
|
998
|
|
$
|
239
|
|
|
Total
GCB
and
Corporate/Other
consumer
|
$
|
317,184
|
|
$
|
3,275
|
|
$
|
3,127
|
|
$
|
1,474
|
|
$
|
325,060
|
|
$
|
3,158
|
|
$
|
2,991
|
|
|
Other
(8)
|
3
|
|
—
|
|
—
|
|
—
|
|
3
|
|
—
|
|
—
|
|
|||||||
|
Total Citigroup
|
$
|
317,187
|
|
$
|
3,275
|
|
$
|
3,127
|
|
$
|
1,474
|
|
$
|
325,063
|
|
$
|
3,158
|
|
$
|
2,991
|
|
|
(1)
|
Loans less than
30
days past due are presented as current.
|
|
(2)
|
Includes
$29 million
of residential first mortgages recorded at fair value.
|
|
(3)
|
Excludes loans guaranteed by U.S. government-sponsored entities.
|
|
(4)
|
Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of
$0.2 billion
and
90
days or more past due of
$1.3 billion
.
|
|
(5)
|
Includes approximately
$0.1 billion
of residential first mortgage loans in process of foreclosure.
|
|
(6)
|
Includes approximately
$0.1 billion
of home equity loans in process of foreclosure.
|
|
(7)
|
Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
|
|
(8)
|
Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the
Corporate/Other
consumer credit metrics.
|
Consumer Credit Scores (FICO)
The following tables provide details on the FICO scores for Citi’s U.S. consumer loan portfolio (commercial banking loans are excluded from the table since they are business based and FICO scores are not a primary driver in their credit evaluation). FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio.
|
FICO score distribution in U.S. portfolio
(1)(2)
|
March 31, 2017
|
||||||||
|
In millions of dollars
|
Less than
620
|
≥ 620 but less
than 660
|
Equal to or
greater
than 660
|
||||||
|
Residential first mortgages
|
$
|
2,643
|
|
$
|
2,323
|
|
$
|
43,848
|
|
|
Home equity loans
|
1,650
|
|
1,330
|
|
13,935
|
|
|||
|
Credit cards
|
8,631
|
|
11,270
|
|
103,156
|
|
|||
|
Installment and other
|
281
|
|
274
|
|
2,479
|
|
|||
|
Total
|
$
|
13,205
|
|
$
|
15,197
|
|
$
|
163,418
|
|
|
FICO score distribution in U.S. portfolio
(1)(2)
|
December 31, 2016
|
||||||||
|
In millions of dollars
|
Less than
620
|
≥ 620 but less
than 660
|
Equal to or
greater
than 660
|
||||||
|
Residential first mortgages
|
$
|
2,744
|
|
$
|
2,422
|
|
$
|
44,279
|
|
|
Home equity loans
|
1,750
|
|
1,418
|
|
14,743
|
|
|||
|
Credit cards
|
8,310
|
|
11,320
|
|
110,522
|
|
|||
|
Installment and other
|
284
|
|
271
|
|
2,601
|
|
|||
|
Total
|
$
|
13,088
|
|
$
|
15,431
|
|
$
|
172,145
|
|
|
(1)
|
Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (LTSC) with U.S. government-sponsored entities and loans recorded at fair value.
|
|
(2)
|
Excludes balances where FICO was not available. Such amounts are not material.
|
121
Loan to Value (LTV) Ratios
The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.
|
LTV distribution in U.S. portfolio
(1)(2)
|
March 31, 2017
|
||||||||
|
In millions of dollars
|
Less than or
equal to 80%
|
> 80% but less
than or equal to
100%
|
Greater
than
100%
|
||||||
|
Residential first mortgages
|
$
|
45,335
|
|
$
|
3,358
|
|
$
|
312
|
|
|
Home equity loans
|
12,344
|
|
3,305
|
|
1,183
|
|
|||
|
Total
|
$
|
57,679
|
|
$
|
6,663
|
|
$
|
1,495
|
|
|
LTV distribution in U.S. portfolio
(1)(2)
|
December 31, 2016
|
||||||||
|
In millions of dollars
|
Less than or
equal to 80%
|
> 80% but less
than or equal to
100%
|
Greater
than
100%
|
||||||
|
Residential first mortgages
|
$
|
45,849
|
|
$
|
3,467
|
|
$
|
324
|
|
|
Home equity loans
|
12,869
|
|
3,653
|
|
1,305
|
|
|||
|
Total
|
$
|
58,718
|
|
$
|
7,120
|
|
$
|
1,629
|
|
|
(1)
|
Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.
|
|
(2)
|
Excludes balances where LTV was not available. Such amounts are not material.
|
122
Impaired Consumer Loans
The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
|
Three months ended March 31,
|
||||||||||||||||||
|
|
Balance at March 31, 2017
|
2017
|
2016
|
|||||||||||||||
|
In millions of dollars
|
Recorded
investment
(1)(2)
|
Unpaid
principal balance
|
Related
specific allowance
(3)
|
Average
carrying value
(4)
|
Interest income
recognized (5) |
Interest income
recognized (5) |
||||||||||||
|
Mortgage and real estate
|
|
|
|
|
|
|
||||||||||||
|
Residential first mortgages
|
$
|
3,632
|
|
$
|
3,995
|
|
$
|
402
|
|
$
|
4,116
|
|
$
|
36
|
|
$
|
61
|
|
|
Home equity loans
|
1,219
|
|
1,720
|
|
281
|
|
1,289
|
|
8
|
|
9
|
|
||||||
|
Credit cards
|
1,824
|
|
1,858
|
|
588
|
|
1,813
|
|
38
|
|
41
|
|
||||||
|
Installment and other
|
|
|
|
|
|
|
||||||||||||
|
Individual installment and other
|
391
|
|
411
|
|
176
|
|
449
|
|
8
|
|
7
|
|
||||||
|
Commercial banking loans
|
507
|
|
710
|
|
122
|
|
549
|
|
6
|
|
2
|
|
||||||
|
Total
|
$
|
7,573
|
|
$
|
8,694
|
|
$
|
1,569
|
|
$
|
8,216
|
|
$
|
96
|
|
$
|
120
|
|
|
(1)
|
Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
|
|
(2)
|
$680 million
of residential first mortgages,
$388 million
of home equity loans and
$82 million
of commercial market loans do not have a specific allowance.
|
(3) Included in the
Allowance for loan losses
.
(4) Average carrying value represents the average recorded investment ending balance for the last
four
quarters and does not include the related specific allowance.
(5) Includes amounts recognized on both an accrual and cash basis.
|
|
Balance, December 31, 2016
|
|||||||||||
|
In millions of dollars
|
Recorded
investment
(1)(2)
|
Unpaid
principal balance
|
Related
specific allowance
(3)
|
Average
carrying value
(4)
|
||||||||
|
Mortgage and real estate
|
|
|
|
|
||||||||
|
Residential first mortgages
|
$
|
3,786
|
|
$
|
4,157
|
|
$
|
540
|
|
$
|
4,632
|
|
|
Home equity loans
|
1,298
|
|
1,824
|
|
189
|
|
1,326
|
|
||||
|
Credit cards
|
1,747
|
|
1,781
|
|
566
|
|
1,831
|
|
||||
|
Installment and other
|
|
|
|
|
||||||||
|
Individual installment and other
|
455
|
|
481
|
|
215
|
|
475
|
|
||||
|
Commercial banking loans
|
513
|
|
744
|
|
98
|
|
538
|
|
||||
|
Total
|
$
|
7,799
|
|
$
|
8,987
|
|
$
|
1,608
|
|
$
|
8,802
|
|
|
(1)
|
Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
|
|
(2)
|
$740 million
of residential first mortgages,
$406 million
of home equity loans and
$97 million
of commercial market loans do not have a specific allowance.
|
|
(3)
|
Included in the
Allowance for loan losses
.
|
|
(4)
|
Average carrying value represents the average recorded investment ending balance for the last
four
quarters and does not include the related specific allowance.
|
123
Consumer Troubled Debt Restructurings
|
|
At and for the three months ended March 31, 2017
|
|||||||||||||||
|
In millions of dollars except number of loans modified
|
Number of
loans modified |
Post-
modification recorded investment (1)(2) |
Deferred
principal (3) |
Contingent
principal forgiveness (4) |
Principal
forgiveness (5) |
Average
interest rate reduction |
||||||||||
|
North America
|
|
|
|
|
|
|
||||||||||
|
Residential first mortgages
|
966
|
|
$
|
130
|
|
$
|
3
|
|
$
|
—
|
|
$
|
1
|
|
1
|
%
|
|
Home equity loans
|
679
|
|
56
|
|
3
|
|
—
|
|
—
|
|
1
|
|
||||
|
Credit cards
|
59,337
|
|
231
|
|
—
|
|
—
|
|
—
|
|
17
|
|
||||
|
Installment and other revolving
|
221
|
|
2
|
|
—
|
|
—
|
|
—
|
|
5
|
|
||||
|
Commercial markets
(6)
|
26
|
|
5
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||
|
Total
(8)
|
61,229
|
|
$
|
424
|
|
$
|
6
|
|
$
|
—
|
|
$
|
1
|
|
|
|
|
International
|
|
|
|
|
|
|
||||||||||
|
Residential first mortgages
|
613
|
|
27
|
|
—
|
|
—
|
|
—
|
|
—
|
%
|
||||
|
Credit cards
|
25,237
|
|
85
|
|
—
|
|
—
|
|
2
|
|
14
|
|
||||
|
Installment and other revolving
|
11,307
|
|
60
|
|
—
|
|
—
|
|
4
|
|
7
|
|
||||
|
Commercial markets
(6)
|
32
|
|
13
|
|
—
|
|
—
|
|
—
|
|
2
|
|
||||
|
Total
(8)
|
37,189
|
|
$
|
185
|
|
$
|
—
|
|
$
|
—
|
|
$
|
6
|
|
|
|
|
|
At and for the three months ended March 31, 2016
|
|||||||||||||||
|
In millions of dollars except number of loans modified
|
Number of
loans modified
|
Post-
modification
recorded
investment
(1)(7)
|
Deferred
principal
(3)
|
Contingent
principal
forgiveness
(4)
|
Principal
forgiveness
(5)
|
Average
interest rate
reduction
|
||||||||||
|
North America
|
|
|
|
|
|
|
||||||||||
|
Residential first mortgages
|
1,468
|
|
$
|
212
|
|
$
|
2
|
|
$
|
—
|
|
$
|
1
|
|
1
|
%
|
|
Home equity loans
|
858
|
|
30
|
|
—
|
|
—
|
|
—
|
|
3
|
|
||||
|
Credit cards
|
49,109
|
|
188
|
|
—
|
|
—
|
|
—
|
|
17
|
|
||||
|
Installment and other revolving
|
1,385
|
|
12
|
|
—
|
|
—
|
|
—
|
|
14
|
|
||||
|
Commercial markets
(6)
|
23
|
|
5
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||
|
Total
(8)
|
52,843
|
|
$
|
447
|
|
$
|
2
|
|
$
|
—
|
|
$
|
1
|
|
|
|
|
International
|
|
|
|
|
|
|
||||||||||
|
Residential first mortgages
|
419
|
|
15
|
|
—
|
|
—
|
|
—
|
|
—
|
%
|
||||
|
Credit cards
|
52,207
|
|
123
|
|
—
|
|
—
|
|
2
|
|
13
|
|
||||
|
Installment and other revolving
|
21,644
|
|
82
|
|
—
|
|
—
|
|
2
|
|
7
|
|
||||
|
Commercial markets
(6)
|
28
|
|
20
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||
|
Total
(8)
|
74,298
|
|
$
|
240
|
|
$
|
—
|
|
$
|
—
|
|
$
|
4
|
|
|
|
|
(1)
|
Post-modification balances include past due amounts that are capitalized at the modification date.
|
|
(2)
|
Post-modification balances in
North America
include $
15 million
of residential first mortgages and $
6 million
of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended
March 31, 2017
. These amounts include $
9 million
of residential first mortgages and $
6 million
of home equity loans that were newly classified as TDRs in the three months ended
March 31, 2017
, based on previously received OCC guidance.
|
|
(3)
|
Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
|
|
(4)
|
Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
|
|
(5)
|
Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
|
(6) Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.
(7) Post-modification balances in
North America
include $
20 million
of residential first mortgages and $
5 million
of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended
March 31, 2016
. These amounts include $
14 million
of residential first mortgages and $
5 million
of home equity loans that were newly classified as TDRs in the three months ended
March 31, 2016
, based on previously received OCC guidance.
(8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.
124
The following table presents consumer TDRs that defaulted for which the payment default occurred within
one year
of a permanent modification. Default is defined as
60 days
past due, except for classifiably managed commercial banking loans, where default is defined as
90 days
past due.
|
Three months ended March 31,
|
||||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
North America
|
||||||
|
Residential first mortgages
|
$
|
51
|
|
$
|
87
|
|
|
Home equity loans
|
9
|
|
9
|
|
||
|
Credit cards
|
52
|
|
49
|
|
||
|
Installment and other revolving
|
—
|
|
2
|
|
||
|
Commercial banking
|
2
|
|
1
|
|
||
|
Total
|
$
|
114
|
|
$
|
148
|
|
|
International
|
|
|
||||
|
Residential first mortgages
|
$
|
2
|
|
$
|
3
|
|
|
Credit cards
|
42
|
|
37
|
|
||
|
Installment and other revolving
|
23
|
|
22
|
|
||
|
Commercial banking
|
—
|
|
3
|
|
||
|
Total
|
$
|
67
|
|
$
|
65
|
|
Corporate Loans
Corporate loans represent loans and leases managed by
ICG
. The following table presents information by corporate loan type:
|
In millions of dollars
|
March 31,
2017 |
December 31,
2016 |
||||
|
In U.S. offices
|
|
|
||||
|
Commercial and industrial
|
$
|
49,845
|
|
$
|
49,586
|
|
|
Financial institutions
|
35,734
|
|
35,517
|
|
||
|
Mortgage and real estate
(1)
|
40,052
|
|
38,691
|
|
||
|
Installment, revolving credit and other
|
32,212
|
|
34,501
|
|
||
|
Lease financing
|
1,511
|
|
1,518
|
|
||
|
$
|
159,354
|
|
$
|
159,813
|
|
|
|
In offices outside the U.S.
|
|
|
||||
|
Commercial and industrial
|
$
|
87,258
|
|
$
|
81,882
|
|
|
Financial institutions
|
33,763
|
|
26,886
|
|
||
|
Mortgage and real estate
(1)
|
5,527
|
|
5,363
|
|
||
|
Installment, revolving credit and other
|
16,576
|
|
19,965
|
|
||
|
Lease financing
|
253
|
|
251
|
|
||
|
Governments and official institutions
|
5,970
|
|
5,850
|
|
||
|
$
|
149,347
|
|
$
|
140,197
|
|
|
|
Total corporate loans
|
$
|
308,701
|
|
$
|
300,010
|
|
|
Net unearned income
|
(662
|
)
|
(704
|
)
|
||
|
Corporate loans, net of unearned income
|
$
|
308,039
|
|
$
|
299,306
|
|
|
(1)
|
Loans secured primarily by real estate.
|
The Company sold and/or reclassified to held-for-sale
$0.5 billion
of corporate loans during both the
three months
ended March 31, 2017 and 2016. The Company did not have significant purchases of corporate loans classified as held-for-investment for the
three months
ended March 31, 2017 or 2016.
125
Corporate Loan Delinquency and Non-Accrual Details at
March 31, 2017
|
In millions of dollars
|
30–89 days
past due
and accruing
(1)
|
≥ 90 days
past due and
accruing
(1)
|
Total past due
and accruing
|
Total
non-accrual
(2)
|
Total
current
(3)
|
Total
loans
(4)
|
||||||||||||
|
Commercial and industrial
|
$
|
170
|
|
$
|
—
|
|
$
|
170
|
|
$
|
1,692
|
|
$
|
132,583
|
|
$
|
134,445
|
|
|
Financial institutions
|
215
|
|
18
|
|
233
|
|
301
|
|
67,478
|
|
68,012
|
|
||||||
|
Mortgage and real estate
|
211
|
|
—
|
|
211
|
|
181
|
|
45,172
|
|
45,564
|
|
||||||
|
Leases
|
98
|
|
8
|
|
106
|
|
67
|
|
1,591
|
|
1,764
|
|
||||||
|
Other
|
427
|
|
3
|
|
430
|
|
98
|
|
53,719
|
|
54,247
|
|
||||||
|
Loans at fair value
|
|
|
|
|
|
|
|
|
|
|
4,007
|
|
||||||
|
Purchased distressed loans
|
|
|
|
|
|
|
|
|
|
|
—
|
|
||||||
|
Total
|
$
|
1,121
|
|
$
|
29
|
|
$
|
1,150
|
|
$
|
2,339
|
|
$
|
300,543
|
|
$
|
308,039
|
|
Corporate Loan Delinquency and Non-Accrual Details at
December 31, 2016
|
In millions of dollars
|
30–89 days
past due
and accruing
(1)
|
≥ 90 days
past due and
accruing
(1)
|
Total past due
and accruing
|
Total
non-accrual
(2)
|
Total
current
(3)
|
Total
loans
(4)
|
||||||||||||
|
Commercial and industrial
|
$
|
143
|
|
$
|
52
|
|
$
|
195
|
|
$
|
1,909
|
|
$
|
127,012
|
|
$
|
129,116
|
|
|
Financial institutions
|
119
|
|
2
|
|
121
|
|
185
|
|
61,254
|
|
61,560
|
|
||||||
|
Mortgage and real estate
|
148
|
|
137
|
|
285
|
|
139
|
|
43,607
|
|
44,031
|
|
||||||
|
Leases
|
27
|
|
8
|
|
35
|
|
56
|
|
1,678
|
|
1,769
|
|
||||||
|
Other
|
349
|
|
12
|
|
361
|
|
132
|
|
58,880
|
|
59,373
|
|
||||||
|
Loans at fair value
|
|
|
|
|
|
|
|
|
|
|
3,457
|
|
||||||
|
Purchased distressed loans
|
|
|
|
|
|
|
|
|
|
|
—
|
|
||||||
|
Total
|
$
|
786
|
|
$
|
211
|
|
$
|
997
|
|
$
|
2,421
|
|
$
|
292,431
|
|
$
|
299,306
|
|
|
(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 past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful.
|
|
(3)
|
Corporate loans are past due when principal or interest is contractually due but unpaid. Loans less than
30
days past due are presented as current.
|
|
(4)
|
Total loans include loans at fair value, which are not included in the various delinquency columns.
|
126
Corporate Loans Credit Quality Indicators
|
|
Recorded investment in loans
(1)
|
|||||
|
In millions of dollars
|
March 31,
2017 |
December 31,
2016 |
||||
|
Investment grade
(2)
|
|
|
||||
|
Commercial and industrial
|
$
|
90,753
|
|
$
|
85,369
|
|
|
Financial institutions
|
55,422
|
|
49,915
|
|
||
|
Mortgage and real estate
|
19,901
|
|
18,718
|
|
||
|
Leases
|
1,169
|
|
1,303
|
|
||
|
Other
|
47,307
|
|
51,930
|
|
||
|
Total investment grade
|
$
|
214,552
|
|
$
|
207,235
|
|
|
Non-investment grade
(2)
|
|
|
||||
|
Accrual
|
|
|
||||
|
Commercial and industrial
|
$
|
41,999
|
|
$
|
41,838
|
|
|
Financial institutions
|
12,288
|
|
11,459
|
|
||
|
Mortgage and real estate
|
1,865
|
|
1,821
|
|
||
|
Leases
|
528
|
|
410
|
|
||
|
Other
|
6,843
|
|
7,312
|
|
||
|
Non-accrual
|
|
|
||||
|
Commercial and industrial
|
1,692
|
|
1,909
|
|
||
|
Financial institutions
|
301
|
|
185
|
|
||
|
Mortgage and real estate
|
181
|
|
139
|
|
||
|
Leases
|
67
|
|
56
|
|
||
|
Other
|
98
|
|
132
|
|
||
|
Total non-investment grade
|
$
|
65,862
|
|
$
|
65,261
|
|
|
Private bank loans managed on a delinquency basis
(2)
|
$
|
23,618
|
|
$
|
23,353
|
|
|
Loans at fair value
|
4,007
|
|
3,457
|
|
||
|
Corporate loans, net of unearned income
|
$
|
308,039
|
|
$
|
299,306
|
|
|
(1)
|
Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
|
|
(2)
|
Held-for-investment loans are accounted for on an amortized cost basis.
|
127
Non-Accrual Corporate Loans
The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans:
|
|
March 31, 2017
|
||||||||||||||
|
In millions of dollars
|
Recorded
investment
(1)
|
Unpaid
principal balance
|
Related specific
allowance
|
Average
carrying value
(2)
|
Interest income recognized
(3)
|
||||||||||
|
Non-accrual corporate loans
|
|
|
|
|
|||||||||||
|
Commercial and industrial
|
$
|
1,692
|
|
$
|
2,040
|
|
$
|
332
|
|
$
|
1,876
|
|
$
|
2
|
|
|
Financial institutions
|
301
|
|
324
|
|
37
|
|
217
|
|
—
|
|
|||||
|
Mortgage and real estate
|
181
|
|
309
|
|
9
|
|
168
|
|
—
|
|
|||||
|
Lease financing
|
67
|
|
67
|
|
4
|
|
60
|
|
—
|
|
|||||
|
Other
|
98
|
|
205
|
|
—
|
|
88
|
|
—
|
|
|||||
|
Total non-accrual corporate loans
|
$
|
2,339
|
|
$
|
2,945
|
|
$
|
382
|
|
$
|
2,409
|
|
$
|
2
|
|
|
December 31, 2016
|
||||||||||||
|
In millions of dollars
|
Recorded
investment
(1)
|
Unpaid
principal balance
|
Related specific
allowance
|
Average
carrying value
(2)
|
||||||||
|
Non-accrual corporate loans
|
|
|
|
|
||||||||
|
Commercial and industrial
|
$
|
1,909
|
|
$
|
2,259
|
|
$
|
362
|
|
$
|
1,919
|
|
|
Financial institutions
|
185
|
|
192
|
|
16
|
|
183
|
|
||||
|
Mortgage and real estate
|
139
|
|
250
|
|
10
|
|
174
|
|
||||
|
Lease financing
|
56
|
|
56
|
|
4
|
|
44
|
|
||||
|
Other
|
132
|
|
197
|
|
—
|
|
87
|
|
||||
|
Total non-accrual corporate loans
|
$
|
2,421
|
|
$
|
2,954
|
|
$
|
392
|
|
$
|
2,407
|
|
|
|
March 31, 2017
|
December 31, 2016
|
||||||||||
|
In millions of dollars
|
Recorded
investment
(1)
|
Related specific
allowance
|
Recorded
investment
(1)
|
Related specific
allowance
|
||||||||
|
Non-accrual corporate loans with valuation allowances
|
|
|
|
|
||||||||
|
Commercial and industrial
|
$
|
1,103
|
|
$
|
332
|
|
$
|
1,343
|
|
$
|
362
|
|
|
Financial institutions
|
87
|
|
37
|
|
45
|
|
16
|
|
||||
|
Mortgage and real estate
|
35
|
|
9
|
|
41
|
|
10
|
|
||||
|
Lease financing
|
53
|
|
4
|
|
55
|
|
4
|
|
||||
|
Other
|
1
|
|
—
|
|
1
|
|
—
|
|
||||
|
Total non-accrual corporate loans with specific allowance
|
$
|
1,279
|
|
$
|
382
|
|
$
|
1,485
|
|
$
|
392
|
|
|
Non-accrual corporate loans without specific allowance
|
|
|
|
|
||||||||
|
Commercial and industrial
|
$
|
589
|
|
|
|
$
|
566
|
|
|
|
||
|
Financial institutions
|
214
|
|
|
|
140
|
|
|
|
||||
|
Mortgage and real estate
|
146
|
|
|
|
98
|
|
|
|
||||
|
Lease financing
|
14
|
|
|
|
1
|
|
|
|
||||
|
Other
|
97
|
|
|
|
131
|
|
|
|
||||
|
Total non-accrual corporate loans without specific allowance
|
$
|
1,060
|
|
N/A
|
|
$
|
936
|
|
N/A
|
|
||
|
(1)
|
Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
|
|
(2)
|
Average carrying value represents the average recorded investment balance and does not include related specific allowance.
|
|
(3)
|
Interest income recognized for the three months ended March 31, 2016 was
$13 million
.
|
128
Corporate Troubled Debt Restructurings
At and for the three months ended
March 31, 2017
:
|
In millions of dollars
|
Carrying
Value
|
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)
|
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
|
||||||||
|
Commercial and industrial
|
$
|
55
|
|
$
|
—
|
|
$
|
—
|
|
$
|
55
|
|
|
Financial institutions
|
15
|
|
—
|
|
—
|
|
15
|
|
||||
|
Mortgage and real estate
|
1
|
|
—
|
|
—
|
|
1
|
|
||||
|
Total
|
$
|
71
|
|
$
|
—
|
|
$
|
—
|
|
$
|
71
|
|
At and for the three months ended
March 31, 2016
:
|
In millions of dollars
|
Carrying
Value
|
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)
|
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
|
||||||||
|
Commercial and industrial
|
$
|
98
|
|
$
|
—
|
|
$
|
—
|
|
$
|
98
|
|
|
Mortgage and real estate
|
4
|
|
—
|
|
—
|
|
4
|
|
||||
|
Total
|
$
|
102
|
|
$
|
—
|
|
$
|
—
|
|
$
|
102
|
|
|
(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 uncollectable 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.
|
The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within
one year
of a permanent modification. Default is defined as
60 days
past due, except for classifiably managed commercial banking loans, where default is defined as
90 days
past due.
|
In millions of dollars
|
TDR balances at March 31, 2017
|
TDR loans in payment default during the three months ended
March 31, 2017
|
TDR balances at
March 31, 2016
|
TDR loans in payment default during the three months ended
March 31, 2016
|
||||||||
|
Commercial and industrial
|
$
|
390
|
|
$
|
9
|
|
$
|
219
|
|
$
|
—
|
|
|
Loans to financial institutions
|
24
|
|
3
|
|
2
|
|
—
|
|
||||
|
Mortgage and real estate
|
84
|
|
—
|
|
139
|
|
—
|
|
||||
|
Other
|
177
|
|
—
|
|
303
|
|
—
|
|
||||
|
Total
(1)
|
$
|
675
|
|
$
|
12
|
|
$
|
663
|
|
$
|
—
|
|
|
(1)
|
The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.
|
129
14. ALLOWANCE FOR CREDIT LOSSES
|
Three months ended March 31,
|
||||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Allowance for loan losses at beginning of period
|
$
|
12,060
|
|
$
|
12,626
|
|
|
Gross credit losses
|
(2,144
|
)
|
(2,143
|
)
|
||
|
Gross recoveries
(1)
|
435
|
|
419
|
|
||
|
Net credit losses (NCLs)
|
$
|
(1,709
|
)
|
$
|
(1,724
|
)
|
|
NCLs
|
$
|
1,709
|
|
$
|
1,724
|
|
|
Net reserve builds (releases)
|
(20
|
)
|
42
|
|
||
|
Net specific reserve builds (releases)
|
(14
|
)
|
120
|
|
||
|
Total provision for loan losses
|
$
|
1,675
|
|
$
|
1,886
|
|
|
Other, net (see table below)
|
4
|
|
(76
|
)
|
||
|
Allowance for loan losses at end of period
|
$
|
12,030
|
|
$
|
12,712
|
|
|
Allowance for credit losses on unfunded lending commitments at beginning of period
|
$
|
1,418
|
|
$
|
1,402
|
|
|
Provision (release) for unfunded lending commitments
|
(43
|
)
|
71
|
|
||
|
Other, net
|
2
|
|
—
|
|
||
|
Allowance for credit losses on unfunded lending commitments at end of period
(2)
|
$
|
1,377
|
|
$
|
1,473
|
|
|
Total allowance for loans, leases, and unfunded lending commitments
|
$
|
13,407
|
|
$
|
14,185
|
|
|
(1)
|
Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
|
|
(2)
|
Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in
Other liabilities
on the Consolidated Balance Sheet.
|
|
Other, net details
|
Three months ended March 31,
|
|||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Sales or transfers of various consumer loan portfolios to held-for-sale
|
||||||
|
Transfer of real estate loan portfolios
|
$
|
(37
|
)
|
$
|
(29
|
)
|
|
Transfer of other loan portfolios
|
(124
|
)
|
(119
|
)
|
||
|
Sales or transfers of various consumer loan portfolios to held-for-sale
|
$
|
(161
|
)
|
$
|
(148
|
)
|
|
FX translation, consumer
|
164
|
|
63
|
|
||
|
Other
|
1
|
|
9
|
|
||
|
Other, net
|
$
|
4
|
|
$
|
(76
|
)
|
Allowance for Credit Losses and Investment in Loans
|
Three Months Ended
|
||||||||||||||||||
|
March 31, 2017
|
March 31, 2016
|
|||||||||||||||||
|
In millions of dollars
|
Corporate
|
Consumer
|
Total
|
Corporate
|
Consumer
|
Total
|
||||||||||||
|
Allowance for loan losses at beginning of period
|
$
|
2,702
|
|
$
|
9,358
|
|
$
|
12,060
|
|
$
|
2,791
|
|
$
|
9,835
|
|
$
|
12,626
|
|
|
Charge-offs
|
(103
|
)
|
(2,041
|
)
|
(2,144
|
)
|
(223
|
)
|
(1,920
|
)
|
(2,143
|
)
|
||||||
|
Recoveries
|
66
|
|
369
|
|
435
|
|
13
|
|
406
|
|
419
|
|
||||||
|
Replenishment of net charge-offs
|
37
|
|
1,672
|
|
1,709
|
|
210
|
|
1,514
|
|
1,724
|
|
||||||
|
Net reserve builds (releases)
|
(166
|
)
|
146
|
|
(20
|
)
|
4
|
|
38
|
|
42
|
|
||||||
|
Net specific reserve builds (releases)
|
(12
|
)
|
(2
|
)
|
(14
|
)
|
101
|
|
19
|
|
120
|
|
||||||
|
Other
|
11
|
|
(7
|
)
|
4
|
|
9
|
|
(85
|
)
|
(76
|
)
|
||||||
|
Ending balance
|
$
|
2,535
|
|
$
|
9,495
|
|
$
|
12,030
|
|
$
|
2,905
|
|
$
|
9,807
|
|
$
|
12,712
|
|
130
|
Three Months Ended
|
||||||||||||||||||
|
March 31, 2017
|
December 31, 2016
|
|||||||||||||||||
|
In millions of dollars
|
Corporate
|
Consumer
|
Total
|
Corporate
|
Consumer
|
Total
|
||||||||||||
|
Allowance for loan losses
|
|
|
|
|
|
|
||||||||||||
|
Determined in accordance with ASC 450
|
$
|
2,153
|
|
$
|
7,921
|
|
$
|
10,074
|
|
$
|
2,310
|
|
$
|
7,744
|
|
$
|
10,054
|
|
|
Determined in accordance with ASC 310-10-35
|
382
|
|
1,569
|
|
1,951
|
|
392
|
|
1,608
|
|
2,000
|
|
||||||
|
Determined in accordance with ASC 310-30
|
—
|
|
5
|
|
5
|
|
—
|
|
6
|
|
6
|
|
||||||
|
Total allowance for loan losses
|
$
|
2,535
|
|
$
|
9,495
|
|
$
|
12,030
|
|
$
|
2,702
|
|
$
|
9,358
|
|
$
|
12,060
|
|
|
Loans, net of unearned income
|
|
|
||||||||||||||||
|
Loans collectively evaluated for impairment in accordance with ASC 450
|
$
|
301,561
|
|
$
|
312,761
|
|
$
|
614,322
|
|
$
|
293,218
|
|
$
|
317,048
|
|
$
|
610,266
|
|
|
Loans individually evaluated for impairment in accordance with ASC 310-10-35
|
2,471
|
|
7,573
|
|
10,044
|
|
2,631
|
|
7,799
|
|
10,430
|
|
||||||
|
Loans acquired with deteriorated credit quality in accordance with ASC 310-30
|
—
|
|
194
|
|
194
|
|
—
|
|
187
|
|
187
|
|
||||||
|
Loans held at fair value
|
4,007
|
|
28
|
|
4,035
|
|
3,457
|
|
29
|
|
3,486
|
|
||||||
|
Total loans, net of unearned income
|
$
|
308,039
|
|
$
|
320,556
|
|
$
|
628,595
|
|
$
|
299,306
|
|
$
|
325,063
|
|
$
|
624,369
|
|
131
15. GOODWILL AND INTANGIBLE ASSETS
For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 16 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.
