C 10-Q Quarterly Report March 31, 2021

CITIGROUP INC

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c-20210331

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(Mark One)


☒			QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2021


☐			TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission file number 1-9924

Citigroup Inc .

(Exact name of registrant as specified in its charter)

Delaware

52-1568099

(State or other jurisdiction of incorporation or organization)

(I.R.S. Employer Identification No.)

388 Greenwich Street,

New York

10013

(Address of principal executive offices)

(Zip code)

( 212 ) 559-1000

(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 formatted in Inline XBRL: See Exhibit 99.01

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer

☒

Accelerated filer

☐

Non-accelerated filer

☐

Smaller reporting company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. Yes ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

Number of shares of Citigroup Inc. common stock outstanding on March 31, 2021: 2,067,047,519

Available on the web at www.citigroup.com

CITIGROUP’S FIRST QUARTER 2021—FORM 10-Q


OVERVIEW			1
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS			3
Executive Summary			3
Citi’s Consent Order Compliance			5
Summary of Selected Financial Data			6
SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES			8
SEGMENT BALANCE SHEET			9
Global Consumer Banking (GCB)			10
North America GCB			12
Latin America GCB			14
Asia GCB			16
Institutional Clients Group			18
Corporate/Other			22
CAPITAL RESOURCES			23
MANAGING GLOBAL RISK TABLE OF CONTENTS			36
MANAGING GLOBAL RISK			37
SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES			77
DISCLOSURE CONTROLS AND PROCEDURES			82
DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT			82
FORWARD-LOOKING STATEMENTS			83
FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS			87
CONSOLIDATED FINANCIAL STATEMENTS			88
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)			96
UNREGISTERED SALES OF EQUITY SECURITIES, REPURCHASES OF EQUITY SECURITIES AND DIVIDENDS			202

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, 2020 (2020 Annual Report on Form 10-K).

Additional information about Citigroup is available on Citi’s website at www.citigroup.com . Citigroup’s annual reports on Form 10-K, quarterly reports on Form 10-Q and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available free of charge through Citi’s website by clicking on the “Investors” tab and selecting “SEC Filings,” then “Citigroup Inc.” The SEC’s website also contains current reports on Form 8-K and other information regarding Citi at www.sec.gov.

Certain reclassifications and updates have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation. For additional information, see Note 1 to the Consolidated Financial Statements.

Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.

Please see “COVID-19 Pandemic Overview” and “Risk Factors” in Citi’s 2020 Annual Report on Form 10-K for a discussion of the trends, uncertainties and material risks that will or could impact Citigroup’s businesses, results of operations and financial condition.

Citigroup is managed pursuant to two business segments: Global Consumer Banking and Institutional Clients Group , with the remaining operations in Corporate/Other .

CITIGROUP SEGMENTS

Global
Consumer Banking
(GCB)

Institutional Clients
Group
(ICG)

Corporate/
Other

• North America

• Latin America (1)

• Asia (2)

Consisting of:

• Retail banking and wealth management, including

– Residential real estate

– Small business banking

• Citi-branded cards in

all regions

• Citi retail services in North America

• Banking

– Investment banking

– Treasury and trade solutions

– Corporate lending

– Private bank

• Markets and

securities services

– Fixed income markets

– Equity markets

– Securities services

• Corporate Treasury

• Operations and technology

• Global staff functions and other corporate expenses

• Legacy non-core assets:

– Consumer loans

– Certain portfolios of securities, loans and other assets

• Discontinued operations

The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.

CITIGROUP REGIONS (3)

North
America

Europe,

Middle East

and Africa

(EMEA )

Latin
America

Asia

(1) Latin America GCB consists of Citi’s consumer banking business in Mexico.

(2) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.

(3) North America includes the U.S., Canada and Puerto Rico, Latin America includes Mexico and Asia includes Japan.

As previously reported, Citi will focus its consumer banking franchise in Asia and EMEA on four wealth centers—Singapore, Hong Kong, the United Arab Emirates (UAE) and London—and intends to pursue exits of its consumer franchises in 13 markets across the two regions. ICG will continue to serve clients, including its commercial banking clients, in all of these markets. For additional information, see “Executive Summary” and “ Asia GCB ” below.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

EXECUTIVE SUMMARY

First Quarter of 2021—Results Demonstrated Solid Performance

As described further throughout this Executive Summary, during the first quarter of 2021, Citi demonstrated a solid performance, driven by a benefit from cost of credit and a constructive capital markets environment:

• Citi’s earnings increased significantly, reflecting an allowance for credit loss (ACL) release of $3.9 billion as a result of the improved macroeconomic outlook and lower loan balances (see “Cost of Credit” below).

• Citi’s revenues declined, as continued strength in investment banking and equity markets in Institutional Clients Group ( ICG ) was more than offset by the impact of lower interest rates and the absence of the prior-year period’s mark-to-market gains on loan hedges within ICG , as well as lower card volumes in Global Consumer Banking ( GCB ), due to the continued impact of the COVID-19 pandemic.

• Citi continued to invest in its transformation, including infrastructure supporting its risk and control environment, as well as other strategic investments.

• Citi had broad-based deposit growth across GCB and ICG , reflecting consistent client engagement, with both corporate and consumer clients continuing to hold higher levels of liquidity, while loans declined reflecting lower spending activity in GCB , as well as higher repayments across both GCB and ICG .

• Citi returned $2.7 billion of capital to its shareholders in the form of $1.1 billion in dividends and $1.6 billion in common share repurchases, totaling approximately 23 million common shares, while maintaining robust regulatory capital ratios.

Citi recently announced strategic actions as part of its ongoing strategy refresh, including the announcement of a dedicated management team for Citi Global Wealth, as well as its decision to focus its consumer banking franchise in Asia and EMEA on four wealth centers, in Singapore, Hong Kong, the UAE and London. As a result, Citi intends to pursue exits of its remaining consumer businesses in the two regions (for additional information, see “Citigroup Segments” above and “ Asia GCB ” below).

For a discussion of risks and uncertainties that will or could impact Citi’s businesses, results of operations and financial condition during 2021, see each respective business’s results of operations and “Forward-Looking Statements” below, and “COVID-19 Pandemic Overview,” “Risk Factors” and “Managing Global Risk” in Citi’s 2020 Annual Report on Form 10-K.

First Quarter of 2021 Results Summary

Citigroup

Citigroup reported net income of $7.9 billion, or $3.62 per share, compared to net income of $2.5 billion, or $1.06 per share, in the prior-year period. Net income increased significantly, driven by the lower cost of credit. Earnings per share also increased significantly, reflecting the increase in net income, as well as a slight decline in average diluted shares outstanding.

Citigroup revenues of $19.3 billion in the first quarter of 2021 decreased 7% from the prior-year period, primarily reflecting lower revenues in both GCB and ICG .

Citigroup’s end-of-period loans decreased 8% to $666 billion. Excluding the impact of FX translation, Citigroup’s end-of-period loans decreased 10%, reflecting lower spend activity in GCB , as well as a higher level of repayments in both GCB and ICG . Citigroup’s end-of-period deposits increased 10% to $1.3 trillion. Excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 7%, primarily driven by 17% growth in GCB and 5% growth in ICG , reflecting consistent client engagement and elevated levels of liquidity in the financial system. (Citi’s results of operations and financial condition excluding the impact of FX translation are non-GAAP financial measures.)

Expenses

Citigroup operating expenses of $11.1 billion increased 4% from the prior-year period, primarily driven by investments in Citi’s transformation, including infrastructure supporting its risk and control environment, as well as other strategic investments, partially offset by efficiency savings. Year-over-year, GCB operating expenses remained largely unchanged, while ICG operating expenses increased 8%.

Cost of Credit

Citi’s total provisions for credit losses and for benefits and claims was a benefit of $2.1 billion compared to a cost of $7.0 billion in the prior-year period, reflecting net ACL reserve releases across ICG , GCB and Corporate/Other . Citi’s net ACL release of $3.9 billion primarily reflected an improvement in Citi’s macroeconomic outlook, as well as lower loan balances. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates—Citi’s Allowance for Credit Losses (ACL)” below.

Net credit losses of $1.7 billion decreased 15% from the prior-year period. Consumer net credit losses of $1.6 billion decreased 19%, primarily reflecting lower loan volumes and improved delinquencies in the North America cards portfolios. Corporate net credit losses increased to $186 million from $127 million in the prior-year period.

For additional information on Citi’s consumer and corporate credit costs, see each respective business’s results of operations and “Credit Risk” below.

Capital

Citigroup’s Common Equity Tier 1 (CET1) Capital ratio was 11.8% as of March 31, 2021, compared to 11.1% as of March 31, 2020, both based on the Basel III Advanced Approaches framework for determining risk-weighted assets. The increase in the ratio reflected higher net income, partially offset by the return of capital to common shareholders and an increase in risk-weighted assets.

Citigroup’s Supplementary Leverage ratio as of March 31, 2021 was 7.0%, compared to 6.0% as of March 31, 2020. The increase was primarily driven by a decrease in Total Leverage Exposure, reflecting the benefit of temporary relief granted by the Federal Reserve Board. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.

Global Consumer Banking

GCB net income of $2.2 billion compared to a net loss of $740 million in the prior-year period, reflecting lower cost of credit, partially offset by lower revenues. GCB operating expenses of $4.4 billion were largely unchanged from the prior-year period. Excluding the impact of FX translation, expenses decreased 1%, primarily driven by efficiency savings and lower volume-related expenses, partially offset by investments.

GCB revenues of $7.0 billion decreased 14%. Excluding the impact of FX translation, revenues decreased 15%, as strong deposit growth and momentum in wealth management were more than offset by lower card volumes and lower interest rates across all regions, reflecting the continued impact of the pandemic.

North America GCB revenues of $4.4 billion decreased 15%, with lower revenues across Citi-branded cards, Citi retail services and retail banking, largely reflecting the continued impact of the pandemic. Citi-branded cards revenues of $2.1 billion decreased 11%, reflecting higher payment rates driving lower average loans. Citi retail services revenues of $1.3 billion decreased 26%, primarily driven by higher partner payments as well as lower average loans. Retail banking revenues of $1.0 billion decreased 8%, as the benefit of stronger deposit volumes was more than offset by lower deposit spreads.

Year-over-year, North America GCB average deposits of $197 billion increased 22%, average retail banking loans of $52 billion increased 3% and assets under management of $82 billion increased 32%. Average Citi-branded card loans of $79 billion decreased 15%, while average Citi retail services loans of $44 billion decreased 13%, both reflecting higher payment rates. Citi-branded card purchase sales of $86 billion were largely unchanged, while Citi retail services purchase sales of $19 billion increased 4%, reflecting a continued recovery in sales activity. For additional information on the results of operations of North America GCB for the first quarter of 2021, 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)) of $2.6 billion declined 12% versus the prior-year period. Excluding the impact of FX translation, international GCB revenues declined 14%, largely

reflecting the continued impact of the pandemic. On this basis, Latin America GCB revenues declined 16%, driven by lower loan volumes and lower deposit spreads, partially offset by strong deposit growth. Asia GCB revenues decreased 12%, as lower card revenues and lower deposit spreads were partially offset by higher investments revenues and strong deposit growth. For additional information on the results of operations of Latin America GCB and Asia GCB for the first quarter of 2021, including the impact of FX translation, see “ Global Consumer Banking — Latin America GCB ” and “ Global Consumer Banking — Asia GCB ” below.

Year-over-year, excluding the impact of FX translation, international GCB average deposits of $148 billion increased 12%, average retail banking loans of $76 billion were largely unchanged and assets under management of $141 billion increased 23%. On this basis, international GCB average card loans of $22 billion decreased 14% and card purchase sales of $24 billion decreased 5%, both driven by continued lower customer activity related to the pandemic.

Institutional Clients Group

ICG net income of $5.9 billion increased 64%, driven by lower cost of credit, partially offset by higher expenses and lower revenues. ICG operating expenses increased 8% to $6.3 billion, primarily driven by investments in infrastructure and controls as well as other strategic investments, higher compensation costs and volume-driven growth, partially offset by efficiency savings.

ICG revenues of $12.2 billion decreased 2%, reflecting a 7% decrease in Banking revenues, partially offset by a 2% increase in Markets and securities services revenues. The decrease in Banking revenues included the impact of $81 million of losses on loan hedges related to corporate lending and the private bank, compared to gains of $816 million related to corporate lending and the private bank in the prior-year period.

Excluding the impact of gains (losses) on loan hedges, Banking revenues of $5.6 billion increased 9%, as higher revenues in investment banking, the private bank and corporate lending were partially offset by a decline in treasury and trade solutions. Investment banking revenues of $2.0 billion increased 46%, primarily driven by strength in equity underwriting and growth in debt underwriting, partially offset by a decline in advisory revenues. Advisory revenues decreased 27% to $281 million, equity underwriting revenues increased significantly to $876 million and debt underwriting revenues increased 4% to $816 million.

Treasury and trade solutions revenues of $2.2 billion declined 11%, or 10% excluding the impact of FX translation, as good client engagement and growth in deposits were more than offset by the impact of lower USD and non-USD interest rates and reduced commercial cards spend. Private bank revenues increased 1% to $1.0 billion. Excluding the impact of gains (losses) on loan hedges, private bank revenues increased 8%, driven by higher loan volumes and spreads, as well as higher deposit volumes and managed investments revenue, partially offset by lower deposit spreads reflecting the impact of lower interest rates. Corporate lending revenues of $411 million decreased 66%. Excluding the impact of gains (losses) on loan hedges, corporate lending revenues of $483 million

increased 8%, due to the absence of marks on the portfolio driven by the elevated market volatility related to the pandemic in the prior-year period, partially offset by lower loan volumes.

Markets and securities services revenues of $6.7 billion increased 2%. Fixed income markets revenues of $4.6 billion decreased 5%, primarily reflecting strength in rates and currencies in the prior-year period, partially offset by higher revenues in spread products. Equity markets revenues of $1.5 billion increased 26%, driven by strength in cash equities, derivatives and prime finance, reflecting solid client activity and favorable market conditions. Securities services revenues of $653 million increased 1%. Excluding the impact of FX translation, securities services revenues were unchanged, as growth in deposit volumes, assets under custody and settlement volumes was offset by lower deposit spreads, given lower interest rates. For additional information on the results of operations of ICG for the first quarter of 2021, see “ Institutional Clients Group ” below.

Corporate/Other

Corporate/Other net loss was $170 million in the first quarter of 2021, compared to a net loss of $351 million in the prior-year period, driven primarily by lower cost of credit, reflecting a net ACL release on Citi’s residual legacy portfolio. Operating expenses of $413 million declined 1%, as investments in infrastructure, risk and controls were largely offset by the allocation of certain costs to GCB and ICG . (For additional information about these cost allocations, see Note 3 to the Consolidated Financial Statements.)

Corporate/Other revenues of $70 million declined from $73 million in the prior-year period, as the impact of lower interest rates was offset by the absence of marks versus the prior-year period, as well as episodic gains in the current quarter. For additional information on the results of operations of Corporate/Other for the first quarter of 2021, see “ Corporate/Other ” below.

CITI’S CONSENT ORDER COMPLIANCE

Citi’s multiyear transformation efforts continue. This includes efforts to effectively implement the October 2020 Federal Reserve Board and Office of the Comptroller of the Currency (OCC) consent orders issued to Citigroup and Citibank, respectively. In the second quarter of 2021, Citi made a submission to the OCC. Citi continues to work closely with the regulators to meet their expectations and intends to submit its complete plan to both regulators no later than the third quarter of 2021.

For additional information about Citi’s transformation and the consent orders, see “Citi’s Consent Order Compliance” and “Risk Factors—Compliance Risks” in Citi’s 2020 Annual Report on Form 10-K.

COVID-19 PANDEMIC

In addition to the widespread public health implications, the COVID-19 pandemic has continued to have an extraordinary impact on macroeconomic conditions in the U.S. and around the world. Despite these impacts, Citi has maintained strong capital and liquidity positions with consistently strong business operations. For information on Citi’s support of its colleagues, customers and communities and its management of pandemic risks, see “COVID-19 Pandemic Overview” in Citigroup’s 2020 Annual Report on Form 10-K.