Goodwill
The changes in
Goodwill
were as follows:
|
In millions of dollars
|
|||
|
Balance, December 31, 2016
|
$
|
21,659
|
|
|
Foreign exchange translation and other
|
634
|
|
|
|
Impairment of goodwill
|
(28
|
)
|
|
|
Balance at March 31, 2017
|
$
|
22,265
|
|
Effective January 1, 2017, the mortgage servicing business in
North America GCB
was reorganized and is now reported as part of
Corporate/Other
. Goodwill was allocated to the transferred business based on its relative fair value to the legacy
North America GCB
reporting unit. An interim test was performed under both the legacy and new reporting structures, which resulted in full impairment of the
$28 million
of allocated goodwill upon transfer to Citi Holdings-REL. The impairment was recorded as an operating expense in the first quarter of 2017.
Further, the interim test performed in the fourth quarter of 2016 indicated that the fair value of the Citi Holdings—Consumer Latin America reporting unit only marginally exceeded its carrying value. An updated interim test was performed during the first quarter of 2017, with a minimal change in results. While there was no indication of impairment, the
$16 million
of goodwill present in Citi Holdings—Consumer Latin America may be particularly sensitive to further deterioration in economic conditions. The fair value as a percentage of allocated book value as of March 31, 2017 was
103%
.
There were no other triggering events identified during the first quarter of 2017. The fair values of all other reporting units with goodwill balances exceeded their carrying values and did not indicate a risk of impairment based on the most recent valuations.
The following table shows reporting units with goodwill balances as of
March 31, 2017
and the fair value as a percentage of allocated book value as of the latest impairment test:
|
In millions of dollars
|
|||||
|
Reporting unit
(1)
|
Goodwill
|
Fair value as a % of allocated book value
|
|||
|
North America Global Consumer Banking
|
$
|
6,732
|
|
148
|
%
|
|
Asia Global Consumer Banking
|
4,910
|
|
157
|
|
|
|
Latin America Global Consumer Banking
|
1,151
|
|
180
|
|
|
|
ICG—
Banking
|
2,902
|
|
194
|
|
|
|
ICG—
Markets and Securities Services
|
6,554
|
|
115
|
|
|
|
Citi Holdings
—
Consumer Latin America
(2)
|
16
|
|
103
|
|
|
|
Total as of March 31, 2017
|
$
|
22,265
|
|
|
|
|
(1)
|
Other Citi Holdings reporting units, including Citi Holdings—REL, are excluded from the table as there is no goodwill allocated to them.
|
|
(2)
|
All Citi Holdings reporting units are presented in the
Corporate/Othe
r segment beginning in the first quarter of 2017.
|
132
Intangible Assets
The components of intangible assets were as follows:
|
|
March 31, 2017
|
December 31, 2016
|
||||||||||||||||
|
In millions of dollars
|
Gross
carrying
amount
|
Accumulated
amortization
|
Net
carrying
amount
|
Gross
carrying
amount
|
Accumulated
amortization
|
Net
carrying
amount
|
||||||||||||
|
Purchased credit card relationships
|
$
|
5,703
|
|
$
|
4,049
|
|
$
|
1,654
|
|
$
|
8,215
|
|
$
|
6,549
|
|
$
|
1,666
|
|
|
Credit card contract related intangibles
(1)
|
5,044
|
|
2,159
|
|
2,885
|
|
5,149
|
|
2,177
|
|
2,972
|
|
||||||
|
Core deposit intangibles
|
776
|
|
750
|
|
26
|
|
801
|
|
771
|
|
30
|
|
||||||
|
Other customer relationships
|
480
|
|
275
|
|
205
|
|
474
|
|
272
|
|
202
|
|
||||||
|
Present value of future profits
|
34
|
|
29
|
|
5
|
|
31
|
|
27
|
|
4
|
|
||||||
|
Indefinite-lived intangible assets
|
227
|
|
—
|
|
227
|
|
210
|
|
—
|
|
210
|
|
||||||
|
Other
|
170
|
|
159
|
|
11
|
|
504
|
|
474
|
|
30
|
|
||||||
|
Intangible assets (excluding MSRs)
|
$
|
12,434
|
|
$
|
7,421
|
|
$
|
5,013
|
|
$
|
15,384
|
|
$
|
10,270
|
|
$
|
5,114
|
|
|
Mortgage servicing rights (MSRs)
(2)
|
567
|
|
—
|
|
567
|
|
1,564
|
|
—
|
|
1,564
|
|
||||||
|
Total intangible assets
|
$
|
13,001
|
|
$
|
7,421
|
|
$
|
5,580
|
|
$
|
16,948
|
|
$
|
10,270
|
|
$
|
6,678
|
|
The changes in intangible assets were as follows:
|
Net carrying
amount at |
Net carrying
amount at
|
||||||||||||||
|
In millions of dollars
|
December 31,
2016 |
Acquisitions/
divestitures
|
Amortization
|
FX translation and other
|
March 31,
2017 |
||||||||||
|
Purchased credit card relationships
|
$
|
1,666
|
|
$
|
20
|
|
$
|
(33
|
)
|
$
|
1
|
|
$
|
1,654
|
|
|
Credit card contract related intangibles
(1)
|
2,972
|
|
9
|
|
(98
|
)
|
2
|
|
2,885
|
|
|||||
|
Core deposit intangibles
|
30
|
|
—
|
|
(6
|
)
|
2
|
|
26
|
|
|||||
|
Other customer relationships
|
202
|
|
—
|
|
(6
|
)
|
9
|
|
205
|
|
|||||
|
Present value of future profits
|
4
|
|
—
|
|
—
|
|
1
|
|
5
|
|
|||||
|
Indefinite-lived intangible assets
|
210
|
|
—
|
|
—
|
|
17
|
|
227
|
|
|||||
|
Other
|
30
|
|
(14
|
)
|
(4
|
)
|
(1
|
)
|
11
|
|
|||||
|
Intangible assets (excluding MSRs)
|
$
|
5,114
|
|
$
|
15
|
|
$
|
(147
|
)
|
$
|
31
|
|
$
|
5,013
|
|
|
Mortgage servicing rights (MSRs)
(2)
|
1,564
|
|
567
|
|
|||||||||||
|
Total intangible assets
|
$
|
6,678
|
|
$
|
5,580
|
|
|||||||||
|
(1)
|
Primarily reflects contract-related intangibles associated with the American Airlines, Sears, The Home Depot, Costco and AT&T credit card program agreements, which represented
96%
and
97%
of the aggregate net carrying amount at March 31, 2017 and December 31, 2016, respectively.
|
|
(2)
|
For additional information on Citi’s MSRs, including the rollforward for the three months ended March 31, 2017, see Note 18 to the Consolidated Financial Statements.
|
133
16. DEBT
For additional information regarding Citi’s short-term borrowings and long-term debt, see Note 17 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
Short-Term Borrowings
|
In millions of dollars
|
March 31,
2017 |
December 31,
2016 |
||||
|
Balance
|
Balance
|
|||||
|
Commercial paper
|
$
|
10,088
|
|
$
|
9,989
|
|
|
Other borrowings
(1)
|
16,039
|
|
20,712
|
|
||
|
Total
|
$
|
26,127
|
|
$
|
30,701
|
|
|
(1)
|
Includes borrowings from Federal Home Loan Banks and other market participants. At
March 31, 2017
and
December 31, 2016
, collateralized short-term advances from the Federal Home Loan Banks were
$6.3 billion
and
$12.0 billion
, respectively.
|
Long-Term Debt
|
In millions of dollars
|
March 31,
2017 |
December 31, 2016
|
||||
|
Citigroup Inc.
(1)
|
$
|
141,626
|
|
$
|
147,333
|
|
|
Bank
(2)
|
51,085
|
|
49,454
|
|
||
|
Broker-dealer
(3)
|
15,819
|
|
9,391
|
|
||
|
Total
|
$
|
208,530
|
|
$
|
206,178
|
|
|
(1)
|
Represents the parent holding company.
|
|
(2)
|
Represents Citibank entities as well as other bank entities. At
March 31, 2017
and
December 31, 2016
, collateralized long-term advances from the Federal Home Loan Banks were
$20.3 billion
and
$21.6 billion
, respectively.
|
|
(3)
|
Represents broker-dealer subsidiaries that are consolidated into Citigroup Inc., the parent holding company.
|
Long-term debt
outstanding includes trust preferred securities with a balance sheet carrying value of
$1.7 billion
at both
March 31, 2017
and
December 31, 2016
.
The following table summarizes Citi’s outstanding trust preferred securities at
March 31, 2017
:
|
|
|
|
|
|
|
Junior subordinated debentures owned by trust
|
|||||||||
|
Trust
|
Issuance
date
|
Securities
issued
|
Liquidation
value
(1)
|
Coupon
rate
(2)
|
Common
shares
issued
to parent
|
Amount
|
Maturity
|
Redeemable
by issuer
beginning
|
|||||||
|
In millions of dollars, except share amounts
|
|
|
|
|
|
|
|
|
|
||||||
|
Citigroup Capital III
|
Dec. 1996
|
194,053
|
|
$
|
194
|
|
7.625
|
%
|
6,003
|
|
$
|
200
|
|
Dec. 1, 2036
|
Not redeemable
|
|
Citigroup Capital XIII
|
Sept. 2010
|
89,840,000
|
|
2,246
|
|
3 mo LIBOR + 637 bps
|
|
1,000
|
|
2,246
|
|
Oct. 30, 2040
|
Oct. 30, 2015
|
||
|
Citigroup Capital XVIII
|
June 2007
|
99,901
|
|
125
|
|
6.829
|
|
50
|
|
125
|
|
June 28, 2067
|
June 28, 2017
|
||
|
Total obligated
|
|
|
|
$
|
2,565
|
|
|
$
|
2,571
|
|
|
|
|||
Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and Citigroup Capital XVIII and quarterly for Citigroup Capital XIII.
|
(1)
|
Represents the notional value received by investors from the trusts at the time of issuance.
|
|
(2)
|
In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.
|
134
17. CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS)
Changes in each component of Citigroup’s
Accumulated other comprehensive income (loss)
were as follows:
|
In millions of dollars
|
Net
unrealized gains (losses) on investment securities |
Debt valuation adjustment (DVA)
(1)
|
Cash flow hedges
(2)
|
Benefit
plans
(3)
|
Foreign
currency translation adjustment (CTA), net of hedges (4) |
Accumulated
other comprehensive income (loss) |
||||||||||||
|
Balance, December 31, 2016
|
$
|
(799
|
)
|
$
|
(352
|
)
|
$
|
(560
|
)
|
$
|
(5,164
|
)
|
$
|
(25,506
|
)
|
$
|
(32,381
|
)
|
|
Other comprehensive income before reclassifications
|
334
|
|
(55
|
)
|
24
|
|
(49
|
)
|
1,465
|
|
1,719
|
|
||||||
|
Increase (decrease) due to amounts reclassified from AOCI
|
(114
|
)
|
(5
|
)
|
(26
|
)
|
37
|
|
(147
|
)
|
(255
|
)
|
||||||
|
Change, net of taxes
|
$
|
220
|
|
$
|
(60
|
)
|
$
|
(2
|
)
|
$
|
(12
|
)
|
$
|
1,318
|
|
$
|
1,464
|
|
|
Balance at March 31, 2017
|
$
|
(579
|
)
|
$
|
(412
|
)
|
$
|
(562
|
)
|
$
|
(5,176
|
)
|
$
|
(24,188
|
)
|
$
|
(30,917
|
)
|
|
In millions of dollars
|
Net
unrealized gains (losses) on investment securities |
Debt valuation adjustment (DVA)
(1)
|
Cash flow hedges
(2)
|
Benefit
plans
(3)
|
Foreign
currency translation adjustment (CTA), net of hedges (4) |
Accumulated
other comprehensive income (loss) |
||||||||||||
|
Balance, December 31, 2015
|
$
|
(907
|
)
|
$
|
—
|
|
$
|
(617
|
)
|
$
|
(5,116
|
)
|
$
|
(22,704
|
)
|
$
|
(29,344
|
)
|
|
Adjustment to opening balance, net of taxes
(1)
|
—
|
|
(15
|
)
|
—
|
|
—
|
|
—
|
|
(15
|
)
|
||||||
|
Adjusted balance, beginning of period
|
(907
|
)
|
(15
|
)
|
(617
|
)
|
(5,116
|
)
|
(22,704
|
)
|
(29,359
|
)
|
||||||
|
Other comprehensive income before reclassifications
|
2,026
|
|
192
|
|
291
|
|
(500
|
)
|
654
|
|
2,663
|
|
||||||
|
Increase (decrease) due to amounts reclassified from AOCI
|
8
|
|
1
|
|
26
|
|
35
|
|
—
|
|
70
|
|
||||||
|
Change, net of taxes
|
$
|
2,034
|
|
$
|
193
|
|
$
|
317
|
|
$
|
(465
|
)
|
$
|
654
|
|
$
|
2,733
|
|
|
Balance, March 31, 2016
|
$
|
1,127
|
|
$
|
178
|
|
$
|
(300
|
)
|
$
|
(5,581
|
)
|
$
|
(22,050
|
)
|
$
|
(26,626
|
)
|
|
(1)
|
Beginning in the first quarter of 2016, changes in DVA are reflected as a component of AOCI, pursuant to the early adoption of only the provisions of ASU 2016-01 relating to the presentation of DVA on fair value option liabilities. See Note 1 to the Consolidated Financial Statements for further information regarding this change.
|
|
(2)
|
Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
|
|
(3)
|
Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s Significant pension and postretirement plans, annual actuarial valuations of all other plans, and amortization of amounts previously recognized in other comprehensive income.
|
|
(4)
|
Primarily reflects the movements in (by order of impact) the Mexican peso, Korean Won, and Japanese Yen against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended
March 31, 2017
. Primarily reflects the movements in (by order of impact) the Japanese Yen, euro, and Brazilian real against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended
March 31, 2016
.
|
135
The pretax and after-tax changes in each component of
Accumulated other comprehensive income (loss)
were as follows:
|
In millions of dollars
|
Pretax
|
Tax effect
|
After-tax
|
||||||
|
Balance, December 31, 2016
|
$
|
(42,035
|
)
|
$
|
9,654
|
|
$
|
(32,381
|
)
|
|
Change in net unrealized gains (losses) on investment securities
|
346
|
|
(126
|
)
|
220
|
|
|||
|
Debt valuation adjustment (DVA)
|
(95
|
)
|
35
|
|
(60
|
)
|
|||
|
Cash flow hedges
|
1
|
|
(3
|
)
|
(2
|
)
|
|||
|
Benefit plans
|
(2
|
)
|
(10
|
)
|
(12
|
)
|
|||
|
Foreign currency translation adjustment
|
1,468
|
|
(150
|
)
|
1,318
|
|
|||
|
Change
|
$
|
1,718
|
|
$
|
(254
|
)
|
$
|
1,464
|
|
|
Balance, March 31, 2017
|
$
|
(40,317
|
)
|
$
|
9,400
|
|
$
|
(30,917
|
)
|
|
In millions of dollars
|
Pretax
|
Tax effect
|
After-tax
|
||||||
|
Balance, December 31, 2015
|
$
|
(38,440
|
)
|
$
|
9,096
|
|
$
|
(29,344
|
)
|
|
Adjustment to opening balance
(1)
|
(26
|
)
|
11
|
|
(15
|
)
|
|||
|
Adjusted balance, beginning of period
|
(38,466
|
)
|
9,107
|
|
(29,359
|
)
|
|||
|
Change in net unrealized gains (losses) on investment securities
|
3,224
|
|
(1,190
|
)
|
2,034
|
|
|||
|
Debt valuation adjustment (DVA)
|
307
|
|
(114
|
)
|
193
|
|
|||
|
Cash flow hedges
|
481
|
|
(164
|
)
|
317
|
|
|||
|
Benefit plans
|
(727
|
)
|
262
|
|
(465
|
)
|
|||
|
Foreign currency translation adjustment
|
513
|
|
141
|
|
654
|
|
|||
|
Change
|
$
|
3,798
|
|
$
|
(1,065
|
)
|
$
|
2,733
|
|
|
Balance, March 31, 2016
|
$
|
(34,668
|
)
|
$
|
8,042
|
|
$
|
(26,626
|
)
|
|
(1)
|
Represents the
($15) million
adjustment related to the initial adoption of ASU 2016-01. See Note 1 to the Consolidated Financial Statements.
|
136
The Company recognized pretax gain (loss) related to amounts in AOCI reclassified to the Consolidated Statement of Income as follows:
|
Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
|
||||||
|
Three months ended March 31,
|
||||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Realized (gains) losses on sales of investments
|
$
|
(192
|
)
|
$
|
(186
|
)
|
|
OTTI gross impairment losses
|
12
|
|
203
|
|
||
|
Subtotal, pretax
|
$
|
(180
|
)
|
$
|
17
|
|
|
Tax effect
|
66
|
|
(9
|
)
|
||
|
Net realized (gains) losses on investment securities, after-tax
(1)
|
$
|
(114
|
)
|
$
|
8
|
|
|
Realized DVA (gains) losses on fair value option liabilities
|
$
|
(8
|
)
|
$
|
1
|
|
|
Subtotal, pretax
|
$
|
(8
|
)
|
$
|
1
|
|
|
Tax effect
|
3
|
|
—
|
|
||
|
Net realized debt valuation adjustment, after-tax
|
$
|
(5
|
)
|
$
|
1
|
|
|
Interest rate contracts
|
$
|
(44
|
)
|
$
|
16
|
|
|
Foreign exchange contracts
|
3
|
|
26
|
|
||
|
Subtotal, pretax
|
$
|
(41
|
)
|
$
|
42
|
|
|
Tax effect
|
15
|
|
(16
|
)
|
||
|
Amortization of cash flow hedges, after-tax
(2)
|
$
|
(26
|
)
|
$
|
26
|
|
|
Amortization of unrecognized
|
||||||
|
Prior service cost (benefit)
|
$
|
(10
|
)
|
$
|
(10
|
)
|
|
Net actuarial loss
|
67
|
|
66
|
|
||
|
Curtailment/settlement impact
(3)
|
—
|
|
(2
|
)
|
||
|
Subtotal, pretax
|
$
|
57
|
|
$
|
54
|
|
|
Tax effect
|
(20
|
)
|
(19
|
)
|
||
|
Amortization of benefit plans, after-tax
(3)
|
$
|
37
|
|
$
|
35
|
|
|
Foreign currency translation adjustment
|
$
|
(232
|
)
|
$
|
—
|
|
|
Tax effect
|
85
|
|
—
|
|
||
|
Foreign currency translation adjustment
|
$
|
(147
|
)
|
$
|
—
|
|
|
Total amounts reclassified out of AOCI, pretax
|
$
|
(404
|
)
|
$
|
114
|
|
|
Total tax effect
|
149
|
|
(44
|
)
|
||
|
Total amounts reclassified out of AOCI, after-tax
|
$
|
(255
|
)
|
$
|
70
|
|
|
(1)
|
The pretax amount is reclassified to
Realized gains (losses) on sales of investments, net
and
Gross impairment losses
on the Consolidated Statement of Income. See Note 12 to the Consolidated Financial Statements for additional details.
|
|
(2)
|
See Note 19 to the Consolidated Financial Statements for additional details.
|
|
(3)
|
See Note
8
to the Consolidated Financial Statements for additional details.
|
137
18. SECURITIZATIONS AND VARIABLE INTEREST ENTITIES
For additional information regarding Citi’s use of special purpose entities (SPEs) and variable interest entities (VIEs), see Note 21 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE is presented below:
|
As of March 31, 2017
|
||||||||||||||||||||||||
|
Maximum exposure to loss in significant unconsolidated VIEs
(1)
|
||||||||||||||||||||||||
|
Funded exposures
(2)
|
Unfunded exposures
|
|||||||||||||||||||||||
|
In millions of dollars
|
Total
involvement
with SPE
assets
|
Consolidated
VIE / SPE assets
|
Significant
unconsolidated
VIE assets
(3)
|
Debt
investments
|
Equity
investments
|
Funding
commitments
|
Guarantees
and
derivatives
|
Total
|
||||||||||||||||
|
Credit card securitizations
|
$
|
46,993
|
|
$
|
46,993
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
|
Mortgage securitizations
(4)
|
||||||||||||||||||||||||
|
U.S. agency-sponsored
(5)
|
117,210
|
|
—
|
|
117,210
|
|
2,766
|
|
—
|
|
—
|
|
74
|
|
2,840
|
|
||||||||
|
Non-agency-sponsored
|
20,164
|
|
1,037
|
|
19,127
|
|
284
|
|
35
|
|
—
|
|
1
|
|
320
|
|
||||||||
|
Citi-administered asset-backed commercial paper conduits (ABCP)
|
19,120
|
|
19,120
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||||
|
Collateralized loan obligations (CLOs)
|
18,246
|
|
—
|
|
18,246
|
|
5,071
|
|
—
|
|
—
|
|
64
|
|
5,135
|
|
||||||||
|
Asset-based financing
|
50,939
|
|
742
|
|
50,197
|
|
15,707
|
|
583
|
|
4,923
|
|
—
|
|
21,213
|
|
||||||||
|
Municipal securities tender option bond trusts (TOBs)
|
6,927
|
|
2,659
|
|
4,268
|
|
8
|
|
—
|
|
2,914
|
|
—
|
|
2,922
|
|
||||||||
|
Municipal investments
|
18,463
|
|
15
|
|
18,448
|
|
2,507
|
|
3,639
|
|
2,561
|
|
—
|
|
8,707
|
|
||||||||
|
Client intermediation
|
1,504
|
|
800
|
|
704
|
|
462
|
|
—
|
|
208
|
|
—
|
|
670
|
|
||||||||
|
Investment funds
|
2,177
|
|
767
|
|
1,410
|
|
32
|
|
34
|
|
15
|
|
1
|
|
82
|
|
||||||||
|
Other
|
767
|
|
36
|
|
731
|
|
115
|
|
11
|
|
66
|
|
44
|
|
236
|
|
||||||||
|
Total
|
$
|
302,510
|
|
$
|
72,169
|
|
$
|
230,341
|
|
$
|
26,952
|
|
$
|
4,302
|
|
$
|
10,687
|
|
$
|
184
|
|
$
|
42,125
|
|
|
As of December 31, 2016
|
||||||||||||||||||||||||
|
Maximum exposure to loss in significant unconsolidated VIEs
(1)
|
||||||||||||||||||||||||
|
Funded exposures
(2)
|
Unfunded exposures
|
|||||||||||||||||||||||
|
In millions of dollars
|
Total
involvement
with SPE
assets
|
Consolidated
VIE / SPE assets
|
Significant
unconsolidated
VIE assets
(3)
|
Debt
investments
|
Equity
investments
|
Funding
commitments
|
Guarantees
and
derivatives
|
Total
|
||||||||||||||||
|
Credit card securitizations
|
$
|
50,171
|
|
$
|
50,171
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
|
Mortgage securitizations
(4)
|
||||||||||||||||||||||||
|
U.S. agency-sponsored
|
214,458
|
|
—
|
|
214,458
|
|
3,852
|
|
—
|
|
—
|
|
78
|
|
3,930
|
|
||||||||
|
Non-agency-sponsored
|
15,965
|
|
1,092
|
|
14,873
|
|
312
|
|
35
|
|
—
|
|
1
|
|
348
|
|
||||||||
|
Citi-administered asset-backed commercial paper conduits (ABCP)
|
19,693
|
|
19,693
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||||
|
Collateralized loan obligations (CLOs)
|
18,886
|
|
—
|
|
18,886
|
|
5,128
|
|
—
|
|
—
|
|
62
|
|
5,190
|
|
||||||||
|
Asset-based financing
|
53,168
|
|
733
|
|
52,435
|
|
16,553
|
|
475
|
|
4,915
|
|
—
|
|
21,943
|
|
||||||||
|
Municipal securities tender option bond trusts (TOBs)
|
7,070
|
|
2,843
|
|
4,227
|
|
40
|
|
—
|
|
2,842
|
|
—
|
|
2,882
|
|
||||||||
|
Municipal investments
|
17,679
|
|
14
|
|
17,665
|
|
2,441
|
|
3,578
|
|
2,580
|
|
—
|
|
8,599
|
|
||||||||
|
Client intermediation
|
515
|
|
371
|
|
144
|
|
49
|
|
—
|
|
—
|
|
3
|
|
52
|
|
||||||||
|
Investment funds
|
2,788
|
|
767
|
|
2,021
|
|
32
|
|
120
|
|
27
|
|
3
|
|
182
|
|
||||||||
|
Other
|
1,429
|
|
607
|
|
822
|
|
116
|
|
11
|
|
58
|
|
43
|
|
228
|
|
||||||||
|
Total
|
$
|
401,822
|
|
$
|
76,291
|
|
$
|
325,531
|
|
$
|
28,523
|
|
$
|
4,219
|
|
$
|
10,422
|
|
$
|
190
|
|
$
|
43,354
|
|
(1) The definition of maximum exposure to loss is included in the text that follows this table.
|
(2)
|
Included on Citigroup’s
March 31, 2017
and
December 31, 2016
Consolidated Balance Sheet.
|
|
(3)
|
A significant unconsolidated VIE is an entity where the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss.
|
|
(4)
|
Citigroup mortgage securitizations also include agency and non-agency (private-label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.
|
138
|
(5)
|
See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs.
|
The previous tables do not include:
|
•
|
certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC 946);
|
|
•
|
certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;
|
|
•
|
certain VIEs structured by third parties where the Company holds securities in inventory, as these investments are made on arm’s-length terms;
|
|
•
|
certain positions in mortgage-backed and asset-backed securities held by the Company, which are classified as
Trading account assets
or
Investments
, where the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 12 and 20 to the Consolidated Financial Statements);
|
|
•
|
certain representations and warranties exposures in legacy
ICG
-sponsored mortgage-backed and asset-backed securitizations, where the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 where the Company has no variable interest or continuing involvement as servicer was approximately
$10 billion
at
March 31, 2017
and
December 31, 2016
;
|
|
•
|
certain representations and warranties exposures in Citigroup residential mortgage securitizations, where the original mortgage loan balances are no longer outstanding; and
|
|
•
|
VIEs such as trust preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.
|
The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., loan or security) and the Company’s standard accounting policies for the asset type and line of business.
The asset balances for unconsolidated VIEs where 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.
139
Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:
|
March 31, 2017
|
December 31, 2016
|
|||||||||||
|
In millions of dollars
|
Liquidity
facilities
|
Loan/equity
commitments
|
Liquidity
facilities
|
Loan/equity
commitments
|
||||||||
|
Asset-based financing
|
$
|
—
|
|
$
|
4,923
|
|
$
|
5
|
|
$
|
4,910
|
|
|
Municipal securities tender option bond trusts (TOBs)
|
2,914
|
|
—
|
|
2,842
|
|
—
|
|
||||
|
Municipal investments
|
—
|
|
2,561
|
|
—
|
|
2,580
|
|
||||
|
Client Intermediation
|
—
|
|
208
|
|
—
|
|
—
|
|
||||
|
Investment funds
|
—
|
|
15
|
|
—
|
|
27
|
|
||||
|
Other
|
—
|
|
66
|
|
—
|
|
58
|
|
||||
|
Total funding commitments
|
$
|
2,914
|
|
$
|
7,773
|
|
$
|
2,847
|
|
$
|
7,575
|
|
Significant Interests in Unconsolidated VIEs—Balance Sheet Classification
The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs:
|
In billions of dollars
|
March 31, 2017
|
December 31, 2016
|
||||
|
Cash
|
$
|
0.1
|
|
$
|
0.1
|
|
|
Trading account assets
|
8.1
|
|
8.0
|
|
||
|
Investments
|
4.4
|
|
4.4
|
|
||
|
Total loans, net of allowance
|
18.3
|
|
18.8
|
|
||
|
Other
|
0.5
|
|
1.5
|
|
||
|
Total assets
|
$
|
31.4
|
|
$
|
32.8
|
|
Credit Card Securitizations
Substantially all of the Company’s credit card securitization activity is through
two
trusts—Citibank Credit Card Master Trust (Master Trust) and the Citibank Omni Master Trust
(Omni Trust), with the substantial majority through the Master Trust. These trusts are consolidated entities.
The following table reflects amounts related to the Company’s securitized credit card receivables:
|
In billions of dollars
|
March 31, 2017
|
December 31, 2016
|
||||
|
Ownership interests in principal amount of trust credit card receivables
|
||||||
|
Sold to investors via trust-issued securities
|
$
|
23.2
|
|
$
|
22.7
|
|
|
Retained by Citigroup as trust-issued securities
|
7.5
|
|
7.4
|
|
||
|
Retained by Citigroup via non-certificated interests
|
16.2
|
|
20.6
|
|
||
|
Total
|
$
|
46.9
|
|
$
|
50.7
|
|
The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:
|
Three months ended March 31,
|
||||||
|
In billions of dollars
|
2017
|
2016
|
||||
|
Proceeds from new securitizations
|
$
|
2.5
|
|
$
|
—
|
|
|
Pay down of maturing notes
|
(2.0
|
)
|
(2.2
|
)
|
||
The weighted average maturity of the third-party term notes issued by the Master Trust was
2.5 years
as of
March 31, 2017
and
2.6 years
as of
December 31, 2016
.
Master Trust Liabilities (at Par Value)
|
In billions of dollars
|
March 31, 2017
|
Dec. 31, 2016
|
||||
|
Term notes issued to third parties
|
$
|
22.2
|
|
$
|
21.7
|
|
|
Term notes retained by Citigroup affiliates
|
5.6
|
|
5.5
|
|
||
|
Total Master Trust liabilities
|
$
|
27.8
|
|
$
|
27.2
|
|
The weighted average maturity of the third-party term notes issued by the Omni Trust was
1.6 years
as of
March 31, 2017
and
1.9 years
as of
December 31, 2016
.