RESULTS OF OPERATIONS

SUMMARY OF SELECTED FINANCIAL DATA

Citigroup Inc. and Consolidated Subsidiaries


	First Quarter
In millions of dollars, except per share amounts	2021		2020 (1)		% Change
Net interest revenue	$	10,166	$	11,492	(12)	%
Non-interest revenue	9,161		9,239		(1)
Revenues, net of interest expense	$	19,327	$	20,731	(7)	%
Operating expenses	11,073		10,643		4
Provisions for credit losses and for benefits and claims	(2,055)		6,960		NM
Income from continuing operations before income taxes	$	10,309	$	3,128	NM
Income taxes	2,332		580		NM
Income from continuing operations	$	7,977	$	2,548	NM
Income (loss) from discontinued operations, net of taxes	(2)		(18)		89	%
Net income before attribution of noncontrolling interests	$	7,975	$	2,530	NM
Net income attributable to noncontrolling interests	33		(6)		NM
Citigroup’s net income	$	7,942	$	2,536	NM
Earnings per share
Basic
Income from continuing operations	$	3.64	$	1.07	NM
Net income	3.64		1.06		NM
Diluted
Income from continuing operations	$	3.62	$	1.06	NM
Net income	3.62		1.06		NM
Dividends declared per common share	0.51		0.51		—	%
Common dividends	$	1,074	$	1,081	(1)	%
Preferred dividends (2)	292		291		—
Common share repurchases	1,600		2,925		(45)

Table continues on the next page, including footnotes.

SUMMARY OF SELECTED FINANCIAL DATA

(Continued)

Citigroup Inc. and Consolidated Subsidiaries


In millions of dollars, except per share amounts, ratios and direct staff	First Quarter
	2021			2020 (1)			% Change
At March 31:
Total assets	$	2,314,266		$	2,220,114		4	%
Total deposits	1,300,975			1,184,911			10
Long-term debt	256,335			266,098			(4)
Citigroup common stockholders’ equity	182,269			174,695			4
Total Citigroup stockholders’ equity	202,549			192,675			5
Average assets	2,316,793			2,080,054			11
Direct staff (in thousands)	211			201			5	%
Performance metrics
Return on average assets	1.39		%	0.49		%
Return on average common stockholders’ equity (3)	17.2			5.2
Return on average total stockholders’ equity (3)	16.1			5.3
Return on tangible common equity (RoTCE) (4)	20.1			6.1
Efficiency ratio (total operating expenses/total revenues, net)	57.3			51.3
Basel III ratios
Common Equity Tier 1 Capital (5)	11.78		%	11.11		%
Tier 1 Capital (5)	13.49			12.54
Total Capital (5)	15.64			14.97
Supplementary Leverage ratio	6.96			5.96
Citigroup common stockholders’ equity to assets	7.88		%	7.87		%
Total Citigroup stockholders’ equity to assets	8.75			8.68
Dividend payout ratio (6)	14			48
Total payout ratio (7)	35			178
Book value per common share	$	88.18		$	83.92		5	%
Tangible book value (TBV) per share (4)	75.50			71.69			5

(1) In the fourth quarter of 2020, Citi revised the 2020 second quarter accounting conclusion for its variable post-charge-off third-party collection costs from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly results for 2020 were revised to reflect this change as if it were effective as of January 1, 2020, as follows: an increase to beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million in the allowance for credit losses on loans, as well as a $113 million decrease in other assets related to income taxes; a decrease of $18 million to provisions for credit losses on loans in the first quarter and increases of $339 million and $122 million to provisions for credit losses on loans in the second and third quarters, respectively; and increases in operating expenses of $49 million and $45 million with a corresponding decrease in net credit losses, in the first and second quarters, respectively. See Note 1 to the Consolidated Financial Statements for additional information.

(2) Certain series of preferred stock have semi-annual payment dates. See Note 9 to the Consolidated Financial Statements.

(3) The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.

(4) RoTCE and TBV are non-GAAP financial measures. For information on RoTCE and TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity” below.

(5) Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital as of March 31, 2021 and March 31, 2020 were derived under the Basel III Advanced Approaches frameworks.

(6) Dividend payout ratio is calculated as dividends declared per common share as a percentage of net income per diluted share.

(7) Total payout ratio is calculated as total common dividends declared plus common share repurchases as a percentage of net income available to common shareholders ( Net income , less preferred dividends). See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.

NM Not meaningful

SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES

CITIGROUP INCOME


	First Quarter
In millions of dollars	2021		2020		% Change
Income (loss) from continuing operations
Global Consumer Banking
North America	$	1,857	$	(916)	NM
Latin America	53		(29)		NM
Asia (1)	264		204		29	%
Total	$	2,174	$	(741)	NM
Institutional Clients Group
North America	$	2,798	$	896	NM
EMEA	1,476		1,035		43	%
Latin America	646		526		23
Asia	1,052		1,169		(10)
Total	$	5,972	$	3,626	65	%
Corporate/Other	(169)		(337)		50
Income from continuing operations	$	7,977	$	2,548	NM
Discontinued operations	$	(2)	$	(18)	89	%
Less: Net income attributable to noncontrolling interests	33		(6)		NM
Citigroup’s net income	$	7,942	$	2,536	NM

(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries.

NM Not meaningful

CITIGROUP REVENUES


	First Quarter
In millions of dollars	2021		2020		% Change
Global Consumer Banking
North America	$	4,428	$	5,224	(15)	%
Latin America	1,008		1,199		(16)
Asia (1)	1,601		1,751		(9)
Total	$	7,037	$	8,174	(14)	%
Institutional Clients Group
North America	$	4,898	$	4,947	(1)	%
EMEA	3,713		3,470		7
Latin America	1,136		1,418		(20)
Asia	2,473		2,649		(7)
Total	$	12,220	$	12,484	(2)	%
Corporate/Other	70		73		(4)
Total Citigroup net revenues	$	19,327	$	20,731	(7)	%

(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries.

SEGMENT BALANCE SHEET (1) —MARCH 31, 2021


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, net of allowance	$	7,403	$	82,109	$	235,170	$	—	$	324,682
Securities borrowed and purchased under agreements to resell, net of allowance	235		314,639		198		—		315,072
Trading account assets	1,828		345,604		13,227		—		360,659
Investments, net of allowance	1,239		129,331		342,389		—		472,959
Loans, net of unearned income and allowance for credit losses on loans	250,566		387,916		5,868		—		644,350
Other assets, net of allowance	39,902		114,004		42,638		—		196,544
Net inter-segment liquid assets (4)	137,666		402,604		(540,270)		—		—
Total assets	$	438,839	$	1,776,207	$	99,220	$	—	$	2,314,266
Liabilities and equity
Total deposits	$	353,423	$	938,292	$	9,260	$	—	$	1,300,975
Securities loaned and sold under agreements to repurchase	2,095		217,071		2		—		219,168
Trading account liabilities	1,208		177,139		770		—		179,117
Short-term borrowings	—		28,078		4,009		—		32,087
Long-term debt (3)	1,174		74,804		16,258		164,099		256,335
Other liabilities, net of allowance	19,267		82,471		21,573		—		123,311
Net inter-segment funding (lending) (3)	61,672		258,352		46,624		(366,648)		—
Total liabilities	$	438,839	$	1,776,207	$	98,496	$	(202,549)	$	2,110,993
Total stockholders’ equity (5)	—		—		724		202,549		203,273
Total liabilities and equity	$	438,839	$	1,776,207	$	99,220	$	—	$	2,314,266

(1) The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of March 31, 2021. 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 are reflected on the Citigroup parent company balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.

(4) Represents the attribution of Citigroup’s liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage ratio (LCR) assumptions.

(5) Corporate/Other equity represents noncontrolling interests.

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, Citi-branded cards and, in the U.S., Citi retail services. GCB is focused on markets in the U.S., Mexico and Asia. As of March 31, 2021, GCB had 2,241 branches in 19 countries and jurisdictions with $439 billion in assets and $353 billion in retail banking deposits.

GCB ’s strategy is to leverage its global footprint and digital capabilities to develop multi-product relationships with customers—both in and out of Citi’s branch footprint. To achieve this, GCB strives to optimize its clients’ experiences across lending, payments and wealth management through continued digitization, new partnerships and innovation. For information on Citi’s recently announced strategic actions, including its intention to pursue exits of consumer franchises in 13 markets across Asia and EMEA , see “ Asia GCB ” below.


	First Quarter
In millions of dollars, except as otherwise noted	2021			2020			% Change
Net interest revenue	$	5,953		$	7,072		(16)	%
Non-interest revenue	1,084			1,102			(2)
Total revenues, net of interest expense	$	7,037		$	8,174		(14)	%
Total operating expenses	$	4,396		$	4,417		—	%
Net credit losses on loans	$	1,580		$	1,934		(18)	%
Credit reserve build (release) for loans	(1,806)			2,811			NM
Provision (release) for credit losses on unfunded lending commitments	—			(1)			100
Provisions for benefits and claims, HTM debt securities and other assets	35			20			75
Provisions (releases) for credit losses and for benefits and claims (PBC)	$	(191)		$	4,764		NM
Income (loss) from continuing operations before taxes	$	2,832		$	(1,007)		NM
Income taxes (benefits)	658			(266)			NM
Income (loss) from continuing operations	$	2,174		$	(741)		NM
Noncontrolling interests	(3)			(1)			NM
Net income (loss)	$	2,177		$	(740)		NM
Balance Sheet data and ratios
EOP assets (in billions of dollars)	$	439		$	403		9	%
Average assets (in billions of dollars)	439			406			8
Return on average assets	2.01		%	(0.73)		%
Efficiency ratio	62			54
Average retail banking deposits (in billions of dollars)	$	345		$	290		19
Net credit losses as a percentage of average loans	2.36		%	2.68		%
Revenue by business
Retail banking	$	2,844		$	3,046		(7)	%
Cards (1)	4,193			5,128			(18)
Total	$	7,037		$	8,174		(14)	%
Income (loss) from continuing operations by business
Retail banking	$	261		$	127		NM
Cards (1)	1,913			(868)			NM
Total	$	2,174		$	(741)		NM

Table continues on the next page, including footnotes.


Foreign currency (FX) translation impact
Total revenue—as reported	$	7,037	$	8,174	(14)	%
Impact of FX translation (2)	—		69
Total revenues—ex-FX (3)	$	7,037	$	8,243	(15)	%
Total operating expenses—as reported	$	4,396	$	4,417	—	%
Impact of FX translation (2)	—		44
Total operating expenses—ex-FX (3)	$	4,396	$	4,461	(1)	%
Total provisions for credit losses and PBC—as reported	$	(191)	$	4,764	NM
Impact of FX translation (2)	—		20
Total provisions for credit losses and PBC—ex-FX (3)	$	(191)	$	4,784	NM
Net income—as reported	$	2,177	$	(740)	NM
Impact of FX translation (2)	—		3
Net income—ex-FX (3)	$	2,177	$	(737)	NM

(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 2021 average exchange rates for all periods presented.

(3) Presentation of this metric excluding FX translation is a non-GAAP financial measure.

NM Not meaningful

NORTH AMERICA GCB

North America GCB provides traditional retail banking and Citi-branded and Citi retail services card products to retail and small business customers 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, Best Buy and Macy’s) within Citi retail services.

At March 31, 2021, North America GCB had 687 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of March 31, 2021, North America GCB had $50.9 billion in retail banking loans and $204.0 billion in retail banking deposits. In addition, North America GCB had $121.0 billion in outstanding card loan balances.


	First Quarter
In millions of dollars, except as otherwise noted	2021			2020			% Change
Net interest revenue	$	4,307		$	5,036		(14)	%
Non-interest revenue	121			188			(36)
Total revenues, net of interest expense	$	4,428		$	5,224		(15)	%
Total operating expenses	$	2,478		$	2,572		(4)	%
Net credit losses on loans	$	950		$	1,490		(36)	%
Credit reserve build (release) for loans	(1,417)			2,371			NM
Provision (release) for credit losses on unfunded lending commitments	—			(1)			100
Provisions for benefits and claims, HTM debt securities and other assets	2			5			(60)
Provisions (releases) for credit losses and for benefits and claims	$	(465)		$	3,865		NM
Income (loss) from continuing operations before taxes	$	2,415		$	(1,213)		NM
Income taxes (benefits)	558			(297)			NM
Income (loss) from continuing operations	$	1,857		$	(916)		NM
Noncontrolling interests	—			—			—	%
Net income (loss)	$	1,857		$	(916)		NM
Balance Sheet data and ratios
Average assets (in billions of dollars)	$	265		$	246		8	%
Return on average assets	2.84		%	(1.50)		%
Efficiency ratio	56			49
Average retail banking deposits (in billions of dollars)	$	197		$	161		22
Net credit losses as a percentage of average loans	2.21		%	3.10		%
Revenue by business
Retail banking	$	1,041		$	1,130		(8)	%
Citi-branded cards	2,091			2,347			(11)
Citi retail services	1,296			1,747			(26)
Total	$	4,428		$	5,224		(15)	%
Income (loss) from continuing operations by business
Retail banking	$	3		$	(73)		NM
Citi-branded cards	1,119			(523)			NM
Citi retail services	735			(320)			NM
Total	$	1,857		$	(916)		NM

NM Not meaningful

1Q21 vs. 1Q20

Net income was $1.9 billion, compared to a net loss of $916 million in the prior-year period, reflecting significantly lower cost of credit and lower expenses, partially offset by lower revenues.

Revenues decreased 15%, reflecting lower revenues in Citi retail services, Citi-branded cards and retail banking, primarily reflecting the continued impact of the pandemic, including lower interest rates.

Retail banking revenues decreased 8%, as the benefit of stronger deposit volumes and growth in assets under management (increase of 32%) was more than offset by lower deposit spreads, reflecting lower interest rates. Average deposits increased 22%, driven by government stimulus payments and a reduction in overall consumer spending related to the pandemic, as well as continued strategic efforts to drive organic growth.

Cards revenues decreased 17%. Citi-branded cards revenues decreased 11%, primarily reflecting lower average loans (decline of 15%), driven by higher payment rates, reflecting increased customer liquidity from government stimulus. Purchase sales were largely unchanged, reflecting a continued recovery in sales activity.

Citi retail services revenues decreased 26%, primarily driven by higher contractual partner payments, reflecting higher income sharing as a result of lower forecasted losses, as well as lower average loans. (For additional information on partner payments, see Note 5 to the Consolidated Financial Statements.) Average loans were down 13%, reflecting higher payment rates, driven by the increased customer liquidity. Purchase sales increased 4%, reflecting a continued recovery in sales activity.

Expenses decreased 4%, primarily driven by lower marketing costs and volume-related expenses, partially offset by investments.

Provisions reflected a benefit of $465 million in the first quarter of 2021 compared to costs of $3.9 billion in the prior-year period, primarily driven by a net ACL release in the current period compared to a net ACL build in the prior-year period, as well as lower net credit losses. Net credit losses decreased 36%, comprised of lower net credit losses in Citi retail services (down 44% to $373 million) and Citi-branded cards (down 29% to $551 million), primarily reflecting lower loan volumes and improved delinquencies, due to the benefits of relief programs, higher levels of liquidity and lower overall customer spending activity.

The net ACL release in the first quarter was $1.4 billion (compared to a build of $2.4 billion in the prior-year period), reflecting lower loan volumes, as well as the impact of Citi’s improved macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on North America GCB ’s retail banking, and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.

For additional information about trends, uncertainties and risks related to North America GCB ’s future results, see “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.

LATIN AMERICA GCB

Latin America GCB provides traditional retail banking and Citi-branded card products to retail and small business customers in Mexico through Citibanamex, one of Mexico’s largest banks.

At March 31, 2021, Latin America GCB had 1,331 retail branches in Mexico, with $9.1 billion in retail banking loans and $24.0 billion in deposits. In addition, the business had $4.3 billion in outstanding card loan balances.


	First Quarter
In millions of dollars, except as otherwise noted	2021			2020			% Change
Net interest revenue	$	658		$	887		(26)	%
Non-interest revenue	350			312			12
Total revenues, net of interest expense	$	1,008		$	1,199		(16)	%
Total operating expenses	$	701		$	705		(1)	%
Net credit losses on loans	$	365		$	271		35	%
Credit reserve build (release) for loans	(163)			256			NM
Provision for credit losses on unfunded lending commitments	—			—			—
Provisions for benefits and claims, HTM debt securities and other assets	29			15			93
Provisions for credit losses and for benefits and claims (PBC)	$	231		$	542		(57)	%
Income (loss) from continuing operations before taxes	$	76		$	(48)		NM
Income taxes (benefits)	23			(19)			NM
Income (loss) from continuing operations	$	53		$	(29)		NM

Net income (loss)	$	53		$	(29)		NM
Balance Sheet data and ratios
Average assets (in billions of dollars)	$	34		$	35		(3)	%
Return on average assets	0.63		%	(0.33)		%
Efficiency ratio	70			59
Average deposits (in billions of dollars)	$	25		$	23		9
Net credit losses as a percentage of average loans	10.65		%	6.53		%
Revenue by business
Retail banking	$	723		$	783		(8)	%
Citi-branded cards	285			416			(31)
Total	$	1,008		$	1,199		(16)	%
Income (loss) from continuing operations by business
Retail banking	$	41		$	(20)		NM
Citi-branded cards	12			(9)			NM
Total	$	53		$	(29)		NM
FX translation impact
Total revenues—as reported	$	1,008		$	1,199		(16)	%
Impact of FX translation (1)	—			2
Total revenues—ex-FX (2)	$	1,008		$	1,201		(16)	%
Total operating expenses—as reported	$	701		$	705		(1)	%
Impact of FX translation (1)	—			1
Total operating expenses—ex-FX (2)	$	701		$	706		(1)	%
Provisions for credit losses and PBC—as reported	$	231		$	542		(57)	%
Impact of FX translation (1)	—			1
Provisions for credit losses and PBC—ex-FX (2)	$	231		$	543		(57)	%
Net income (loss)—as reported	$	53		$	(29)		NM
Impact of FX translation (1)	—			—
Net income (loss)—ex-FX (2)	$	53		$	(29)		NM

(1) Reflects the impact of FX translation into U.S. dollars at the first quarter of 2021 average exchange rates for all periods presented.

(2) Presentation of this metric excluding FX translation is a non-GAAP financial measure.

NM Not meaningful

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.

1Q21 vs. 1Q20

Net income was $53 million, compared to a net loss of $29 million in the prior-year period, reflecting significantly lower cost of credit, partially offset by lower revenues.

Revenues decreased 16%, reflecting lower cards and retail banking revenues, largely reflecting the continued impact of the pandemic and the ongoing slowdown in overall economic growth and industry volumes in Mexico.

Retail banking revenues decreased 8%, driven by a decline in loan volumes and lower deposit spreads, partially offset by deposit growth. Average deposits increased 9%, while average loans decreased 13%, reflecting the impact of the pandemic on customer activity, as well as the ongoing economic slowdown. Assets under management increased 17%, including the continued benefit of market movements, as well as improved client engagement.

Cards revenues decreased 32%, primarily driven by lower purchase sales (down 8%) and lower average loans (down 17%), reflecting the continued impact of the pandemic on customer activity and the ongoing economic slowdown.

Expenses decreased 1%, as efficiency savings more than offset investments.

Provisions decreased 57%, primarily driven by a net ACL release compared to a net ACL build in the prior-year period, partially offset by higher net credit losses. Net credit losses increased 34%, driven by the expiration of consumer relief programs and the continued adverse pandemic-related macroeconomic impacts in Mexico.

The net ACL release in the first quarter was $163 million, compared to a build of $256 million in the prior-year period. The release reflected Citi’s improved macroeconomic outlook, as well as lower loan volumes. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on Latin America GCB ’s retail banking and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.

For additional information about trends, uncertainties and risks related to Latin America GCB ’s future results, see “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.

ASIA GCB

Asia GCB provides traditional retail banking and Citi-branded card products to retail and small business customers. During the first quarter of 2021, Asia GCB ’s most significant revenues were from Hong Kong, Singapore, South Korea, Taiwan, Australia, India, Thailand, China, the Philippines and Indonesia. Included within Asia GCB are traditional retail banking and Citi-branded card products provided to retail customers in certain EMEA countries, primarily the UAE, Russia and Poland.

At March 31, 2021, on a combined basis, the businesses had 223 retail branches, $65.8 billion in retail banking loans and $125.3 billion in deposits. In addition, the businesses had $16.8 billion in outstanding card loan balances.

As discussed above, Citi will focus its consumer banking franchise in Asia and EMEA on four wealth centers: Singapore, Hong Kong, the UAE and London. As a result, Citi intends to pursue exits of its consumer franchises in the remaining 13 markets across the two regions: Australia, Bahrain, China, India, Indonesia, South Korea, Malaysia, the Philippines, Poland, Russia, Taiwan, Thailand and Vietnam. These consumer franchises had a combined $82 billion of assets, $56 billion of total loans and $56 billion in deposits as of December 31, 2020.


	First Quarter
In millions of dollars, except as otherwise noted (1)	2021			2020			% Change
Net interest revenue	$	988		$	1,149		(14)	%
Non-interest revenue	613			602			2
Total revenues, net of interest expense	$	1,601		$	1,751		(9)	%
Total operating expenses	$	1,217		$	1,140		7	%
Net credit losses on loans	$	265		$	173		53	%
Credit reserve build (release) for loans	(226)			184			NM
Provisions for HTM debt securities and other assets	4			—			100
Provisions for credit losses	$	43		$	357		(88)	%
Income from continuing operations before taxes	$	341		$	254		34	%
Income taxes	77			50			54
Income from continuing operations	$	264		$	204		29	%
Noncontrolling interests	(3)			(1)			NM
Net income	$	267		$	205		30	%
Balance Sheet data and ratios
Average assets (in billions of dollars)	$	140		$	125		12	%
Return on average assets	0.77		%	0.66		%
Efficiency ratio	76			65
Average deposits (in billions of dollars)	$	124		$	106		17
Net credit losses as a percentage of average loans	1.29		%	0.87		%
Revenue by business
Retail banking	$	1,080		$	1,133		(5)	%
Citi-branded cards	521			618			(16)
Total	$	1,601		$	1,751		(9)	%
Income (loss) from continuing operations by business
Retail banking	$	217		$	220		(1)	%
Citi-branded cards	47			(16)			NM
Total	$	264		$	204		29	%


FX translation impact
Total revenues—as reported	$	1,601	$	1,751	(9)	%
Impact of FX translation (2)	—		67
Total revenues—ex-FX (3)	$	1,601	$	1,818	(12)	%
Total operating expenses—as reported	$	1,217	$	1,140	7	%
Impact of FX translation (2)	—		43
Total operating expenses—ex-FX (3)	$	1,217	$	1,183	3	%
Provisions for credit losses—as reported	$	43	$	357	(88)	%
Impact of FX translation (2)	—		19
Provisions for credit losses—ex-FX (3)	$	43	$	376	(89)	%
Net income—as reported	$	267	$	205	30	%
Impact of FX translation (2)	—		3
Net income—ex-FX (3)	$	267	$	208	28	%

(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 2021 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.

1Q21 vs. 1Q20

Net income increased 28%, reflecting significantly lower cost of credit, partially offset by lower revenues and higher expenses.

Revenues decreased 12%, reflecting lower cards and retail banking revenues, largely due to the continued impact of the pandemic, including lower interest rates.

Retail banking revenues decreased 8%, primarily driven by lower deposit spreads due to lower interest rates and lower FX revenues, partially offset by strong investment revenues and deposit growth. Average deposits increased 13% and average loans increased 2%. Assets under management increased 29% and investment sales increased 49%, reflecting strong client engagement as well as favorable market conditions. The decline in retail banking was also impacted by a 2% decrease in retail lending revenues, as growth in mortgages was more than offset by a decline in personal loans, driven by the continued impact of the pandemic.

Cards revenues decreased 19%, primarily driven by lower spreads and by lower average loans (down 13%) and purchase sales (down 5%), largely reflecting the continued impact of the pandemic on customer activity, including lower travel spend in the region, given Citi’s skew to an affluent client base and a greater proportion of fee revenues coming from travel-related interchange and foreign transaction fees.

Expenses increased 3%, primarily driven by investments, partially offset by efficiency savings and volume-related expenses.

Provisions decreased 89%, primarily driven by a net ACL release compared to a net ACL build in the prior-year period, partially offset by higher net credit losses. Net credit losses increased 46%, driven by the expiration of consumer relief programs and the continued adverse pandemic-related macroeconomic impacts in the region.

The net ACL release in the first quarter was $226 million, compared to a build of $194 million in the prior-year period.

The release reflected Citi’s improved macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on Asia GCB ’s retail banking portfolios and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.

For additional information about trends, uncertainties and risks related to Asia GCB ’s future results, see “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.

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. For more information on ICG ’s business activities, see “ Institutional Clients Group ” in Citi’s 2020 Annual Report on Form 10-K.

ICG ’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 96 countries and jurisdictions. At March 31, 2021, ICG had $1.8 trillion in assets and $938 billion in deposits, while two of its businesses—securities services and issuer services—managed $24.8 trillion in assets under custody compared to $24.0 trillion at December 31, 2020 and $18.7 trillion at March 31, 2020.


	First Quarter
In millions of dollars, except as otherwise noted	2021			2020			% Change
Commissions and fees	$	1,252		$	1,222		2	%
Administration and other fiduciary fees	814			691			18
Investment banking	1,800			1,231			46
Principal transactions	3,842			5,359			(28)
Other	360			(114)			NM
Total non-interest revenue	$	8,068		$	8,389		(4)	%
Net interest revenue (including dividends)	4,152			4,095			1
Total revenues, net of interest expense	$	12,220		$	12,484		(2)	%
Total operating expenses	$	6,264		$	5,810		8	%
Net credit losses on loans	$	186		$	127		46	%
Credit reserve build (release) for loans	(1,312)			1,316			NM
Provision (release) for credit losses on unfunded lending commitments	(621)			553			NM
Provisions (releases) for credit losses on HTM debt securities and other assets	(5)			8			NM
Provisions (releases) for credit losses	$	(1,752)		$	2,004		NM
Income from continuing operations before taxes	$	7,708		$	4,670		65	%
Income taxes	1,736			1,044			66
Income from continuing operations	$	5,972		$	3,626		65	%
Noncontrolling interests	37			(1)			NM
Net income	$	5,935		$	3,627		64	%
Balance Sheet data and ratios (in billions of dollars)
EOP assets (in billions of dollars)	$	1,776		$	1,723		3	%
Average assets (in billions of dollars)	1,787			1,580			13
Return on average assets	1.35		%	0.92		%
Efficiency ratio	51			47
Revenues by region
North America	$	4,898		$	4,947		(1)	%
EMEA	3,713			3,470			7
Latin America	1,136			1,418			(20)
Asia	2,473			2,649			(7)
Total	$	12,220		$	12,484		(2)	%
Income from continuing operations by region
North America	$	2,798		$	896		NM
EMEA	1,476			1,035			43	%
Latin America	646			526			23
Asia	1,052			1,169			(10)
Total	$	5,972		$	3,626		65	%


Average loans by region (in billions of dollars)
North America	$	195	$	196	(1)	%
EMEA	89		88		1
Latin America	32		38		(16)
Asia	71		73		(3)
Total	$	387	$	395	(2)	%
EOP deposits by business (in billions of dollars)
Treasury and trade solutions	$	649	$	622	4	%
All other ICG businesses	289		256		13
Total	$	938	$	878	7	%

NM Not meaningful

ICG Revenue Details


	First Quarter
In millions of dollars	2021		2020		% Change
Investment banking revenue details
Advisory	$	281	$	386	(27)	%
Equity underwriting	876		180		NM
Debt underwriting	816		788		4
Total investment banking	$	1,973	$	1,354	46	%
Treasury and trade solutions	2,165		2,423		(11)
Corporate lending—excluding gains (losses) on loan hedges (1)	483		448		8
Private bank—excluding gains (losses) on loan hedges (1)	1,027		949		8
Total Banking revenues (ex-gains (losses) on loan hedges)	$	5,648	$	5,174	9	%
Gains (losses) on loan hedges (1)	$	(81)	$	816	NM
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense	$	5,567	$	5,990	(7)	%
Fixed income markets	$	4,550	$	4,786	(5)	%
Equity markets	1,476		1,169		26
Securities services	653		645		1
Other	(26)		(106)		75
Total Markets and securities services revenues, net of interest expense	$	6,653	$	6,494	2	%
Total revenues, net of interest expense	$	12,220	$	12,484	(2)	%
Commissions and fees	$	200	$	189	6	%
Principal transactions (2)	2,930		3,549		(17)
Other	356		(63)		NM
Total non-interest revenue	$	3,486	$	3,675	(5)	%
Net interest revenue	1,064		1,111		(4)
Total fixed income markets (3)	$	4,550	$	4,786	(5)	%
Rates and currencies	$	3,039	$	4,034	(25)	%
Spread products/other fixed income	1,511		752		NM
Total fixed income markets	$	4,550	$	4,786	(5)	%
Commissions and fees	$	392	$	362	8	%
Principal transactions (2)	835		774		8
Other	32		8		NM
Total non-interest revenue	$	1,259	$	1,144	10	%
Net interest revenue	217		25		NM
Total equity markets (3)	$	1,476	$	1,169	26	%

(1) Credit derivatives are used to economically hedge a portion of the private bank and corporate loan portfolio that includes both accrual loans and loans at fair value. Gains (losses) on loan hedges include the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The

fixed premium costs of these hedges are netted against the private bank and corporate lending revenues to reflect the cost of credit protection. Gains (losses) on loan hedges include $(72) million and $754 million related to the corporate loan portfolio and $(9) million and $62 million related to the private bank for the three months ended March 31, 2021 and March 31, 2020, respectively. All of gains (losses) on loan hedges are related to corporate loan portfolio for the three months ended March 31, 2020. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.

(2) Excludes principal transactions revenues of ICG businesses other than Markets , primarily treasury and trade solutions and the private bank.

(3) Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net interest revenue may be risk managed by derivatives that are recorded in Principal transactions revenue. For a description of the composition of these revenue line items, see Notes 4, 5 and 6 to the Consolidated Financial Statements.

NM Not meaningful

The discussion of the results of operations for ICG below excludes (where noted) the impact of gains (losses) on hedges of accrual loans, which are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.

1Q21 vs. 1Q20

Net income increased 64% primarily driven by significantly lower cost of credit, partially offset by lower revenues and higher expenses.

Revenues declined 2%, reflecting lower Banking revenues (decline of 7% including the impact of gains (losses) on loan hedges), partially offset by higher Markets and securities services revenues (increase of 2%). Excluding the impact of gains/(losses) on loan hedges, Banking revenues were up 9%, driven by higher revenues in investment banking, corporate lending and the private bank, partially offset by lower revenues in treasury and trade solutions. Markets and securities services revenues were up 2%, reflecting higher revenues in equity markets, partially offset by lower revenues in fixed income markets.

Citi expects that revenues in its markets and investment banking businesses will likely continue to reflect the overall market environment in the near term.

Within Banking :

• Investment banking revenues were up 46%, reflecting growth in overall market wallet as well as gains in wallet share, particularly in equity underwriting. Advisory revenues decreased 27%, largely reflecting a decline in wallet share, driven by North America , partially offset by EMEA . Equity underwriting revenues increased significantly, driven by continued strength in the market wallet as well as wallet share gains, with growth in all regions. The increase in equity underwriting also reflected higher underwriting activity for special purpose acquisition companies (SPAC). Debt underwriting revenues increased 4%, reflecting strength in EMEA , Asia and Latin America , largely driven by the higher market wallet, partially offset by a decline in wallet share.

• Treasury and trade solutions revenues decreased 11%. Excluding the impact of FX translation, revenues declined 10%, reflecting declines in all regions. The decline in revenues was driven by the cash business, reflecting the continued impact of lower USD and non-USD interest rates and a slowdown in commercial cards spend both due to the continued impact of the pandemic, partially offset by strong deposit volumes. Average deposit balances increased 16% (14% excluding the impact of FX translation), due to strong client engagement and an elevated level of liquidity in the financial system. In trade, revenues were largely unchanged, as a decline in loans, driven by continued softness in underlying trade flows

due to the pandemic, was offset by improved loan spreads.

• Corporate lending revenues decreased 66%, including the impact of gains (losses) on loan hedges, primarily driven by the widening of credit spreads in the prior-year period, reflecting market volatility related to the pandemic. Excluding the impact of gains (losses) on loan hedges, revenues increased 8%, primarily due to the absence of marks on the portfolio driven by the elevated market volatility related to the pandemic in the prior-year period. The increase was partially offset by lower average loan volumes, reflecting paydowns on draws in 2020 and continued weakness in demand given stronger client liquidity positions.

• Private bank revenues increased 1%. Excluding the impact of gains (losses) on loan hedges, revenues increased 8%, reflecting growth across all regions. The increase was driven by higher loan volumes and spreads, as well as higher deposit volumes and managed investments revenue, all driven by continued client activity, partially offset by lower deposit spreads due to the ongoing low interest rate environment.