Omni Trust Liabilities (at Par Value)
|
In billions of dollars
|
March 31, 2017
|
Dec. 31, 2016
|
||||
|
Term notes issued to third parties
|
$
|
1.0
|
|
$
|
1.0
|
|
|
Term notes retained by Citigroup affiliates
|
1.9
|
|
1.9
|
|
||
|
Total Omni Trust liabilities
|
$
|
2.9
|
|
$
|
2.9
|
|
140
Mortgage Securitizations
The following table summarizes selected cash flow information related to Citigroup mortgage securitizations:
|
2017
|
2016
|
|||||||||||
|
In billions of dollars
|
U.S. agency-
sponsored mortgages |
Non-agency-
sponsored mortgages |
U.S. agency-
sponsored mortgages |
Non-agency-
sponsored mortgages (1) |
||||||||
|
Proceeds from new securitizations
|
$
|
7.2
|
|
$
|
1.4
|
|
$
|
10.6
|
|
$
|
4.2
|
|
|
Contractual servicing fees received
|
0.1
|
|
—
|
|
0.1
|
|
—
|
|
||||
(1) The proceeds from new securitizations in
2016
include
$0.5 billion
related to personal loan securitizations.
During the first quarter of
2017
, gains recognized on the securitization of U.S. agency-sponsored mortgages and non-agency sponsored mortgages were
$29 million
and
$20 million
, respectively.
Agency and non-agency securitization gains for the quarter ended
March 31, 2016
were
$25 million
and
$9 million
, respectively.
Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
|
March 31, 2017
|
||||||
|
Non-agency-sponsored mortgages
(1)
|
||||||
|
U.S. agency-
sponsored mortgages |
Senior
interests |
Subordinated
interests |
||||
|
Discount rate
|
2.4% to 19.9%
|
|
—
|
|
—
|
|
|
Weighted average discount rate
|
13.0
|
%
|
—
|
|
—
|
|
|
Constant prepayment rate
|
3.8% to 10.5%
|
|
—
|
|
—
|
|
|
Weighted average constant prepayment rate
|
6.2
|
%
|
—
|
|
—
|
|
|
Anticipated net credit losses
(2)
|
NM
|
|
—
|
|
—
|
|
|
Weighted average anticipated net credit losses
|
NM
|
|
—
|
|
—
|
|
|
Weighted average life
|
6.5 to 12.2 years
|
|
—
|
|
—
|
|
|
March 31, 2016
|
|||||
|
Non-agency-sponsored mortgages
(1)
|
|||||
|
U.S. agency-
sponsored mortgages |
Senior
interests |
Subordinated
interests |
|||
|
Discount rate
|
2.1% to 11.5%
|
|
—
|
|
—
|
|
Weighted average discount rate
|
8.4
|
%
|
—
|
|
—
|
|
Constant prepayment rate
|
9.1% to 23.3%
|
|
—
|
|
—
|
|
Weighted average constant prepayment rate
|
11.8
|
%
|
—
|
|
—
|
|
Anticipated net credit losses
(2)
|
NM
|
|
—
|
|
—
|
|
Weighted average anticipated net credit losses
|
NM
|
|
—
|
|
—
|
|
Weighted average life
|
3.5 to 17.5 years
|
|
—
|
|
—
|
Note: Citi held no retained interests in non-agency-sponsored mortgages securitized during the first quarter of
2017
and
2016
.
|
(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.
|
141
The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests.
The key assumptions used to value retained interests, and the sensitivity of the fair value to adverse changes of
10%
and
20%
in each of the key assumptions, are set forth in the tables
below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.
|
March 31, 2017
|
||||||
|
Non-agency-sponsored mortgages
(1)
|
||||||
|
U.S. agency-
sponsored mortgages |
Senior
interests |
Subordinated
interests |
||||
|
Discount rate
|
0.7% to 41.8%
|
|
0.0% to 4.4%
|
|
6.2% to 23.8%
|
|
|
Weighted average discount rate
|
9.5
|
%
|
0.5
|
%
|
11.8
|
%
|
|
Constant prepayment rate
|
6.2% to 20.7%
|
|
8.0% to 13.1%
|
|
0.5% to 23.6%
|
|
|
Weighted average constant prepayment rate
|
9.8
|
%
|
12.3
|
%
|
9.0
|
%
|
|
Anticipated net credit losses
(2)
|
NM
|
|
0.5% to 53.0%
|
|
29.7% to 62.7%
|
|
|
Weighted average anticipated net credit losses
|
NM
|
|
8.7
|
%
|
49.0
|
%
|
|
Weighted average life
|
0.0 to 28.6 years
|
|
5.3 to 8.6 years
|
|
0.9 to 11.9 years
|
|
|
December 31, 2016
|
||||||
|
Non-agency-sponsored mortgages
(1)
|
||||||
|
U.S. agency-
sponsored mortgages |
Senior
interests |
Subordinated
interests |
||||
|
Discount rate
|
0.7% to 28.2%
|
|
0.0% to 8.1%
|
|
5.1% to 26.4%
|
|
|
Weighted average discount rate
|
9.0
|
%
|
2.1
|
%
|
13.1
|
%
|
|
Constant prepayment rate
|
6.8% to 22.8%
|
|
4.2% to 14.7%
|
|
0.5% to 37.5%
|
|
|
Weighted average constant prepayment rate
|
10.2
|
%
|
11.0
|
%
|
10.8
|
%
|
|
Anticipated net credit losses
(2)
|
NM
|
|
0.5% to 85.6%
|
|
8.0% to 63.7%
|
|
|
Weighted average anticipated net credit losses
|
NM
|
|
31.4
|
%
|
48.3
|
%
|
|
Weighted average life
|
0.2 to 28.8 years
|
|
5.0 to 8.5 years
|
|
1.2 to 12.1 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.
|
142
|
March 31, 2017
|
|||||||||
|
Non-agency-sponsored mortgages
(1)
|
|||||||||
|
In millions of dollars
|
U.S. agency-
sponsored mortgages |
Senior
interests |
Subordinated
interests |
||||||
|
Carrying value of retained interests
|
$
|
1,211
|
|
$
|
30
|
|
$
|
168
|
|
|
Discount rates
|
|||||||||
|
Adverse change of 10%
|
$
|
(42
|
)
|
$
|
(8
|
)
|
$
|
(8
|
)
|
|
Adverse change of 20%
|
(80
|
)
|
(16
|
)
|
(15
|
)
|
|||
|
Constant prepayment rate
|
|||||||||
|
Adverse change of 10%
|
(33
|
)
|
(2
|
)
|
(3
|
)
|
|||
|
Adverse change of 20%
|
(69
|
)
|
(3
|
)
|
(7
|
)
|
|||
|
Anticipated net credit losses
|
|||||||||
|
Adverse change of 10%
|
NM
|
|
(7
|
)
|
(1
|
)
|
|||
|
Adverse change of 20%
|
NM
|
|
(14
|
)
|
(2
|
)
|
|||
|
December 31, 2016
|
|||||||||
|
Non-agency-sponsored mortgages
(1)
|
|||||||||
|
In millions of dollars
|
U.S. agency-
sponsored mortgages |
Senior
interests |
Subordinated
interests |
||||||
|
Carrying value of retained interests
|
$
|
2,258
|
|
$
|
26
|
|
$
|
161
|
|
|
Discount rates
|
|||||||||
|
Adverse change of 10%
|
$
|
(71
|
)
|
$
|
(7
|
)
|
$
|
(8
|
)
|
|
Adverse change of 20%
|
(138
|
)
|
(14
|
)
|
(16
|
)
|
|||
|
Constant prepayment rate
|
|||||||||
|
Adverse change of 10%
|
(80
|
)
|
(2
|
)
|
(4
|
)
|
|||
|
Adverse change of 20%
|
(160
|
)
|
(3
|
)
|
(8
|
)
|
|||
|
Anticipated net credit losses
|
|||||||||
|
Adverse change of 10%
|
NM
|
|
(7
|
)
|
(1
|
)
|
|||
|
Adverse change of 20%
|
NM
|
|
(14
|
)
|
(2
|
)
|
|||
|
(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.
|
|
NM
|
Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
|
Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was
$567 million
and
$1.6 billion
at
March 31, 2017
and
December 31, 2016
, respectively. The MSRs correspond to principal loan balances of
$71 billion
and
$168 billion
as of
March 31, 2017
and
December 31, 2016
, respectively. The following table summarizes the changes in capitalized MSRs:
|
In millions of dollars
|
2017
|
2016
|
||||
|
Balance, beginning of year
|
$
|
1,564
|
|
$
|
1,781
|
|
|
Originations
|
35
|
|
33
|
|
||
|
Changes in fair value of MSRs due to changes in inputs and assumptions
|
67
|
|
(225
|
)
|
||
|
Other changes
(1)
|
(53
|
)
|
(79
|
)
|
||
|
Sale of MSRs
(2)
|
(1,046
|
)
|
14
|
|
||
|
Balance, as of March 31
|
$
|
567
|
|
$
|
1,524
|
|
|
(1)
|
Represents changes due to customer payments and passage of time.
|
|
(2)
|
See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs. 2016 amount includes sales of credit challenged MSRs for which Citi paid the new servicer.
|
The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
|
In millions of dollars
|
2017
|
2016
|
||||
|
Servicing fees
|
$
|
106
|
|
$
|
128
|
|
|
Late fees
|
3
|
|
4
|
|
||
|
Ancillary fees
|
4
|
|
5
|
|
||
|
Total MSR fees
|
$
|
113
|
|
$
|
137
|
|
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
.
143
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 quarters ended
March 31, 2017
and
2016
. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of
March 31, 2017
, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately
$126 million
(all related to re-securitization transactions executed prior to
2017
), which has been recorded in
Trading account assets
. Of this amount, substantially all was related to subordinated beneficial interests. As of
December 31, 2016
, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately
$126 million
(all related to re-securitization transactions executed prior to
2016
). Of this amount, substantially all was related to subordinated beneficial interests. The original par value of private-label re-securitization transactions in which Citi holds a retained interest as of
March 31, 2017
and
December 31, 2016
was approximately
$1.0 billion
and
$1.3 billion
, respectively.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the quarters ended
March 31, 2017
and
2016
, Citi transferred agency securities with a fair value of approximately
$4.5 billion
and
$7.3 billion
, respectively, to re-securitization entities.
As of
March 31, 2017
, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately
$2.3 billion
(including
$599 million
related to re-securitization transactions executed in
2017
) compared to
$2.3 billion
as of
December 31, 2016
(including
$741 million
related to re-securitization transactions executed in
2016
), which is recorded in
Trading account assets
. The original fair value of agency re-securitization transactions in which Citi holds a retained interest as of
March 31, 2017
and
December 31, 2016
was approximately
$68.6 billion
and
$71.8 billion
, respectively.
As of
March 31, 2017
and
December 31, 2016
, the Company did not consolidate any private-label or agency re-securitization entities.
Citi-Administered Asset-Backed Commercial Paper Conduits
At
March 31, 2017
and
December 31, 2016
, the commercial paper conduits administered by Citi had approximately
$19.1 billion
and
$19.7 billion
of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately
$14.2 billion
and
$12.8 billion
, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At
March 31, 2017
and
December 31, 2016
, the weighted average remaining lives of the commercial paper issued by the conduits were approximately
52
and
55 days
, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. In addition to the transaction-specific credit enhancements, the conduits, other than the government guaranteed loan conduit, have obtained a letter of credit from the Company, which is equal to at least
8%
to
10%
of the conduit’s assets with a minimum of
$200 million
. The letters of credit provided by the Company to the conduits total approximately
$1.7 billion
and
$1.8 billion
as of
March 31, 2017
and
December 31, 2016
, respectively. The net result across multi-seller conduits administered by the Company is that, in the event defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then the commercial paper investors.
At
March 31, 2017
and
December 31, 2016
, the Company owned
$9.3 billion
and
$9.7 billion
, respectively, of the commercial paper issued by its administered conduits. The Company's investments were not driven by market illiquidity and the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.
Collateralized Loan Obligations
The following table summarizes selected cash flow information related to Citigroup CLOs:
|
In billions of dollars
|
Mar. 31, 2017
|
Mar. 31, 2016
|
||||
|
Proceeds from new securitizations
|
$
|
0.3
|
|
$
|
—
|
|
The key assumptions used to value retained interests in CLOs, and the sensitivity of the fair value to adverse changes of 10% and 20% are set forth in the tables below:
|
|
Mar. 31, 2017
|
Dec. 31, 2016
|
|
Discount rate
|
1.1% to 1.7%
|
1.3% to 1.7%
|
|
In millions of dollars
|
Mar. 31, 2017
|
Dec. 31, 2016
|
||||
|
Carrying value of retained interests
|
$
|
4,259
|
|
$
|
4,261
|
|
|
Discount rates
|
||||||
|
Adverse change of 10%
|
$
|
(28
|
)
|
$
|
(30
|
)
|
|
Adverse change of 20%
|
(55
|
)
|
(62
|
)
|
||
144
Asset-Based Financing
The primary types of Citi’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement, and Citi’s maximum exposure to loss are shown below. For Citi to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.
|
March 31, 2017
|
||||||
|
In millions of dollars
|
Total
unconsolidated VIE assets |
Maximum
exposure to unconsolidated VIEs |
||||
|
Type
|
||||||
|
Commercial and other real estate
|
$
|
8,194
|
|
$
|
2,164
|
|
|
Corporate loans
|
3,376
|
|
2,183
|
|
||
|
Hedge funds and equities
|
417
|
|
57
|
|
||
|
Airplanes, ships and other assets
|
38,210
|
|
16,809
|
|
||
|
Total
|
$
|
50,197
|
|
$
|
21,213
|
|
|
December 31, 2016
|
||||||
|
In millions of dollars
|
Total
unconsolidated VIE assets |
Maximum
exposure to unconsolidated VIEs |
||||
|
Type
|
||||||
|
Commercial and other real estate
|
$
|
8,784
|
|
$
|
2,368
|
|
|
Corporate loans
|
4,051
|
|
2,684
|
|
||
|
Hedge funds and equities
|
370
|
|
54
|
|
||
|
Airplanes, ships and other assets
|
39,230
|
|
16,837
|
|
||
|
Total
|
$
|
52,435
|
|
$
|
21,943
|
|
Municipal Securities Tender Option Bond (TOB) Trusts
At
March 31, 2017
and
December 31, 2016
, approximately
$81 million
and
$82 million
, respectively, of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At
March 31, 2017
and
December 31, 2016
, liquidity agreements provided with respect to customer TOB trusts totaled
$2.9 billion
, of which
$2.1 billion
were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the Residual owned by the customer was at least
25%
of the bond value at the inception of the transaction, no reimbursement agreement was executed.
The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled
$7.4 billion
as of
March 31, 2017
and
December 31, 2016
. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.
Client Intermediation
The proceeds from new securitizations related to the Company’s client intermediation transactions for the quarters ended
March 31, 2017
and
2016
totaled approximately
$0.5 billion
and
$0.6 billion
, respectively.
145
19. DERIVATIVES ACTIVITIES
In the ordinary course of business, Citigroup enters into various types of derivative transactions. For additional information regarding Citi’s use of and accounting for derivatives, see Note 22 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
Information pertaining to Citigroup’s derivative 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 and accurate measure of Citi’s exposure to derivative transactions. Rather, 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. 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.
146
Derivative Notionals
|
|
Hedging instruments under
ASC 815
(1)(2)
|
Other derivative instruments
|
||||||||||||||||
|
|
|
|
Trading derivatives
|
Management hedges
(3)
|
||||||||||||||
|
In millions of dollars
|
March 31,
2017 |
December 31,
2016 |
March 31,
2017 |
December 31,
2016 |
March 31,
2017 |
December 31,
2016 |
||||||||||||
|
Interest rate contracts
|
|
|
|
|
|
|
||||||||||||
|
Swaps
|
$
|
198,753
|
|
$
|
151,331
|
|
$
|
20,669,239
|
|
$
|
19,145,250
|
|
$
|
29,447
|
|
$
|
47,324
|
|
|
Futures and forwards
|
97
|
|
97
|
|
8,341,434
|
|
6,864,276
|
|
10,143
|
|
30,834
|
|
||||||
|
Written options
|
—
|
|
—
|
|
3,645,213
|
|
2,921,070
|
|
3,288
|
|
4,759
|
|
||||||
|
Purchased options
|
—
|
|
—
|
|
3,501,503
|
|
2,768,528
|
|
3,900
|
|
7,320
|
|
||||||
|
Total interest rate contract notionals
|
$
|
198,850
|
|
$
|
151,428
|
|
$
|
36,157,389
|
|
$
|
31,699,124
|
|
$
|
46,778
|
|
$
|
90,237
|
|
|
Foreign exchange contracts
|
|
|
|
|||||||||||||||
|
Swaps
|
$
|
36,928
|
|
$
|
19,042
|
|
$
|
6,548,915
|
|
$
|
5,492,145
|
|
$
|
21,420
|
|
$
|
22,676
|
|
|
Futures, forwards and spot
|
38,220
|
|
56,964
|
|
4,175,350
|
|
3,251,132
|
|
2,333
|
|
3,419
|
|
||||||
|
Written options
|
1,172
|
|
—
|
|
1,299,018
|
|
1,194,325
|
|
—
|
|
—
|
|
||||||
|
Purchased options
|
2,596
|
|
—
|
|
1,308,291
|
|
1,215,961
|
|
—
|
|
—
|
|
||||||
|
Total foreign exchange contract notionals
|
$
|
78,916
|
|
$
|
76,006
|
|
$
|
13,331,574
|
|
$
|
11,153,563
|
|
$
|
23,753
|
|
$
|
26,095
|
|
|
Equity contracts
|
|
|
|
|||||||||||||||
|
Swaps
|
$
|
—
|
|
$
|
—
|
|
$
|
204,137
|
|
$
|
192,366
|
|
$
|
—
|
|
$
|
—
|
|
|
Futures and forwards
|
—
|
|
—
|
|
42,926
|
|
37,557
|
|
—
|
|
—
|
|
||||||
|
Written options
|
—
|
|
—
|
|
372,759
|
|
304,579
|
|
—
|
|
—
|
|
||||||
|
Purchased options
|
—
|
|
—
|
|
350,655
|
|
266,070
|
|
—
|
|
—
|
|
||||||
|
Total equity contract notionals
|
$
|
—
|
|
$
|
—
|
|
$
|
970,477
|
|
$
|
800,572
|
|
$
|
—
|
|
$
|
—
|
|
|
Commodity and other contracts
|
|
|
|
|||||||||||||||
|
Swaps
|
$
|
—
|
|
$
|
—
|
|
$
|
67,942
|
|
$
|
70,774
|
|
$
|
—
|
|
$
|
—
|
|
|
Futures and forwards
|
155
|
|
182
|
|
151,844
|
|
142,530
|
|
—
|
|
—
|
|
||||||
|
Written options
|
—
|
|
—
|
|
74,668
|
|
74,627
|
|
—
|
|
—
|
|
||||||
|
Purchased options
|
—
|
|
—
|
|
70,529
|
|
69,629
|
|
—
|
|
—
|
|
||||||
|
Total commodity and other contract notionals
|
$
|
155
|
|
$
|
182
|
|
$
|
364,983
|
|
$
|
357,560
|
|
$
|
—
|
|
$
|
—
|
|
|
Credit derivatives
(4)
|
|
|
|
|||||||||||||||
|
Protection sold
|
$
|
—
|
|
$
|
—
|
|
$
|
876,791
|
|
$
|
859,420
|
|
$
|
—
|
|
$
|
—
|
|
|
Protection purchased
|
—
|
|
—
|
|
895,380
|
|
883,003
|
|
17,226
|
|
19,470
|
|
||||||
|
Total credit derivatives
|
$
|
—
|
|
$
|
—
|
|
$
|
1,772,171
|
|
$
|
1,742,423
|
|
$
|
17,226
|
|
$
|
19,470
|
|
|
Total derivative notionals
|
$
|
277,921
|
|
$
|
227,616
|
|
$
|
52,596,594
|
|
$
|
45,753,242
|
|
$
|
87,757
|
|
$
|
135,802
|
|
|
(1)
|
The notional amounts presented in this table do not include hedge accounting relationships under ASC 815 where Citigroup is hedging the foreign currency risk of a net investment in a foreign operation by issuing a foreign-currency-denominated debt instrument. The notional amount of such debt was
$1,815 million
and
$1,825 million
at
March 31, 2017
and
December 31, 2016
, respectively.
|
|
(2)
|
Derivatives in hedge accounting relationships accounted for under ASC 815 are recorded in either
Other assets/Other liabilities
or
Trading account assets/Trading account liabilities
on the Consolidated Balance Sheet.
|
|
(3)
|
Management hedges represent derivative instruments used to mitigate certain economic risks, but for which hedge accounting is not applied. These derivatives are recorded in either
Other assets/Other liabilities
or
Trading account assets/Trading account liabilities
on the Consolidated Balance Sheet.
|
|
(4)
|
Credit derivatives are arrangements designed to allow one party (protection buyer) 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.
|
147
The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of
March 31, 2017
and
December 31, 2016
. 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 table for March 31, 2017 reflects a rule change adopted by a clearing organization that became effective January 3, 2017. Under this rule change, variation margin exchanged on certain interest rate and credit derivative contracts is legally characterized and accounted for as settlement of the related derivative fair value, and not as collateral (whereby the counterparties would record a related collateral payable or receivable). As a result, the table for March 31, 2017 reflects a reduction in approximately
$20 billion
of gross derivative assets and gross derivative liabilities due to the accounting treatment of variation margin payments as settlement for derivatives with this clearing organization that are subject to the rule change. There is no change to the consolidated balance sheet reporting for the affected items.
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 an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.
148
Derivative Mark-to-Market (MTM) Receivables/Payables
|
In millions of dollars at March 31, 2017
|
Derivatives classified
in Trading account
assets / liabilities
(1)(2)(3)
|
Derivatives classified
in Other
assets / liabilities
(2)(3)
|
||||||||||
|
Derivatives instruments designated as ASC 815 hedges
|
Assets
|
Liabilities
|
Assets
|
Liabilities
|
||||||||
|
Over-the-counter
|
$
|
645
|
|
$
|
143
|
|
$
|
1,308
|
|
$
|
34
|
|
|
Cleared
|
3,925
|
|
2,175
|
|
53
|
|
62
|
|
||||
|
Interest rate contracts
|
$
|
4,570
|
|
$
|
2,318
|
|
$
|
1,361
|
|
$
|
96
|
|
|
Over-the-counter
|
$
|
1,315
|
|
$
|
923
|
|
$
|
232
|
|
$
|
236
|
|
|
Foreign exchange contracts
|
$
|
1,315
|
|
$
|
923
|
|
$
|
232
|
|
$
|
236
|
|
|
Total derivatives instruments designated as ASC 815 hedges
|
$
|
5,885
|
|
$
|
3,241
|
|
$
|
1,593
|
|
$
|
332
|
|
|
Derivatives instruments not designated as ASC 815 hedges
|
|
|
|
|
||||||||
|
Over-the-counter
|
$
|
222,212
|
|
$
|
203,860
|
|
$
|
64
|
|
$
|
—
|
|
|
Cleared
|
86,795
|
|
94,086
|
|
119
|
|
164
|
|
||||
|
Exchange traded
|
150
|
|
85
|
|
—
|
|
—
|
|
||||
|
Interest rate contracts
|
$
|
309,157
|
|
$
|
298,031
|
|
$
|
183
|
|
$
|
164
|
|
|
Over-the-counter
|
$
|
122,726
|
|
$
|
126,685
|
|
$
|
—
|
|
$
|
59
|
|
|
Cleared
|
1,170
|
|
1,042
|
|
—
|
|
—
|
|
||||
|
Exchange traded
|
25
|
|
17
|
|
—
|
|
—
|
|
||||
|
Foreign exchange contracts
|
$
|
123,921
|
|
$
|
127,744
|
|
$
|
—
|
|
$
|
59
|
|
|
Over-the-counter
|
$
|
16,494
|
|
$
|
20,844
|
|
$
|
—
|
|
$
|
—
|
|
|
Cleared
|
19
|
|
27
|
|
—
|
|
—
|
|
||||
|
Exchange traded
|
8,123
|
|
7,819
|
|
—
|
|
—
|
|
||||
|
Equity contracts
|
$
|
24,636
|
|
$
|
28,690
|
|
$
|
—
|
|
$
|
—
|
|
|
Over-the-counter
|
$
|
10,807
|
|
$
|
12,647
|
|
$
|
—
|
|
$
|
—
|
|
|
Exchange traded
|
642
|
|
665
|
|
—
|
|
—
|
|
||||
|
Commodity and other contracts
|
$
|
11,449
|
|
$
|
13,312
|
|
$
|
—
|
|
$
|
—
|
|
|
Over-the-counter
|
$
|
16,987
|
|
$
|
17,770
|
|
$
|
46
|
|
$
|
87
|
|
|
Cleared
|
6,335
|
|
6,916
|
|
26
|
|
325
|
|
||||
|
Credit derivatives
(4)
|
$
|
23,322
|
|
$
|
24,686
|
|
$
|
72
|
|
$
|
412
|
|
|
Total derivatives instruments not designated as ASC 815 hedges
|
$
|
492,485
|
|
$
|
492,463
|
|
$
|
255
|
|
$
|
635
|
|
|
Total derivatives
|
$
|
498,370
|
|
$
|
495,704
|
|
$
|
1,848
|
|
$
|
967
|
|
|
Cash collateral paid/received
(5)(6)
|
$
|
10,436
|
|
$
|
13,961
|
|
$
|
5
|
|
$
|
15
|
|
|
Less: Netting agreements
(7)
|
(416,229
|
)
|
(416,229
|
)
|
—
|
|
—
|
|
||||
|
Less: Netting cash collateral received/paid
(8)
|
(36,198
|
)
|
(40,577
|
)
|
(940
|
)
|
(51
|
)
|
||||
|
Net receivables/payables included on the Consolidated Balance Sheet
(9)
|
$
|
56,379
|
|
$
|
52,859
|
|
$
|
913
|
|
$
|
931
|
|
|
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
|
||||||||||||
|
Less: Cash collateral received/paid
|
$
|
(653
|
)
|
$
|
(13
|
)
|
$
|
—
|
|
$
|
—
|
|
|
Less: Non-cash collateral received/paid
|
(10,239
|
)
|
(8,635
|
)
|
(506
|
)
|
—
|
|
||||
|
Total net receivables/payables
(9)
|
$
|
45,487
|
|
$
|
44,211
|
|
$
|
407
|
|
$
|
931
|
|
|
(1)
|
The trading derivatives fair values are presented in Note 20 to the Consolidated Financial Statements.
|
|
(2)
|
Derivative mark-to-market receivables/payables related to management hedges are recorded in either
Other assets/Other liabilities
or
Trading account assets/Trading account liabilities
.
|
|
(3)
|
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.
|
|
(4)
|
The credit derivatives trading assets comprise
$6,312 million
related to protection purchased and
$17,010 million
related to protection sold as of
March 31, 2017
. The credit derivatives trading liabilities comprise
$18,467 million
related to protection purchased and
$6,219 million
related to protection sold as of
March 31, 2017
.
|
|
(5)
|
For the trading account assets/liabilities, reflects the net amount of the
$51,013 million
and
$50,159 million
of gross cash collateral paid and received, respectively. Of the gross cash collateral paid,
$40,577 million
was used to offset trading derivative liabilities and, of the gross cash collateral received,
$36,198 million
was used to offset trading derivative assets.
|
149
|
(6)
|
For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of
$56 million
of gross cash collateral paid, of which
$51 million
is netted against non-trading derivative positions within
Other liabilities
. For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of
$955 million
of gross cash collateral received, of which
$940 million
is netted against OTC non-trading derivative positions within
Other assets
.
|
|
(7)
|
Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately
$315 billion
,
$93 billion
and
$8 billion
of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
|
|
(8)
|
Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.
|
|
(9)
|
The net receivables/payables include approximately
$7 billion
of derivative asset and
$11 billion
of derivative liability fair values not subject to enforceable master netting agreements, respectively.
|
|
In millions of dollars at December 31, 2016
|
Derivatives classified in Trading
account assets / liabilities
(1)(2)(3)
|
Derivatives classified in Other assets / liabilities
(2)(3)
|
||||||||||
|
Derivatives instruments designated as ASC 815 hedges
|
Assets
|
Liabilities
|
Assets
|
Liabilities
|
||||||||
|
Over-the-counter
|
$
|
716
|
|
$
|
171
|
|
$
|
1,927
|
|
$
|
22
|
|
|
Cleared
|
3,530
|
|
2,154
|
|
47
|
|
82
|
|
||||
|
Interest rate contracts
|
$
|
4,246
|
|
$
|
2,325
|
|
$
|
1,974
|
|
$
|
104
|
|
|
Over-the-counter
|
$
|
2,494
|
|
$
|
393
|
|
$
|
747
|
|
$
|
645
|
|
|
Foreign exchange contracts
|
$
|
2,494
|
|
$
|
393
|
|
$
|
747
|
|
$
|
645
|
|
|
Total derivatives instruments designated as ASC 815 hedges
|
$
|
6,740
|
|
$
|
2,718
|
|
$
|
2,721
|
|
$
|
749
|
|
|
Derivatives instruments not designated as ASC 815 hedges
|
|
|
|
|
||||||||
|
Over-the-counter
|
$
|
244,072
|
|
$
|
221,534
|
|
$
|
225
|
|
$
|
5
|
|
|
Cleared
|
120,920
|
|
130,855
|
|
240
|
|
349
|
|
||||
|
Exchange traded
|
87
|
|
47
|
|
—
|
|
—
|
|
||||
|
Interest rate contracts
|
$
|
365,079
|
|
$
|
352,436
|
|
$
|
465
|
|
$
|
354
|
|
|
Over-the-counter
|
$
|
182,659
|
|
$
|
186,867
|
|
$
|
—
|
|
$
|
60
|
|
|
Cleared
|
482
|
|
470
|
|
—
|
|
—
|
|
||||
|
Exchange traded
|
27
|
|
31
|
|
—
|
|
—
|
|
||||
|
Foreign exchange contracts
|
$
|
183,168
|
|
$
|
187,368
|
|
$
|
—
|
|
$
|
60
|
|
|
Over-the-counter
|
$
|
15,625
|
|
$
|
19,119
|
|
$
|
—
|
|
$
|
—
|
|
|
Cleared
|
1
|
|
21
|
|
—
|
|
—
|
|
||||
|
Exchange traded
|
8,484
|
|
7,376
|
|
—
|
|
—
|
|
||||
|
Equity contracts
|
$
|
24,110
|
|
$
|
26,516
|
|
$
|
—
|
|
$
|
—
|
|
|
Over-the-counter
|
$
|
13,046
|
|
$
|
14,234
|
|
$
|
—
|
|
$
|
—
|
|
|
Exchange traded
|
719
|
|
798
|
|
—
|
|
—
|
|
||||
|
Commodity and other contracts
|
$
|
13,765
|
|
$
|
15,032
|
|
$
|
—
|
|
$
|
—
|
|
|
Over-the-counter
|
$
|
19,033
|
|
$
|
19,563
|
|
$
|
159
|
|
$
|
78
|
|
|
Cleared
|
5,582
|
|
5,874
|
|
47
|
|
310
|
|
||||
|
Credit derivatives
(4)
|
$
|
24,615
|
|
$
|
25,437
|
|
$
|
206
|
|
$
|
388
|
|
|
Total derivatives instruments not designated as ASC 815 hedges
|
$
|
610,737
|
|
$
|
606,789
|
|
$
|
671
|
|
$
|
802
|
|
|
Total derivatives
|
$
|
617,477
|
|
$
|
609,507
|
|
$
|
3,392
|
|
$
|
1,551
|
|
|
Cash collateral paid/received
(5)(6)
|
$
|
11,188
|
|
$
|
15,731
|
|
$
|
8
|
|
$
|
1
|
|
|
Less: Netting agreements
(7)
|
(519,000
|
)
|
(519,000
|
)
|
—
|
|
—
|
|
||||
|
Less: Netting cash collateral received/paid
(8)
|
(45,912
|
)
|
(49,811
|
)
|
(1,345
|
)
|
(53
|
)
|
||||
|
Net receivables/payables included on the Consolidated Balance Sheet
(9)
|
$
|
63,753
|
|
$
|
56,427
|
|
$
|
2,055
|
|
$
|
1,499
|
|
|
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
|
||||||||||||
|
Less: Cash collateral received/paid
|
$
|
(819
|
)
|
$
|
(19
|
)
|
$
|
—
|
|
$
|
—
|
|
|
Less: Non-cash collateral received/paid
|
(11,767
|
)
|
(5,883
|
)
|
(530
|
)
|
—
|
|
||||
|
Total net receivables/payables
(9)
|
$
|
51,167
|
|
$
|
50,525
|
|
$
|
1,525
|
|
$
|
1,499
|
|
|
(1)
|
The trading derivatives fair values are presented in Note 20 to the Consolidated Financial Statements.
|
|
(2)
|
Derivative mark-to-market receivables/payables related to management hedges are recorded in either
Other assets/Other liabilities
or
Trading account assets/Trading account liabilities
.
|
|
(3)
|
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,
|
150
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.
|
(4)
|
The credit derivatives trading assets comprise
$8,871 million
related to protection purchased and
$15,744 million
related to protection sold as of
December 31, 2016
. The credit derivatives trading liabilities comprise
$16,722 million
related to protection purchased and
$8,715 million
related to protection sold as of
December 31, 2016
.
|
|
(5)
|
For the trading account assets/liabilities, reflects the net amount of the
$60,999 million
and
$61,643 million
of gross cash collateral paid and received, respectively. Of the gross cash collateral paid,
$49,811 million
was used to offset trading derivative liabilities and, of the gross cash collateral received,
$45,912 million
was used to offset trading derivative assets.
|
|
(6)
|
For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of
$61 million
of gross cash collateral paid, of which
$53 million
is netted against non-trading derivative positions within
Other liabilities
. For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of
$1,346 million
of gross cash collateral received, of which
$1,345 million
is netted against OTC non-trading derivative positions within
Other assets
.
|
|
(7)
|
Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately
$383 billion
,
$128 billion
and
$8 billion
of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
|
|
(8)
|
Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.
|
|
(9)
|
The net receivables/payables include approximately
$7 billion
of derivative asset and
$9 billion
of derivative liability fair values not subject to enforceable master netting agreements, respectively.
|
For the
three months ended
March 31, 2017
and
2016
, the amounts recognized in
Principal transactions
in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship, as well as the underlying non-derivative instruments, are presented in Note
6
to the Consolidated Financial Statements. 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 the way these portfolios are risk managed.