Within Markets and securities services :

• Fixed income markets revenues decreased 5%, as growth in North America and EMEA were more than offset by declines in Asia and Latin America , reflecting a strong performance in rates and currencies in the prior-year period. Non-interest revenues decreased, reflecting lower corporate and investor activity in rates and currencies, partially offset by higher activity in spread products. Net interest revenues also decreased, largely reflecting a change in the mix of trading positions.

Rates and currencies revenues decreased 25%, primarily reflecting the strong performance in the prior-year period, particularly in G10 rates and currencies, driven by record volatility related to the impact of the pandemic. Spread products and other fixed income revenues increased significantly, reflecting strong client activity, as clients searched for yield in a low-rate environment, with steady demand across flow trading and structured products.

• Equity markets revenues increased 26%, driven by growth across all products. Cash equities revenues increased, reflecting elevated levels of client activity as well as favorable market conditions, particularly in North America and Asia . Equity derivatives revenues increased, due to strong client activity and favorable market

conditions, particularly in North America . The increase in prime finance revenues was largely due to higher client balances as well as favorable market conditions. Non-interest revenues increased, primarily driven by higher principal transactions and commissions and fee revenues, primarily due to the higher client activity.

• Securities services revenues increased 1%. Excluding the impact of FX translation, revenues were unchanged, as an increase in fee revenues, driven by growth in assets under custody and settlement volumes as well as higher deposit volumes, was offset by lower deposit spreads due to the continued low interest rate environment.

For additional information on trends in ICG ’s deposit and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.

Expenses were up 8%, reflecting continued investments in infrastructure and controls, as well as other strategic investments, higher compensation costs and volume-driven growth, partially offset by efficiency savings.

Provisions for the quarter reflected a net benefit of $1.8 billion, driven by an ACL release, partially offset by higher net credit losses of $186 million, compared to $127 million in the prior-year period.

The ACL release for the quarter was $1.9 billion, compared to a build of $1.9 billion in the prior-year period. The release was primarily driven by Citi’s improved macroeconomic outlook, including global GDP, and modest improvements in portfolio credit quality. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

As of March 31, 2021, reserves held on Citi’s balance sheet represented 1.1% of funded loans, compared to 1.4% as of December 31, 2020, including 3.6% of reserves held against the non-investment grade portion, compared to 4.4% as of December 31, 2020.

For additional information on ICG ’s corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.

For additional information about trends, uncertainties and risks related to ICG ’s future results, see “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.

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 and income taxes, as well as Corporate Treasury, certain North America legacy consumer loan portfolios, other legacy assets and discontinued operations (for additional information on Corporate/Other , see “Citigroup Segments” above). At March 31, 2021, Corporate/Other had $99 billion in assets.


	First Quarter
In millions of dollars	2021		2020		% Change
Net interest revenue	$	61	$	325	(81)	%
Non-interest revenue	9		(252)		NM
Total revenues, net of interest expense	$	70	$	73	(4)	%
Total operating expenses	$	413	$	416	(1)	%
Net credit losses (recoveries) on loans	$	(18)	$	(2)	NM
Credit reserve build (release) for loans	(109)		191		NM
Provision (release) for credit losses on unfunded lending commitments	(5)		5		NM
Provisions (releases) for benefits and claims, HTM debt securities and other assets	20		(2)		NM
Provisions (release) for credit losses and for benefits and claims	$	(112)	$	192	NM
Income (loss) from continuing operations before taxes	$	(231)	$	(535)	57	%
Income taxes (benefits)	(62)		(198)		69
Income (loss) from continuing operations	$	(169)	$	(337)	50	%
Income (loss) from discontinued operations, net of taxes	(2)		(18)		89
Net income (loss) before attribution of noncontrolling interests	$	(171)	$	(355)	52	%
Noncontrolling interests	(1)		(4)		75
Net income (loss)	$	(170)	$	(351)	52	%

NM Not meaningful

1Q21 vs. 1Q20

Net loss was $170 million, compared to a net loss of $351 million in the prior-year period, driven by significantly lower cost of credit.

Revenues of $70 million declined from $73 million in the prior-year period, as the impact of lower interest rates was largely offset by the absence of marks on securities in the prior-year period and certain episodic gains in the current quarter.

Expenses decreased 1%, as investments in infrastructure, risk and controls were largely offset by the allocation of certain costs to GCB and ICG .

Provisions reflected a benefit of $112 million, compared to costs of $192 million in the prior-year period, primarily driven by a net ACL release on legacy assets in the current period.

The net ACL release in the first quarter was $109 million, compared to a build of $191 million in the prior-year period, primarily reflecting Citi’s improved macroeconomic outlook.

For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information about trends, uncertainties and risks related to Corporate Other ’s future results, see “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.

CAPITAL RESOURCES

For additional information about capital resources, including Citi’s capital management, current regulatory capital standards, regulatory capital buffers, the stress testing component of capital planning and regulatory capital standards developments, see “Capital Resources” and “Risk Factors” in Citi’s 2020 Annual Report on Form 10-K.

As previously announced, Citi commenced share repurchases in February 2021. During the first quarter of 2021, Citi returned a total of $2.7 billion of capital to common shareholders in the form of share repurchases (approximately 23 million common shares) and dividends. For additional information, see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends—Equity Security Repurchases” below.

Common Equity Tier 1 Capital Ratio

Citi’s Common Equity Tier 1 Capital ratio was 11.8% as of March 31, 2021, compared to 11.7% as of December 31, 2020, both under the Basel III Advanced Approaches framework, as quarterly net income of $7.9 billion was partially offset by a net increase in risk-weighted assets, the return of $2.7 billion of capital to common shareholders in the form of share repurchases and dividends, and adverse net movements in Accumulated other comprehensive income (AOCI) .

Temporary Supplementary Leverage Ratio Relief

In March 2021, the Federal Reserve Board announced that temporary Supplementary Leverage ratio relief for bank holding companies would expire as scheduled on March 31, 2021. The temporary Supplementary Leverage ratio relief has been in place since the second quarter of 2020 and has permitted Citigroup to exclude U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure. Commencing April 1, 2021, U.S. Treasuries and deposits at Federal Reserve Banks will once again be included in Citigroup’s Total Leverage Exposure.

During the first quarter of 2021, as a result of the

temporary relief, Citigroup’s reported Supplementary Leverage ratio of 7.0% benefited approximately 100 basis points. For additional information on temporary Supplementary Leverage ratio relief, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief” in Citi’s 2020 Annual Report on Form 10-K.

Federal Reserve Board Limitations on Capital Distributions

In March 2021, the Federal Reserve Board announced that it was extending for an additional quarter several measures that were previously announced for the first quarter of 2021 to ensure that large banks maintain a high level of capital resilience. Through the end of the second quarter of 2021, the Federal Reserve Board has authorized firms, including Citi, to pay common stock dividends and make share repurchases that, in the aggregate, do not exceed an amount equal to the average of the firm’s net income for the four preceding calendar quarters, unless otherwise specified by the Federal Reserve Board, provided that the firm does not exceed the amount of

common stock dividends paid in the second quarter of 2020. Additionally, through the end of the second quarter of 2021, the Federal Reserve Board has authorized firms to make share repurchases relating to issuances of common stock related to employee stock ownership plans, and to redeem and make scheduled payments on Additional Tier 1 Capital and Tier 2 Capital instruments.

Under the Federal Reserve Board’s capital distribution limitations, Citi is permitted to return capital to common shareholders of up to $4.1 billion during the second quarter of 2021, including the previously announced common dividends of $0.51 per share in the quarter.

The Federal Reserve Board also announced in March 2021 that the temporary limitations on capital distributions that are currently in place will be lifted for most firms after June 30, 2021, based on the results of the Federal Reserve Board’s 2021 Comprehensive Capital Analysis and Review (CCAR), which will be released by July 1, 2021. If firms, including Citi, remain above all of their minimum risk-based requirements in the 2021 CCAR, the temporary limitations on capital distributions will end after June 30 and those firms will be subject to the normal Stress Capital Buffer framework. However, if firms, including Citi, fall below any of their minimum risk-based capital requirements in the 2021 CCAR, those firms will remain subject to the temporary limitations on capital distributions for an additional three months through September 30, 2021. For the fourth quarter of 2021 and onward, unless the Federal Reserve Board further extends the temporary limitations on capital distributions, Citi and all other firms would be authorized to make distributions consistent with their Stress Capital Buffer requirements.

Citigroup’s Capital Resources

The following tables set forth Citi’s capital components and ratios:


			Advanced Approaches						Standardized Approach
In millions of dollars, except ratios	Effective Minimum Requirement (1)		March 31, 2021			December 31, 2020			March 31, 2021			December 31, 2020
Common Equity Tier 1 Capital (2)			$	148,944		$	147,274		$	148,944		$	147,274
Tier 1 Capital			170,484			167,053			170,484			167,053
Total Capital (Tier 1 Capital + Tier 2 Capital) (2)			197,700			195,959			206,971			204,849
Total Risk-Weighted Assets			1,263,926			1,255,284			1,260,080			1,221,576
Credit Risk (2)			$	845,718		$	844,374		$	1,143,975		$	1,109,435
Market Risk			112,592			107,812			116,105			112,141
Operational Risk			305,616			303,098			—			—
Common Equity Tier 1 Capital ratio (3)	10.0	%	11.78		%	11.73		%	11.82		%	12.06		%
Tier 1 Capital ratio (3)	11.5		13.49			13.31			13.53			13.68
Total Capital ratio (3)	13.5		15.64			15.61			16.43			16.77


In millions of dollars, except ratios	Effective Minimum Requirement		March 31, 2021			December 31, 2020
Quarterly Adjusted Average Total Assets (2)(4)			$	2,282,935		$	2,265,615
Total Leverage Exposure (2)(5)			2,450,412			2,386,881
Tier 1 Leverage ratio	4.0	%	7.47		%	7.37		%
Supplementary Leverage ratio	5.0		6.96			7.00

(1) Citi’s effective minimum risk-based capital requirements include the 2.5% Stress Capital Buffer and 3.0% GSIB surcharge under the Standardized Approach, and the 2.5% Capital Conservation Buffer and 3.0% GSIB surcharge under the Advanced Approaches (all of which must be composed of Common Equity Tier 1 Capital).

(2) Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. In addition, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.

(3) Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were derived under the Basel III Advanced Approaches framework as of March 31, 2021 and December 31, 2020.

(4) Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.

(5) Supplementary Leverage ratio denominator. Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. This temporary Supplementary Leverage ratio relief expired as scheduled on March 31, 2021. During the first quarter of 2021, as a result of the temporary relief, Citigroup’s reported Supplementary Leverage ratio benefited approximately 100 basis points. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.

As indicated in the table above, Citigroup’s risk-based capital ratios at March 31, 2021 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, 2021.

Components of Citigroup Capital


In millions of dollars	March 31, 2021		December 31, 2020
Common Equity Tier 1 Capital
Citigroup common stockholders’ equity (1)	$	182,402	$	180,118
Add: Qualifying noncontrolling interests	132		141
Regulatory capital adjustments and deductions:
Add: CECL transition and 25% provision deferral (2)	4,359		5,348
Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax	1,037		1,593
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax	(1,172)		(1,109)
Less: Intangible assets:
Goodwill, net of related DTLs (3)	20,854		21,124
Identifiable intangible assets other than MSRs, net of related DTLs	4,054		4,166
Less: Defined benefit pension plan net assets	1,485		921
Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards (4)	11,691		11,638
Total Common Equity Tier 1 Capital (Advanced Approaches and Standardized Approach)	$	148,944	$	147,274
Additional Tier 1 Capital
Qualifying noncumulative perpetual preferred stock (1)	$	20,147	$	19,324
Qualifying trust preferred securities (5)	1,395		1,393
Qualifying noncontrolling interests	33		35
Regulatory capital deductions:
Less: Permitted ownership interests in covered funds (6)	—		917
Less: Other	35		56
Total Additional Tier 1 Capital (Advanced Approaches and Standardized Approach)	$	21,540	$	19,779
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital) (Advanced Approaches and Standardized Approach)	$	170,484	$	167,053
Tier 2 Capital
Qualifying subordinated debt	$	21,890	$	23,481
Qualifying trust preferred securities (7)	248		331
Qualifying noncontrolling interests	39		41
Excess of eligible credit reserves over expected credit losses (2)(8)	5,081		5,084
Regulatory capital deduction:
Less: Other	42		31
Total Tier 2 Capital (Advanced Approaches)	$	27,216	$	28,906
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)	$	197,700	$	195,959
Adjustment for eligible allowance for credit losses (2)(8)	$	9,271	$	8,890
Total Tier 2 Capital (Standardized Approach)	$	36,487	$	37,796
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)	$	206,971	$	204,849

(1) Issuance costs of $133 million and $156 million related to outstanding noncumulative perpetual preferred stock as of March 31, 2021 and December 31, 2020, respectively, are excluded from common stockholders’ equity and are netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.

(2) Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax) and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date.

(3) Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.

Footnotes continue on the following page.

(4) Of Citi’s $24.2 billion of net DTAs at March 31, 2021, $14.4 billion was includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $9.8 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of March 31, 2021 was $11.7 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards. The amount excluded was reduced by $1.9 billion of net DTLs primarily associated with goodwill and certain other intangible assets that are separately deducted from capital. DTAs arising from tax carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under the U.S. Basel III rules. DTAs arising from temporary differences are required to be deducted from capital only if these DTAs exceed 10%/15% limitations under the U.S. Basel III rules. Citi’s DTAs do not currently exceed these limitations and, therefore, are not subject to deduction from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.

(5) Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.

(6) Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Commencing January 1, 2021, Citi no longer deducts permitted market making positions in third-party covered funds from Tier 1 Capital, in accordance with the revised Volcker Rule 2.0 issued by the U.S. agencies in November 2019. Upon the removal of the capital deduction, permitted market making positions in third-party covered funds are included in risk-weighted assets.

(7) 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.

(8) Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach, in which the 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. The total amount of allowance for credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Standardized Approach framework was $14.4 billion and $14.0 billion at March 31, 2021 and December 31, 2020, respectively.

Citigroup Capital Rollforward


In millions of dollars	Three Months Ended March 31, 2021
Common Equity Tier 1 Capital, beginning of period	$	147,274
Net income	7,942
Common and preferred dividends declared	(1,366)
Net increase in treasury stock	(1,132)
Net decrease in common stock and additional paid-in capital	(175)
Net change in foreign currency translation adjustment net of hedges, net of tax	(1,274)
Net increase in unrealized gains (losses) on debt securities AFS, net of tax	(1,785)
Net decrease in defined benefit plans liability adjustment, net of tax	714
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax	21
Net increase in excluded component of fair value hedges	(10)
Net decrease in goodwill, net of related DTLs	270
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs	112
Net increase in defined benefit pension plan net assets	(564)
Net increase in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards	(53)
Net decrease in CECL 25% provision deferral	(989)
Other	(41)
Net increase in Common Equity Tier 1 Capital	$	1,670
Common Equity Tier 1 Capital, end of period (Advanced Approaches and Standardized Approach)	$	148,944
Additional Tier 1 Capital, beginning of period	$	19,779
Net increase in qualifying perpetual preferred stock	823
Net increase in qualifying trust preferred securities	2
Net decrease in permitted ownership interests in covered funds	917
Other	19
Net increase in Additional Tier 1 Capital	$	1,761
Tier 1 Capital, end of period (Advanced Approaches and Standardized Approach)	$	170,484
Tier 2 Capital, beginning of period (Advanced Approaches)	$	28,906
Net decrease in qualifying subordinated debt	(1,591)
Net decrease in excess of eligible credit reserves over expected credit losses	(3)
Other	(96)
Net decrease in Tier 2 Capital (Advanced Approaches)	$	(1,690)
Tier 2 Capital, end of period (Advanced Approaches)	$	27,216
Total Capital, end of period (Advanced Approaches)	$	197,700
Tier 2 Capital, beginning of period (Standardized Approach)	$	37,796
Net decrease in qualifying subordinated debt	(1,591)
Net increase in eligible allowance for credit losses	378
Other	(96)
Net decrease in Tier 2 Capital (Standardized Approach)	$	(1,309)
Tier 2 Capital, end of period (Standardized Approach)	$	36,487
Total Capital, end of period (Standardized Approach)	$	206,971

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


In millions of dollars	Three Months Ended March 31, 2021
Total Risk-Weighted Assets, beginning of period	$	1,255,284
Changes in Credit Risk-Weighted Assets
Retail exposures (1)	(10,755)
Wholesale exposures (2)	9,420
Repo-style transactions	(2,786)
Securitization exposures (3)	3,729
Equity exposures	(586)
Over-the-counter (OTC) derivatives (4)	7,824
Derivatives CVA (5)	(7,779)
Other exposures (6)	1,866
Supervisory 6% multiplier	411
Net increase in Credit Risk-Weighted Assets	$	1,344
Changes in Market Risk-Weighted Assets
Risk levels (7)	$	4,222
Model and methodology updates	558
Net increase in Market Risk-Weighted Assets	$	4,780
Net change in Operational Risk-Weighted Assets (8)	$	2,518
Total Risk-Weighted Assets, end of period	$	1,263,926

(1) Retail exposures decreased during the three months ended March 31, 2021, primarily driven by seasonal holiday spending repayments and less spending on qualifying revolving (cards) exposures.