The amounts recognized in
Other revenue
in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains/losses on the economically hedged items to the extent such amounts are also recorded in
Other revenue
.
|
|
Gains (losses) included in
Other revenue |
|||||
|
|
Three months ended March 31,
|
|||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Interest rate contracts
|
$
|
(45
|
)
|
$
|
15
|
|
|
Foreign exchange
|
3
|
|
4
|
|
||
|
Credit derivatives
|
(263
|
)
|
(213
|
)
|
||
|
Total Citigroup
|
$
|
(305
|
)
|
$
|
(194
|
)
|
151
The following table summarizes the gains (losses) on the Company’s fair value hedges:
|
|
Gains (losses) on fair value hedges
(1)
|
|||||
|
Three months ended March 31,
|
||||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Gain (loss) on the derivatives in designated and qualifying fair value hedges
|
||||||
|
Interest rate contracts
|
$
|
(305
|
)
|
$
|
2,115
|
|
|
Foreign exchange contracts
|
(82
|
)
|
(1,361
|
)
|
||
|
Commodity contracts
|
2
|
|
349
|
|
||
|
Total gain (loss) on the derivatives in designated and qualifying fair value hedges
|
$
|
(385
|
)
|
$
|
1,103
|
|
|
Gain (loss) on the hedged item in designated and qualifying fair value hedges
|
||||||
|
Interest rate hedges
|
$
|
296
|
|
$
|
(2,090
|
)
|
|
Foreign exchange hedges
|
196
|
|
1,307
|
|
||
|
Commodity hedges
|
(1
|
)
|
(344
|
)
|
||
|
Total gain (loss) on the hedged item in designated and qualifying fair value hedges
|
$
|
491
|
|
$
|
(1,127
|
)
|
|
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
|
||||||
|
Interest rate hedges
|
$
|
(10
|
)
|
$
|
27
|
|
|
Foreign exchange hedges
|
62
|
|
(75
|
)
|
||
|
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
|
$
|
52
|
|
$
|
(48
|
)
|
|
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
|
||||||
|
Interest rate contracts
|
$
|
1
|
|
$
|
(2
|
)
|
|
Foreign exchange contracts
(2)
|
52
|
|
21
|
|
||
|
Commodity hedges
(2)
|
1
|
|
5
|
|
||
|
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges
|
$
|
54
|
|
$
|
24
|
|
|
(1)
|
Amounts are included in
Other revenue
on the Consolidated Statement of Income. The accrued interest income on fair value hedges is recorded in
Net interest revenue
and is excluded from this table.
|
|
(2)
|
Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates). These amounts are excluded from the assessment of hedge effectiveness and are reflected directly in earnings.
|
152
Cash Flow Hedges
The amount of hedge ineffectiveness on the cash flow hedges recognized in earnings for the
three months ended
March 31, 2017
, and
2016
is not significant. The pretax change in AOCI from cash flow hedges is presented below:
|
|
Three months ended March 31,
|
|||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Effective portion of cash flow hedges included in AOCI
|
||||||
|
Interest rate contracts
|
$
|
41
|
|
$
|
415
|
|
|
Foreign exchange contracts
|
—
|
|
24
|
|
||
|
Total effective portion of cash flow hedges included in AOCI
|
$
|
41
|
|
$
|
439
|
|
|
Effective portion of cash flow hedges reclassified from AOCI to earnings
|
|
|
||||
|
Interest rate contracts
|
$
|
44
|
|
$
|
(16
|
)
|
|
Foreign exchange contracts
|
(3
|
)
|
(26
|
)
|
||
|
Total effective portion of cash flow hedges reclassified from AOCI to earnings
(1)
|
$
|
41
|
|
$
|
(42
|
)
|
|
(1)
|
Included primarily in
Other revenue
and
Net interest revenue
on the Consolidated Income Statement.
|
For cash flow hedges, the changes in the fair value of the hedging derivative remain in AOCI on the Consolidated Balance Sheet and will be included in the earnings of future periods to offset the variability of the hedged cash flows when such cash flows affect earnings. The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI
within 12 months of
March 31, 2017
is approximately $
(217) million
. The maximum length of time over which forecasted cash flows are hedged is
10 years
.
The after-tax impact of cash flow hedges on AOCI is shown in Note 17 to the Consolidated Financial Statements.
Net Investment Hedges
The pretax gain (loss) recorded in the
Foreign currency translation adjustment
account within AOCI, related to the effective portion of the net investment hedges, is $
(1,716) million
and $
(1,374) million
for the
three months ended
March 31, 2017
and 2016, respectively.
153
Credit Derivatives
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
|
|
Fair values
|
Notionals
|
||||||||||
|
In millions of dollars at March 31, 2017
|
Receivable
(1)
|
Payable
(2)
|
Protection
purchased |
Protection
sold |
||||||||
|
By industry/counterparty
|
|
|
|
|
||||||||
|
Banks
|
$
|
10,428
|
|
$
|
9,483
|
|
$
|
383,466
|
|
$
|
393,864
|
|
|
Broker-dealers
|
3,297
|
|
3,587
|
|
107,767
|
|
116,589
|
|
||||
|
Non-financial
|
80
|
|
187
|
|
3,164
|
|
1,430
|
|
||||
|
Insurance and other financial institutions
|
9,589
|
|
11,841
|
|
418,209
|
|
364,908
|
|
||||
|
Total by industry/counterparty
|
$
|
23,394
|
|
$
|
25,098
|
|
$
|
912,606
|
|
$
|
876,791
|
|
|
By instrument
|
|
|
|
|
||||||||
|
Credit default swaps and options
|
$
|
23,145
|
|
$
|
23,096
|
|
$
|
889,829
|
|
$
|
868,748
|
|
|
Total return swaps and other
|
249
|
|
2,002
|
|
22,777
|
|
8,043
|
|
||||
|
Total by instrument
|
$
|
23,394
|
|
$
|
25,098
|
|
$
|
912,606
|
|
$
|
876,791
|
|
|
By rating
|
|
|
|
|
||||||||
|
Investment grade
|
$
|
9,951
|
|
$
|
10,142
|
|
$
|
691,002
|
|
$
|
669,241
|
|
|
Non-investment grade
|
13,443
|
|
14,956
|
|
221,604
|
|
207,550
|
|
||||
|
Total by rating
|
$
|
23,394
|
|
$
|
25,098
|
|
$
|
912,606
|
|
$
|
876,791
|
|
|
By maturity
|
|
|
|
|
||||||||
|
Within 1 year
|
$
|
3,008
|
|
$
|
4,108
|
|
$
|
304,227
|
|
$
|
296,731
|
|
|
From 1 to 5 years
|
16,894
|
|
17,187
|
|
532,809
|
|
511,054
|
|
||||
|
After 5 years
|
3,492
|
|
3,803
|
|
75,570
|
|
69,006
|
|
||||
|
Total by maturity
|
$
|
23,394
|
|
$
|
25,098
|
|
$
|
912,606
|
|
$
|
876,791
|
|
|
(1)
|
The fair value amount receivable is composed of $
6,384 million
under protection purchased and $
17,010 million
under protection sold.
|
|
(2)
|
The fair value amount payable is composed of $
18,879 million
under protection purchased and $
6,219 million
under protection sold.
|
|
|
Fair values
|
Notionals
|
||||||||||
|
In millions of dollars at December 31, 2016
|
Receivable
(1)
|
Payable
(2)
|
Protection
purchased |
Protection
sold |
||||||||
|
By industry/counterparty
|
|
|
|
|
||||||||
|
Banks
|
$
|
11,895
|
|
$
|
10,930
|
|
$
|
407,992
|
|
$
|
414,720
|
|
|
Broker-dealers
|
3,536
|
|
3,952
|
|
115,013
|
|
119,810
|
|
||||
|
Non-financial
|
82
|
|
99
|
|
4,014
|
|
2,061
|
|
||||
|
Insurance and other financial institutions
|
9,308
|
|
10,844
|
|
375,454
|
|
322,829
|
|
||||
|
Total by industry/counterparty
|
$
|
24,821
|
|
$
|
25,825
|
|
$
|
902,473
|
|
$
|
859,420
|
|
|
By instrument
|
|
|
|
|
||||||||
|
Credit default swaps and options
|
$
|
24,502
|
|
$
|
24,631
|
|
$
|
883,719
|
|
$
|
852,900
|
|
|
Total return swaps and other
|
319
|
|
1,194
|
|
18,754
|
|
6,520
|
|
||||
|
Total by instrument
|
$
|
24,821
|
|
$
|
25,825
|
|
$
|
902,473
|
|
$
|
859,420
|
|
|
By rating
|
|
|
|
|
||||||||
|
Investment grade
|
$
|
9,605
|
|
$
|
9,995
|
|
$
|
675,138
|
|
$
|
648,247
|
|
|
Non-investment grade
|
15,216
|
|
15,830
|
|
227,335
|
|
211,173
|
|
||||
|
Total by rating
|
$
|
24,821
|
|
$
|
25,825
|
|
$
|
902,473
|
|
$
|
859,420
|
|
|
By maturity
|
|
|
|
|
||||||||
|
Within 1 year
|
$
|
4,113
|
|
$
|
4,841
|
|
$
|
293,059
|
|
$
|
287,262
|
|
|
From 1 to 5 years
|
17,735
|
|
17,986
|
|
551,155
|
|
523,371
|
|
||||
|
After 5 years
|
2,973
|
|
2,998
|
|
58,259
|
|
48,787
|
|
||||
|
Total by maturity
|
$
|
24,821
|
|
$
|
25,825
|
|
$
|
902,473
|
|
$
|
859,420
|
|
154
|
(1)
|
The fair value amount receivable is composed of $
9,077 million
under protection purchased and $
15,744 million
under protection sold.
|
|
(2)
|
The fair value amount payable is composed of $
17,110 million
under protection purchased and $
8,715 million
under protection sold.
|
Credit-Risk-Related Contingent Features in Derivatives
Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates. The fair value (excluding CVA) of all derivative instruments with credit-risk-related contingent features that were in a net liability position at both
March 31, 2017
and
December 31, 2016
was $
29 billion
and $
26 billion
, respectively. The Company posted $
26 billion
and $
26 billion
as collateral for this exposure in the normal course of business as of
March 31, 2017
and
December 31, 2016
, respectively.
A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all
three
major rating agencies as of
March 31, 2017
, the Company could be required to post an additional $
1.1 billion
as either collateral or settlement of the derivative transactions. Additionally, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $
0.3 billion
upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $
1.4 billion
.
Derivatives Accompanied by Financial Asset Transfers
For transfers of financial assets accounted for as a sale by the Company, where the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed in contemplation of the initial sale with the same counterparty and still outstanding as of
March 31, 2017
, both the asset carrying amounts derecognized and gross cash proceeds received as of the date of derecognition were
$1.5 billion
. At
March 31, 2017
, the fair value of these previously derecognized assets was
$1.5 billion
and the fair value of the total return swaps was
$29 million
recorded as gross derivative assets and
$6 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.
155
20. FAIR VALUE MEASUREMENT
For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
Market Valuation Adjustments
The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at
March 31, 2017
and
December 31, 2016
:
|
|
Credit and funding valuation adjustments
contra-liability (contra-asset)
|
|||||
|
In millions of dollars
|
March 31,
2017 |
December 31,
2016 |
||||
|
Counterparty CVA
|
$
|
(1,316
|
)
|
$
|
(1,488
|
)
|
|
Asset FVA
|
(444
|
)
|
(536
|
)
|
||
|
Citigroup (own-credit) CVA
|
377
|
|
459
|
|
||
|
Liability FVA
|
52
|
|
62
|
|
||
|
Total CVA—derivative instruments
(1)
|
$
|
(1,331
|
)
|
$
|
(1,503
|
)
|
|
(1)
|
FVA is included with CVA for presentation purposes.
|
The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:
|
|
Credit/funding/debt valuation
adjustments gain (loss)
|
|||||
|
Three months ended March 31,
|
||||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Counterparty CVA
|
$
|
90
|
|
$
|
(108
|
)
|
|
Asset FVA
|
92
|
|
(80
|
)
|
||
|
Own-credit CVA
|
(72
|
)
|
135
|
|
||
|
Liability FVA
|
(10
|
)
|
29
|
|
||
|
Total CVA—derivative instruments
|
$
|
100
|
|
$
|
(24
|
)
|
|
DVA related to own FVO liabilities
(1)
|
$
|
(95
|
)
|
$
|
307
|
|
|
Total CVA and DVA
(2)
|
$
|
5
|
|
$
|
283
|
|
|
(1)
|
See Note 1 to the Consolidated Financial Statements.
|
|
(2)
|
FVA is included with CVA for presentation purposes.
|
156
Items Measured at Fair Value on a Recurring Basis
The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at
March 31, 2017
and
December 31, 2016
. The Company may hedge positions that have been classified in the Level 3 category with other financial instruments (hedging instruments) that may be
classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables:
Fair Value Levels
|
In millions of dollars at March 31, 2017
|
Level 1
(1)
|
Level 2
(1)
|
Level 3
|
Gross
inventory |
Netting
(2)
|
Net
balance |
||||||||||||
|
Assets
|
|
|
|
|
|
|
||||||||||||
|
Federal funds sold and securities borrowed or purchased under agreements to resell
|
$
|
—
|
|
$
|
174,962
|
|
$
|
1,187
|
|
$
|
176,149
|
|
$
|
(38,789
|
)
|
$
|
137,360
|
|
|
Trading non-derivative assets
|
||||||||||||||||||
|
Trading mortgage-backed securities
|
||||||||||||||||||
|
U.S. government-sponsored agency guaranteed
|
—
|
|
21,410
|
|
271
|
|
21,681
|
|
—
|
|
21,681
|
|
||||||
|
Residential
|
—
|
|
289
|
|
368
|
|
657
|
|
—
|
|
657
|
|
||||||
|
Commercial
|
—
|
|
1,052
|
|
266
|
|
1,318
|
|
—
|
|
1,318
|
|
||||||
|
Total trading mortgage-backed securities
|
$
|
—
|
|
$
|
22,751
|
|
$
|
905
|
|
$
|
23,656
|
|
$
|
—
|
|
$
|
23,656
|
|
|
U.S. Treasury and federal agency securities
|
$
|
18,757
|
|
$
|
3,511
|
|
$
|
1
|
|
$
|
22,269
|
|
$
|
—
|
|
$
|
22,269
|
|
|
State and municipal
|
—
|
|
3,086
|
|
270
|
|
3,356
|
|
—
|
|
3,356
|
|
||||||
|
Foreign government
|
37,588
|
|
21,152
|
|
126
|
|
58,866
|
|
—
|
|
58,866
|
|
||||||
|
Corporate
|
240
|
|
16,011
|
|
296
|
|
16,547
|
|
—
|
|
16,547
|
|
||||||
|
Equity securities
|
43,108
|
|
5,468
|
|
110
|
|
48,686
|
|
—
|
|
48,686
|
|
||||||
|
Asset-backed securities
|
—
|
|
1,536
|
|
1,941
|
|
3,477
|
|
—
|
|
3,477
|
|
||||||
|
Other trading assets
(3)
|
8
|
|
9,771
|
|
1,888
|
|
11,667
|
|
—
|
|
11,667
|
|
||||||
|
Total trading non-derivative assets
|
$
|
99,701
|
|
$
|
83,286
|
|
$
|
5,537
|
|
$
|
188,524
|
|
$
|
—
|
|
$
|
188,524
|
|
|
Trading derivatives
|
|
|
|
|
||||||||||||||
|
Interest rate contracts
|
$
|
17
|
|
$
|
311,584
|
|
$
|
2,126
|
|
$
|
313,727
|
|
||||||
|
Foreign exchange contracts
|
18
|
|
124,740
|
|
478
|
|
125,236
|
|
||||||||||
|
Equity contracts
|
1,815
|
|
22,196
|
|
625
|
|
24,636
|
|
||||||||||
|
Commodity contracts
|
250
|
|
10,647
|
|
552
|
|
11,449
|
|
||||||||||
|
Credit derivatives
|
—
|
|
21,751
|
|
1,571
|
|
23,322
|
|
||||||||||
|
Total trading derivatives
|
$
|
2,100
|
|
$
|
490,918
|
|
$
|
5,352
|
|
$
|
498,370
|
|
||||||
|
Cash collateral paid
(4)
|
$
|
10,436
|
|
|||||||||||||||
|
Netting agreements
|
$
|
(416,229
|
)
|
|||||||||||||||
|
Netting of cash collateral received
|
(36,198
|
)
|
||||||||||||||||
|
Total trading derivatives
|
$
|
2,100
|
|
$
|
490,918
|
|
$
|
5,352
|
|
$
|
508,806
|
|
$
|
(452,427
|
)
|
$
|
56,379
|
|
|
Investments
|
||||||||||||||||||
|
Mortgage-backed securities
|
||||||||||||||||||
|
U.S. government-sponsored agency guaranteed
|
$
|
—
|
|
$
|
35,648
|
|
$
|
55
|
|
$
|
35,703
|
|
$
|
—
|
|
$
|
35,703
|
|
|
Residential
|
—
|
|
3,474
|
|
—
|
|
3,474
|
|
—
|
|
3,474
|
|
||||||
|
Commercial
|
—
|
|
360
|
|
—
|
|
360
|
|
—
|
|
360
|
|
||||||
|
Total investment mortgage-backed securities
|
$
|
—
|
|
$
|
39,482
|
|
$
|
55
|
|
$
|
39,537
|
|
$
|
—
|
|
$
|
39,537
|
|
|
U.S. Treasury and federal agency securities
|
$
|
106,915
|
|
$
|
10,731
|
|
$
|
1
|
|
$
|
117,647
|
|
$
|
—
|
|
$
|
117,647
|
|
|
State and municipal
|
—
|
|
8,392
|
|
1,233
|
|
9,625
|
|
—
|
|
9,625
|
|
||||||
|
Foreign government
|
56,398
|
|
43,497
|
|
235
|
|
100,130
|
|
—
|
|
100,130
|
|
||||||
|
Corporate
|
1,807
|
|
13,733
|
|
339
|
|
15,879
|
|
—
|
|
15,879
|
|
||||||
|
Equity securities
|
317
|
|
65
|
|
9
|
|
391
|
|
—
|
|
391
|
|
||||||
|
Asset-backed securities
|
—
|
|
5,811
|
|
712
|
|
6,523
|
|
—
|
|
6,523
|
|
||||||
|
Other debt securities
|
—
|
|
550
|
|
—
|
|
550
|
|
—
|
|
550
|
|
||||||
|
Non-marketable equity securities
(5)
|
—
|
|
31
|
|
1,082
|
|
1,113
|
|
—
|
|
1,113
|
|
||||||
|
Total investments
|
$
|
165,437
|
|
$
|
122,292
|
|
$
|
3,666
|
|
$
|
291,395
|
|
$
|
—
|
|
$
|
291,395
|
|
Table continues on the next page.
157
|
In millions of dollars at March 31, 2017
|
Level 1
(1)
|
Level 2
(1)
|
Level 3
|
Gross
inventory |
Netting
(2)
|
Net
balance |
||||||||||||
|
Loans
|
$
|
—
|
|
$
|
3,455
|
|
$
|
580
|
|
$
|
4,035
|
|
$
|
—
|
|
$
|
4,035
|
|
|
Mortgage servicing rights
|
—
|
|
—
|
|
567
|
|
567
|
|
—
|
|
567
|
|
||||||
|
Non-trading derivatives and other financial assets measured on a recurring basis, gross
|
$
|
11,750
|
|
$
|
6,439
|
|
$
|
27
|
|
$
|
18,216
|
|
||||||
|
Cash collateral paid
(6)
|
5
|
|
||||||||||||||||
|
Netting of cash collateral received
|
$
|
(940
|
)
|
|||||||||||||||
|
Non-trading derivatives and other financial assets measured on a recurring basis
|
$
|
11,750
|
|
$
|
6,439
|
|
$
|
27
|
|
$
|
18,221
|
|
$
|
(940
|
)
|
$
|
17,281
|
|
|
Total assets
|
$
|
278,988
|
|
$
|
881,352
|
|
$
|
16,916
|
|
$
|
1,187,697
|
|
$
|
(492,156
|
)
|
$
|
695,541
|
|
|
Total as a percentage of gross assets
(7)
|
23.7
|
%
|
74.9
|
%
|
1.4
|
%
|
|
|
|
|
|
|
||||||
|
Liabilities
|
||||||||||||||||||
|
Interest-bearing deposits
|
$
|
—
|
|
$
|
1,005
|
|
$
|
302
|
|
$
|
1,307
|
|
$
|
—
|
|
$
|
1,307
|
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
—
|
|
78,919
|
|
809
|
|
79,728
|
|
(38,789
|
)
|
40,939
|
|
||||||
|
Trading account liabilities
|
||||||||||||||||||
|
Securities sold, not yet purchased
|
80,154
|
|
7,302
|
|
1,151
|
|
88,607
|
|
—
|
|
88,607
|
|
||||||
|
Other trading liabilities
|
—
|
|
2,605
|
|
—
|
|
2,605
|
|
—
|
|
2,605
|
|
||||||
|
Total trading liabilities
|
$
|
80,154
|
|
$
|
9,907
|
|
$
|
1,151
|
|
$
|
91,212
|
|
$
|
—
|
|
$
|
91,212
|
|
|
Trading derivatives
|
||||||||||||||||||
|
Interest rate contracts
|
$
|
5
|
|
$
|
297,445
|
|
$
|
2,899
|
|
$
|
300,349
|
|
||||||
|
Foreign exchange contracts
|
8
|
|
128,229
|
|
430
|
|
128,667
|
|
||||||||||
|
Equity contracts
|
1,675
|
|
24,866
|
|
2,149
|
|
28,690
|
|
||||||||||
|
Commodity contracts
|
155
|
|
10,531
|
|
2,626
|
|
13,312
|
|
||||||||||
|
Credit derivatives
|
—
|
|
21,992
|
|
2,694
|
|
24,686
|
|
||||||||||
|
Total trading derivatives
|
$
|
1,843
|
|
$
|
483,063
|
|
$
|
10,798
|
|
$
|
495,704
|
|
||||||
|
Cash collateral received
(8)
|
$
|
13,961
|
|
|||||||||||||||
|
Netting agreements
|
$
|
(416,229
|
)
|
|||||||||||||||
|
Netting of cash collateral paid
|
(40,577
|
)
|
||||||||||||||||
|
Total trading derivatives
|
$
|
1,843
|
|
$
|
483,063
|
|
$
|
10,798
|
|
$
|
509,665
|
|
$
|
(456,806
|
)
|
$
|
52,859
|
|
|
Short-term borrowings
|
$
|
—
|
|
$
|
3,413
|
|
$
|
60
|
|
$
|
3,473
|
|
$
|
—
|
|
$
|
3,473
|
|
|
Long-term debt
|
—
|
|
17,350
|
|
10,176
|
|
27,526
|
|
—
|
|
27,526
|
|
||||||
|
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross
|
$
|
11,750
|
|
$
|
963
|
|
$
|
4
|
|
$
|
12,717
|
|
||||||
|
Cash collateral received
(9)
|
15
|
|
||||||||||||||||
|
Netting of cash collateral paid
|
$
|
(51
|
)
|
|||||||||||||||
|
Total non-trading derivatives and other financial liabilities measured on a recurring basis
|
$
|
11,750
|
|
$
|
963
|
|
$
|
4
|
|
$
|
12,732
|
|
$
|
(51
|
)
|
$
|
12,681
|
|
|
Total liabilities
|
$
|
93,747
|
|
$
|
594,620
|
|
$
|
23,300
|
|
$
|
725,643
|
|
$
|
(495,646
|
)
|
$
|
229,997
|
|
|
Total as a percentage of gross liabilities
(7)
|
13.2
|
%
|
83.6
|
%
|
3.3
|
%
|
||||||||||||
|
(1)
|
For the
three months
ended
March 31, 2017
, the Company transferred assets of approximately
$0.9 billion
from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. During the
three months
ended
March 31, 2017
, the Company transferred assets of approximately
$1.4 billion
from Level 2 to Level 1, primarily related to foreign government bonds traded with sufficient frequency to constitute an active market. During the
three months
ended
March 31, 2017
, the Company transferred liabilities of approximately
$0.1 billion
from Level 1 to Level 2. During the
three months
ended
March 31, 2017
, the Company transferred liabilities of approximately
$0.1 billion
from Level 2 to Level 1.
|
|
(2)
|
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.
|
|
(3)
|
Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
|
|
(4)
|
Reflects the net amount of
$51,013 million
gross cash collateral paid, of which
$40,577 million
was used to offset trading derivative liabilities.
|
|
(5)
|
Amounts exclude
$0.4 billion
investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07,
Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
|
|
(6)
|
Reflects the net amount of
$56 million
of gross cash collateral paid, of which $
51 million
was used to offset non-trading derivative liabilities.
|
|
(7)
|
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.
|
|
(8)
|
Reflects the net amount
$50,159 million
of gross cash collateral received, of which
$36,198 million
was used to offset trading derivative assets.
|
158
|
(9)
|
Reflects the net amount of
$955 million
of gross cash collateral received, of which
$940 million
was used to offset non-trading derivative assets.
|
Fair Value Levels
|
In millions of dollars at December 31, 2016
|
Level 1
(1)
|
Level 2
(1)
|
Level 3
|
Gross
inventory |
Netting
(2)
|
Net
balance |
||||||||||||
|
Assets
|
|
|
|
|
|
|
||||||||||||
|
Federal funds sold and securities borrowed or purchased under agreements to resell
|
$
|
—
|
|
$
|
172,394
|
|
$
|
1,496
|
|
$
|
173,890
|
|
$
|
(40,686
|
)
|
$
|
133,204
|
|
|
Trading non-derivative assets
|
||||||||||||||||||
|
Trading mortgage-backed securities
|
||||||||||||||||||
|
U.S. government-sponsored agency guaranteed
|
—
|
|
22,718
|
|
176
|
|
22,894
|
|
—
|
|
22,894
|
|
||||||
|
Residential
|
—
|
|
291
|
|
399
|
|
690
|
|
—
|
|
690
|
|
||||||
|
Commercial
|
—
|
|
1,000
|
|
206
|
|
1,206
|
|
—
|
|
1,206
|
|
||||||
|
Total trading mortgage-backed securities
|
$
|
—
|
|
$
|
24,009
|
|
$
|
781
|
|
$
|
24,790
|
|
$
|
—
|
|
$
|
24,790
|
|
|
U.S. Treasury and federal agency securities
|
$
|
17,756
|
|
$
|
3,423
|
|
$
|
1
|
|
$
|
21,180
|
|
$
|
—
|
|
$
|
21,180
|
|
|
State and municipal
|
—
|
|
3,780
|
|
296
|
|
4,076
|
|
—
|
|
4,076
|
|
||||||
|
Foreign government
|
36,852
|
|
12,804
|
|
40
|
|
49,696
|
|
—
|
|
49,696
|
|
||||||
|
Corporate
|
424
|
|
14,199
|
|
324
|
|
14,947
|
|
—
|
|
14,947
|
|
||||||
|
Equity securities
|
45,331
|
|
4,985
|
|
127
|
|
50,443
|
|
—
|
|
50,443
|
|
||||||
|
Asset-backed securities
|
—
|
|
892
|
|
1,868
|
|
2,760
|
|
—
|
|
2,760
|
|
||||||
|
Other trading assets
(3)
|
2
|
|
9,464
|
|
2,814
|
|
12,280
|
|
—
|
|
12,280
|
|
||||||
|
Total trading non-derivative assets
|
$
|
100,365
|
|
$
|
73,556
|
|
$
|
6,251
|
|
$
|
180,172
|
|
$
|
—
|
|
$
|
180,172
|
|
|
Trading derivatives
|
||||||||||||||||||
|
Interest rate contracts
|
$
|
105
|
|
$
|
366,995
|
|
$
|
2,225
|
|
$
|
369,325
|
|
||||||
|
Foreign exchange contracts
|
53
|
|
184,776
|
|
833
|
|
185,662
|
|
||||||||||
|
Equity contracts
|
2,306
|
|
21,209
|
|
595
|
|
24,110
|
|
||||||||||
|
Commodity contracts
|
261
|
|
12,999
|
|
505
|
|
13,765
|
|
||||||||||
|
Credit derivatives
|
—
|
|
23,021
|
|
1,594
|
|
24,615
|
|
||||||||||
|
Total trading derivatives
|
$
|
2,725
|
|
$
|
609,000
|
|
$
|
5,752
|
|
$
|
617,477
|
|
||||||
|
Cash collateral paid
(4)
|
$
|
11,188
|
|
|||||||||||||||
|
Netting agreements
|
$
|
(519,000
|
)
|
|||||||||||||||
|
Netting of cash collateral received
|
(45,912
|
)
|
||||||||||||||||
|
Total trading derivatives
|
$
|
2,725
|
|
$
|
609,000
|
|
$
|
5,752
|
|
$
|
628,665
|
|
$
|
(564,912
|
)
|
$
|
63,753
|
|
|
Investments
|
||||||||||||||||||
|
Mortgage-backed securities
|
||||||||||||||||||
|
U.S. government-sponsored agency guaranteed
|
$
|
—
|
|
$
|
38,304
|
|
$
|
101
|
|
$
|
38,405
|
|
$
|
—
|
|
$
|
38,405
|
|
|
Residential
|
—
|
|
3,860
|
|
50
|
|
3,910
|
|
—
|
|
3,910
|
|
||||||
|
Commercial
|
—
|
|
358
|
|
—
|
|
358
|
|
—
|
|
358
|
|
||||||
|
Total investment mortgage-backed securities
|
$
|
—
|
|
$
|
42,522
|
|
$
|
151
|
|
$
|
42,673
|
|
$
|
—
|
|
$
|
42,673
|
|
|
U.S. Treasury and federal agency securities
|
$
|
112,916
|
|
$
|
10,753
|
|
$
|
2
|
|
$
|
123,671
|
|
$
|
—
|
|
$
|
123,671
|
|
|
State and municipal
|
—
|
|
8,909
|
|
1,211
|
|
10,120
|
|
—
|
|
10,120
|
|
||||||
|
Foreign government
|
54,028
|
|
43,934
|
|
186
|
|
98,148
|
|
—
|
|
98,148
|
|
||||||
|
Corporate
|
3,215
|
|
13,598
|
|
311
|
|
17,124
|
|
—
|
|
17,124
|
|
||||||
|
Equity securities
|
336
|
|
46
|
|
9
|
|
391
|
|
—
|
|
391
|
|
||||||
|
Asset-backed securities
|
—
|
|
6,134
|
|
660
|
|
6,794
|
|
—
|
|
6,794
|
|
||||||
|
Other debt securities
|
—
|
|
503
|
|
—
|
|
503
|
|
—
|
|
503
|
|
||||||
|
Non-marketable equity securities
(5)
|
—
|
|
35
|
|
1,331
|
|
1,366
|
|
—
|
|
1,366
|
|
||||||
|
Total investments
|
$
|
170,495
|
|
$
|
126,434
|
|
$
|
3,861
|
|
$
|
300,790
|
|
$
|
—
|
|
$
|
300,790
|
|
Table continues on the next page.
159
|
In millions of dollars at December 31, 2016
|
Level 1
(1)
|
Level 2
(1)
|
Level 3
|
Gross
inventory |
Netting
(2)
|
Net
balance |
||||||||||||
|
Loans
|
$
|
—
|
|
$
|
2,918
|
|
$
|
568
|
|
$
|
3,486
|
|
$
|
—
|
|
$
|
3,486
|
|
|
Mortgage servicing rights
|
—
|
|
—
|
|
1,564
|
|
1,564
|
|
—
|
|
1,564
|
|
||||||
|
Non-trading derivatives and other financial assets measured on a recurring basis, gross
|
$
|
9,300
|
|
$
|
7,732
|
|
$
|
34
|
|
$
|
17,066
|
|
||||||
|
Cash collateral paid
(6)
|
8
|
|
||||||||||||||||
|
Netting of cash collateral received
|
$
|
(1,345
|
)
|
|||||||||||||||
|
Non-trading derivatives and other financial assets measured on a recurring basis
|
$
|
9,300
|
|
$
|
7,732
|
|
$
|
34
|
|
$
|
17,074
|
|
$
|
(1,345
|
)
|
$
|
15,729
|
|
|
Total assets
|
$
|
282,885
|
|
$
|
992,034
|
|
$
|
19,526
|
|
$
|
1,305,641
|
|
$
|
(606,943
|
)
|
$
|
698,698
|
|
|
Total as a percentage of gross assets
(7)
|
21.9
|
%
|
76.6
|
%
|
1.5
|
%
|
||||||||||||
|
Liabilities
|
||||||||||||||||||
|
Interest-bearing deposits
|
$
|
—
|
|
$
|
919
|
|
$
|
293
|
|
$
|
1,212
|
|
$
|
—
|
|
$
|
1,212
|
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
—
|
|
73,500
|
|
849
|
|
74,349
|
|
(40,686
|
)
|
33,663
|
|
||||||
|
Trading account liabilities
|
||||||||||||||||||
|
Securities sold, not yet purchased
|
73,782
|
|
5,831
|
|
1,177
|
|
80,790
|
|
—
|
|
80,790
|
|
||||||
|
Other trading liabilities
|
—
|
|
1,827
|
|
1
|
|
1,828
|
|
—
|
|
1,828
|
|
||||||
|
Total trading liabilities
|
$
|
73,782
|
|
$
|
7,658
|
|
$
|
1,178
|
|
$
|
82,618
|
|
$
|
—
|
|
$
|
82,618
|
|
|
Trading account derivatives
|
||||||||||||||||||
|
Interest rate contracts
|
$
|
107
|
|
$
|
351,766
|
|
$
|
2,888
|
|
$
|
354,761
|
|
||||||
|
Foreign exchange contracts
|
13
|
|
187,328
|
|
420
|
|
187,761
|
|
||||||||||
|
Equity contracts
|
2,245
|
|
22,119
|
|
2,152
|
|
26,516
|
|
||||||||||
|
Commodity contracts
|
196
|
|
12,386
|
|
2,450
|
|
15,032
|
|
||||||||||
|
Credit derivatives
|
—
|
|
22,842
|
|
2,595
|
|
25,437
|
|
||||||||||
|
Total trading derivatives
|
$
|
2,561
|
|
$
|
596,441
|
|
$
|
10,505
|
|
$
|
609,507
|
|
||||||
|
Cash collateral received
(8)
|
$
|
15,731
|
|
|||||||||||||||
|
Netting agreements
|
$
|
(519,000
|
)
|
|||||||||||||||
|
Netting of cash collateral paid
|
(49,811
|
)
|
||||||||||||||||
|
Total trading derivatives
|
$
|
2,561
|
|
$
|
596,441
|
|
$
|
10,505
|
|
$
|
625,238
|
|
$
|
(568,811
|
)
|
$
|
56,427
|
|
|
Short-term borrowings
|
$
|
—
|
|
$
|
2,658
|
|
$
|
42
|
|
$
|
2,700
|
|
$
|
—
|
|
$
|
2,700
|
|
|
Long-term debt
|
—
|
|
16,510
|
|
9,744
|
|
26,254
|
|
—
|
|
26,254
|
|
||||||
|
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross
|
$
|
9,300
|
|
$
|
1,540
|
|
$
|
8
|
|
$
|
10,848
|
|
||||||
|
Cash collateral received
(9)
|
1
|
|
||||||||||||||||
|
Netting of cash collateral paid
|
$
|
(53
|
)
|
|||||||||||||||
|
Non-trading derivatives and other financial liabilities measured on a recurring basis
|
$
|
9,300
|
|
$
|
1,540
|
|
$
|
8
|
|
$
|
10,849
|
|
$
|
(53
|
)
|
$
|
10,796
|
|
|
Total liabilities
|
$
|
85,643
|
|
$
|
699,226
|
|
$
|
22,619
|
|
$
|
823,220
|
|
$
|
(609,550
|
)
|
$
|
213,670
|
|
|
Total as a percentage of gross liabilities
(7)
|
10.6
|
%
|
86.6
|
%
|
2.8
|
%
|
||||||||||||
|
(1)
|
In 2016, the Company transferred assets of approximately
$2.6 billion
from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. In 2016, the Company transferred assets of approximately
$4.0 billion
from Level 2 to Level 1, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. In 2016, the Company transferred liabilities of approximately
$0.4 billion
from Level 2 to Level 1. In 2016, the Company transferred liabilities of approximately
$0.3 billion
from Level 1 to Level 2.
|
|
(2)
|
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.
|
|
(3)
|
Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
|
|
(4)
|
Reflects the net amount of
$60,999 million
of gross cash collateral paid, of which
$49,811 million
was used to offset trading derivative liabilities.
|
|
(5)
|
Amounts exclude $
$0.4 billion
investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07,
Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
|
|
(6)
|
Reflects the net amount of
$61 million
of gross cash collateral paid, of which
$53 million
was used to offset non-trading derivative liabilities.
|
|
(7)
|
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.
|
|
(8)
|
Reflects the net amount of
$61,643 million
of gross cash collateral received, of which
$45,912 million
was used to offset trading derivative assets.
|
|
(9)
|
Reflects the net amount of
$1,346 million
of gross cash collateral received, of which
$1,345 million
was used to offset non-trading derivative assets.
|
160
Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the
three months ended
March 31, 2017
and
2016
. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are classified in a different level. For example, the gains and losses for assets and liabilities in the Level 3
category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:
Level 3 Fair Value Rollforward
|
|
|
Net realized/unrealized
gains (losses) incl. in |
Transfers
|
|
|
|
|
|
Unrealized
gains (losses) still held (3) |
||||||||||||||||||||||||
|
In millions of dollars
|
Dec. 31, 2016
|
Principal
transactions |
Other
(1)(2)
|
into
Level 3 |
out of
Level 3 |
Purchases
|
Issuances
|
Sales
|
Settlements
|
Mar. 31, 2017
|
|||||||||||||||||||||||
|
Assets
|
|||||||||||||||||||||||||||||||||
|
Federal funds sold and
securities borrowed or
purchased under
agreements to resell
|
$
|
1,496
|
|
$
|
(56
|
)
|
$
|
—
|
|
$
|
—
|
|
$
|
(252
|
)
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
(1
|
)
|
$
|
1,187
|
|
$
|
4
|
|
|
Trading non-derivative assets
|
|||||||||||||||||||||||||||||||||
|
Trading mortgage-
backed securities
|
|||||||||||||||||||||||||||||||||
|
U.S. government-sponsored agency guaranteed
|
176
|
|
5
|
|
—
|
|
50
|
|
(17
|
)
|
161
|
|
—
|
|
(104
|
)
|
—
|
|
271
|
|
—
|
|
|||||||||||
|
Residential
|
399
|
|
15
|
|
—
|
|
17
|
|
(29
|
)
|
50
|
|
—
|
|
(84
|
)
|
—
|
|
368
|
|
10
|
|
|||||||||||
|
Commercial
|
206
|
|
(8
|
)
|
—
|
|
17
|
|
(13
|
)
|
190
|
|
—
|
|
(126
|
)
|
—
|
|
266
|
|
(4
|
)
|
|||||||||||
|
Total trading mortgage-
backed securities
|
$
|
781
|
|
$
|
12
|
|
$
|
—
|
|
$
|
84
|
|
$
|
(59
|
)
|
$
|
401
|
|
$
|
—
|
|
$
|
(314
|
)
|
$
|
—
|
|
$
|
905
|
|
$
|
6
|
|
|
U.S. Treasury and federal agency securities
|
$
|
1
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
1
|
|
$
|
—
|
|
|
State and municipal
|
296
|
|
2
|
|
—
|
|
2
|
|
(47
|
)
|
81
|
|
—
|
|
(64
|
)
|
—
|
|
270
|
|
2
|
|
|||||||||||
|
Foreign government
|
40
|
|
4
|
|
—
|
|
78
|
|
(13
|
)
|
44
|
|
—
|
|
(27
|
)
|
—
|
|
126
|
|
6
|
|
|||||||||||
|
Corporate
|
324
|
|
91
|
|
—
|
|
27
|
|
(52
|
)
|
118
|
|
—
|
|
(197
|
)
|
(15
|
)
|
296
|
|
12
|
|
|||||||||||
|
Equity securities
|
127
|
|
15
|
|
—
|
|
2
|
|
(12
|
)
|
7
|
|
—
|
|
(29
|
)
|
—
|
|
110
|
|
2
|
|
|||||||||||
|
Asset-backed securities
|
1,868
|
|
160
|
|
—
|
|
20
|
|
(16
|
)
|
391
|
|
—
|
|
(482
|
)
|
—
|
|
1,941
|
|
81
|
|
|||||||||||
|
Other trading assets
|
2,814
|
|
(7
|
)
|
—
|
|
210
|
|
(531
|
)
|
287
|
|
1
|
|
(875
|
)
|
(11
|
)
|
1,888
|
|
(55
|
)
|
|||||||||||
|
Total trading non-
derivative assets
|
$
|
6,251
|
|
$
|
277
|
|
$
|
—
|
|
$
|
423
|
|
$
|
(730
|
)
|
$
|
1,329
|
|
$
|
1
|
|
$
|
(1,988
|
)
|
$
|
(26
|
)
|
$
|
5,537
|
|
$
|
54
|
|
|
Trading derivatives, net
(4)
|
|||||||||||||||||||||||||||||||||
|
Interest rate contracts
|
$
|
(663
|
)
|
$
|
(37
|
)
|
$
|
—
|
|
$
|
(38
|
)
|
$
|
19
|
|
$
|
6
|
|
$
|
—
|
|
$
|
(113
|
)
|
$
|
53
|
|
$
|
(773
|
)
|
$
|
(23
|
)
|
|
Foreign exchange contracts
|
413
|
|
(390
|
)
|
—
|
|
55
|
|
(20
|
)
|
34
|
|
—
|
|
(32
|
)
|
(12
|
)
|
48
|
|
(341
|
)
|
|||||||||||
|
Equity contracts
|
(1,557
|
)
|
(2
|
)
|
—
|
|
—
|
|
(16
|
)
|
85
|
|
—
|
|
(24
|
)
|
(10
|
)
|
(1,524
|
)
|
202
|
|
|||||||||||
|
Commodity contracts
|
(1,945
|
)
|
(175
|
)
|
—
|
|
46
|
|
(2
|
)
|
—
|
|
—
|
|
—
|
|
2
|
|
(2,074
|
)
|
(170
|
)
|
|||||||||||
|
Credit derivatives
|
(1,001
|
)
|
(92
|
)
|
—
|
|
(24
|
)
|
(8
|
)
|
—
|
|
—
|
|
—
|
|
2
|
|
(1,123
|
)
|
(108
|
)
|
|||||||||||
|
Total trading derivatives,
net
(4)
|
$
|
(4,753
|
)
|
$
|
(696
|
)
|
$
|
—
|
|
$
|
39
|
|
$
|
(27
|
)
|
$
|
125
|
|
$
|
—
|
|
$
|
(169
|
)
|
$
|
35
|
|
$
|
(5,446
|
)
|
$
|
(440
|
)
|
Table continues on the next page.
161
|
|
|
Net realized/unrealized
gains (losses) incl. in |
Transfers
|
|
|
|
|
|
Unrealized
gains (losses) still held (3) |
||||||||||||||||||||||||
|
In millions of dollars
|
Dec. 31, 2016
|
Principal
transactions |
Other
(1)(2)
|
into
Level 3 |
out of
Level 3 |
Purchases
|
Issuances
|
Sales
|
Settlements
|
Mar. 31, 2017
|
|||||||||||||||||||||||
|
Investments
|
|||||||||||||||||||||||||||||||||
|
Mortgage-backed securities
|
|||||||||||||||||||||||||||||||||
|
U.S. government-sponsored agency guaranteed
|
$
|
101
|
|
$
|
—
|
|
$
|
2
|
|
$
|
1
|
|
$
|
(49
|
)
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
55
|
|
$
|
2
|
|
|
Residential
|
50
|
|
—
|
|
2
|
|
—
|
|
(47
|
)
|
—
|
|
—
|
|
(5
|
)
|
—
|
|
—
|
|
—
|
|
|||||||||||
|
Commercial
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
8
|
|
—
|
|
(8
|
)
|
—
|
|
—
|
|
—
|
|
|||||||||||
|
Total investment mortgage-backed securities
|
$
|
151
|
|
$
|
—
|
|
$
|
4
|
|
$
|
1
|
|
$
|
(96
|
)
|
$
|
8
|
|
$
|
—
|
|
$
|
(13
|
)
|
$
|
—
|
|
$
|
55
|
|
$
|
2
|
|
|
U.S. Treasury and federal agency securities
|
$
|
2
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
(1
|
)
|
$
|
—
|
|
$
|
1
|
|
$
|
—
|
|
|
State and municipal
|
1,211
|
|
—
|
|
12
|
|
37
|
|
(30
|
)
|
54
|
|
—
|
|
(51
|
)
|
—
|
|
1,233
|
|
6
|
|
|||||||||||
|
Foreign government
|
186
|
|
—
|
|
1
|
|
2
|
|
(18
|
)
|
142
|
|
—
|
|
(78
|
)
|
—
|
|
235
|
|
1
|
|
|||||||||||
|
Corporate
|
311
|
|
—
|
|
2
|
|
59
|
|
(4
|
)
|
91
|
|
—
|
|
(120
|
)
|
—
|
|
339
|
|
2
|
|
|||||||||||
|
Equity securities
|
9
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
9
|
|
—
|
|
|||||||||||
|
Asset-backed securities
|
660
|
|
—
|
|
9
|
|
17
|
|
—
|
|
26
|
|
—
|
|
—
|
|
—
|
|
712
|
|
3
|
|
|||||||||||
|
Other debt securities
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
11
|
|
—
|
|
(11
|
)
|
—
|
|
—
|
|
—
|
|
|||||||||||
|
Non-marketable equity securities
|
1,331
|
|
—
|
|
(94
|
)
|
—
|
|
—
|
|
8
|
|
—
|
|
(73
|
)
|
(90
|
)
|
1,082
|
|
(2
|
)
|
|||||||||||
|
Total investments
|
$
|
3,861
|
|
$
|
—
|
|
$
|
(66
|
)
|
$
|
116
|
|
$
|
(148
|
)
|
$
|
340
|
|
$
|
—
|
|
$
|
(347
|
)
|
$
|
(90
|
)
|
$
|
3,666
|
|
$
|
12
|
|
|
Loans
|
$
|
568
|
|
$
|
—
|
|
$
|
(4
|
)
|
$
|
65
|
|
$
|
(16
|
)
|
$
|
12
|
|
$
|
—
|
|
$
|
(43
|
)
|
$
|
(2
|
)
|
$
|
580
|
|
$
|
74
|
|
|
Mortgage servicing rights
|
$
|
1,564
|
|
$
|
—
|
|
$
|
67
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
35
|
|
$
|
(1,046
|
)
|
$
|
(53
|
)
|
$
|
567
|
|
$
|
83
|
|
|
Other financial assets measured on a recurring basis
|
$
|
34
|
|
$
|
—
|
|
$
|
(189
|
)
|
$
|
3
|
|
$
|
(1
|
)
|
$
|
—
|
|
$
|
29
|
|
$
|
204
|
|
$
|
(53
|
)
|
$
|
27
|
|
$
|
(191
|
)
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
|
Interest-bearing deposits
|
$
|
293
|
|
$
|
—
|
|
$
|
11
|
|
$
|
20
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
302
|
|
$
|
25
|
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
849
|
|
6
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(34
|
)
|
809
|
|
6
|
|
|||||||||||
|
Trading account liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
|
Securities sold, not yet purchased
|
1,177
|
|
54
|
|
—
|
|
11
|
|
(14
|
)
|
—
|
|
—
|
|
101
|
|
(70
|
)
|
1,151
|
|
2
|
|
|||||||||||
|
Other trading liabilities
|
1
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(1
|
)
|
—
|
|
—
|
|
|||||||||||
|
Short-term borrowings
|
42
|
|
(9
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
11
|
|
—
|
|
(2
|
)
|
60
|
|
22
|
|
|||||||||||
|
Long-term debt
|
9,744
|
|
17
|
|
—
|
|
200
|
|
(409
|
)
|
—
|
|
929
|
|
—
|
|
(271
|
)
|
10,176
|
|
116
|
|
|||||||||||
|
Other financial liabilities measured on a recurring basis
|
8
|
|
—
|
|
(2
|
)
|
—
|
|
—
|
|
(1
|
)
|
1
|
|
—
|
|
(6
|
)
|
4
|
|
(2
|
)
|
|||||||||||
|
(1)
|
Changes in fair value for available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in
Realized gains (losses) from sales of investments
on the Consolidated Statement of Income.
|
|
(2)
|
Unrealized gains (losses) on MSRs are recorded in
Other revenue
on 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 investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at
March 31, 2017
.
|
|
(4)
|
Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
|
162
|
|
|
Net realized/unrealized
gains (losses) incl. in |
Transfers
|
|
|
|
|
|
Unrealized
gains (losses) still held (3) |
||||||||||||||||||||||||
|
In millions of dollars
|
Dec. 31, 2015
|
Principal
transactions |
Other
(1)(2)
|
into
Level 3 |
out of
Level 3 |
Purchases
|
Issuances
|
Sales
|
Settlements
|
Mar. 31, 2016
|
|||||||||||||||||||||||
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
|
Federal funds sold and securities borrowed or purchased under agreements to resell
|
$
|
1,337
|
|
$
|
70
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
503
|
|
$
|
—
|
|
$
|
—
|
|
$
|
(1
|
)
|
$
|
1,909
|
|
$
|
—
|
|
|
Trading non-derivative assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
|
Trading mortgage-backed securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
|
U.S. government-sponsored agency guaranteed
|
744
|
|
12
|
|
—
|
|
335
|
|
(220
|
)
|
356
|
|
—
|
|
(191
|
)
|
3
|
|
1,039
|
|
1
|
|
|||||||||||
|
Residential
|
1,326
|
|
49
|
|
—
|
|
104
|
|
(43
|
)
|
211
|
|
—
|
|
(455
|
)
|
—
|
|
1,192
|
|
—
|
|
|||||||||||
|
Commercial
|
517
|
|
9
|
|
—
|
|
56
|
|
(27
|
)
|
245
|
|
—
|
|
(219
|
)
|
—
|
|
581
|
|
—
|
|
|||||||||||
|
Total trading mortgage-backed securities
|
$
|
2,587
|
|
$
|
70
|
|
$
|
—
|
|
$
|
495
|
|
$
|
(290
|
)
|
$
|
812
|
|
$
|
—
|
|
$
|
(865
|
)
|
$
|
3
|
|
$
|
2,812
|
|
$
|
1
|
|
|
U.S. Treasury and federal agency securities
|
$
|
1
|
|
$
|
—
|
|
$
|
—
|
|
$
|
2
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
3
|
|
$
|
—
|
|
|
State and municipal
|
351
|
|
7
|
|
—
|
|
13
|
|
(159
|
)
|
103
|
|
—
|
|
(106
|
)
|
—
|
|
209
|
|
—
|
|
|||||||||||
|
Foreign government
|
197
|
|
(1
|
)
|
—
|
|
2
|
|
(4
|
)
|
41
|
|
—
|
|
(16
|
)
|
—
|
|
219
|
|
—
|
|
|||||||||||
|
Corporate
|
376
|
|
12
|
|
—
|
|
45
|
|
(16
|
)
|
169
|
|
—
|
|
(109
|
)
|
—
|
|
477
|
|
2
|
|
|||||||||||
|
Equity securities
|
3,684
|
|
(44
|
)
|
—
|
|
93
|
|
(34
|
)
|
79
|
|
—
|
|
(23
|
)
|
—
|
|
3,755
|
|
—
|
|
|||||||||||
|
Asset-backed securities
|
2,739
|
|
128
|
|
—
|
|
117
|
|
(14
|
)
|
492
|
|
—
|
|
(648
|
)
|
—
|
|
2,814
|
|
—
|
|
|||||||||||
|
Other trading assets
|
2,483
|
|
(27
|
)
|
—
|
|
778
|
|
(613
|
)
|
283
|
|
11
|
|
(331
|
)
|
(10
|
)
|
2,574
|
|
(5
|
)
|
|||||||||||
|
Total trading non-derivative assets
|
$
|
12,418
|
|
$
|
145
|
|
$
|
—
|
|
$
|
1,545
|
|
$
|
(1,130
|
)
|
$
|
1,979
|
|
$
|
11
|
|
$
|
(2,098
|
)
|
$
|
(7
|
)
|
$
|
12,863
|
|
$
|
(2
|
)
|
|
Trading derivatives, net
(4)
|
|||||||||||||||||||||||||||||||||
|
Interest rate contracts
|
$
|
(495
|
)
|
$
|
(508
|
)
|
$
|
—
|
|
$
|
165
|
|
$
|
90
|
|
$
|
5
|
|
$
|
—
|
|
$
|
(3
|
)
|
$
|
(9
|
)
|
$
|
(755
|
)
|
$
|
(9
|
)
|
|
Foreign exchange contracts
|
620
|
|
(353
|
)
|
—
|
|
3
|
|
30
|
|
17
|
|
—
|
|
(39
|
)
|
17
|
|
295
|
|
2
|
|
|||||||||||
|
Equity contracts
|
(800
|
)
|
32
|
|
—
|
|
75
|
|
(144
|
)
|
24
|
|
—
|
|
(59
|
)
|
(4
|
)
|
(876
|
)
|
—
|
|
|||||||||||
|
Commodity contracts
|
(1,861
|
)
|
(142
|
)
|
—
|
|
(52
|
)
|
10
|
|
—
|
|
—
|
|
—
|
|
96
|
|
(1,949
|
)
|
(1
|
)
|
|||||||||||
|
Credit derivatives
|
307
|
|
(515
|
)
|
—
|
|
(81
|
)
|
29
|
|
1
|
|
—
|
|
—
|
|
(62
|
)
|
(321
|
)
|
(1
|
)
|
|||||||||||
|
Total trading derivatives, net
(4)
|
$
|
(2,229
|
)
|
$
|
(1,486
|
)
|
$
|
—
|
|
$
|
110
|
|
$
|
15
|
|
$
|
47
|
|
$
|
—
|
|
$
|
(101
|
)
|
$
|
38
|
|
$
|
(3,606
|
)
|
$
|
(9
|
)
|
|
Investments
|
|||||||||||||||||||||||||||||||||
|
Mortgage-backed securities
|
|||||||||||||||||||||||||||||||||
|
U.S. government-sponsored agency guaranteed
|
$
|
139
|
|
$
|
—
|
|
$
|
(31
|
)
|
$
|
7
|
|
$
|
(39
|
)
|
$
|
39
|
|
$
|
—
|
|
$
|
(3
|
)
|
$
|
(1
|
)
|
$
|
111
|
|
$
|
—
|
|
|
Residential
|
4
|
|
—
|
|
1
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(5
|
)
|
—
|
|
—
|
|
—
|
|
|||||||||||
|
Commercial
|
2
|
|
—
|
|
—
|
|
3
|
|
(2
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
3
|
|
—
|
|
|||||||||||
|
Total investment mortgage-backed securities
|
$
|
145
|
|
$
|
—
|
|
$
|
(30
|
)
|
$
|
10
|
|
$
|
(41
|
)
|
$
|
39
|
|
$
|
—
|
|
$
|
(8
|
)
|
$
|
(1
|
)
|
$
|
114
|
|
$
|
—
|
|
|
U.S. Treasury and federal agency securities
|
$
|
4
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
(1
|
)
|
$
|
—
|
|
$
|
3
|
|
$
|
—
|
|
|
State and municipal
|
2,192
|
|
—
|
|
35
|
|
261
|
|
(409
|
)
|
151
|
|
—
|
|
(132
|
)
|
—
|
|
2,098
|
|
—
|
|
|||||||||||
|
Foreign government
|
260
|
|
—
|
|
2
|
|
33
|
|
—
|
|
62
|
|
—
|
|
(182
|
)
|
—
|
|
175
|
|
—
|
|
|||||||||||
|
Corporate
|
603
|
|
—
|
|
14
|
|
5
|
|
(37
|
)
|
1
|
|
—
|
|
(88
|
)
|
—
|
|
498
|
|
—
|
|
|||||||||||
|
Equity securities
|
124
|
|
—
|
|
—
|
|
2
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
126
|
|
—
|
|
|||||||||||
|
Asset-backed securities
|
596
|
|
—
|
|
(26
|
)
|
—
|
|
(1
|
)
|
132
|
|
—
|
|
—
|
|
—
|
|
701
|
|
—
|
|
|||||||||||
|
Other debt securities
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||||
|
Non-marketable equity securities
|
1,135
|
|
—
|
|
(2
|
)
|
38
|
|
—
|
|
12
|
|
—
|
|
—
|
|
(18
|
)
|
1,165
|
|
—
|
|
|||||||||||
|
Total investments
|
$
|
5,059
|
|
$
|
—
|
|
$
|
(7
|
)
|
$
|
349
|
|
$
|
(488
|
)
|
$
|
397
|
|
$
|
—
|
|
$
|
(411
|
)
|
$
|
(19
|
)
|
$
|
4,880
|
|
$
|
—
|
|
Table continues on the next page.
163
|
|
|
Net realized/unrealized
gains (losses) incl. in |
Transfers
|
|
|
|
|
|
Unrealized
gains (losses) still held (3) |
||||||||||||||||||||||||
|
In millions of dollars
|
Dec. 31, 2015
|
Principal
transactions |
Other
(1)(2)
|
into
Level 3 |
out of
Level 3 |
Purchases
|
Issuances
|
Sales
|
Settlements
|
Mar. 31, 2016
|
|||||||||||||||||||||||
|
Loans
|
$
|
2,166
|
|
$
|
—
|
|
$
|
(77
|
)
|
$
|
89
|
|
$
|
(538
|
)
|
$
|
359
|
|
$
|
161
|
|
$
|
(378
|
)
|
$
|
(59
|
)
|
$
|
1,723
|
|
$
|
7
|
|
|
Mortgage servicing rights
|
1,781
|
|
—
|
|
(225
|
)
|
—
|
|
—
|
|
—
|
|
33
|
|
14
|
|
(79
|
)
|
1,524
|
|
57
|
|
|||||||||||
|
Other financial assets measured on a recurring basis
|
180
|
|
—
|
|
17
|
|
3
|
|
(3
|
)
|
—
|
|
63
|
|
(120
|
)
|
(83
|
)
|
57
|
|
(317
|
)
|
|||||||||||
|
Liabilities
|
|||||||||||||||||||||||||||||||||
|
Interest-bearing deposits
|
$
|
434
|
|
$
|
—
|
|
$
|
(4
|
)
|
$
|
4
|
|
$
|
(209
|
)
|
$
|
—
|
|
$
|
4
|
|
$
|
—
|
|
$
|
(46
|
)
|
$
|
191
|
|
$
|
—
|
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
1,247
|
|
(25
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
16
|
|
(50
|
)
|
1,238
|
|
—
|
|
|||||||||||
|
Trading account liabilities
|
|||||||||||||||||||||||||||||||||
|
Securities sold, not yet purchased
|
199
|
|
25
|
|
—
|
|
59
|
|
(25
|
)
|
—
|
|
—
|
|
36
|
|
(126
|
)
|
118
|
|
(2
|
)
|
|||||||||||
|
Other trading liabilities
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||||
|
Short-term borrowings
|
9
|
|
(3
|
)
|
—
|
|
5
|
|
(4
|
)
|
—
|
|
34
|
|
—
|
|
(1
|
)
|
46
|
|
(4
|
)
|
|||||||||||
|
Long-term debt
|
6,951
|
|
46
|
|
—
|
|
509
|
|
(1,087
|
)
|
—
|
|
1,440
|
|
—
|
|
(89
|
)
|
7,678
|
|
—
|
|
|||||||||||
|
Other financial liabilities measured on a recurring basis
|
14
|
|
—
|
|
(8
|
)
|
—
|
|
(4
|
)
|
(4
|
)
|
1
|
|
—
|
|
(1
|
)
|
14
|
|
(5
|
)
|
|||||||||||
|
(1)
|
Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in
Realized gains (losses) from sales of investments
on the Consolidated Statement of Income.
|
|
(2)
|
Unrealized gains (losses) on MSRs are recorded in
Other revenue
on 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 investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at
March 31, 2016
.
|
|
(4)
|
Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.
|
Level 3 Fair Value Rollforward
There were no significant Level 3 transfers for the period from December 31, 2016 to
March 31, 2017
.