(2) Wholesale exposures increased during the three months ended March 31, 2021, primarily due to an increase in wholesale loan commitments.

(3) Securitization exposures increased during the three months ended March 31, 2021, primarily due to increases in new deals.

(4) OTC derivatives increased during the three months ended March 31, 2021, primarily due to changes in risk parameters, partially offset by a decrease in exposure.

(5) Derivatives CVA decreased during the three months ended March 31, 2021, primarily driven by a decrease in exposure.

(6) Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios.

(7) Risk levels increased during the three months ended March 31, 2021, primarily due to exposure changes.

(8) Operational risk-weighted assets increased during the three months ended March 31, 2021, mainly driven by changes in operational loss severity.

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


In millions of dollars	Three Months Ended March 31, 2021
Total Risk-Weighted Assets, beginning of period	$	1,221,576
Changes in Credit Risk-Weighted Assets
General credit risk exposures (1)	(12,940)
Repo-style transactions (2)	3,038
Securitization exposures (3)	3,647
Equity exposures	(579)
Over-the-counter (OTC) derivatives (4)	19,628
Other exposures (5)	11,306
Off-balance sheet exposures (6)	10,440
Net change in Credit Risk-Weighted Assets	$	34,540
Changes in Market Risk-Weighted Assets
Risk levels (7)	$	3,406
Model and methodology updates	558
Net increase in Market Risk-Weighted Assets	$	3,964
Total Risk-Weighted Assets, end of period	$	1,260,080

(1) General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures decreased during the three months ended March 31, 2021, primarily due to seasonal holiday spending repayments and less spending on qualifying revolving (cards).

(2) Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions increased during the three months ended March 31, 2021, primarily due to volume- and exposure-driven increases.

(3) Securitization exposures increased during the three months ended March 31, 2021, primarily due to increases in new deals.

(4) OTC derivatives increased during the three months ended March 31, 2021, mainly due to changes in risk parameters and an increase in notionals.

(5) Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures increased during the three months ended March 31, 2021, primarily due to an increase in various other assets.

(6) Off-balance sheet exposures increased during the three months ended March 31, 2021, primarily due to an increase in wholesale loan commitments.

(7) Risk levels increased during the three months ended March 31, 2021, primarily due to exposure changes.

Supplementary Leverage Ratio

The following table sets forth Citi’s Supplementary Leverage ratio and related components:


In millions of dollars, except ratios	March 31, 2021			December 31, 2020
Tier 1 Capital	$	170,484		$	167,053
Total Leverage Exposure
On-balance sheet assets (1)(2)(3)	$	1,906,422		$	1,864,374
Certain off-balance sheet exposures: (4)
Potential future exposure on derivative contracts	201,735			183,604
Effective notional of sold credit derivatives, net (5)	27,164			32,640
Counterparty credit risk for repo-style transactions (6)	21,805			20,168
Unconditionally cancellable commitments	71,293			71,163
Other off-balance sheet exposures	260,112			253,754
Total of certain off-balance sheet exposures	$	582,109		$	561,329
Less: Tier 1 Capital deductions	38,119			38,822
Total Leverage Exposure (3)	$	2,450,412		$	2,386,881
Supplementary Leverage ratio	6.96		%	7.00		%

(1) Represents the daily average of on-balance sheet assets for the quarter.

(2) Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in DTAs arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in Total Leverage Exposure.

(3) Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. This temporary Supplementary Leverage ratio relief expired as scheduled on March 31, 2021. During the first quarter of 2021, as a result of the temporary relief, Citigroup’s reported Supplementary Leverage ratio benefited approximately 100 basis points. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.

(4) Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.

(5) Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.

(6) Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.

As set forth in the table above, Citigroup’s Supplementary Leverage ratio was approximately 7.0% at March 31, 2021 and December 31, 2020, as the return of capital to common shareholders in the form of share repurchases and dividends, adverse net movements in AOCI and an increase in Total Leverage Exposure due to an increase in both average on-balance sheet assets and average off-balance sheet exposures were offset by net income in the quarter.

Capital Resources of Citigroup’s Subsidiary U.S. Depository Institutions

Citigroup’s subsidiary U.S. depository institutions are also subject to regulatory capital standards issued by their respective primary bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.

The following tables set forth the capital components and ratios for Citibank, Citi’s primary subsidiary U.S. depository institution:


			Advanced Approaches						Standardized Approach
In millions of dollars, except ratios	Effective Minimum Requirement (1)		March 31, 2021			December 31, 2020			March 31, 2021			December 31, 2020
Common Equity Tier 1 Capital (2)			$	146,359		$	142,854		$	146,359		$	142,854
Tier 1 Capital			148,487			144,962			148,487			144,962
Total Capital (Tier 1 Capital + Tier 2 Capital) (2)(3)			164,921			161,319			173,212			169,303
Total Risk-Weighted Assets (4)			1,043,858			1,021,479			1,069,933			1,038,031
Credit Risk (2)			$	731,159		$	716,513		$	1,011,308		$	977,366
Market Risk			57,808			59,815			58,625			60,665
Operational Risk			254,891			245,151			—			—
Common Equity Tier 1 Capital ratio (4)(5)	7.0	%	14.02		%	13.99		%	13.68		%	13.76		%
Tier 1 Capital ratio (4)(5)	8.5		14.22			14.19			13.88			13.97
Total Capital ratio (4)(5)	10.5		15.80			15.79			16.19			16.31


In millions of dollars, except ratios	Effective Minimum Requirement		March 31, 2021			December 31, 2020
Quarterly Adjusted Average Total Assets (2)(6)			$	1,665,791		$	1,680,026
Total Leverage Exposure (2)(7)			2,182,668			2,180,821
Tier 1 Leverage ratio (5)	5.0	%	8.91		%	8.63		%
Supplementary Leverage ratio (5)	6.0		6.80			6.65

(1) Citibank’s effective minimum risk-based capital requirements are inclusive of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).

(2) Citibank has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citibank is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. In addition, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.

(3) Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the ACL is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess ACL being deducted in arriving at credit risk-weighted assets.

(4) Citibank’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches framework as of March 31, 2021 and December 31, 2020, whereas Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach framework for all periods presented.

(5) Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.”

(6) Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.

(7) Supplementary Leverage ratio denominator. Citibank did not elect to temporarily exclude U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief” in Citi’s 2020 Annual Report on Form 10-K.

As indicated in the table above, Citibank’s capital ratios at March 31, 2021 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, 2021.

Impact of Changes on Citigroup and Citibank Capital Ratios

The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in

Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of March 31, 2021. This information is provided for the purpose of analyzing the impact that a change in Citigroup’s or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.


	Common Equity Tier 1 Capital ratio		Tier 1 Capital ratio		Total Capital ratio
In basis points	Impact of $100 million change in Common Equity Tier 1 Capital	Impact of $1 billion change in risk- weighted assets	Impact of $100 million change in Tier 1 Capital	Impact of $1 billion change in risk- weighted assets	Impact of $100 million change in Total Capital	Impact of $1 billion change in risk- weighted assets
Citigroup
Advanced Approaches	0.8	0.9	0.8	1.1	0.8	1.2
Standardized Approach	0.8	0.9	0.8	1.1	0.8	1.3
Citibank
Advanced Approaches	1.0	1.3	1.0	1.4	1.0	1.5
Standardized Approach	0.9	1.3	0.9	1.3	0.9	1.5


	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	0.4	0.3	0.4	0.3
Citibank	0.6	0.5	0.5	0.3

Citigroup Broker-Dealer Subsidiaries

At March 31, 2021, 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 $11.8 billion, which exceeded the minimum requirement by $8.1 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 $27.0 billion at March 31, 2021, which exceeded the PRA’s minimum regulatory capital requirements.

In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at March 31, 2021.

Total Loss-Absorbing Capacity (TLAC)

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

As of March 31, 2021, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $24 billion surplus above its binding TLAC requirement of LTD as a percentage of Advanced Approaches risk-weighted assets.


	March 31, 2021
In billions of dollars, except ratios	External TLAC			LTD
Total eligible amount	$	313		$	138
% of Advanced Approaches risk- weighted assets	24.8		%	10.9		%
Effective minimum requirement (1)(2)	22.5		%	9.0		%
Surplus amount	$	29		$	24
% of Total Leverage Exposure (3)	12.8		%	5.6		%
Effective minimum requirement	9.5		%	4.5		%
Surplus amount	$	81		$	28

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

(2) LTD includes Method 2 GSIB surcharge of 3.0%.

(3) Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excludes U.S. Treasuries and deposits at Federal Reserve Banks. These exclusions expired as scheduled on March 31, 2021. Excluding the temporary relief, Citigroup’s binding TLAC requirement would have been LTD as a percentage of Total Leverage Exposure, with a surplus of $9 billion. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.

For additional information on Citi’s TLAC-related requirements, see “Capital Resources—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance Risks” in Citi’s 2020 Annual Report on Form 10-K.

Capital Resources (Full Adoption of CECL, and Excluding Temporary Supplementary Leverage Ratio Relief for Citigroup)

The following tables set forth Citigroup’s and Citibank’s capital components and ratios reflecting the full impact of CECL, and excluding temporary Supplementary Leverage ratio relief for Citigroup, as of March 31, 2021:


	Citigroup						Citibank
	Effective Minimum Requirement		Advanced Approaches		Standardized Approach		Effective Minimum Requirement		Advanced Approaches		Standardized Approach
Common Equity Tier 1 Capital ratio	10.0	%	11.46	%	11.50	%	7.0	%	13.67	%	13.33	%
Tier 1 Capital ratio	11.5		13.17		13.21		8.5		13.87		13.53
Total Capital ratio	13.5		15.33		16.12		10.5		15.45		15.85


	Effective Minimum Requirement		Citigroup		Effective Minimum Requirement		Citibank
Tier 1 Leverage ratio	4.0	%	7.29	%	5.0	%	8.69	%
Supplementary Leverage ratio (1)	5.0		5.80		6.0		6.63

(1) Citigroup’s Supplementary Leverage ratio, as presented in the table above, reflects the full impact of CECL as well as the inclusion of U.S. Treasuries and deposits at Federal Reserve Banks in Total Leverage Exposure.

TLAC Holdings

In January 2021, the U.S. banking agencies issued a final rule that creates a new regulatory capital deduction applicable to Advanced Approaches banking organizations for certain investments in covered debt instruments issued by GSIBs. The final rule became effective for Citigroup and Citibank on April 1, 2021, and did not have a significant impact on either Citigroup’s or Citibank’s regulatory capital. For additional information, see “Capital Resources—Regulatory Capital Standards Developments—U.S. Banking Agencies—TLAC Holdings” in Citi’s 2020 Annual Report on Form 10-K.

Regulatory Capital Standards Developments

Supplementary Leverage Ratio

In March 2021, the Federal Reserve Board announced that it would soon invite public comment on several potential modifications to the Supplementary Leverage ratio. The Federal Reserve Board noted that, because of recent growth in the supply of central bank reserves and issuance of U.S. Treasuries, the Federal Reserve Board may need to address the current design and calibration of the Supplementary Leverage ratio over time to prevent strains from developing that could both constrain economic growth and undermine financial stability. Additional details on any forthcoming proposals are not yet available.

Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity

Tangible common equity (TCE), as defined by Citi, represents common stockholders’ equity less goodwill and identifiable intangible assets (other than MSRs). Other companies may calculate TCE in a different manner. TCE, tangible book value (TBV) per share and return on average TCE are non-GAAP financial measures.


In millions of dollars or shares, except per share amounts	March 31, 2021		December 31, 2020
Total Citigroup stockholders’ equity	$	202,549	$	199,442
Less: Preferred stock	20,280		19,480
Common stockholders’ equity	$	182,269	$	179,962
Less:
Goodwill	21,905		22,162
Identifiable intangible assets (other than MSRs)	4,308		4,411

Tangible common equity (TCE)	$	156,056	$	153,389
Common shares outstanding (CSO)	2,067.0		2,082.1
Book value per share (common equity/CSO)	$	88.18	$	86.43
Tangible book value per share (TCE/CSO)	75.50		73.67


	Three Months Ended March 31,
In millions of dollars	2021			2020
Net income available to common shareholders	$	7,650		$	2,245
Average common stockholders’ equity	180,421			174,468
Average TCE	154,723			149,024
Return on average common stockholders’ equity	17.2		%	5.2		%
Return on average TCE (RoTCE) (1)	20.1			6.1

(1) RoTCE represents net income available to common shareholders as a percentage of average TCE.

Managing Global Risk Table of Contents


MANAGING GLOBAL RISK						37
CREDIT RISK (1)						37
Consumer Credit						37
Corporate Credit						44
Additional Consumer and Corporate Credit Details						50
Loans Outstanding						50
Details of Credit Loss Experience						51
Allowance for Credit Losses on Loans (ACLL)						52
Non-Accrual Loans and Assets and Renegotiated Loans						54
LIQUIDITY RISK						57
High-Quality Liquid Assets (HQLA)						57
Liquidity Coverage Ratio (LCR)						57
Loans						58
Deposits						58
Long-Term Debt						59
Secured Funding Transactions and Short-Term Borrowings						61
Credit Ratings						62
MARKET RISK (1)						64
Market Risk of Non-Trading Portfolios						64
Market Risk of Trading Portfolios						72
STRATEGIC RISK						74
LIBOR Transition Risk						74
Country Risk						75
Argentina						76

(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.

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, value proposition, key guiding principles and risk appetite. For more information on Citi’s management of global risk, see “Managing Global Risk” in Citi’s 2020 Annual Report on Form 10-K. As discussed above, Citi is continuing its efforts to comply with the Federal Reserve Board and OCC consent orders, relating principally to various aspects of risk management, compliance, data quality management and governance, and internal controls. See “Citi’s Consent Order Compliance” above and in Citi’s 2020 Annual Report on Form 10-K..

CREDIT RISK

For more information on credit risk, including Citi’s credit risk management, measurement and stress testing, and Citi’s consumer and corporate credit portfolios, see “Credit Risk” and “Risk Factors” in Citi’s 2020 Annual Report on Form 10-K.

CONSUMER CREDIT

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


In billions of dollars	1Q’20			2Q’20			3Q’20			4Q’20			1Q’21
Retail banking:
Mortgages	$	83.6		$	86.0		$	87.5		$	88.9		$	86.7
Personal, small business and other	36.6			37.6			38.3			40.1			39.1
Total retail banking	$	120.2		$	123.6		$	125.8		$	129.0		$	125.8
Cards:
Citi-branded cards	$	110.2		$	103.6		$	102.2		$	106.7		$	99.6
Citi retail services	48.9			45.4			44.4			46.4			42.5
Total cards	$	159.1		$	149.0		$	146.6		$	153.1		$	142.1
Total GCB	$	279.3		$	272.6		$	272.4		$	282.1		$	267.9
GCB regional distribution:
North America	67		%	66		%	66		%	65		%	64		%
Latin America	5			5			5			5			5
Asia (2)	28			29			29			30			31
Total GCB	100		%	100		%	100		%	100		%	100		%
Corporate/Other (3)	$	9.1		$	8.5		$	7.6		$	6.7		$	6.1
Total consumer loans	$	288.4		$	281.1		$	280.0		$	288.8		$	274.0

(1) End-of-period loans include interest and fees on credit cards.

(2) Asia includes loans and leases in certain EMEA countries for all periods presented.

(3) Primarily consists of legacy assets, principally North America consumer mortgages.