The following were the significant Level 3 transfers for the period December 31, 2015 to March 31, 2016:
|
•
|
Transfers of
Long-term debt
of
$0.5 billion
from Level 2 to Level 3, and of
$1.1 billion
from Level 3 to Level 2, mainly related to structured debt, reflecting certain unobservable inputs becoming less significant and certain underlying market inputs being more observable.
|
164
Valuation Techniques and Inputs for Level 3 Fair Value Measurements
The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements. Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.
|
As of March 31, 2017
|
Fair value
(1)
(in millions)
|
Methodology
|
Input
|
Low
(2)(3)
|
High
(2)(3)
|
Weighted
average
(4)
|
||||||||
|
Assets
|
|
|
|
|
|
|
||||||||
|
Federal funds sold and securities borrowed or purchased under agreements to resell
|
$
|
1,187
|
|
Model-based
|
IR normal volatility
|
13.87
|
%
|
71.61
|
%
|
57.55
|
%
|
|||
|
Interest rate
|
(0.56
|
)%
|
2.25
|
%
|
(0.39
|
)%
|
||||||||
|
Mortgage-backed securities
|
$
|
890
|
|
Price-based
|
Price
|
$
|
5.78
|
|
$
|
113.12
|
|
$
|
70.94
|
|
|
State and municipal, foreign government, corporate and other debt securities
|
$
|
3,136
|
|
Price-based
|
Price
|
$
|
15.00
|
|
$
|
108.88
|
|
$
|
92.19
|
|
|
655
|
|
Cash flow
|
Credit spread
|
35 bps
|
|
600 bps
|
|
236 bps
|
|
|||||
|
Equity securities
(5)
|
$
|
73
|
|
Model-based
|
Price
|
$
|
—
|
|
$
|
158.24
|
|
$
|
7.28
|
|
|
30
|
|
Price-based
|
WAL
|
2.50 years
|
|
2.50 years
|
|
2.50 years
|
|
|||||
|
Asset-backed securities
|
$
|
2,617
|
|
Price-based
|
Price
|
$
|
3.35
|
|
$
|
101.38
|
|
$
|
72.53
|
|
|
Non-marketable equity
|
$
|
527
|
|
Price-based
|
Discount to price
|
—
|
%
|
100.00
|
%
|
12.77
|
%
|
|||
|
513
|
|
Comparables analysis
|
EBITDA multiples
|
6.50
|
x
|
10.60
|
x
|
8.60
|
x
|
|||||
|
Price-to-book ratio
|
0.70
|
%
|
1.03
|
%
|
0.92
|
%
|
||||||||
|
Derivatives—gross
(6)
|
||||||||||||||
|
Interest rate contracts (gross)
|
$
|
4,917
|
|
Model-based
|
IR normal volatility
|
13.87
|
%
|
86.04
|
%
|
53.37
|
%
|
|||
|
Mean reversion
|
1.00
|
%
|
20.00
|
%
|
10.50
|
%
|
||||||||
|
Foreign exchange contracts (gross)
|
$
|
761
|
|
Model-based
|
Foreign exchange (FX) volatility
|
3.04
|
%
|
22.77
|
%
|
10.03
|
%
|
|||
|
149
|
|
Cash flow
|
Yield
|
5.62
|
%
|
14.50
|
%
|
8.49
|
%
|
|||||
|
IR-FX correlation
|
(27.35
|
)%
|
60.00
|
%
|
47.42
|
%
|
||||||||
|
IR-IR correlation
|
40.00
|
%
|
47.54
|
%
|
40.22
|
%
|
||||||||
|
Credit spread
|
22 bps
|
|
523 bps
|
|
217 bps
|
|
||||||||
|
Equity contracts (gross)
(7)
|
$
|
2,700
|
|
Model-based
|
Equity volatility
|
3.00
|
%
|
55.49
|
%
|
24.77
|
%
|
|||
|
Forward price
|
43.06
|
%
|
144.61
|
%
|
93.92
|
%
|
||||||||
|
Equity-Equity correlation
|
(89.91
|
)%
|
97.69
|
%
|
14.44
|
%
|
||||||||
|
Equity-FX correlation
|
(70.20
|
)%
|
29.90
|
%
|
(24.88
|
)%
|
||||||||
|
Commodity contracts (gross)
|
$
|
3,170
|
|
Model-based
|
Forward price
|
38.85
|
%
|
299.37
|
%
|
102.39
|
%
|
|||
|
Commodity volatility
|
10.45
|
%
|
45.13
|
%
|
26.24
|
%
|
||||||||
|
Commodity correlation
|
(44.00
|
)%
|
91.00
|
%
|
56.00
|
%
|
||||||||
|
Credit derivatives (gross)
|
$
|
2,976
|
|
Model-based
|
Recovery rate
|
6.50
|
%
|
65.00
|
%
|
35.21
|
%
|
|||
|
1,287
|
|
Price-based
|
Credit correlation
|
5.00
|
%
|
95.00
|
%
|
32.70
|
%
|
|||||
|
Upfront points
|
10.20
|
%
|
99.00
|
%
|
54.28
|
%
|
||||||||
|
Price
|
$
|
—
|
|
$
|
123.67
|
|
$
|
75.18
|
|
|||||
|
Credit spread
|
4 bps
|
|
2,109 bps
|
|
210 bps
|
|
||||||||
165
|
As of March 31, 2017
|
Fair value
(1)
(in millions)
|
Methodology
|
Input
|
Low
(2)(3)
|
High
(2)(3)
|
Weighted
average
(4)
|
||||||||
|
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)
(6)
|
$
|
30
|
|
Model-based
|
Redemption rate
|
12.52
|
%
|
99.50
|
%
|
72.08
|
%
|
|||
|
Recovery rate
|
40.00
|
%
|
40.00
|
%
|
40.00
|
%
|
||||||||
|
Credit spread
|
33 bps
|
|
659 bps
|
|
202 bps
|
|
||||||||
|
Loans
|
$
|
235
|
|
Model-based
|
Credit spread
|
45 bps
|
|
500 bps
|
|
76 bps
|
|
|||
|
214
|
|
Yield Analysis
|
Yield
|
2.90
|
%
|
20.00
|
%
|
11.98
|
%
|
|||||
|
120
|
|
Price-based
|
|
|
|
|
|
|
||||||
|
Mortgage servicing rights
|
$
|
475
|
|
Cash flow
|
Yield
|
4.20
|
%
|
21.22
|
%
|
12.38
|
%
|
|||
|
92
|
|
Model-based
|
WAL
|
3.53 years
|
|
7.72 years
|
|
6.23 years
|
|
|||||
|
Liabilities
|
||||||||||||||
|
Interest-bearing deposits
|
$
|
282
|
|
Model-based
|
Mean reversion
|
1.00
|
%
|
20.00
|
%
|
10.50
|
%
|
|||
|
Forward price
|
99.50
|
%
|
99.95
|
%
|
99.62
|
%
|
||||||||
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
$
|
809
|
|
Model-based
|
Interest rate
|
0.73
|
%
|
2.25
|
%
|
2.07
|
%
|
|||
|
Trading account liabilities
|
||||||||||||||
|
Securities sold, not yet purchased
|
$
|
1,013
|
|
Model-based
|
IR normal volatility
|
13.87
|
%
|
71.61
|
%
|
57.55
|
%
|
|||
|
$
|
138
|
|
Price-based
|
Price
|
$
|
1.29
|
|
$
|
121.00
|
|
$
|
98.22
|
|
|
|
Short-term borrowings and long-term debt
|
$
|
10,303
|
|
Model-based
|
Mean Reversion
|
1.00
|
%
|
20.00
|
%
|
10.50
|
%
|
|||
|
Forward price
|
68.46
|
%
|
235.35
|
%
|
100.73
|
%
|
||||||||
|
Equity volatility
|
3.00
|
%
|
50.00
|
%
|
20.71
|
%
|
||||||||
|
IR normal volatility
|
0.16
|
%
|
86.04
|
%
|
57.73
|
%
|
||||||||
|
As of December 31, 2016
|
Fair value
(1)
(in millions)
|
Methodology
|
Input
|
Low
(2)(3)
|
High
(2)(3)
|
Weighted
average
(4)
|
||||||||
|
Assets
|
|
|
|
|
|
|
||||||||
|
Federal funds sold and securities borrowed or purchased under agreements to resell
|
$
|
1,496
|
|
Model-based
|
IR log-normal volatility
|
12.86
|
%
|
75.50
|
%
|
61.73
|
%
|
|||
|
Interest rate
|
(0.51
|
)%
|
5.76
|
%
|
2.80
|
%
|
||||||||
|
Mortgage-backed securities
|
$
|
509
|
|
Price-based
|
Price
|
$
|
5.50
|
|
$
|
113.48
|
|
$
|
61.74
|
|
|
368
|
|
Yield analysis
|
Yield
|
1.90
|
%
|
14.54
|
%
|
4.34
|
%
|
|||||
|
State and municipal, foreign government, corporate and other debt securities
|
$
|
3,308
|
|
Price-based
|
Price
|
$
|
15.00
|
|
$
|
103.60
|
|
$
|
89.93
|
|
|
1,513
|
|
Cash flow
|
Credit spread
|
35 bps
|
|
600 bps
|
|
230 bps
|
|
|||||
|
Equity securities
(5)
|
$
|
69
|
|
Model-based
|
Price
|
$
|
0.48
|
|
$
|
104.00
|
|
$
|
22.19
|
|
|
58
|
|
Price-based
|
|
|
|
|
|
|
||||||
|
Asset-backed securities
|
$
|
2,454
|
|
Price-based
|
Price
|
$
|
4.00
|
|
$
|
100.00
|
|
$
|
71.51
|
|
|
Non-marketable equity
|
$
|
726
|
|
Price-based
|
Discount to price
|
—
|
%
|
90.00
|
%
|
13.36
|
%
|
|||
|
565
|
|
Comparables analysis
|
EBITDA multiples
|
6.80
|
x
|
10.10
|
x
|
8.62
|
x
|
|||||
|
Price-to-book ratio
|
0.32
|
%
|
1.03
|
%
|
0.87
|
%
|
||||||||
|
Price
|
$
|
—
|
|
$
|
113.23
|
|
$
|
54.40
|
|
|||||
|
Derivatives—gross
(6)
|
||||||||||||||
|
Interest rate contracts (gross)
|
$
|
4,897
|
|
Model-based
|
IR log-normal volatility
|
1.00
|
%
|
93.97
|
%
|
62.72
|
%
|
|||
|
Mean reversion
|
1.00
|
%
|
20.00
|
%
|
10.50
|
%
|
||||||||
|
Foreign exchange contracts (gross)
|
$
|
1,110
|
|
Model-based
|
Foreign exchange (FX) volatility
|
1.39
|
%
|
26.85
|
%
|
15.18
|
%
|
|||
|
134
|
|
Cash flow
|
Interest rate
|
(0.85
|
)%
|
(0.49
|
)%
|
(0.84
|
)%
|
|||||
|
Credit spread
|
4 bps
|
|
657 bps
|
|
266 bps
|
|
||||||||
166
|
As of December 31, 2016
|
Fair value
(1)
(in millions)
|
Methodology
|
Input
|
Low
(2)(3)
|
High
(2)(3)
|
Weighted
average
(4)
|
||||||||
|
IR-IR correlation
|
40.00
|
%
|
50.00
|
%
|
41.27
|
%
|
||||||||
|
IR-FX correlation
|
16.41
|
%
|
60.00
|
%
|
49.52
|
%
|
||||||||
|
Equity contracts (gross)
(7)
|
$
|
2,701
|
|
Model-based
|
Equity volatility
|
3.00
|
%
|
97.78
|
%
|
29.52
|
%
|
|||
|
Forward price
|
69.05
|
%
|
144.61
|
%
|
94.28
|
%
|
||||||||
|
Equity-FX correlation
|
(60.70
|
)%
|
28.20
|
%
|
(26.28
|
)%
|
||||||||
|
Equity-IR correlation
|
(35.00
|
)%
|
41.00
|
%
|
(15.65
|
)%
|
||||||||
|
Yield volatility
|
3.55
|
%
|
14.77
|
%
|
9.29
|
%
|
||||||||
|
Equity-equity correlation
|
(87.70
|
)%
|
96.50
|
%
|
67.45
|
%
|
||||||||
|
Commodity contracts (gross)
|
$
|
2,955
|
|
Model-based
|
Forward price
|
35.74
|
%
|
235.35
|
%
|
119.99
|
%
|
|||
|
Commodity volatility
|
2.00
|
%
|
32.19
|
%
|
17.07
|
%
|
||||||||
|
Commodity correlation
|
(41.61
|
)%
|
90.42
|
%
|
52.85
|
%
|
||||||||
|
Credit derivatives (gross)
|
$
|
2,786
|
|
Model-based
|
Recovery rate
|
20.00
|
%
|
75.00
|
%
|
39.75
|
%
|
|||
|
1,403
|
|
Price-based
|
Credit correlation
|
5.00
|
%
|
90.00
|
%
|
34.27
|
%
|
|||||
|
Upfront points
|
6.00
|
%
|
99.90
|
%
|
72.89
|
%
|
||||||||
|
Price
|
$
|
1.00
|
|
$
|
167.00
|
|
$
|
77.35
|
|
|||||
|
Credit spread
|
3 bps
|
|
1,515 bps
|
|
256 bps
|
|
||||||||
|
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)
(6)
|
$
|
42
|
|
Model-based
|
Recovery rate
|
40.00
|
%
|
40.00
|
%
|
40.00
|
%
|
|||
|
Redemption rate
|
3.92
|
%
|
99.58
|
%
|
74.69
|
%
|
||||||||
|
Upfront points
|
16.00
|
%
|
20.50
|
%
|
18.78
|
%
|
||||||||
|
Loans
|
$
|
258
|
|
Price-based
|
Price
|
$
|
31.55
|
|
$
|
105.74
|
|
$
|
56.46
|
|
|
221
|
|
Yield analysis
|
Yield
|
2.75
|
%
|
20.00
|
%
|
11.09
|
%
|
|||||
|
79
|
|
Model-based
|
||||||||||||
|
Mortgage servicing rights
|
$
|
1,473
|
|
Cash flow
|
Yield
|
4.20
|
%
|
20.56
|
%
|
9.32
|
%
|
|||
|
WAL
|
3.53 years
|
|
7.24 years
|
|
5.83 years
|
|
||||||||
|
Liabilities
|
||||||||||||||
|
Interest-bearing deposits
|
$
|
293
|
|
Model-based
|
Mean reversion
|
1.00
|
%
|
20.00
|
%
|
10.50
|
%
|
|||
|
Forward price
|
98.79
|
%
|
104.07
|
%
|
100.19
|
%
|
||||||||
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
$
|
849
|
|
Model-based
|
Interest rate
|
0.62
|
%
|
2.19
|
%
|
1.99
|
%
|
|||
|
Trading account liabilities
|
||||||||||||||
|
Securities sold, not yet purchased
|
$
|
1,056
|
|
Model-based
|
IR normal volatility
|
12.86
|
%
|
75.50
|
%
|
61.73
|
%
|
|||
|
Short-term borrowings and long-term debt
|
$
|
9,774
|
|
Model-based
|
Mean reversion
|
1.00
|
%
|
20.00
|
%
|
10.50
|
%
|
|||
|
Commodity correlation
|
(41.61
|
)%
|
90.42
|
%
|
52.85
|
%
|
||||||||
|
Commodity volatility
|
2.00
|
%
|
32.19
|
%
|
17.07
|
%
|
||||||||
|
Forward price
|
69.05
|
%
|
235.35
|
%
|
103.28
|
%
|
||||||||
|
(1)
|
The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities.
|
|
(2)
|
Some inputs are shown as zero due to rounding.
|
|
(3)
|
When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.
|
|
(4)
|
Weighted averages are calculated based on the fair values of the instruments.
|
|
(5)
|
For equity securities, the price and fund NAV inputs are expressed on an absolute basis, not as a percentage of the notional amount.
|
|
(6)
|
Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
|
|
(7)
|
Includes hybrid products.
|
167
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. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market.
The following table presents the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded:
|
In millions of dollars
|
Fair value
|
Level 2
|
Level 3
|
||||||
|
March 31, 2017
|
|
|
|
||||||
|
Loans held-for-sale
|
$
|
3,790
|
|
$
|
2,002
|
|
$
|
1,788
|
|
|
Other real estate owned
|
70
|
|
13
|
|
57
|
|
|||
|
Loans
(1)
|
1,195
|
|
630
|
|
565
|
|
|||
|
Total assets at fair value on a nonrecurring basis
|
$
|
5,055
|
|
$
|
2,645
|
|
$
|
2,410
|
|
|
In millions of dollars
|
Fair value
|
Level 2
|
Level 3
|
||||||
|
December 31, 2016
|
|
|
|
||||||
|
Loans held-for-sale
|
$
|
5,802
|
|
$
|
3,389
|
|
$
|
2,413
|
|
|
Other real estate owned
|
75
|
|
15
|
|
60
|
|
|||
|
Loans
(1)
|
1,376
|
|
586
|
|
790
|
|
|||
|
Total assets at fair value on a nonrecurring basis
|
$
|
7,253
|
|
$
|
3,990
|
|
$
|
3,263
|
|
|
(1)
|
Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.
|
168
Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements
The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:
|
As of March 31, 2017
|
Fair value
(1)
(in millions)
|
Methodology
|
Input
|
Low
(2)
|
High
|
Weighted
average
(3)
|
||||||||
|
Loans held-for-sale
|
$
|
1,788
|
|
Price-based
|
Price
|
$
|
77.93
|
|
$
|
100.00
|
|
$
|
98.03
|
|
|
Other real estate owned
|
$
|
57
|
|
Price-based
|
Discount to price
(4)
|
0.34
|
%
|
0.34
|
%
|
0.34
|
%
|
|||
|
Appraised value
|
$
|
27,054.05
|
|
$
|
4,514,806.00
|
|
$
|
2,032,098.00
|
|
|||||
|
Price
|
$
|
62.43
|
|
$
|
85.81
|
|
$
|
65.53
|
|
|||||
|
Loans
(5)
|
$
|
345
|
|
Price-based
|
Price
|
$
|
3.20
|
|
$
|
100.00
|
|
$
|
23.67
|
|
|
128
|
|
Recovery analysis
|
Discount to price
(4)
|
18.67
|
%
|
28.39
|
%
|
23.57
|
%
|
|||||
|
|
|
Recovery rate
|
92.68
|
%
|
92.68
|
%
|
92.68
|
%
|
||||||
|
As of December 31, 2016
|
Fair value
(1)
(in millions)
|
Methodology
|
Input
|
Low
(2)
|
High
|
Weighted
average
(3)
|
||||||||
|
Loans held-for-sale
|
$
|
2,413
|
|
Price-based
|
Price
|
$
|
—
|
|
$
|
100.00
|
|
$
|
93.08
|
|
|
Other real estate owned
|
$
|
59
|
|
Price-based
|
Discount to price
(4)
|
0.34
|
%
|
13.00
|
%
|
3.10
|
%
|
|||
|
|
|
Price
|
$
|
64.65
|
|
$
|
74.39
|
|
$
|
66.21
|
|
|||
|
Loans
(5)
|
$
|
431
|
|
Cash flow
|
Price
|
$
|
3.25
|
|
$
|
105.00
|
|
$
|
59.61
|
|
|
197
|
|
Recovery analysis
|
Forward price
|
$
|
2.90
|
|
$
|
210.00
|
|
$
|
156.78
|
|
||
|
135
|
|
Price-based
|
Discount to price
(4)
|
0.25
|
%
|
13.00
|
%
|
8.34
|
%
|
|||||
|
|
|
Appraised value
|
$
|
25.80
|
|
$
|
26,400,000
|
|
$
|
6,462,735
|
|
|||
|
(1)
|
The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.
|
|
(2)
|
Some inputs are shown as zero due to rounding.
|
|
(3)
|
Weighted averages are calculated based on the fair values of the instruments.
|
|
(4)
|
Includes estimated costs to sell.
|
|
(5)
|
Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.
|
Nonrecurring Fair Value Changes
The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:
|
Three months ended March 31,
|
|||
|
In millions of dollars
|
2017
|
||
|
Loans held-for-sale
|
$
|
(22
|
)
|
|
Other real estate owned
|
(2
|
)
|
|
|
Loans
(1)
|
(28
|
)
|
|
|
Other Assets
(2)
|
$
|
—
|
|
|
Total nonrecurring fair value gains (losses)
|
$
|
(52
|
)
|
|
(1)
|
Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.
|
|
Three months ended March 31,
|
|||
|
In millions of dollars
|
2016
|
||
|
Loans held-for-sale
|
$
|
3
|
|
|
Other real estate owned
|
(2
|
)
|
|
|
Loans
(1)
|
(63
|
)
|
|
|
Other Assets
(2)
|
$
|
(262
|
)
|
|
Total nonrecurring fair value gains (losses)
|
$
|
(324
|
)
|
|
(1)
|
Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.
|
|
(2)
|
Represents net impairment losses related to an equity investment.
|
169
Estimated Fair Value of Financial Instruments Not Carried at Fair Value
The following table presents the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The table therefore excludes items measured at fair value on a recurring basis presented in the tables above.
|
|
March 31, 2017
|
Estimated fair value
|
|||||||||||||
|
|
Carrying
value
|
Estimated
fair value
|
|||||||||||||
|
In billions of dollars
|
Level 1
|
Level 2
|
Level 3
|
||||||||||||
|
Assets
|
|
|
|
|
|
||||||||||
|
Investments
|
$
|
54.0
|
|
$
|
53.9
|
|
$
|
0.9
|
|
$
|
50.5
|
|
$
|
2.5
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell
|
105.6
|
|
105.6
|
|
—
|
|
100.6
|
|
5.0
|
|
|||||
|
Loans
(1)(2)
|
610.7
|
|
604.0
|
|
—
|
|
7.3
|
|
596.7
|
|
|||||
|
Other financial assets
(2)(3)
|
242.3
|
|
242.8
|
|
7.0
|
|
173.2
|
|
62.6
|
|
|||||
|
Liabilities
|
|
|
|
|
|
||||||||||
|
Deposits
|
$
|
948.7
|
|
$
|
947.1
|
|
$
|
—
|
|
$
|
800.5
|
|
$
|
146.6
|
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
107.3
|
|
107.3
|
|
—
|
|
107.2
|
|
0.1
|
|
|||||
|
Long-term debt
(4)
|
181.0
|
|
187.5
|
|
—
|
|
158.7
|
|
28.8
|
|
|||||
|
Other financial liabilities
(5)
|
110.2
|
|
110.2
|
|
—
|
|
14.9
|
|
95.3
|
|
|||||
|
|
December 31, 2016
|
Estimated fair value
|
|||||||||||||
|
|
Carrying
value
|
Estimated
fair value
|
|||||||||||||
|
In billions of dollars
|
Level 1
|
Level 2
|
Level 3
|
||||||||||||
|
Assets
|
|
|
|
|
|
||||||||||
|
Investments
|
$
|
52.1
|
|
$
|
52.0
|
|
$
|
0.8
|
|
$
|
48.6
|
|
$
|
2.6
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell
|
103.6
|
|
103.6
|
|
—
|
|
98.5
|
|
5.1
|
|
|||||
|
Loans
(1)(2)
|
607.0
|
|
604.5
|
|
—
|
|
7.0
|
|
597.5
|
|
|||||
|
Other financial assets
(2)(3)
|
215.2
|
|
215.9
|
|
8.2
|
|
153.6
|
|
54.1
|
|
|||||
|
Liabilities
|
|
|
|
|
|
||||||||||
|
Deposits
|
$
|
928.2
|
|
$
|
927.6
|
|
$
|
—
|
|
$
|
789.7
|
|
$
|
137.9
|
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase
|
108.2
|
|
108.2
|
|
—
|
|
107.8
|
|
0.4
|
|
|||||
|
Long-term debt
(4)
|
179.9
|
|
185.5
|
|
—
|
|
156.5
|
|
29.0
|
|
|||||
|
Other financial liabilities
(5)
|
115.3
|
|
115.3
|
|
—
|
|
16.2
|
|
99.1
|
|
|||||
|
(1)
|
The carrying value of loans is net of the
Allowance for loan losses
of
$12.0 billion
for
March 31, 2017
and
$12.1 billion
for
December 31, 2016
. In addition, the carrying values exclude
$1.8 billion
and
$1.9 billion
of lease finance receivables at
March 31, 2017
and
December 31, 2016
, respectively.
|
|
(2)
|
Includes items measured at fair value on a nonrecurring basis.
|
|
(3)
|
Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverable and other financial instruments included in
Other assets
on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
|
|
(4)
|
The carrying value includes long-term debt balances under qualifying fair value hedges.
|
|
(5)
|
Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in
Other liabilities
on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
|
The estimated fair values of the Company’s corporate unfunded lending commitments at
March 31, 2017
and
December 31, 2016
were liabilities of
$2.9 billion
and
$5.2 billion
, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.
170
21. FAIR VALUE ELECTIONS
The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election
may not be revoked once an election is made. The changes in fair value are recorded in current earnings, other than DVA, which from January 1, 2016 is reported in AOCI.
The Company has elected fair value accounting for its mortgage servicing rights. See Note 18 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting of MSRs.
The following table presents the changes in fair value of those items for which the fair value option has been elected:
|
Changes in fair value gains (losses) for the
|
||||||
|
|
three months ended March 31,
|
|||||
|
In millions of dollars
|
2017
|
2016
|
||||
|
Assets
|
|
|
||||
|
Federal funds sold and securities borrowed or purchased under agreements to resell -
selected portfolios
|
$
|
(33
|
)
|
$
|
28
|
|
|
Trading account assets
|
430
|
|
258
|
|
||
|
Investments
|
—
|
|
1
|
|
||
|
Loans
|
|
|||||
|
Certain corporate loans
(1)
|
24
|
|
24
|
|
||
|
Certain consumer loans
(1)
|
—
|
|
(1
|
)
|
||
|
Total loans
|
$
|
24
|
|
$
|
23
|
|
|
Other assets
|
|
|||||
|
MSRs
|
$
|
67
|
|
$
|
(225
|
)
|
|
Certain mortgage loans held for sale
(2)
|
37
|
|
80
|
|
||
|
Other assets
|
—
|
|
370
|
|
||
|
Total other assets
|
$
|
104
|
|
$
|
225
|
|
|
Total assets
|
$
|
525
|
|
$
|
535
|
|
|
Liabilities
|
|
|||||
|
Interest-bearing deposits
|
$
|
(14
|
)
|
$
|
(50
|
)
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase -
selected portfolios
|
613
|
|
(6
|
)
|
||
|
Trading account liabilities
|
26
|
|
94
|
|
||
|
Short-term borrowings
|
19
|
|
80
|
|
||
|
Long-term debt
|
(332
|
)
|
(423
|
)
|
||
|
Total liabilities
|
$
|
312
|
|
$
|
(305
|
)
|
|
(1)
|
Includes mortgage loans held by mortgage loan securitization VIEs consolidated upon the adoption of ASC 810,
Consolidation
(SFAS 167), on January 1, 2010.
|
|
(2)
|
Includes gains (losses) associated with interest rate lock-commitments for those loans that have been originated and elected under the fair value option.
|
171
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. Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.
The estimated change in the fair value of these liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) was a loss of
$95 million
and a gain of $
307 million
for the
three months ended
March 31, 2017
and
2016
, 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. Effective January 1, 2016, 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; previously these amounts were recognized in Citigroup’s
Revenues
and
Net income
along with all other changes in fair value. See Note 1 to the Consolidated Financial Statements for additional information.
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 Non-Collateralized 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 non-collateralized short-term borrowings held primarily by broker-dealer entities in the United States, United Kingdom and Japan. In each case, the election was made because the related interest-rate risk is managed on a portfolio basis, primarily with offsetting derivative instruments that are accounted for at fair value through earnings.
Changes in fair value for transactions in these portfolios are recorded in
Principal transactions
. The related interest revenue and interest expense are measured based on the contractual rates specified in the transactions and are reported as interest revenue and expense in the Consolidated Statement of Income.
Certain Loans and Other Credit Products
Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.
The following table provides information about certain credit products carried at fair value:
|
|
March 31, 2017
|
December 31, 2016
|
||||||||||
|
In millions of dollars
|
Trading assets
|
Loans
|
Trading assets
|
Loans
|
||||||||
|
Carrying amount reported on the Consolidated Balance Sheet
|
$
|
9,126
|
|
$
|
4,035
|
|
$
|
9,824
|
|
$
|
3,486
|
|
|
Aggregate unpaid principal balance in excess of fair value
|
532
|
|
—
|
|
758
|
|
18
|
|
||||
|
Balance of non-accrual loans or loans more than 90 days past due
|
—
|
|
2
|
|
—
|
|
1
|
|
||||
|
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due
|
—
|
|
1
|
|
—
|
|
1
|
|
||||
In addition to the amounts reported above, $
1,263 million
and $
1,828 million
of unfunded commitments related to certain credit products selected for fair value accounting were
outstanding as of
March 31, 2017
and
December 31, 2016
, respectively.
172
Changes in the fair value of funded and unfunded credit products are classified in
Principal transactions
in the Company’s Consolidated Statement of Income. Related interest revenue is measured based on the contractual interest rates and reported as
Interest revenue
on
Trading account assets
or loan interest depending on the balance sheet classifications of the credit products. The changes in fair value for the
three months ended
March 31, 2017
and
2016
due to instrument-specific credit risk totaled to gain of $
26 million
and $
13 million
, respectively.
Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within
Trading account assets
on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $
0.4 billion
and $
0.6 billion
at
March 31, 2017
and
December 31, 2016
, respectively. The amounts are expected to fluctuate based on trading activity in future periods.
As part of its commodity and foreign currency trading activities, Citi trades unallocated precious metals investments and executes forward purchase and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of
March 31, 2017
, there were approximately $
18.4 billion
and $
15.4 billion
notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively.
Certain Investments in Private Equity and Real Estate Ventures and Certain Equity Method and Other Investments
Citigroup invests in private equity and real estate ventures for the purpose of earning investment returns and for capital appreciation. The Company has elected the fair value option for certain of these ventures, because such investments are considered similar to many private equity or hedge fund activities in Citi’s investment companies, which are reported at fair value. The fair value option brings consistency in the accounting and evaluation of these investments. All investments (debt and equity) in such private equity and real estate entities are accounted for at fair value. These investments are classified as
Investments
on Citigroup’s Consolidated Balance Sheet.
Changes in the fair values of these investments are classified in
Other revenue
in the Company’s Consolidated Statement of Income.
Citigroup also elects the fair value option for certain non-marketable equity securities whose risk is managed with derivative instruments that are accounted for at fair value through earnings. These securities are classified as
Trading account assets
on Citigroup’s Consolidated Balance Sheet. Changes in the fair value of these securities and the related derivative instruments are recorded in
Principal transactions
.