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

Overall Consumer Credit Trends


Global Consumer Banking

As shown in the chart above, GCB ’s net credit loss rate and the 90+ days past due delinquency rate decreased year-over-year as of the first quarter of 2021, driven by North America GCB , primarily reflecting the benefit of significant government stimulus and assistance, and lower customer spending.

Quarter-over-quarter, GCB ’s net credit loss rate increased and its 90+ days past due rate decreased, driven by Asia GCB and Latin America GCB , as Citi charged off most of the spike in delinquencies from the fourth quarter of 2020 related to customer accounts exiting consumer relief programs, as well as the seasonality observed in North America GCB ’s net credit loss rate.

For additional information on consumer credit trends, see “Managing Global Risk—Credit Risk—Overall Consumer Credit Trends” in Citi’s 2020 Annual Report on Form 10-K.


North America GCB

North America GCB provides mortgage, home equity, small business and personal loans 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 U.S. (for additional information on the U.S. retail bank, see “ North America GCB ” above).

As of March 31, 2021, approximately 70% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which generally drives the overall credit performance of North America GCB (for additional information on North America GCB ’s cards portfolios,

including delinquency and net credit loss rates, see “Credit Card Trends” below).

As shown in the chart above, the net credit loss rate in North America GCB as of the first quarter of 2021 increased quarter-over-quarter, primarily driven by seasonality in both cards portfolios, and decreased year-over-year, primarily driven by the continued impacts of government stimulus, unemployment benefits and consumer relief programs.

The 90+ days past due delinquency rate in North America GCB decreased quarter-over-quarter, reflecting higher payment rates driven by government stimulus. Year-over-year, the decrease in the 90+ days past due delinquency rate was driven by the continued impacts of government stimulus, unemployment benefits and consumer relief programs.


Latin America GCB

Latin America GCB operates in Mexico through Citibanamex, one of Mexico’s largest banks, and provides credit cards, consumer mortgages and small business and personal loans. Latin America GCB serves a more mass-market segment in Mexico and focuses on developing multiproduct relationships with customers.

As shown in the chart above, the net credit loss rate in Latin America GCB as of the first quarter of 2021 increased significantly quarter-over quarter and year-over-year, driven by a majority of customers exiting consumer relief programs at the end of the third quarter of 2020 as well as the continued adverse pandemic-related macroeconomic impacts.

The 90+ days past due delinquency rate increased year-over-year, primarily due to the continued adverse pandemic-related macroeconomic impacts, including lower loan balances. The 90+ days past due delinquency rate decreased quarter-over-quarter, primarily due to the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 related to customers exiting consumer relief programs.


Asia (1) GCB

(1) Asia includes GCB activities in certain EMEA countries for all periods presented.

Asia GCB operates in 17 countries and jurisdictions in Asia and EMEA and provides credit cards, consumer mortgages and small business and personal loans.

As shown in the chart above, the net credit loss rate in Asia GCB as of the first quarter of 2021 increased quarter-over-quarter and year-over-year, driven by customers exiting consumer relief programs in certain countries, as well as the continued adverse pandemic-related macroeconomic impacts in the region.

The 90+ days past due delinquency rate was largely unchanged year-over-year. Quarter-over-quarter, the 90+ days past due delinquency rate decreased due to the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 related to customers exiting consumer relief programs in 2020.

The performance of Asia GCB ’s portfolios continues to reflect the strong credit profiles in the region’s target customer segments. Regulatory changes in many markets in Asia over the past few years have also resulted in improved credit quality.

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 Notes 13 and 14 to the Consolidated Financial Statements.

Credit Card Trends


Global Cards

The following charts show the quarterly trends in delinquencies and net credit losses for total GCB cards, North America Citi-branded cards and Citi retail services portfolios, as well as for Citi’s Latin America and Asia Citi-branded cards portfolios.


North America Citi-Branded Cards

North America GCB ’s Citi-branded cards portfolio issues proprietary and co-branded cards.

As shown in the chart above, the net credit loss rate in Citi-branded cards as of the first quarter of 2021 increased quarter-over-quarter, primarily driven by seasonality, and decreased year-over-year, primarily reflecting the benefit of significant government stimulus, unemployment benefits and consumer relief programs.

The 90+ days past due delinquency rate decreased quarter-over-quarter, reflecting higher payment rates due to government stimulus. Year-over-year, the 90+ days past due delinquency rate decreased, driven by the continued impact of government stimulus, unemployment benefits and consumer relief programs.


North America Citi Retail Services

Citi retail services partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Citi retail services’ target market focuses on select industry segments such as home improvement, 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.

As shown in the chart above, the net credit loss rate in Citi retail services as of the first quarter of 2021 increased quarter-over-quarter, primarily due to seasonality, and decreased year-over-year, primarily reflecting the benefit of significant government stimulus, unemployment benefits and consumer relief programs.

The 90+ days past due delinquency rate was largely unchanged quarter-over-quarter. Year-over-year, the 90+ days past due delinquency rate declined, driven by the continued impact of government stimulus, unemployment benefits and consumer relief programs.


Latin America Citi-Branded Cards

Latin America GCB issues proprietary and co-branded cards.

As shown in the chart above, the net credit loss rate in Latin America Citi-branded cards as of the first quarter of 2021 increased significantly quarter-over quarter and year-over-year, driven by a majority of customers exiting

consumer relief programs at the end of the third quarter in 2020, as well as the continued adverse pandemic-related macroeconomic impacts.

The 90+ days past due delinquency rate increased year-over-year, due to the continued adverse pandemic-related macroeconomic impacts, including lower loan balances. The 90+ days past due delinquency rate decreased quarter-over-

quarter, primarily due to the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 related to customers exiting consumer relief programs.


Asia Citi-Branded Cards (1)

(1) Asia includes loans and leases in certain EMEA countries for all periods presented.

As shown in the chart above, the net credit loss rate in Asia Citi-branded cards as of the first quarter of 2021 increased quarter-over-quarter and year-over-year, primarily driven by customers exiting consumer relief programs in certain countries, as well as the continued adverse pandemic-related macroeconomic impacts in the region.

The 90+ days past due delinquency rate increased year-over-year, due to the continued adverse macroeconomic impacts of the pandemic, and decreased quarter-over-quarter, due to the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 relating to customers exiting consumer relief programs in 2020.

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 cards 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 Cards


FICO distribution (1)	March 31, 2021		December 31, 2020		March 31, 2020
> 760	46	%	46	%	39	%
680–760	40		39		42
< 680	14		15		19
Total	100	%	100	%	100	%

Citi Retail Services


FICO distribution (1)	March 31, 2021		December 31, 2020		March 31, 2020
> 760	26	%	27	%	23	%
680–760	45		44		42
< 680	29		29		35
Total	100	%	100	%	100	%

(1) The FICO bands in the tables are consistent with general industry peer presentations.

The FICO distribution of both cards portfolios remained broadly stable compared to the prior quarter, and improved compared to the prior year, demonstrating strong underlying credit quality, as well as a benefit from the impact of government stimulus, unemployment benefits, customer relief programs and lower credit utilization due to reduced customer spending. For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.

Additional Consumer Credit Details

Consumer Loan Delinquencies Amounts and Ratios (1)


	EOP loans (2)		90+ days past due (3)									30–89 days past due (3)
In millions of dollars, except EOP loan amounts in billions	March 31, 2021		March 31, 2021			December 31, 2020			March 31, 2020			March 31, 2021			December 31, 2020			March 31, 2020
Global Consumer Banking (4)(5)
Total	$	267.9	$	2,175		$	2,507		$	2,603		$	2,003		$	2,517		$	2,870
Ratio			0.81		%	0.89		%	0.93		%	0.75		%	0.89		%	0.90		%
Retail banking
Total	$	125.8	$	598		$	632		$	429		$	662		$	860		$	794
Ratio			0.48		%	0.49		%	0.36		%	0.53		%	0.67		%	0.66		%
North America	50.9		263			299			161			220			328			298
Ratio			0.52		%	0.58		%	0.32		%	0.44		%	0.63		%	0.59		%
Latin America	9.1		142			130			90			164			220			140
Ratio			1.56		%	1.33		%	0.98		%	1.80		%	2.24		%	1.52		%
Asia (6)	65.8		193			203			178			278			312			356
Ratio			0.29		%	0.31		%	0.30		%	0.42		%	0.47		%	0.59		%
Cards
Total	$	142.1	$	1,577		$	1,875		$	2,174		$	1,341		$	1,657		$	2,076
Ratio			1.11		%	1.22		%	1.37		%	0.94		%	1.08		%	1.30		%
North America —Citi-branded	78.5		590			686			891			484			589			770
Ratio			0.75		%	0.82		%	1.01		%	0.62		%	0.70		%	0.87		%
North America —Citi retail services	42.5		591			644			958			513			639			903
Ratio			1.39		%	1.39		%	1.96		%	1.21		%	1.38		%	1.85		%
Latin America	4.3		173			233			121			115			170			132
Ratio			4.02		%	4.85		%	2.69		%	2.67		%	3.54		%	2.93		%
Asia (6)	16.8		223			312			204			229			259			271
Ratio			1.33		%	1.74		%	1.18		%	1.36		%	1.45		%	1.57		%
Corporate/Other —Consumer (7)
Total	$	6.1	$	277		$	313		$	281		$	138		$	179		$	252
Ratio			4.86		%	5.13		%	3.23		%	2.42		%	2.93		%	2.90		%




Total Citigroup	$	274.0	$	2,452		$	2,820		$	2,884		$	2,141		$	2,696		$	3,122
Ratio			0.90		%	0.98		%	1.00		%	0.78		%	0.94		%	1.09		%

(1) Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification (which have various durations, and certain of which may be renewed by the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020.

(2) End-of-period (EOP) loans include interest and fees on credit cards.

(3) The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.

(4) 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.

(5) The 90+ days past due and 30–89 days past due and related ratios for North America GCB exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $176 million ($0.7 billion), $171 million ($0.7 billion) and $124 million ($0.5 billion) as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) were $84 million ($0.7 billion), $98 million ($0.7 billion) and $64 million ($0.5 billion) as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively.

(6) Asia includes delinquencies and loans in certain EMEA countries for all periods presented.

(7) The loans 90+ days past due and related ratios exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and (EOP loans) for each period were $169 million ($0.4 billion), $183 million ($0.5 billion) and $167 million ($0.4 billion) as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) for each period were $55 million ($0.4 billion), $73 million ($0.5 billion) and $58 million ($0.4 billion) as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively.

Consumer Loan Net Credit Losses and Ratios


	Average loans (1)		Net credit losses (2)
In millions of dollars, except average loan amounts in billions	1Q21		1Q21			4Q20			1Q20
Global Consumer Banking
Total	$	271.7	$	1,580		$	1,272		$	1,934
Ratio			2.36		%	1.83		%	2.68		%
Retail banking
Total	$	127.4	$	274		$	185		$	230
Ratio			0.87		%	0.58		%	0.75		%
North America	51.9		26			31			37
Ratio			0.20		%	0.23		%	0.29		%
Latin America	9.4		168			68			127
Ratio			7.25		%	2.82		%	4.60		%
Asia (3)	66.1		80			86			66
Ratio			0.49		%	0.52		%	0.43		%
Cards
Total	$	144.3	$	1,306		$	1,087		$	1,704
Ratio			3.67		%	2.91		%	4.10		%
North America —Citi-branded	78.7		551			500			781
Ratio			2.84		%	2.43		%	3.40		%
North America —Citi retail services	43.8		373			339			672
Ratio			3.45		%	3.00		%	5.35		%
Latin America	4.5		197			94			144
Ratio			17.75		%	7.96		%	10.34		%
Asia (3)	17.3		185			154			107
Ratio			4.34		%	3.56		%	2.29		%
Corporate/Other —Consumer
Total	$	6.4	$	(18)		$	(10)		$	(2)
Ratio			(1.14)		%	(0.54)		%	(0.09)		%





Total Citigroup	$	278.1	$	1,562		$	1,262		$	1,932
Ratio			2.28		%	1.77		%	2.59		%

(1) Average loans include interest and fees on credit cards.

(2) The ratios of net credit losses are calculated based on average loans, net of unearned income.

(3) Asia includes NCLs and average loans in certain EMEA countries for all periods presented.

CORPORATE CREDIT

The following table details Citi’s corporate credit portfolio within ICG (excluding certain loans in the private bank, which are managed on a delinquency basis), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:


	March 31, 2021								December 31, 2020								March 31, 2020
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		Due within 1 year		Greater than 1 year but within 5 years		Greater than 5 years		Total exposure
Direct outstandings (on-balance sheet) (1)	$	182	$	142	$	22	$	346	$	177	$	142	$	25	$	344	$	195	$	175	$	24	$	394
Unfunded lending commitments (off-balance sheet) (2)	170		284		12		466		158		272		11		441		152		231		11		394
Total exposure	$	352	$	426	$	34	$	812	$	335	$	414	$	36	$	785	$	347	$	406	$	35	$	788

(1) Includes drawn loans, overdrafts, bankers’ acceptances and leases.

(2) Includes unused commitments to lend, letters of credit and financial guarantees.

Portfolio Mix—Geography and Counterparty

Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region (excluding the delinquency-managed private bank portfolio) based on Citi’s internal management geography:


	March 31, 2021		December 31, 2020		March 31, 2020
North America	57	%	56	%	57	%
EMEA	25		25		25
Asia	13		13		12
Latin America	5		6		6
Total	100	%	100	%	100	%

The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived by leveraging validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of the obligor and factors that affect the loss given default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are considered investment grade, while those below are considered non-investment grade.

The following table presents the corporate credit portfolio (excluding the delinquency-managed private bank portfolio) by facility risk rating as a percentage of the total corporate credit portfolio:


	Total exposure
	March 31, 2021		December 31, 2020		March 31, 2020
AAA/AA/A	50	%	49	%	48	%
BBB	31		31		33
BB/B	16		17		17
CCC or below	3		3		2
Total	100	%	100	%	100	%

Note: Total exposure includes direct outstandings and unfunded lending commitments.

In addition to the obligor and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi’s interpretation of the U.S. banking regulators’ definition of criticized exposures, which may categorize exposures as special mention, substandard, doubtful, or loss.

Risk ratings and classifications are reviewed regularly, and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment. This includes but is not limited to exposures in those sectors significantly impacted by the pandemic (including consumer retail, commercial real estate and transportation).

Citigroup believes the corporate credit portfolio to be appropriately rated and classified as of March 31, 2021. Since the onset of the COVID-19 pandemic, Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.

As obligor risk ratings are downgraded, the probability of default increases. Downgrades of obligor risk ratings tend to result in a higher provision for credit losses. In addition,

downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in Citi’s seeking to reduce exposure to an obligor or an industry sector. Citi will continue to review exposures to ensure that the appropriate probability of default is incorporated into all risk assessments.

For additional information on Citi’s corporate credit portfolio, see Note 13 to the Consolidated Financial Statements.