Certain Mortgage Loans Held for Sale (HFS)
Citigroup has elected the fair value option for certain purchased and originated prime fixed-rate and conforming adjustable-rate first mortgage loans HFS. These loans are intended for sale or securitization and are hedged with derivative instruments. The Company has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications.
The following table provides information about certain mortgage loans HFS carried at fair value:
|
In millions of dollars
|
March 31,
2017 |
December 31, 2016
|
||||
|
Carrying amount reported on the Consolidated Balance Sheet
|
$
|
683
|
|
$
|
915
|
|
|
Aggregate fair value in excess of unpaid principal balance
|
21
|
|
8
|
|
||
|
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
three months ended
March 31, 2017
and
2016
due to instrument-specific credit risk. Related interest income continues to be measured based on the contractual interest rates and reported as
Interest revenue
in the Consolidated Statement of Income.
173
Certain Structured Liabilities
The Company has elected the fair value option for certain structured liabilities whose performance is linked to structured interest rates, inflation, currency, equity, referenced credit or commodity risks. The Company elected the fair value option because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives (
Trading account liabilities
) on the Company’s Consolidated Balance Sheet according to their legal form.
The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument:
|
In billions of dollars
|
March 31, 2017
|
December 31, 2016
|
||||
|
Interest rate linked
|
$
|
11.3
|
|
$
|
10.6
|
|
|
Foreign exchange linked
|
0.2
|
|
0.2
|
|
||
|
Equity linked
|
12.0
|
|
12.3
|
|
||
|
Commodity linked
|
0.8
|
|
0.3
|
|
||
|
Credit linked
|
1.6
|
|
0.9
|
|
||
|
Total
|
$
|
25.9
|
|
$
|
24.3
|
|
Prior to 2016, the total change in the fair value of these structured liabilities was reported in
Principal transactions
in the Company’s Consolidated Statement of Income. Beginning in the first quarter of 2016, the portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI while all other changes in fair value will continue to be reported in
Principal transactions
. Changes in the fair value of these structured liabilities include accrued interest, which is also included in the change in fair value reported in
Principal transactions
.
Certain Non-Structured Liabilities
The Company has elected the fair value option for certain non-structured liabilities with fixed and floating interest rates. The Company has elected the fair value option where the interest-rate risk of such liabilities may be economically hedged with derivative contracts or the proceeds are used to purchase financial assets that will also be accounted for at fair value through earnings. The elections have been made to mitigate accounting mismatches and to achieve operational simplifications. These positions are reported in
Short-term borrowings
and
Long-term debt
on the Company’s Consolidated Balance Sheet. Prior to 2016, the total change in the fair value of these non-structured liabilities was reported in
Principal transactions
in the Company’s Consolidated Statement of Income. Beginning in the first quarter of 2016, the portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI while all other changes in fair value will continue to be 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
|
March 31, 2017
|
December 31, 2016
|
||||
|
Carrying amount reported on the Consolidated Balance Sheet
|
$
|
27,526
|
|
$
|
26,254
|
|
|
Aggregate unpaid principal balance in excess of (less than) fair value
|
(55
|
)
|
(128
|
)
|
||
The following table provides information about short-term borrowings carried at fair value:
|
In millions of dollars
|
March 31, 2017
|
December 31, 2016
|
||||
|
Carrying amount reported on the Consolidated Balance Sheet
|
$
|
3,473
|
|
$
|
2,700
|
|
|
Aggregate unpaid principal balance in excess of (less than) fair value
|
(9
|
)
|
(61
|
)
|
||
174
22. GUARANTEES AND COMMITMENTS
Citi provides a variety of guarantees and indemnifications to its customers to enhance their credit standing and enable them to complete a wide variety of business transactions. For
certain contracts meeting the definition of a guarantee, the guarantor must recognize, at inception, a liability for the fair value of the obligation undertaken in issuing the guarantee.
In addition, the guarantor must disclose the maximum potential amount of future payments that the guarantor could be required to make under the guarantee, if there were a total
default by the guaranteed parties. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible
recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.
For additional information regarding Citi’s guarantees and indemnifications included in the tables below, as well as its other guarantees and indemnifications excluded from the tables below, see Note 26 to the Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at
March 31, 2017
and
December 31, 2016
:
|
|
Maximum potential amount of future payments
|
|
||||||||||
|
In billions of dollars at March 31, 2017 except carrying value in millions
|
Expire within
1 year
|
Expire after
1 year
|
Total amount
outstanding
|
Carrying value
(in millions of dollars)
|
||||||||
|
Financial standby letters of credit
|
$
|
28.1
|
|
$
|
66.0
|
|
$
|
94.1
|
|
$
|
205
|
|
|
Performance guarantees
|
7.6
|
|
3.7
|
|
11.3
|
|
20
|
|
||||
|
Derivative instruments considered to be guarantees
|
10.7
|
|
78.1
|
|
88.8
|
|
690
|
|
||||
|
Loans sold with recourse
|
—
|
|
0.2
|
|
0.2
|
|
11
|
|
||||
|
Securities lending indemnifications
(1)
|
97.1
|
|
—
|
|
97.1
|
|
—
|
|
||||
|
Credit card merchant processing
(1)(2)
|
77.6
|
|
—
|
|
77.6
|
|
—
|
|
||||
|
Credit card arrangements with partners
|
0.2
|
|
1.3
|
|
1.5
|
|
206
|
|
||||
|
Custody indemnifications and other
|
1.5
|
|
47.5
|
|
49.0
|
|
58
|
|
||||
|
Total
|
$
|
222.8
|
|
$
|
196.8
|
|
$
|
419.6
|
|
$
|
1,190
|
|
|
|
Maximum potential amount of future payments
|
|
||||||||||
|
In billions of dollars at December 31, 2016 except carrying value in millions
|
Expire within
1 year
|
Expire after
1 year
|
Total amount
outstanding
|
Carrying value
(
in millions of dollars)
|
||||||||
|
Financial standby letters of credit
|
$
|
26.0
|
|
$
|
67.1
|
|
$
|
93.1
|
|
$
|
141
|
|
|
Performance guarantees
|
7.5
|
|
3.6
|
|
11.1
|
|
19
|
|
||||
|
Derivative instruments considered to be guarantees
|
7.2
|
|
80.0
|
|
87.2
|
|
747
|
|
||||
|
Loans sold with recourse
|
—
|
|
0.2
|
|
0.2
|
|
12
|
|
||||
|
Securities lending indemnifications
(1)
|
80.3
|
|
—
|
|
80.3
|
|
—
|
|
||||
|
Credit card merchant processing
(1)(2)
|
86.4
|
|
—
|
|
86.4
|
|
—
|
|
||||
|
Credit card arrangements with partners
|
—
|
|
1.5
|
|
1.5
|
|
206
|
|
||||
|
Custody indemnifications and other
|
—
|
|
45.4
|
|
45.4
|
|
58
|
|
||||
|
Total
|
$
|
207.4
|
|
$
|
197.8
|
|
$
|
405.2
|
|
$
|
1,183
|
|
|
(1)
|
The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
|
|
(2)
|
At
March 31, 2017
and December 31,
2016
, this maximum potential exposure was estimated to be
$78 billion
and
$86 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.
|
175
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 seller
taking back any loans that become delinquent.
In addition to the amounts shown in the tables above,
Citi has recorded a repurchase reserve for its potential
repurchases or make-whole liability regarding residential
mortgage representation and warranty claims related to its
whole loan sales to the U.S. government-sponsored
enterprises (GSEs) and, to a lesser extent, private investors.
The repurchase reserve was approximately
$104 million
and
$107 million
at
March 31, 2017
and December 31,
2016
,
respectively, and these amounts are included in
Other
liabilities
on the Consolidated Balance Sheet.
Credit card arrangements with partners
Citi, in certain 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 such origination targets are not met,
the guarantees serve to compensate the partner for certain
payments that otherwise would have been generated in
connection with such originations.
Other guarantees and indemnifications
Credit Card Protection Programs
Citi, through its credit card businesses, provides various
cardholder protection programs on several of its card
products, including programs that provide insurance
coverage for rental cars, coverage for certain losses
associated with purchased products, price protection for
certain purchases and protection for lost luggage. These
guarantees are not included in the table, since the total
outstanding amount of the guarantees and Citi’s maximum
exposure to loss cannot be quantified. The protection is
limited to certain types of purchases and losses, and it is not
possible to quantify the purchases that would qualify for
these benefits at any given time. Citi assesses the probability
and amount of its potential liability related to these programs
based on the extent and nature of its historical loss
experience. At
March 31, 2017
and December 31, 2016, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were
immaterial.
Value-Transfer Networks
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 limited cases, the obligation may be unlimited. The maximum exposure cannot be estimated as
this would require an assessment of future claims that have
not yet occurred. Citi believes the risk of loss is remote
given historical experience with the VTNs. Accordingly,
Citi’s participation in VTNs is not reported in the guarantees
tables above, and there are no amounts reflected on the
Consolidated Balance Sheet as of
March 31, 2017
or
December 31, 2016 for potential obligations that could arise
from Citi’s involvement with VTN associations.
Long-Term Care Insurance Indemnification
In connection with the 2005 sale of certain insurance and annuity subsidiaries to MetLife Inc. (MetLife), the Company provided an indemnification for policyholder claims and other liabilities relating to a book of long-term care (LTC) business (for the entire term of the LTC policies) that is fully reinsured by subsidiaries of Genworth Financial Inc. (Genworth). In turn, Genworth has offsetting reinsurance agreements with MetLife and the Union Fidelity Life Insurance Company (UFLIC), a subsidiary of the General Electric Company. Genworth has funded
two
trusts with securities whose fair value (approximately
$7.1 billion
at
March 31, 2017
, compared to
$7.0 billion
at December 31,
2016
) is designed to cover Genworth’s statutory liabilities for the LTC policies. The trusts serve as collateral for Genworth's reinsurance obligations related to the MetLife LTC policies and MetLife Insurance Company USA is the sole beneficiary of the trusts. The assets in these trusts are evaluated and adjusted periodically to ensure that the fair value of the assets continues to cover the estimated statutory liabilities related to the LTC policies, as those statutory liabilities change over time.
If Genworth fails to perform under the reinsurance agreement for any reason, including insolvency, and the assets in the
two
trusts are insufficient or unavailable to MetLife, then Citi must reimburse MetLife for any losses actually incurred in connection with the LTC policies. Since both events would have to occur before Citi would become responsible for any payment to MetLife pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is
no
liability reflected in the Consolidated Balance Sheet as of
March 31, 2017
and December 31,
2016
related to this indemnification. Citi continues to closely monitor its potential exposure under this indemnification obligation.
In the fourth quarter of 2016, MetLife announced it was pursuing spinning off the entity involved in the long-term care reinsurance obligations as part of a broader separation of its retail and group/corporate insurance operations. Separately, Genworth announced that it had agreed to be purchased by China Oceanwide Holdings Co., Ltd, subject to a series of conditions and regulatory approvals. Citi is monitoring these developments.
176
Futures and over-the-counter derivatives clearing
Citi provides clearing services on central clearing counterparties (CCP) for clients that need to clear exchange-traded and over-the-counter (OTC) derivatives contracts with CCPs. Based on all relevant facts and circumstances, Citi has concluded that it acts as an agent for accounting purposes in its role as clearing member for these client transactions. As such, Citi does not reflect the underlying exchange-traded or OTC derivatives contracts in its Consolidated Financial Statements. See Note 19 for a discussion of Citi’s derivatives activities that are reflected in its Consolidated Financial Statements.
As a clearing member, Citi collects and remits cash and securities collateral (margin) between its clients and the
respective CCP. In certain circumstances, Citi collects a higher amount of cash (or securities) from its clients than it needs to remit to the CCPs. This excess cash is then held at depository institutions such as banks or carry brokers.
There are two types of margin: initial margin and variation margin. Where Citi obtains benefits from or controls cash initial margin (e.g., retains an interest
spread), cash initial margin collected from clients and
remitted to the CCP, or depository institutions, is reflected within
Brokerage payables
(payables to customers) and
Brokerage receivables
(receivables from brokers, dealers and clearing organizations) or
Cash and due from banks
, respectively.
However, for exchange-traded and OTC-cleared derivatives contracts where Citi does not obtain benefits from or control the client cash balances, the client cash initial margin collected from clients and remitted to the CCP or depository institutions is not reflected on Citi’s Consolidated Balance Sheet. These conditions are met when Citi has 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
$10.6 billion
and
$9.4 billion
as of
March 31, 2017
and December 31,
2016
, 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 nonperformance by clients (e.g., failure of a client to post
variation margin to the CCP for negative changes in the
value of the client’s derivative contracts). In the event of
non-performance by a client, Citi would move to close out
the client’s positions. The CCP would typically utilize initial
margin posted by the client and held by the CCP, with any
remaining shortfalls required to be paid by Citi as clearing
member. Citi generally holds incremental cash or securities
margin posted by the client, which would typically be
expected to be sufficient to mitigate Citi’s credit risk in the
event the client fails to perform.
As required by ASC 860-30-25-5, securities collateral posted by clients is not recognized on Citi’s Consolidated Balance Sheet.
Carrying Value—Guarantees and Indemnifications
At both
March 31, 2017
and December 31,
2016
, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted
to approximately
$1.2 billion
. 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
$55 billion
and
$45 billion
at
March 31, 2017
and
December 31, 2016
, respectively. Securities and other marketable assets held as collateral amounted to
$45 billion
and
$38 billion
at
March 31, 2017
and
December 31, 2016
, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. Additionally, letters of credit in favor of Citi held as collateral amounted to
$6.0 billion
and
$5.4 billion
at
March 31, 2017
and
December 31, 2016
, 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
Presented in the tables below are the maximum potential amounts of future payments that are classified based upon 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.
177
|
|
Maximum potential amount of future payments
|
|||||||||||
|
In billions of dollars at March 31, 2017
|
Investment
grade
|
Non-investment
grade
|
Not
rated
|
Total
|
||||||||
|
Financial standby letters of credit
|
$
|
65.9
|
|
$
|
14.8
|
|
$
|
13.4
|
|
$
|
94.1
|
|
|
Performance guarantees
|
7.2
|
|
2.6
|
|
1.5
|
|
11.3
|
|
||||
|
Derivative instruments deemed to be guarantees
|
—
|
|
—
|
|
88.8
|
|
88.8
|
|
||||
|
Loans sold with recourse
|
—
|
|
—
|
|
0.2
|
|
0.2
|
|
||||
|
Securities lending indemnifications
|
—
|
|
—
|
|
97.1
|
|
97.1
|
|
||||
|
Credit card merchant processing
|
—
|
|
—
|
|
77.6
|
|
77.6
|
|
||||
|
Credit card arrangements with partners
|
—
|
|
—
|
|
1.5
|
|
1.5
|
|
||||
|
Custody indemnifications and other
|
47.3
|
|
0.1
|
|
1.6
|
|
49.0
|
|
||||
|
Total
|
$
|
120.4
|
|
$
|
17.5
|
|
$
|
281.7
|
|
$
|
419.6
|
|
|
|
Maximum potential amount of future payments
|
|||||||||||
|
In billions of dollars at December 31, 2016
|
Investment
grade
|
Non-investment
grade
|
Not
rated
|
Total
|
||||||||
|
Financial standby letters of credit
|
$
|
66.8
|
|
$
|
13.4
|
|
$
|
12.9
|
|
$
|
93.1
|
|
|
Performance guarantees
|
6.3
|
|
4.0
|
|
0.8
|
|
11.1
|
|
||||
|
Derivative instruments deemed to be guarantees
|
—
|
|
—
|
|
87.2
|
|
87.2
|
|
||||
|
Loans sold with recourse
|
—
|
|
—
|
|
0.2
|
|
0.2
|
|
||||
|
Securities lending indemnifications
|
—
|
|
—
|
|
80.3
|
|
80.3
|
|
||||
|
Credit card merchant processing
|
—
|
|
—
|
|
86.4
|
|
86.4
|
|
||||
|
Credit card arrangements with partners
|
—
|
|
—
|
|
1.5
|
|
1.5
|
|
||||
|
Custody indemnifications and other
|
45.3
|
|
0.1
|
|
—
|
|
45.4
|
|
||||
|
Total
|
$
|
118.4
|
|
$
|
17.5
|
|
$
|
269.3
|
|
$
|
405.2
|
|
Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:
|
In millions of dollars
|
U.S.
|
Outside of
U.S.
|
March 31,
2017 |
December 31,
2016
|
||||||||
|
Commercial and similar letters of credit
|
$
|
795
|
|
$
|
4,790
|
|
$
|
5,585
|
|
$
|
5,736
|
|
|
One- to four-family residential mortgages
|
1,283
|
|
1,698
|
|
2,981
|
|
2,838
|
|
||||
|
Revolving open-end loans secured by one- to four-family residential properties
|
11,900
|
|
1,542
|
|
13,442
|
|
13,405
|
|
||||
|
Commercial real estate, construction and land development
|
9,562
|
|
1,318
|
|
10,880
|
|
10,781
|
|
||||
|
Credit card lines
|
576,402
|
|
97,286
|
|
673,688
|
|
664,335
|
|
||||
|
Commercial and other consumer loan commitments
|
174,429
|
|
96,164
|
|
270,593
|
|
259,934
|
|
||||
|
Other commitments and contingencies
|
3,723
|
|
9,290
|
|
13,013
|
|
11,267
|
|
||||
|
Total
|
$
|
778,094
|
|
$
|
212,088
|
|
$
|
990,182
|
|
$
|
968,296
|
|
The majority of unused commitments are contingent upon customers maintaining specific credit standards.
Commercial commitments generally have floating interest rates and fixed expiration dates and may require payment of fees. Such fees (net of certain direct costs) are deferred and, upon exercise of the commitment, amortized over the life of the loan or, if exercise is deemed remote, amortized over the commitment period.
178
23. CONTINGENCIES
The following information supplements and amends, as applicable, the disclosures in Note 27 to the Consolidated Financial Statements of Citigroup’s 2016 Annual Report on Form 10-K. For purposes of this Note, Citigroup, its affiliates and subsidiaries and current and former officers, directors and employees, are sometimes collectively referred to as Citigroup and Related Parties.
In accordance with ASC 450, Citigroup establishes accruals for contingencies, including the litigation and regulatory matters disclosed herein, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters.
If Citigroup has not accrued for a matter because the matter does not meet the criteria for accrual (as set forth above), or Citigroup believes an exposure to loss exists in excess of the amount accrued for a particular matter, in each case assuming a material loss is reasonably possible, Citigroup discloses the matter. In addition, for such matters, Citigroup discloses an estimate of the aggregate reasonably possible loss or range of loss in excess of the amounts accrued for those matters as to which an estimate can be made. At March 31, 2017, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately
$2.0 billion
in the aggregate.
As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation and regulatory proceedings are subject to particular uncertainties. For example, at the time of making an estimate, Citigroup may have only preliminary, incomplete or inaccurate information about the facts underlying the claim; its assumptions about the future rulings of the court or other tribunal on significant issues, or the behavior and incentives of adverse parties or regulators, may prove to be wrong; and the outcomes it is attempting to predict are often not amenable to the use of statistical or other quantitative analytical tools. In addition, from time to time an outcome may occur that Citigroup had not accounted for in its estimates because it had deemed such an outcome to be remote. For all these reasons, the amount of loss in excess of accruals ultimately incurred for the matters as to which an estimate has been made could be substantially higher or lower than the range of loss included in the estimate.
Subject to the foregoing, it is the opinion of Citigroup's management, based on current knowledge and after taking into account its current legal accruals, that the eventual outcome of all matters described in this Note would not be likely to have a material adverse effect on the consolidated financial condition of Citigroup. Nonetheless, given the substantial or indeterminate amounts sought in certain of these matters and
the inherent unpredictability of such matters, an adverse outcome in certain of these matters could, from time to time, have a material adverse effect on Citigroup’s consolidated results of operations or cash flows in particular quarterly or annual periods.
For further information on ASC 450 and Citigroup's accounting and disclosure framework for contingencies, including for litigation and regulatory matters disclosed herein, see Note 27 to the Consolidated Financial Statements of Citigroup’s 2016 Annual Report on Form 10-K.
Credit Crisis-Related Litigation and Other Matters
Mortgage-Related Litigation and Other Matters
Mortgage Backed Security Repurchase Claims
:
On March 29, 2017, the parties filed a stipulation of discontinuance with prejudice in U.S. BANK NATIONAL ASSOCIATION, SOLELY IN ITS CAPACITY AS TRUSTEE FOR CITIGROUP MORTGAGE LOAN TRUST 2007-AHL2 v. CITIGROUP GLOBAL MARKETS REALTY CORP. Additional information concerning this action is publicly available in court filings under the docket number 653816/2013 (N.Y. Sup. Ct.) (Kornreich, J.).
Mortgage Backed Securities Trustee Actions:
On April 7, 2017, Citibank submitted a motion for summary judgment as to all claims in FIXED INCOME SHARES: SERIES M ET AL. v. CITIBANK N.A. Additional information concerning this action is publicly available in court filings under the docket number 14-cv-9373 (S.D.N.Y.) (Furman, J.).
Foreign Exchange Matters
Antitrust and Other Litigation
: On March 24, 2017, in NYPL v. JPMORGAN CHASE & CO., ET AL., the court granted the motion to dismiss filed by Citigroup and Related Parties along with other defendant banks. Plaintiffs may move for leave to file an amended complaint by May 5, 2017. Additional information concerning this action is publicly available in court filings under the docket numbers 15 Civ. 2290 (N.D. Cal.) (Chhabria, J.) and 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).
On January 9, 2017, in ALLEN V. BANK OF AMERICA CORPORATION, ET AL., the plaintiffs appealed the dismissal of their claims. Additional information concerning this action is publicly available in court filings under the docket numbers 15 Civ. 4285 (S.D.N.Y.) (Schofield, J.); 16-3327 (2d Cir.); and 16-3571 (2d Cir.).
On February 27, 2017, in NEGRETE v. CITIBANK, N.A., the court granted Citibank’s motion to dismiss in part without leave to amend, and denied plaintiffs’ motion for partial summary judgment. On March 13, 2017, Citibank filed an answer to plaintiffs’ amended complaint. On March 21, 2017, plaintiffs moved for entry of final judgment as to the dismissed claims and requested that litigation of the remaining claim be stayed pending an appeal. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 7250 (S.D.N.Y.) (Sweet, J.).
On January 23, 2017, in BAKER ET AL. v. BANK OF AMERICA CORPORATION ET AL., Citigroup and Related Parties, along with other defendant banks, moved to dismiss
179
the complaint. On March 24, 2017, in lieu of responding to the motion, plaintiffs filed an amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 7512 (S.D.N.Y) (Schofield, J.).
Interest Rate Swaps Matters
Antitrust and Other Litigation:
On January 20, 2017, defendants, including Citigroup, Citibank, CGMI and CGML, filed a joint motion to dismiss all claims in IN RE INTEREST RATE SWAPS ANTITRUST LITIGATION. Additional information concerning action is publicly available in court filings under the docket number 16 MD 2704 (S.D.N.Y.) (Engelmayer, J.).
Interchange Fee Litigation
On March 27, 2017, the United States Supreme Court entered an order denying class plaintiffs’ petition for writ of certiorari. Additional information concerning this action is publicly available in court filings under the docket numbers MDL 05-1720 (E.D.N.Y.) (Brodie, J.); 12-4671 (2d Cir.); and 16-710 (U.S. Sup. Ct.).
Interbank Offered Rates-Related Litigation and Other
Matters
Antitrust and Other Litigation
:
On February 21, 2017, in SULLIVAN v. BARCLAYS PLC, ET AL., the court ruled on defendants’ motion to dismiss, dismissing all claims against Citigroup and Citibank, with the exception of one claim under the Sherman Act and two common law claims. On March 7, 2017, defendants, including Citigroup and Citibank, filed a motion seeking clarification concerning the scope of the February 21, 2017 ruling, and, on April 18, 2017, the court granted defendants’ motion. Additional information concerning this action is publicly available in court filings under the docket number 13 Civ. 2811 (S.D.N.Y.) (Castel, J.).
Oceanografia Fraud and Related Matters
Other Litigation
: On February 27, 2017, a complaint was filed against Citigroup in the United States District Court for the Southern District of New York by Oceanografia SA de CV (OSA) and its controlling shareholder, Amado Yáñez Osuna. The complaint alleges that plaintiffs were injured when Citigroup made certain public statements about receivable financings and other financing arrangements related to OSA . The complaint asserts claims for malicious prosecution and tortious interference with existing and prospective business relationships. Additional information concerning this action is publicly available in court filings under the docket number 1:17-cv-01434 (S.D.N.Y.) (Sullivan, J.).
Sovereign Securities Matters
Antitrust and Other Litigation
: On April 11, 2017, plaintiffs filed a consolidated amended complaint against various financial institutions and traders, including Citigroup and Related Parties, in the consolidated proceeding before the United States District Court for the Southern District of New York, In Re SSA Bonds Antitrust Litigation. Based on allegations that defendants engaged in collusion in the supranational, sub-sovereign, and agency (SSA) bond market, plaintiffs assert claims under the antitrust laws and for unjust enrichment, and seek damages, including treble damages where authorized by statute, and restitution. Additional information relating to this action is publicly available in court filings under the docket number 16 Civ. 03711 (S.D.N.Y.) (Ramos, J.).
Settlement Payments
Payments required in settlement agreements described above have been made or are covered by existing litigation accruals.
180
24. CONDENSED CONSOLIDATING FINANCIAL STATEMENTS
Citigroup amended its Registration Statement on Form S-3 on file with the SEC (File No. 33-192302) to add its wholly owned subsidiary, Citigroup Global Markets Holdings Inc. (CGMHI), as a co-registrant. Any securities issued by CGMHI under the Form S-3 will be fully and unconditionally guaranteed by Citigroup.
The following are the Condensed Consolidating Statements of Income and Comprehensive Income for the three months ended
March 31, 2017
and
2016
, Condensed Consolidating Balance Sheet as of
March 31, 2017
and
December 31, 2016
and Condensed Consolidating Statement of Cash Flows for the three months ended
March 31, 2017
and
2016
for Citigroup Inc., the parent holding company (Citigroup parent company), CGMHI, other Citigroup subsidiaries and eliminations and total consolidating adjustments. “Other Citigroup subsidiaries and eliminations” includes all other subsidiaries of Citigroup, intercompany eliminations and income (loss) from discontinued operations. “Consolidating adjustments” includes Citigroup parent company elimination of distributed and undistributed income of subsidiaries and investment in subsidiaries.
These Condensed Consolidating Financial Statements have been prepared and presented in accordance with SEC Regulation S-X Rule 3-10, “Financial Statements of Guarantors and Issuers of Guaranteed Securities Registered or Being Registered.”
These Condensed Consolidating Financial Statements schedules are presented for purposes of additional analysis, but should be considered in relation to the Consolidated Financial Statements of Citigroup taken as a whole.