Portfolio Mix—Industry

Citi’s corporate credit portfolio is diversified by industry. The following details the allocation of Citi’s total corporate credit portfolio by industry (excluding the delinquency-managed private bank portfolio):


	Total exposure
	March 31, 2021		December 31, 2020		March 31, 2020
Transportation and industrials	19	%	19	%	19	%
Private bank	14		14		13
Consumer retail	10		10		11
Technology, media and telecom	11		11		10
Real estate	8		8		7
Power, chemicals, metals and mining	8		8		9
Banks and finance companies	7		7		8
Energy and commodities	6		6		7
Health	5		5		4
Public sector	3		3		3
Insurance	3		3		3
Asset managers and funds	3		3		3
Financial markets infrastructure	2		2		2
Securities firms	—		—		—
Other industries	1		1		1
Total	100	%	100	%	100	%

The following table details Citi’s corporate credit portfolio by industry as of March 31, 2021:


									Non-investment grade						Selected metrics
In millions of dollars	Total credit exposure		Funded (1)		Unfunded (1)		Investment grade		Non-criticized		Criticized performing		Criticized non-performing (2)		30 days or more past due and accruing (3)		Net charge-offs (recoveries) (4)		Credit derivative hedges (5)
Transportation and industrials	$	149,737	$	57,653	$	92,084	$	109,655	$	19,267	$	19,083	$	1,732	$	209	$	75	$	(8,628)
Autos (6)	51,939		23,993		27,946		41,823		4,895		5,018		203		50		1		(3,521)
Transportation	31,387		13,436		17,951		20,581		3,354		6,064		1,388		16		57		(1,140)
Industrials	66,411		20,224		46,187		47,251		11,018		8,001		141		143		17		(3,967)
Private bank	116,606		78,556		38,050		111,784		2,243		2,364		215		898		(1)		(1,080)
Consumer retail	79,201		33,424		45,777		59,944		11,452		7,129		676		148		9		(5,394)
Technology, media and telecom	89,307		29,314		59,993		69,458		14,801		4,785		263		72		1		(6,929)
Real estate	66,712		43,938		22,774		55,302		5,929		5,141		340		90		13		(597)
Power, chemicals, metals and mining	64,069		21,086		42,983		49,505		10,474		3,837		253		102		51		(5,426)
Power	26,922		6,278		20,644		23,055		3,036		626		205		7		47		(2,624)
Chemicals	22,962		8,499		14,463		16,838		4,429		1,685		10		9		4		(2,170)
Metals and mining	14,185		6,309		7,876		9,612		3,009		1,526		38		86		—		(632)
Banks and finance companies	56,327		32,840		23,487		46,764		4,775		4,760		28		90		—		(867)
Energy and commodities (7)	47,741		14,024		33,717		33,749		7,465		5,899		628		101		33		(3,934)
Health	39,384		8,126		31,258		29,701		7,403		2,093		187		43		—		(2,059)
Public sector	27,699		14,522		13,177		22,939		2,090		2,654		16		27		(3)		(1,146)
Insurance	27,869		2,517		25,352		27,055		712		102		—		—		—		(2,541)
Asset managers and funds	20,158		4,793		15,365		18,358		1,228		572		—		1		—		(82)
Financial markets infrastructure	15,531		853		14,678		15,504		27		—		—		—		—		(8)
Securities firms	1,422		227		1,195		762		563		89		8		12		—		(6)
Other industries	10,319		4,597		5,722		5,523		2,431		2,077		288		22		6		(94)
Total	$	812,082	$	346,470	$	465,612	$	656,003	$	90,860	$	60,585	$	4,634	$	1,815	$	184	$	(38,791)

(1) Excludes $45,484 million and $6,774 million of funded and unfunded exposure at March 31, 2021, respectively, primarily related to the delinquency-managed private bank portfolio.

(2) Includes non-accrual loan exposures and criticized unfunded exposures.

(3) Excludes $411 million of past due loans primarily related to delinquency-managed private bank portfolio.

(4) Net charge-offs (recoveries) are for the three months ended March 31, 2021 and exclude delinquency-managed private bank charge-offs of $2 million.

(5) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $38.8 billion of purchased credit protection, $36.8 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.0 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.

(6) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $19.1 billion ($9.8 billion in funded, with more than 99% rated investment grade) as of March 31, 2021.

(7) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrial sector (e.g., off-shore drilling entities) included in the table above. As of March 31, 2021, Citi’s total exposure to these energy-related entities was approximately $6.9 billion, of which approximately $3.6 billion consisted of direct outstanding funded loans.

Exposure to Commercial Real Estate

As of March 31, 2021, ICG ’s total corporate credit exposure to commercial real estate (CRE) was $62 billion, with $44 billion consisting of direct outstanding funded loans (mainly included in the real estate and private bank categories in the above table), or 7% of Citi’s total outstanding loans. In addition, as of March 31, 2021, more than 70% of ICG ’s total corporate CRE exposure was to borrowers in the United States. Also as of March 31, 2021, approximately 73% of ICG ’s total corporate CRE exposure was rated investment grade.

As of March 31, 2021, the ACLL was 1.8% of funded CRE exposure, including 4.3% of funded non-investment grade exposure.

Of the total CRE exposure:

• $20 billion of the exposure ($13 billion of direct outstanding funded loans) relates to Community Reinvestment Act-related lending provided pursuant to Citi’s regulatory requirements to meet the credit needs of borrowers in low and moderate income neighborhoods.

• $18 billion of the exposure ($15 billion of direct outstanding funded loans) relates to exposure secured by mortgages on underlying properties or in well-rated securitization exposures.

• $13 billion of the exposure ($5 billion of direct outstanding funded loans) relates to unsecured loans to large REITs, with nearly 74% of the exposure rated investment grade.

• $11 billion of exposure ($11 billion of direct outstanding funded loans) relates to CRE exposure in the private bank of which 100% is secured by mortgages. In addition, 44% of the exposure is also full recourse to the client. As of March 31, 2021, 78% of the exposure was rated investment grade.

The following table details Citi’s corporate credit portfolio by industry as of December 31, 2020:


									Non-investment grade						Selected metrics
In millions of dollars	Total credit exposure		Funded (1)		Unfunded (1)		Investment grade		Non-criticized		Criticized performing		Criticized non-performing (2)		30 days or more past due and accruing (3)		Net charge-offs (recoveries) (4)		Credit derivative hedges (5)
Transportation and industrials	$	147,218	$	60,122	$	87,096	$	106,041	$	17,452	$	21,927	$	1,798	$	136	$	239	$	(8,110)
Autos (6)	53,874		25,310		28,564		43,059		4,374		6,167		274		8		45		(3,220)
Transportation	27,693		14,107		13,586		16,410		2,993		6,872		1,418		17		144		(1,166)
Industrials	65,651		20,705		44,946		46,572		10,085		8,888		106		111		50		(3,724)
Private bank	109,397		75,693		33,704		104,244		2,395		2,510		248		963		78		(1,080)
Consumer retail	82,129		34,809		47,320		60,741		11,653		9,418		317		146		64		(5,493)
Technology, media and telecom	82,657		30,880		51,777		61,296		15,924		5,214		223		107		74		(7,237)
Real estate	65,392		43,285		22,107		54,413		5,342		5,453		184		334		18		(642)
Power, chemicals, metals and mining	63,926		20,810		43,116		47,923		11,554		4,257		192		59		70		(5,341)
Power	26,916		6,379		20,537		22,665		3,336		761		154		14		57		(2,637)
Chemicals	22,356		7,969		14,387		16,665		3,804		1,882		5		32		8		(2,102)
Metals and mining	14,654		6,462		8,192		8,593		4,414		1,614		33		13		5		(602)
Banks and finance companies	52,925		29,856		23,069		43,831		4,648		4,387		59		27		79		(765)
Energy and commodities (7)	49,524		15,086		34,438		34,636		7,345		6,546		997		70		285		(4,199)
Health	35,504		8,658		26,846		29,164		4,354		1,749		237		17		17		(1,964)
Public sector	26,887		13,599		13,288		22,276		1,887		2,708		16		45		9		(1,089)
Insurance	26,576		1,925		24,651		25,864		575		136		1		27		1		(2,682)
Asset managers and funds	19,745		4,491		15,254		18,528		1,013		191		13		41		(1)		(84)
Financial markets infrastructure	12,610		229		12,381		12,590		20		—		—		—		—		(9)
Securities firms	976		430		546		573		298		97		8		—		—		(6)
Other industries	9,307		4,545		4,762		4,980		2,702		1,442		183		10		43		(138)
Total	$	784,773	$	344,418	$	440,355	$	627,100	$	87,162	$	66,035	$	4,476	$	1,982	$	976	$	(38,839)

(1) Excludes $42.6 billion and $4.4 billion of funded and unfunded exposure at December 31, 2020, respectively, primarily related to the delinquency-managed private bank portfolio.

(2) Includes non-accrual loan exposures and criticized unfunded exposures.

(3) Excludes $162 million of past due loans primarily related to the delinquency-managed private bank portfolio.

(4) Net charge-offs (recoveries) are for the year ended December 31, 2020 and exclude delinquency-managed private bank charge-offs of $10 million.

(6) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $20.2 billion ($10.3 billion in funded, with more than 99% rated investment grade) as of December 31, 2020.

(7) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2020, Citi’s total exposure to these energy-related entities was approximately $7.0 billion, of which approximately $3.8 billion consisted of direct outstanding funded loans.

Credit Risk Mitigation

As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Principal transactions in the Consolidated Statement of Income.

At March 31, 2021, December 31, 2020 and March 31, 2020, ICG (excluding the delinquency-managed private bank portfolio) had economic hedges on the corporate credit portfolio of $38.8 billion, $38.8 billion and $33.0 billion, respectively. Citigroup’s expected credit loss model used in the calculation of its ACL does not include the favorable impact of credit derivatives and other mitigants that are marked to market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying ICG (excluding the delinquency-managed private bank portfolio) corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure


	March 31, 2021		December 31, 2020		March 31, 2020
AAA/AA/A	32	%	30	%	32	%
BBB	47		48		52
BB/B	18		19		14
CCC or below	3		3		2
Total	100	%	100	%	100	%

ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding


	1st Qtr.			4th Qtr.			3rd Qtr.			2nd Qtr.			1st Qtr.
In millions of dollars	2021			2020			2020			2020			2020
Consumer loans
In North America offices (1)
Residential first mortgages (2)	$	45,739		$	47,778		$	48,370		$	48,167		$	47,260
Home equity loans (2)	6,638			7,128			7,625			8,524			8,936
Credit cards	121,048			130,385			125,485			128,032			137,316
Personal, small business and other	4,600			4,509			4,689			4,859			3,675
Total	$	178,025		$	189,800		$	186,169		$	189,582		$	197,187
In offices outside North America (1)
Residential first mortgages (2)	$	39,833		$	39,969		$	38,507		$	37,194		$	35,744
Credit cards	21,137			22,692			21,108			20,966			21,801
Personal, small business and other	35,039			36,378			34,241			33,371			33,698
Total	$	96,009		$	99,039		$	93,856		$	91,531		$	91,243
Consumer loans, net of unearned income (3)	$	274,034		$	288,839		$	280,025		$	281,113		$	288,430
Corporate loans
In North America offices (1)
Commercial and industrial	$	55,497		$	57,731		$	59,921		$	70,755		$	81,231
Financial institutions	57,009			55,809			52,884			53,860			60,653
Mortgage and real estate (2)	60,976			60,675			59,340			57,821			55,428
Installment and other	29,186			26,744			26,858			25,602			30,591
Lease financing	539			673			704			869			988
Total	$	203,207		$	201,632		$	199,707		$	208,907		$	228,891
In offices outside North America (1)
Commercial and industrial	$	102,666		$	104,072		$	108,551		$	115,471		$	121,703
Financial institutions	34,729			32,334			32,583			35,173			37,003
Mortgage and real estate (2)	11,166			11,371			10,424			10,332			9,639
Installment and other	35,347			33,759			32,323			30,678			31,728
Lease financing	56			65			63			66			72
Governments and official institutions	4,783			3,811			3,235			3,552			3,554
Total	$	188,747		$	185,412		$	187,179		$	195,272		$	203,699
Corporate loans, net of unearned income (4)	$	391,954		$	387,044		$	386,886		$	404,179		$	432,590
Total loans—net of unearned income	$	665,988		$	675,883		$	666,911		$	685,292		$	721,020
Allowance for credit losses on loans (ACLL)	(21,638)			(24,956)			(26,426)			(26,420)			(20,841)
Total loans—net of unearned income and ACLL	$	644,350		$	650,927		$	640,485		$	658,872		$	700,179
ACLL as a percentage of total loans— net of unearned income (5)	3.29		%	3.73		%	4.00		%	3.87		%	2.84		%
ACLL for consumer loan losses as a percentage of total consumer loans—net of unearned income (5)	6.41		%	6.77		%	6.96		%	6.93		%	5.87		%
ACLL for corporate loan losses as a percentage of total corporate loans—net of unearned income (5)	1.06		%	1.42		%	1.82		%	1.71		%	0.81		%

(1) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America . The classification of corporate loans between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.

(2) Loans secured primarily by real estate.

(3) Consumer loans are net of unearned income of $700 million, $749 million, $739 million, $734 million and $771 million at March 31, 2021, December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.

(4) Corporate loans include private bank loans and are net of unearned income of $(844) million, $(844) million, $(857) million, $(854) million and $(791) million at March 31, 2021, December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.

(5) Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.

Details of Credit Loss Experience


	1st Qtr.			4th Qtr.			3rd Qtr.			2nd Qtr.			1st Qtr.
In millions of dollars	2021			2020			2020			2020			2020
Allowance for credit losses on loans (ACLL) at beginning of period	$	24,956		$	26,426		$	26,298		$	20,380		$	12,783
Adjustment to opening balance:
Financial instruments—credit losses (CECL) (1)	—			—			—			—			4,201
Variable post-charge-off third-party collection costs (2)	—			—			—			—			(443)
Adjusted ACLL at beginning of period	$	24,956		$	26,426		$	26,298		$	20,380		$	16,541
Provision for credit losses on loans (PCLL)
Consumer (2)	$	(354)		$	1,034		$	1,500		$	4,297		$	4,934
Corporate	(1,125)			(1,410)			431			3,693			1,443
Total	$	(1,479)		$	(376)		$	1,931		$	7,990		$	6,377
Gross credit losses on loans
Consumer
In U.S. offices	$	1,247		$	1,130		$	1,479		$	1,675		$	1,763
In offices outside the U.S.	758			524			537			506			577
Corporate
In U.S. offices	156			159			194			177			117
In offices outside the U.S.	47			76			157			170			22
Total	$	2,208		$	1,889		$	2,367		$	2,528		$	2,479
Credit recoveries on loans (2)
Consumer
In U.S. offices	$	316		$	270		$	304		$	235		$	274
In offices outside the U.S.	127			122			118			109			134
Corporate
In U.S. offices	10			16			8			12			7
In offices outside the U.S.	7			9			18			11			5
Total	$	460		$	417		$	448		$	367		$	420
Net credit losses on loans (NCLs)
In U.S. offices	$	1,077		$	980		$	1,361		$	1,605		$	1,599
In offices outside the U.S.	671			492			558			556			460
Total	$	1,748		$	1,472		$	1,919		$	2,161		$	2,059
Other—net (3)(4)(5)(6)(7)(8)	$	(91)		$	378		$	116		$	89		$	(479)
Allowance for credit losses on loans (ACLL) at end of period	$	21,638		$	24,956		$	26,426		$	26,298		$	20,380
ACLL as a percentage of EOP loans (9)	3.29		%	3.73		%	4.00		%	3.87		%	2.84		%
Allowance for credit losses on unfunded lending commitments (ACLUC) (10)(11)	$	2,012		$	2,655		$	2,299		$	1,859		$	1,813
Total ACLL and ACLUC	$	23,650		$	27,611		$	28,725		$	28,157		$	22,193
Net consumer credit losses on loans	$	1,562		$	1,262		$	1,594		$	1,837		$	1,932
As a percentage of average consumer loans	2.28		%	1.77		%	2.26		%	2.63		%	2.59		%
Net corporate credit losses on loans	$	186		$	210		$	325		$	324		$	127
As a percentage of average corporate loans	0.20		%	0.22		%	0.33		%	0.31		%	0.13		%
ACLL by type at end of period (12)
Consumer	$	17,554		$	19,554		$	19,488		$	19,474		$	16,929
Corporate	4,084			5,402			6,938			6,824			3,451
Total	$	21,638		$	24,956		$	26,426		$	26,298		$	20,380

(1) On January 1, 2020, Citi adopted Accounting Standards Update (ASC) 326, Financial Instruments—Credit Losses (CECL) . The ASU introduces a new credit loss methodology requiring earlier recognition of credit losses while also providing additional transparency about credit risk. On January 1, 2020, Citi recorded a $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the consumer allowance for credit losses due to longer estimated tenors for cards than under the incurred loss methodology under prior U.S. GAAP, net of recoveries; and (ii) a $(0.8) billion decrease to the corporate allowance for

credit losses due to shorter remaining tenors, incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies. See Note 1 to the Consolidated Financial Statements for further discussion on the impact of Citi’s adoption of CECL.

(2) Citi had a change in accounting related to its variable post-charge-off third-party collection costs that was recorded as an adjustment to its January 1, 2020 opening allowance for credit losses on loans of $443 million. See Note 1 to the Consolidated Financial Statements.

(3) 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.

(4) The first quarter of 2021 includes a decrease of approximately $108 million related to FX translation.

(5) The fourth quarter of 2020 includes an increase of approximately $376 million related to FX translation.

(6) The third quarter of 2020 includes an increase of approximately $116 million related to FX translation.

(7) The second quarter of 2020 includes an increase of approximately $88 million related to FX translation.

(8) The first quarter of 2020 includes a decrease of approximately $483 million related to FX translation.

(9) March 31, 2021, December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020, exclude $7.5 billion, $6.9 billion, $5.5 billion, $5.8 billion and $4.0 billion, respectively, of loans that are carried at fair value.