181
Condensed Consolidating Statements of Income and Comprehensive Income
|
Three months ended March 31, 2017
|
|||||||||||||||||||||
|
In millions of dollars
|
Citigroup parent company
|
CGMHI
|
Other Citigroup subsidiaries and eliminations
|
Consolidating adjustments
|
Citigroup consolidated
|
||||||||||||||||
|
Revenues
|
|||||||||||||||||||||
|
Dividends from subsidiaries
|
$
|
3,750
|
|
$
|
—
|
|
$
|
—
|
|
$
|
(3,750
|
)
|
$
|
—
|
|
||||||
|
Interest revenue
|
1
|
|
1,027
|
|
13,395
|
|
—
|
|
14,423
|
|
|||||||||||
|
Interest revenue—intercompany
|
793
|
|
157
|
|
(950
|
)
|
—
|
|
—
|
|
|||||||||||
|
Interest expense
|
1,218
|
|
396
|
|
1,952
|
|
—
|
|
3,566
|
|
|||||||||||
|
Interest expense—intercompany
|
90
|
|
426
|
|
(516
|
)
|
—
|
|
—
|
|
|||||||||||
|
Net interest revenue
|
$
|
(514
|
)
|
$
|
362
|
|
$
|
11,009
|
|
$
|
—
|
|
$
|
10,857
|
|
||||||
|
Commissions and fees
|
$
|
—
|
|
$
|
1,255
|
|
$
|
1,504
|
|
$
|
—
|
|
$
|
2,759
|
|
||||||
|
Commissions and fees—intercompany
|
—
|
|
2
|
|
(2
|
)
|
—
|
|
—
|
|
|||||||||||
|
Principal transactions
|
(163
|
)
|
1,606
|
|
1,579
|
|
—
|
|
3,022
|
|
|||||||||||
|
Principal transactions—intercompany
|
204
|
|
(682
|
)
|
478
|
|
—
|
|
—
|
|
|||||||||||
|
Other income
|
(39
|
)
|
74
|
|
1,447
|
|
—
|
|
1,482
|
|
|||||||||||
|
Other income—intercompany
|
(123
|
)
|
34
|
|
89
|
|
—
|
|
—
|
|
|||||||||||
|
Total non-interest revenues
|
$
|
(121
|
)
|
$
|
2,289
|
|
$
|
5,095
|
|
$
|
—
|
|
$
|
7,263
|
|
||||||
|
Total revenues, net of interest expense
|
$
|
3,115
|
|
$
|
2,651
|
|
$
|
16,104
|
|
$
|
(3,750
|
)
|
$
|
18,120
|
|
||||||
|
Provisions for credit losses and for benefits and claims
|
$
|
—
|
|
$
|
—
|
|
$
|
1,662
|
|
$
|
—
|
|
$
|
1,662
|
|
||||||
|
Operating expenses
|
|
|
|
|
|
||||||||||||||||
|
Compensation and benefits
|
$
|
(14
|
)
|
$
|
1,262
|
|
$
|
4,286
|
|
$
|
—
|
|
$
|
5,534
|
|
||||||
|
Compensation and benefits—intercompany
|
31
|
|
—
|
|
(31
|
)
|
—
|
|
—
|
|
|||||||||||
|
Other operating
|
28
|
|
406
|
|
4,509
|
|
—
|
|
4,943
|
|
|||||||||||
|
Other operating—intercompany
|
(59
|
)
|
468
|
|
(409
|
)
|
—
|
|
—
|
|
|||||||||||
|
Total operating expenses
|
$
|
(14
|
)
|
$
|
2,136
|
|
$
|
8,355
|
|
$
|
—
|
|
$
|
10,477
|
|
||||||
|
Equity in undistributed income of subsidiaries
|
587
|
|
—
|
|
—
|
|
(587
|
)
|
—
|
|
|||||||||||
|
Income (loss) from continuing operations before income taxes
|
$
|
3,716
|
|
$
|
515
|
|
$
|
6,087
|
|
$
|
(4,337
|
)
|
$
|
5,981
|
|
||||||
|
Provision (benefit) for income taxes
|
(374
|
)
|
215
|
|
2,022
|
|
—
|
|
1,863
|
|
|||||||||||
|
Income (loss) from continuing operations
|
$
|
4,090
|
|
$
|
300
|
|
$
|
4,065
|
|
$
|
(4,337
|
)
|
$
|
4,118
|
|
||||||
|
Loss from discontinued operations, net of taxes
|
—
|
|
—
|
|
(18
|
)
|
—
|
|
(18
|
)
|
|||||||||||
|
Net income (loss) before attribution of noncontrolling interests
|
$
|
4,090
|
|
$
|
300
|
|
$
|
4,047
|
|
$
|
(4,337
|
)
|
$
|
4,100
|
|
||||||
|
Noncontrolling interests
|
—
|
|
—
|
|
10
|
|
—
|
|
10
|
|
|||||||||||
|
Net income (loss)
|
$
|
4,090
|
|
$
|
300
|
|
$
|
4,037
|
|
$
|
(4,337
|
)
|
$
|
4,090
|
|
||||||
|
Comprehensive income
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Add: Other comprehensive income (loss)
|
1,464
|
|
(20
|
)
|
(3,721
|
)
|
3,741
|
|
1,464
|
|
|||||||||||
|
Total Citigroup comprehensive income (loss)
|
$
|
5,554
|
|
$
|
280
|
|
$
|
316
|
|
$
|
(596
|
)
|
$
|
5,554
|
|
||||||
|
Add: Other comprehensive income attributable to noncontrolling interests
|
—
|
|
—
|
|
—
|
|
—
|
|
31
|
|
—
|
|
31
|
|
|||||||
|
Add: Net income attributable to noncontrolling interests
|
—
|
|
—
|
|
—
|
|
—
|
|
10
|
|
—
|
|
10
|
|
|||||||
|
Total comprehensive income (loss)
|
$
|
5,554
|
|
$
|
280
|
|
$
|
357
|
|
$
|
(596
|
)
|
$
|
5,595
|
|
||||||
182
Condensed Consolidating Statements of Income and Comprehensive Income
|
Three months ended March 31, 2016
|
|||||||||||||||||||
|
In millions of dollars
|
Citigroup parent company
|
CGMHI
|
Other Citigroup subsidiaries and eliminations
|
Consolidating adjustments
|
Citigroup consolidated
|
||||||||||||||
|
Revenues
|
|||||||||||||||||||
|
Dividends from subsidiaries
|
$
|
2,800
|
|
$
|
—
|
|
$
|
—
|
|
$
|
(2,800
|
)
|
$
|
—
|
|
||||
|
Interest revenue
|
2
|
|
1,146
|
|
13,019
|
|
—
|
|
14,167
|
|
|||||||||
|
Interest revenue—intercompany
|
872
|
|
136
|
|
(1,008
|
)
|
—
|
|
—
|
|
|||||||||
|
Interest expense
|
1,070
|
|
364
|
|
1,506
|
|
—
|
|
2,940
|
|
|||||||||
|
Interest expense—intercompany
|
41
|
|
429
|
|
(470
|
)
|
—
|
|
—
|
|
|||||||||
|
Net interest revenue
|
$
|
(237
|
)
|
$
|
489
|
|
$
|
10,975
|
|
$
|
—
|
|
$
|
11,227
|
|
||||
|
Commissions and fees
|
$
|
—
|
|
$
|
960
|
|
$
|
1,503
|
|
$
|
—
|
|
$
|
2,463
|
|
||||
|
Commissions and fees—intercompany
|
(2
|
)
|
(6
|
)
|
8
|
|
—
|
|
—
|
|
|||||||||
|
Principal transactions
|
(209
|
)
|
(137
|
)
|
2,186
|
|
—
|
|
1,840
|
|
|||||||||
|
Principal transactions—intercompany
|
258
|
|
748
|
|
(1,006
|
)
|
—
|
|
—
|
|
|||||||||
|
Other income
|
(3,094
|
)
|
76
|
|
5,043
|
|
—
|
|
2,025
|
|
|||||||||
|
Other income—intercompany
|
3,260
|
|
(140
|
)
|
(3,120
|
)
|
—
|
|
—
|
|
|||||||||
|
Total non-interest revenues
|
$
|
213
|
|
$
|
1,501
|
|
$
|
4,614
|
|
$
|
—
|
|
$
|
6,328
|
|
||||
|
Total revenues, net of interest expense
|
$
|
2,776
|
|
$
|
1,990
|
|
$
|
15,589
|
|
$
|
(2,800
|
)
|
$
|
17,555
|
|
||||
|
Provisions for credit losses and for benefits and claims
|
$
|
—
|
|
$
|
—
|
|
$
|
2,045
|
|
$
|
—
|
|
$
|
2,045
|
|
||||
|
Operating expenses
|
|
|
|
|
|
||||||||||||||
|
Compensation and benefits
|
$
|
8
|
|
$
|
1,289
|
|
$
|
4,259
|
|
$
|
—
|
|
$
|
5,556
|
|
||||
|
Compensation and benefits—intercompany
|
3
|
|
—
|
|
(3
|
)
|
—
|
|
—
|
|
|||||||||
|
Other operating
|
267
|
|
386
|
|
4,314
|
|
—
|
|
4,967
|
|
|||||||||
|
Other operating—intercompany
|
1
|
|
307
|
|
(308
|
)
|
—
|
|
—
|
|
|||||||||
|
Total operating expenses
|
$
|
279
|
|
$
|
1,982
|
|
$
|
8,262
|
|
$
|
—
|
|
$
|
10,523
|
|
||||
|
Equity in undistributed income of subsidiaries
|
944
|
|
—
|
|
—
|
|
(944
|
)
|
—
|
|
|||||||||
|
Income (loss) from continuing operations before income taxes
|
$
|
3,441
|
|
$
|
8
|
|
$
|
5,282
|
|
$
|
(3,744
|
)
|
$
|
4,987
|
|
||||
|
Provision (benefit) for income taxes
|
(60
|
)
|
37
|
|
1,502
|
|
—
|
|
1,479
|
|
|||||||||
|
Income (loss) from continuing operations
|
$
|
3,501
|
|
$
|
(29
|
)
|
$
|
3,780
|
|
$
|
(3,744
|
)
|
$
|
3,508
|
|
||||
|
Income from discontinued operations, net of taxes
|
—
|
|
—
|
|
(2
|
)
|
—
|
|
(2
|
)
|
|||||||||
|
Net income (loss) before attribution of noncontrolling interests
|
$
|
3,501
|
|
$
|
(29
|
)
|
$
|
3,778
|
|
$
|
(3,744
|
)
|
$
|
3,506
|
|
||||
|
Noncontrolling interests
|
—
|
|
2
|
|
3
|
|
—
|
|
5
|
|
|||||||||
|
Net income (loss)
|
$
|
3,501
|
|
$
|
(31
|
)
|
$
|
3,775
|
|
$
|
(3,744
|
)
|
$
|
3,501
|
|
||||
|
Comprehensive income
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Add: Other comprehensive income (loss)
|
$
|
2,733
|
|
$
|
47
|
|
$
|
(534
|
)
|
$
|
487
|
|
$
|
2,733
|
|
||||
|
Total Citigroup comprehensive income (loss)
|
$
|
6,234
|
|
$
|
16
|
|
$
|
3,241
|
|
$
|
(3,257
|
)
|
$
|
6,234
|
|
||||
|
Add: Other comprehensive income attributable to noncontrolling interests
|
—
|
|
—
|
|
27
|
|
—
|
|
27
|
|
|||||||||
|
Add: Net income attributable to noncontrolling interests
|
—
|
|
2
|
|
3
|
|
—
|
|
5
|
|
|||||||||
|
Total comprehensive income (loss)
|
$
|
6,234
|
|
$
|
18
|
|
$
|
3,271
|
|
$
|
(3,257
|
)
|
$
|
6,266
|
|
||||
183
Condensed Consolidating Balance Sheet
|
March 31, 2017
|
|||||||||||||||||||
|
In millions of dollars
|
Citigroup parent company
|
CGMHI
|
Other Citigroup subsidiaries and eliminations
|
Consolidating adjustments
|
Citigroup consolidated
|
||||||||||||||
|
Assets
|
|||||||||||||||||||
|
Cash and due from banks
|
$
|
—
|
|
$
|
480
|
|
$
|
21,792
|
|
$
|
—
|
|
$
|
22,272
|
|
||||
|
Cash and due from banks—intercompany
|
352
|
|
3,167
|
|
(3,519
|
)
|
—
|
|
—
|
|
|||||||||
|
Federal funds sold and resale agreements
|
—
|
|
196,387
|
|
46,542
|
|
—
|
|
242,929
|
|
|||||||||
|
Federal funds sold and resale agreements—intercompany
|
—
|
|
14,742
|
|
(14,742
|
)
|
—
|
|
—
|
|
|||||||||
|
Trading account assets
|
1
|
|
128,414
|
|
116,488
|
|
—
|
|
244,903
|
|
|||||||||
|
Trading account assets—intercompany
|
991
|
|
3,173
|
|
(4,164
|
)
|
—
|
|
—
|
|
|||||||||
|
Investments
|
43
|
|
217
|
|
345,573
|
|
—
|
|
345,833
|
|
|||||||||
|
Loans, net of unearned income
|
—
|
|
1,269
|
|
627,326
|
|
—
|
|
628,595
|
|
|||||||||
|
Loans, net of unearned income—intercompany
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Allowance for loan losses
|
—
|
|
—
|
|
(12,030
|
)
|
—
|
|
(12,030
|
)
|
|||||||||
|
Total loans, net
|
$
|
—
|
|
$
|
1,269
|
|
$
|
615,296
|
|
$
|
—
|
|
$
|
616,565
|
|
||||
|
Advances to subsidiaries
|
$
|
143,808
|
|
$
|
—
|
|
$
|
(143,808
|
)
|
$
|
—
|
|
$
|
—
|
|
||||
|
Investments in subsidiaries
|
228,432
|
|
—
|
|
—
|
|
(228,432
|
)
|
—
|
|
|||||||||
|
Other assets
(1)
|
23,924
|
|
51,968
|
|
273,241
|
|
—
|
|
349,133
|
|
|||||||||
|
Other assets—intercompany
|
8,229
|
|
58,770
|
|
(66,999
|
)
|
—
|
|
—
|
|
|||||||||
|
Total assets
|
$
|
405,780
|
|
$
|
458,587
|
|
$
|
1,185,700
|
|
$
|
(228,432
|
)
|
$
|
1,821,635
|
|
||||
|
Liabilities and equity
|
|
|
|
|
|
|
|||||||||||||
|
Deposits
|
$
|
—
|
|
$
|
—
|
|
$
|
949,990
|
|
$
|
—
|
|
$
|
949,990
|
|
||||
|
Deposits—intercompany
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Federal funds purchased and securities loaned or sold
|
—
|
|
128,196
|
|
20,034
|
|
—
|
|
148,230
|
|
|||||||||
|
Federal funds purchased and securities loaned or sold—intercompany
|
—
|
|
20,807
|
|
(20,807
|
)
|
—
|
|
—
|
|
|||||||||
|
Trading account liabilities
|
7
|
|
94,791
|
|
49,272
|
|
—
|
|
144,070
|
|
|||||||||
|
Trading account liabilities—intercompany
|
819
|
|
2,834
|
|
(3,653
|
)
|
—
|
|
—
|
|
|||||||||
|
Short-term borrowings
|
—
|
|
1,961
|
|
24,166
|
|
—
|
|
26,127
|
|
|||||||||
|
Short-term borrowings—intercompany
|
—
|
|
65,562
|
|
(65,562
|
)
|
—
|
|
—
|
|
|||||||||
|
Long-term debt
|
141,626
|
|
15,017
|
|
51,887
|
|
—
|
|
208,530
|
|
|||||||||
|
Long-term debt—intercompany
|
—
|
|
28,781
|
|
(28,781
|
)
|
—
|
|
—
|
|
|||||||||
|
Advances from subsidiaries
|
26,357
|
|
—
|
|
(26,357
|
)
|
—
|
|
—
|
|
|||||||||
|
Other liabilities
|
3,346
|
|
66,324
|
|
45,865
|
|
—
|
|
115,535
|
|
|||||||||
|
Other liabilities—intercompany
|
5,493
|
|
1,263
|
|
(6,756
|
)
|
—
|
|
—
|
|
|||||||||
|
Stockholders’ equity
|
228,132
|
|
33,051
|
|
196,402
|
|
(228,432
|
)
|
229,153
|
|
|||||||||
|
Total liabilities and equity
|
$
|
405,780
|
|
$
|
458,587
|
|
$
|
1,185,700
|
|
$
|
(228,432
|
)
|
$
|
1,821,635
|
|
||||
|
(1)
|
Other assets
for Citigroup parent company at
March 31, 2017
included $
18.2 billion
of placements to Citibank and its branches, of which $
8.3 billion
had a remaining term of less than 30 days.
|
184
Condensed Consolidating Balance Sheet
|
December 31, 2016
|
|||||||||||||||||||
|
In millions of dollars
|
Citigroup parent company
|
CGMHI
|
Other Citigroup subsidiaries and eliminations
|
Consolidating adjustments
|
Citigroup consolidated
|
||||||||||||||
|
Assets
|
|||||||||||||||||||
|
Cash and due from banks
|
$
|
—
|
|
$
|
870
|
|
$
|
22,173
|
|
$
|
—
|
|
$
|
23,043
|
|
||||
|
Cash and due from banks—intercompany
|
142
|
|
3,820
|
|
(3,962
|
)
|
—
|
|
—
|
|
|||||||||
|
Federal funds sold and resale agreements
|
—
|
|
196,236
|
|
40,577
|
|
—
|
|
236,813
|
|
|||||||||
|
Federal funds sold and resale agreements—intercompany
|
—
|
|
12,270
|
|
(12,270
|
)
|
—
|
|
—
|
|
|||||||||
|
Trading account assets
|
6
|
|
121,484
|
|
122,435
|
|
—
|
|
243,925
|
|
|||||||||
|
Trading account assets—intercompany
|
1,173
|
|
907
|
|
(2,080
|
)
|
—
|
|
—
|
|
|||||||||
|
Investments
|
173
|
|
335
|
|
352,796
|
|
—
|
|
353,304
|
|
|||||||||
|
Loans, net of unearned income
|
—
|
|
575
|
|
623,794
|
|
—
|
|
624,369
|
|
|||||||||
|
Loans, net of unearned income—intercompany
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Allowance for loan losses
|
—
|
|
—
|
|
(12,060
|
)
|
—
|
|
(12,060
|
)
|
|||||||||
|
Total loans, net
|
$
|
—
|
|
$
|
575
|
|
$
|
611,734
|
|
$
|
—
|
|
$
|
612,309
|
|
||||
|
Advances to subsidiaries
|
$
|
143,154
|
|
$
|
—
|
|
$
|
(143,154
|
)
|
$
|
—
|
|
$
|
—
|
|
||||
|
Investments in subsidiaries
|
226,279
|
|
—
|
|
—
|
|
(226,279
|
)
|
—
|
|
|||||||||
|
Other assets
(1)
|
23,734
|
|
46,095
|
|
252,854
|
|
—
|
|
322,683
|
|
|||||||||
|
Other assets—intercompany
|
27,845
|
|
38,207
|
|
(66,052
|
)
|
—
|
|
—
|
|
|||||||||
|
Total assets
|
$
|
422,506
|
|
$
|
420,799
|
|
$
|
1,175,051
|
|
$
|
(226,279
|
)
|
$
|
1,792,077
|
|
||||
|
Liabilities and equity
|
|
|
|
|
|
|
|||||||||||||
|
Deposits
|
$
|
—
|
|
$
|
—
|
|
$
|
929,406
|
|
$
|
—
|
|
$
|
929,406
|
|
||||
|
Deposits—intercompany
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Federal funds purchased and securities loaned or sold
|
—
|
|
122,320
|
|
19,501
|
|
—
|
|
141,821
|
|
|||||||||
|
Federal funds purchased and securities loaned or sold—intercompany
|
—
|
|
25,417
|
|
(25,417
|
)
|
—
|
|
—
|
|
|||||||||
|
Trading account liabilities
|
—
|
|
87,714
|
|
51,331
|
|
—
|
|
139,045
|
|
|||||||||
|
Trading account liabilities—intercompany
|
1,006
|
|
868
|
|
(1,874
|
)
|
—
|
|
—
|
|
|||||||||
|
Short-term borrowings
|
—
|
|
1,356
|
|
29,345
|
|
—
|
|
30,701
|
|
|||||||||
|
Short-term borrowings—intercompany
|
—
|
|
35,596
|
|
(35,596
|
)
|
—
|
|
—
|
|
|||||||||
|
Long-term debt
|
147,333
|
|
8,128
|
|
50,717
|
|
—
|
|
206,178
|
|
|||||||||
|
Long-term debt—intercompany
|
—
|
|
41,287
|
|
(41,287
|
)
|
—
|
|
—
|
|
|||||||||
|
Advances from subsidiaries
|
41,258
|
|
—
|
|
(41,258
|
)
|
—
|
|
—
|
|
|||||||||
|
Other liabilities
|
3,466
|
|
57,430
|
|
57,887
|
|
—
|
|
118,783
|
|
|||||||||
|
Other liabilities—intercompany
|
4,323
|
|
7,894
|
|
(12,217
|
)
|
—
|
|
—
|
|
|||||||||
|
Stockholders’ equity
|
225,120
|
|
32,789
|
|
194,513
|
|
(226,279
|
)
|
226,143
|
|
|||||||||
|
Total liabilities and equity
|
$
|
422,506
|
|
$
|
420,799
|
|
$
|
1,175,051
|
|
$
|
(226,279
|
)
|
$
|
1,792,077
|
|
||||
|
(1)
|
Other assets
for Citigroup parent company at
December 31, 2016
included
$20.7 billion
of placements to Citibank and its branches, of which
$6.8 billion
had a remaining term of less than 30 days.
|
185
Condensed Consolidating Statement of Cash Flows
|
Three months ended March 31, 2017
|
|||||||||||||||||||
|
In millions of dollars
|
Citigroup parent company
|
CGMHI
|
Other Citigroup subsidiaries and eliminations
|
Consolidating adjustments
|
Citigroup consolidated
|
||||||||||||||
|
Net cash provided by (used in) operating activities of continuing operations
|
$
|
24,958
|
|
$
|
(3,405
|
)
|
$
|
(24,559
|
)
|
$
|
—
|
|
$
|
(3,006
|
)
|
||||
|
Cash flows from investing activities of continuing operations
|
|||||||||||||||||||
|
Purchases of investments
|
$
|
—
|
|
$
|
—
|
|
$
|
(41,584
|
)
|
$
|
—
|
|
$
|
(41,584
|
)
|
||||
|
Proceeds from sales of investments
|
116
|
|
—
|
|
29,340
|
|
—
|
|
29,456
|
|
|||||||||
|
Proceeds from maturities of investments
|
—
|
|
—
|
|
24,006
|
|
—
|
|
24,006
|
|
|||||||||
|
Change in deposits with banks
|
—
|
|
6,514
|
|
(26,836
|
)
|
—
|
|
(20,322
|
)
|
|||||||||
|
Change in loans
|
—
|
|
—
|
|
(7,953
|
)
|
—
|
|
(7,953
|
)
|
|||||||||
|
Proceeds from sales and securitizations of loans
|
—
|
|
—
|
|
3,191
|
|
—
|
|
3,191
|
|
|||||||||
|
Proceeds from significant disposals
|
—
|
|
—
|
|
2,732
|
|
—
|
|
2,732
|
|
|||||||||
|
Change in federal funds sold and resales
|
—
|
|
(2,623
|
)
|
(3,493
|
)
|
—
|
|
(6,116
|
)
|
|||||||||
|
Changes in investments and advances—intercompany
|
(569
|
)
|
(5,007
|
)
|
5,576
|
|
—
|
|
—
|
|
|||||||||
|
Other investing activities
|
—
|
|
—
|
|
(653
|
)
|
—
|
|
(653
|
)
|
|||||||||
|
Net cash used in investing activities of continuing operations
|
$
|
(453
|
)
|
$
|
(1,116
|
)
|
$
|
(15,674
|
)
|
$
|
—
|
|
$
|
(17,243
|
)
|
||||
|
Cash flows from financing activities of continuing operations
|
|||||||||||||||||||
|
Dividends paid
|
$
|
(744
|
)
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
(744
|
)
|
||||
|
Treasury stock acquired
|
(1,858
|
)
|
—
|
|
—
|
|
—
|
|
(1,858
|
)
|
|||||||||
|
Proceeds (repayments) from issuance of long-term debt, net
|
(6,395
|
)
|
5,175
|
|
938
|
|
—
|
|
(282
|
)
|
|||||||||
|
Proceeds (repayments) from issuance of long-term debt—intercompany, net
|
—
|
|
(12,506
|
)
|
12,506
|
|
—
|
|
—
|
|
|||||||||
|
Change in deposits
|
—
|
|
—
|
|
20,584
|
|
—
|
|
20,584
|
|
|||||||||
|
Change in federal funds purchased and repos
|
—
|
|
1,266
|
|
5,143
|
|
—
|
|
6,409
|
|
|||||||||
|
Change in short-term borrowings
|
—
|
|
605
|
|
(5,179
|
)
|
—
|
|
(4,574
|
)
|
|||||||||
|
Net change in short-term borrowings and other advances—intercompany
|
(14,901
|
)
|
8,938
|
|
5,963
|
|
—
|
|
—
|
|
|||||||||
|
Other financing activities
|
(397
|
)
|
—
|
|
—
|
|
—
|
|
(397
|
)
|
|||||||||
|
Net cash provided by (used in) financing activities of continuing operations
|
$
|
(24,295
|
)
|
$
|
3,478
|
|
$
|
39,955
|
|
$
|
—
|
|
$
|
19,138
|
|
||||
|
Effect of exchange rate changes on cash and due from banks
|
$
|
—
|
|
$
|
—
|
|
$
|
340
|
|
$
|
—
|
|
$
|
340
|
|
||||
|
Change in cash and due from banks
|
$
|
210
|
|
$
|
(1,043
|
)
|
$
|
62
|
|
$
|
—
|
|
$
|
(771
|
)
|
||||
|
Cash and due from banks at beginning of period
|
142
|
|
4,690
|
|
18,211
|
|
—
|
|
23,043
|
|
|||||||||
|
Cash and due from banks at end of period
|
$
|
352
|
|
$
|
3,647
|
|
$
|
18,273
|
|
$
|
—
|
|
$
|
22,272
|
|
||||
|
Supplemental disclosure of cash flow information for continuing operations
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Cash paid (refund) during the year for income taxes
|
$
|
(139
|
)
|
$
|
64
|
|
$
|
988
|
|
$
|
—
|
|
$
|
913
|
|
||||
|
Cash paid during the year for interest
|
1,153
|
|
822
|
|
1,275
|
|
—
|
|
3,250
|
|
|||||||||
|
Non-cash investing activities
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Transfers to loans HFS from loans
|
—
|
|
—
|
|
2,800
|
|
—
|
|
2,800
|
|
|||||||||
|
Transfers to OREO and other repossessed assets
|
—
|
|
—
|
|
30
|
|
—
|
|
30
|
|
|||||||||
186
Condensed Consolidating Statement of Cash Flows
|
Three months ended March 31, 2016
|
|||||||||||||||||||
|
In millions of dollars
|
Citigroup parent company
|
CGMHI
|
Other Citigroup subsidiaries and eliminations
|
Consolidating adjustments
|
Citigroup consolidated
|
||||||||||||||
|
Net cash provided by (used in) operating activities of continuing operations
|
$
|
5,194
|
|
$
|
(2,833
|
)
|
$
|
(2,899
|
)
|
$
|
—
|
|
$
|
(538
|
)
|
||||
|
Cash flows from investing activities of continuing operations
|
|||||||||||||||||||
|
Purchases of investments
|
$
|
—
|
|
$
|
—
|
|
$
|
(59,715
|
)
|
$
|
—
|
|
$
|
(59,715
|
)
|
||||
|
Proceeds from sales of investments
|
—
|
|
—
|
|
39,268
|
|
—
|
|
39,268
|
|
|||||||||
|
Proceeds from maturities of investments
|
26
|
|
—
|
|
16,518
|
|
—
|
|
16,544
|
|
|||||||||
|
Change in deposits with banks
|
—
|
|
(7,380
|
)
|
(16,472
|
)
|
—
|
|
(23,852
|
)
|
|||||||||
|
Change in loans
|
—
|
|
—
|
|
(5,057
|
)
|
—
|
|
(5,057
|
)
|
|||||||||
|
Proceeds from sales and securitizations of loans
|
—
|
|
—
|
|
1,247
|
|
—
|
|
1,247
|
|
|||||||||
|
Proceeds from significant disposals
|
—
|
|
—
|
|
265
|
|
—
|
|
265
|
|
|||||||||
|
Change in federal funds sold and resales
|
—
|
|
(1,127
|
)
|
(4,291
|
)
|
—
|
|
(5,418
|
)
|
|||||||||
|
Changes in investments and advances—intercompany
|
(12,271
|
)
|
(6,052
|
)
|
18,323
|
|
—
|
|
—
|
|
|||||||||
|
Other investing activities
|
—
|
|
—
|
|
(472
|
)
|
—
|
|
(472
|
)
|
|||||||||
|
Net cash used in investing activities of continuing operations
|
$
|
(12,245
|
)
|
$
|
(14,559
|
)
|
$
|
(10,386
|
)
|
$
|
—
|
|
$
|
(37,190
|
)
|
||||
|
Cash flows from financing activities of continuing operations
|
|||||||||||||||||||
|
Dividends paid
|
$
|
(359
|
)
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
(359
|
)
|
||||
|
Issuance of preferred stock
|
1,004
|
|
—
|
|
—
|
|
—
|
|
1,004
|
|
|||||||||
|
Treasury stock acquired
|
(1,312
|
)
|
—
|
|
—
|
|
—
|
|
(1,312
|
)
|
|||||||||
|
Proceeds (repayments) from issuance of long-term debt, net
|
2,448
|
|
1,527
|
|
(1,352
|
)
|
—
|
|
2,623
|
|
|||||||||
|
Proceeds (repayments) from issuance of long-term debt—intercompany, net
|
—
|
|
(2,692
|
)
|
2,692
|
|
—
|
|
—
|
|
|||||||||
|
Change in deposits
|
—
|
|
—
|
|
26,704
|
|
—
|
|
26,704
|
|
|||||||||
|
Change in federal funds purchased and repos
|
—
|
|
12,077
|
|
(1,365
|
)
|
—
|
|
10,712
|
|
|||||||||
|
Change in short-term borrowings
|
(109
|
)
|
342
|
|
(419
|
)
|
—
|
|
(186
|
)
|
|||||||||
|
Net change in short-term borrowings and other advances—intercompany
|
5,926
|
|
3,711
|
|
(9,637
|
)
|
—
|
|
—
|
|
|||||||||
|
Capital contributions from parent
|
—
|
|
2,500
|
|
(2,500
|
)
|
—
|
|
—
|
|
|||||||||
|
Other financing activities
|
(308
|
)
|
—
|
|
—
|
|
—
|
|
(308
|
)
|
|||||||||
|
Net cash provided by financing activities of continuing operations
|
$
|
7,290
|
|
$
|
17,465
|
|
$
|
14,123
|
|
$
|
—
|
|
$
|
38,878
|
|
||||
|
Effect of exchange rate changes on cash and due from banks
|
$
|
—
|
|
$
|
—
|
|
$
|
190
|
|
$
|
—
|
|
$
|
190
|
|
||||
|
Change in cash and due from banks
|
$
|
239
|
|
$
|
73
|
|
$
|
1,028
|
|
$
|
—
|
|
$
|
1,340
|
|
||||
|
Cash and due from banks at beginning of period
|
124
|
|
1,995
|
|
18,781
|
|
—
|
|
20,900
|
|
|||||||||
|
Cash and due from banks at end of period
|
$
|
363
|
|
$
|
2,068
|
|
$
|
19,809
|
|
$
|
—
|
|
$
|
22,240
|
|
||||
|
Supplemental disclosure of cash flow information for continuing operations
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Cash paid (refund) during the year for income taxes
|
$
|
(231
|
)
|
$
|
20
|
|
$
|
899
|
|
$
|
—
|
|
$
|
688
|
|
||||
|
Cash paid during the year for interest
|
1,036
|
|
637
|
|
1,021
|
|
—
|
|
2,694
|
|
|||||||||
|
Non-cash investing activities
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Decrease in goodwill associated with significant disposals reclassified to HFS
|
—
|
|
—
|
|
(30
|
)
|
—
|
|
(30
|
)
|
|||||||||
|
Transfers to loans HFS from loans
|
—
|
|
—
|
|
3,200
|
|
—
|
|
3,200
|
|
|||||||||
|
Transfers to OREO and other repossessed assets
|
—
|
|
—
|
|
56
|
|
—
|
|
56
|
|
|||||||||
187
UNREGISTERED SALES OF EQUITY SECURITIES, PURCHASES OF EQUITY SECURITIES AND DIVIDENDS
Unregistered Sales of Equity Securities
None.
Equity Security Repurchases
The following table summarizes Citi’s equity security repurchases, which consisted entirely of common stock repurchases.
|
In millions, except per share amounts
|
Total shares
purchased
|
Average
price paid
per share
|
Approximate dollar
value of shares that
may yet be purchased
under the plan or
programs
|
|||||
|
January 2017
|
|
|
|
|||||
|
Open market repurchases
(1)
|
10.4
|
|
$
|
57.68
|
|
$
|
2,969
|
|
|
Employee transactions
(2)
|
—
|
|
—
|
|
N/A
|
|
||
|
February 2017
|
|
|
||||||
|
Open market repurchases
(1)
|
9.2
|
|
58.54
|
|
2,431
|
|
||
|
Employee transactions
(2)
|
—
|
|
—
|
|
N/A
|
|
||
|
March 2017
|
|
|
|
|||||
|
Open market repurchases
(1)
|
10.7
|
|
60.15
|
|
1,785
|
|
||
|
Employee transactions
(2)
|
—
|
|
—
|
|
N/A
|
|
||
|
Total for 1Q17 and remaining program balance as of March 31, 2017
|
30.3
|
|
$
|
58.82
|
|
$
|
1,785
|
|
|
(1)
|
Represents repurchases under the $10.4 billion 2016 common stock repurchase program (2016 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on June 29, 2016. The 2016 Repurchase Program includes the additional $1.75 billion increase in the program that was approved by Citigroup’s Board of Directors and announced on November 21, 2016. The 2016 Repurchase Program was part of the planned capital actions included by Citi in its 2016 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 2016 Repurchase Program were added to treasury stock.
|
|
(2)
|
Consisted of shares added to treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.
|
N/A Not applicable
Dividends
In addition to Board of Directors’ approval, Citi’s ability to pay common stock dividends substantially depends on regulatory approval, including an annual regulatory review of the results of the CCAR process required by the Federal Reserve Board and the supervisory stress tests required under the Dodd-Frank Act. For additional information regarding Citi’s capital planning and stress testing, see “Capital Resources—Current Regulatory Capital Standards—Capital Planning and Stress Testing” and “Risk Factors—Strategic Risks” in Citi’s
2016
Annual Report on Form 10-K. Any dividend on Citi’s outstanding common stock would also need to be made in compliance with Citi’s obligations to its outstanding preferred stock.
For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 18 to the
Consolidated Financial Statements in Citi’s
2016
Annual Report on Form 10-K.
188
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on the 1st day of May,
2017
.
CITIGROUP INC.
(Registrant)
By
/s/ John C. Gerspach
John C. Gerspach
Chief Financial Officer
(Principal Financial Officer)
By
/s/ Jeffrey R. Walsh
Jeffrey R. Walsh
Controller and Chief Accounting Officer
(Principal Accounting Officer)
189
EXHIBIT INDEX
|
Exhibit
|
||
|
Number
|
Description of Exhibit
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
|
||
|
|
|
|
|
|
||
|
|
|
|
|
101.01+
|
|
|
The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.
* Denotes a management contract or compensatory plan or arrangement.
+ Filed herewith.
190
TABLE OF CONTENTS