(10) At June 30, 2020, the corporate ACLUC includes a non-provision transfer of $68 million, representing reserves on performance guarantees as of March 31, 2020. The reserves on these contracts have been reclassified out of the allowance for credit losses on unfunded lending commitments and into other liabilities as of June 30, 2020.

(11) Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.

(12) See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements. 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 Credit Losses on Loans (ACLL)

The following tables detail information on Citi’s ACLL, loans and coverage ratios:


	March 31, 2021
In billions of dollars	ACLL		EOP loans, net of unearned income		ACLL as a percentage of EOP loans (1)
North America cards (2)	$	13.3	$	121.0	11.0	%
North America mortgages (3)	0.5		52.4		1.0
North America other	0.3		4.6		6.5
International cards	1.8		21.1		8.5
International other (4)	1.6		74.9		2.1
Total consumer	$	17.5	$	274.0	6.4	%
Total corporate	4.1		392.0		1.1
Total Citigroup	$	21.6	$	666.0	3.3	%

(1) Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.

(2) Includes both Citi-branded cards and Citi retail services. The $13.3 billion of loan loss reserves represented approximately 43 months of coincident net credit loss coverage. As of March 31, 2021, North America Citi-branded cards ACLL as a percentage of EOP loans was 9.8% and North America Citi retail services ACLL as a percentage of EOP loans was 13.4%.

(3) Of the $0.5 billion, approximately $0.2 billion was allocated to North America mortgages in Corporate/Other , including approximately $0.4 billion and $0.1 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $52.4 billion in loans, approximately $50.6 billion and $1.8 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.

(4) Includes mortgages and other retail loans.


	December 31, 2020
In billions of dollars	ACLL		EOP loans, net of unearned income		ACLL as a percentage of EOP loans (1)
North America cards (2)	$	14.7	$	130.4	11.3	%
North America mortgages (3)	0.7		54.9		1.3
North America other	0.3		4.5		6.7
International cards	2.1		22.7		9.3
International other (4)	1.8		76.3		2.4
Total consumer	$	19.6	$	288.8	6.8	%
Total corporate	5.4		387.1		1.4
Total Citigroup	$	25.0	$	675.9	3.7	%

(1) Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.

(2) Includes both Citi-branded cards and Citi retail services. The $14.7 billion of loan loss reserves represented approximately 53 months of coincident net credit loss coverage. As of December 31, 2020, North America Citi-branded cards ACLL as a percentage of EOP loans was 10.0% and North America Citi retail services ACLL as a percentage of EOP loans was 13.6%.

(3) Of the $0.7 billion, approximately $0.3 billion was allocated to North America mortgages in Corporate/Other , including approximately $0.5 billion and $0.2 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $54.9 billion in loans, approximately $53.0 billion and $1.9 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.

(4) Includes mortgages and other retail loans.

The following table details Citi’s corporate credit allowance for credit losses on loans (ACLL) by industry exposure:


	March 31, 2021
In millions of dollars, except percentages	Funded exposure (1)		ACLL (2)(3)		ACLL as a % of funded exposure
Transportation and industrials	$	55,775	$	1,075	1.9	%
Private bank	78,556		228		0.3
Consumer retail	33,415		414		1.2
Technology, media and telecom	28,288		275		1.0
Real estate	42,977		594		1.4
Power, chemicals, metals and mining	20,148		202		1.0
Banks and finance companies	32,581		85		0.3
Energy and commodities	13,844		446		3.2
Health	8,063		102		1.3
Public sector	14,353		229		1.6
Insurance	2,517		9		0.4
Asset managers and funds	4,793		21		0.4
Financial markets infrastructure	853		1		0.1
Securities firms	227		5		2.2
Other industries	2,570		85		3.3
Total	$	338,960	$	3,771	1.1	%

(1) Funded exposure excludes approximately $45.5 billion, primarily related to the delinquency-managed credit portfolio of the private bank, with an associated ACLL of $313 million and $7.5 billion of loans at fair value that are not subject to ACLL under the CECL standard.

(2) As of March 31, 2021, the ACLL shown above reflects coverage of 0.3% of funded investment-grade exposure and 3.6% of funded non-investment-grade exposure.

(3) Excludes $313 million of ACLL associated with delinquency-managed private bank exposures at March 31, 2021. Including those reserves and exposures, the total ACLL is 1.1% of total funded exposure, including 0.4% of funded investment-grade exposure and 3.6% of funded non-investment-grade exposure.

Non-Accrual Loans and Assets and Renegotiated Loans

For additional information on Citi’s non-accrual loans and assets and renegotiated loans, see “Non-Accrual Loans and Assets and Renegotiated Loans” in Citi’s 2020 Annual Report on Form 10-K.

Non-Accrual Loans

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


	Mar. 31,		Dec. 31,		Sept. 30,		Jun. 30,		Mar. 31,
In millions of dollars	2021		2020		2020		2020		2020
Corporate non-accrual loans (1)(2)
North America	$	1,566	$	1,928	$	2,018	$	2,466	$	1,138
EMEA	591		661		720		812		720
Latin America	739		719		609		585		447
Asia	210		219		237		153		179
Total corporate non-accrual loans	$	3,106	$	3,527	$	3,584	$	4,016	$	2,484
Consumer non-accrual loans
North America	$	961	$	1,059	$	934	$	928	$	926
Latin America	720		774		493		608		489
Asia (3)	303		308		263		293		284
Total consumer non-accrual loans	$	1,984	$	2,141	$	1,690	$	1,829	$	1,699
Total non-accrual loans	$	5,090	$	5,668	$	5,274	$	5,845	$	4,183

(1) Approximately 51%, 59%, 58 %, 63% and 45% of Citi’s corporate non-accrual loans were performing at March 31, 2021, December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020, re spectively.

(2) The March 31, 2021 corporate non-accrual loans represented 0.79% of total corporate loans .

(3) 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, 2021						March 31, 2020
In millions of dollars	Corporate		Consumer		Total		Corporate		Consumer		Total
Non-accrual loans at beginning of period	$	3,527	$	2,141	$	5,668	$	2,188	$	1,816	$	4,004
Additions	491		682		1,173		816		952		1,768
Sales and transfers to HFS	(1)		(58)		(59)		(1)		(20)		(21)
Returned to performing	(46)		(189)		(235)		(48)		(91)		(139)
Paydowns/settlements	(773)		(120)		(893)		(354)		(324)		(678)
Charge-offs	(75)		(445)		(520)		(91)		(327)		(418)
Other	(17)		(27)		(44)		(26)		(307)		(333)
Ending balance	$	3,106	$	1,984	$	5,090	$	2,484	$	1,699	$	4,183

The table below summarizes Citigroup’s other real estate owned (OREO) assets. OREO is recorded on the Consolidated Balance Sheet within Other assets . This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:


	Mar. 31,			Dec. 31,			Sept. 30,			Jun. 30,			Mar. 31,
In millions of dollars	2021			2020			2020			2020			2020
OREO
North America	$	14		$	19		$	22		$	32		$	35
EMEA	—			—			—			—			1
Latin America	10			7			8			6			6
Asia	19			17			12			6			8
Total OREO	$	43		$	43		$	42		$	44		$	50

Non-accrual assets
Corporate non-accrual loans	$	3,106		$	3,527		$	3,584		$	4,016		$	2,484
Consumer non-accrual loans	1,984			2,141			1,690			1,829			1,699
Non-accrual loans (NAL)	$	5,090		$	5,668		$	5,274		$	5,845		$	4,183
OREO	$	43		$	43		$	42		$	44		$	50
Non-accrual assets (NAA)	$	5,133		$	5,711		$	5,316		$	5,889		$	4,233
NAL as a percentage of total loans	0.76		%	0.84		%	0.79		%	0.85		%	0.58		%
NAA as a percentage of total assets	0.22			0.25			0.24			0.26			0.19
ACLL as a percentage of NAL (1)	425		%	440		%	501		%	450		%	487		%

(1) The ACLL 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).

Renegotiated Loans

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


In millions of dollars	Mar. 31, 2021		Dec. 31, 2020
Corporate renegotiated loans (1)
In U.S. offices
Commercial and industrial (2)	$	175	$	193
Mortgage and real estate	56		60
Financial institutions	—		—
Other	31		30
Total	$	262	$	283
In offices outside the U.S.
Commercial and industrial (2)	$	108	$	132
Mortgage and real estate	27		32
Financial institutions	—		—
Other	4		3
Total	$	139	$	167
Total corporate renegotiated loans	$	401	$	450
Consumer renegotiated loans (3)
In U.S. offices
Mortgage and real estate	$	1,808	$	1,904
Cards	1,483		1,449
Installment and other	34		33
Total	$	3,325	$	3,386
In offices outside the U.S.
Mortgage and real estate	$	357	$	361
Cards	509		533
Installment and other	542		519
Total	$	1,408	$	1,413
Total consumer renegotiated loans	$	4,733	$	4,799

(1) Includes $372 million and $415 million of non-accrual loans included in the non-accrual loans table above at March 31, 2021 and December 31, 2020, respectively. The remaining loans are accruing interest.

(2) In addition to modifications reflected as TDRs at March 31, 2021 and December 31, 2020, Citi also modified none and $47 million, respectively, 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 or because the modifications qualified for exemptions from TDR accounting provided by the CARES Act or Interagency Guidance.

(3) Includes $864 million and $873 million of non-accrual loans included in the non-accrual loans table above at March 31, 2021 and December 31, 2020, respectively. The remaining loans were accruing interest.

LIQUIDITY RISK

For additional information on funding and liquidity at Citigroup, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors—Liquidity Risks” in Citi’s 2020 Annual Report on Form 10-K.

High-Quality Liquid Assets (HQLA)


	Citibank						Citi non-bank and other entities						Total
In billions of dollars	Mar. 31, 2021		Dec. 31, 2020		Mar. 31, 2020		Mar. 31, 2021		Dec. 31, 2020		Mar. 31, 2020		Mar. 31, 2021		Dec. 31, 2020		Mar. 31, 2020
Available cash	$	276.6	$	304.3	$	170.9	$	3.0	$	2.1	$	3.1	$	279.6	$	306.4	$	174.0
U.S. sovereign	85.0		77.8		92.1		67.7		64.8		34.7		152.7		142.6		126.8
U.S. agency/agency MBS	37.0		31.8		52.4		6.3		6.5		7.2		43.3		38.3		59.6
Foreign government debt (1)	43.6		39.6		66.3		13.7		16.2		12.7		57.3		55.8		78.9
Other investment grade	1.4		1.2		1.5		0.6		0.5		1.1		2.0		1.7		2.7
Total HQLA (AVG)	$	443.6	$	454.7	$	383.2	$	91.3	$	90.1	$	58.8	$	534.8	$	544.8	$	442.0

Note: The amounts set forth in the table above are presented on an average basis. For securities, the amounts represent the liquidity value that potentially could be realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts applicable under the U.S. LCR rule. The table above incorporates various restrictions that could limit the transferability of liquidity between legal entities, including Section 23A of the Federal Reserve Act.

(1) Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Japan, Mexico, Hong Kong, South Korea and India.

The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated Liquidity Coverage ratio ( LCR), pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities and any amounts in excess of these minimums that are assumed to be transferable to other entities within Citigroup. Citigroup’s HQLA decreased quarter-over-quarter, primarily reflecting a decrease in cash as Citi optimized its overall HQLA and deployed liquidity.

As of March 31, 2021, Citigroup had approximately $957 billion of available liquidity resources to support client and business needs, including end-of-period HQLA assets; additional unencumbered securities, including excess liquidity held at bank entities that is non-transferable to other entities within Citigroup; and available assets not already accounted for within Citi’s HQLA to support Federal Home Loan Bank (FHLB) and Federal Reserve Bank discount window borrowing capacity.

Short-Term Liquidity Measurement: Liquidity Coverage Ratio (LCR)

In addition to internal 30-day liquidity stress testing performed for Citi’s major entities, operating subsidiaries and countries, Citi also monitors its liquidity by reference to the LCR. The table below details the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:


In billions of dollars	Mar. 31, 2021			Dec. 31, 2020			Mar. 31, 2020
HQLA	$	534.8		$	544.8		$	442.0
Net outflows	463.7			460.7			385.8
LCR	115		%	118		%	115		%
HQLA in excess of net outflows	$	71.1		$	84.1		$	56.2

Note: The amounts are presented on an average basis.

As of March 31, 2021, Citigroup’s average LCR decreased from the fourth quarter of 2020. The decrease was primarily driven by Citi’s deploying liquidity and optimizing its overall HQLA.

Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)

As previously disclosed, in October 2020, the U.S. banking agencies adopted a final rule to assess the availability of a bank’s stable funding against a required level.

In general, a bank’s available stable funding will include portions of equity, deposits and long-term debt, while its required stable funding will be based on the liquidity characteristics of its assets, derivatives and commitments. The ratio of available stable funding to required stable funding will be required to be greater than 100%.

The final rule becomes effective beginning July 1, 2021, while public disclosure requirements to report the ratio will occur on a semi-annual basis beginning June 30, 2023. Citi expects to be in compliance with the final rule upon its effective date.

Loans

The table below details 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, 2021		Dec. 31, 2020		Mar. 31, 2020
Global Consumer Banking
North America	$	174.4	$	179.4	$	193.3
Latin America	13.9		14.3		16.7
Asia (1)	83.4		82.4		80.3
Total	$	271.7	$	276.1	$	290.3
Institutional Clients Group
Corporate lending	$	138.0	$	146.2	$	159.9
Treasury and trade solutions (TTS)	67.9		67.1		73.1
Private bank	119.8		113.3		109.9
Markets and securities services and other	61.7		56.1		52.1
Total	$	387.4	$	382.7	$	395.0
Total Corporate/Other	$	6.9	$	7.4	$	9.4
Total Citigroup loans (AVG)	$	666.0	$	666.2	$	694.7
Total Citigroup loans (EOP)	$	666.0	$	676.1	$	721.0

(1) Includes loans in certain EMEA countries for all periods presented.

End-of-period loans declined 8% year-over-year and 1% quarter-over-quarter.

On an average basis, loans declined 4% year-over-year and were unchanged sequentially. Excluding the impact of FX translation, average loans declined 5% year-over-year and 1% sequentially. On this basis, average GCB loans declined 8% year-over-year, primarily reflecting higher payment rates given high levels of liquidity due to U.S. fiscal stimulus and the impact of lower customer spending, primarily in Citi’s cards businesses in Asia and Mexico.

Excluding the impact of FX translation, average ICG loans declined 3% year-over-year. Loans in corporate lending declined 15% on an average basis, reflecting net repayments as Citi continued to assist its clients in accessing the capital markets, as well as lower demand. Private bank loans

increased 8%, largely driven by secured lending to high-net-worth clients, including residential real estate lending. TTS loans decreased 8%, reflecting weakness in underlying trade flows and the continued low level of spend in commercial cards driven by the impact of the pandemic.

Average Corporate/Othe r loans continued to decline (down 32%), driven by the wind-down of legacy assets.

Deposits

The table below details 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, 2021		Dec. 31, 2020		Mar. 31, 2020
Global Consumer Banking (1)
North America	$	197.0	$	188.9	$	161.3
Latin America	24.5		24.3		22.9
Asia (2)	123.8		120.0		105.9
Total	$	345.3	$	333.2	$	290.1
Institutional Clients Group
Treasury and trade solutions (TTS)	$	661.4	$	686.5	$	571.3
Banking ex-TTS	165.6		163.2		140.1
Markets and securities services	120.2		109.3		100.1
Total	$	947.3	$	959.0	$	811.5
Corporate/Other	$	11.4	$	13.1	$	12.9
Total Citigroup deposits (AVG)	$	1,304.0	$	1,305.3	$	1,114.5
Total Citigroup deposits (EOP)	$	1,301.0	$	1,280.7	$	1,184.9

(1) Reflects deposits within retail banking.

(2) Includes deposits in certain EMEA countries for all periods presented.

End-of-period deposits increased 10% year-over-year and 2% sequentially.

On an average basis, deposits increased 17% year-over-year and were largely unchanged sequentially. Excluding the impact of FX translation, average deposits grew 15% from the prior-year period and declined 1% sequentially. The year-over-year increase reflected continued client engagement as well as the elevated level of liquidity in the financial system. On this basis, average deposits in GCB increased 18%, with strong growth across all regions.

Excluding the impact of FX translation, average deposits in ICG grew 15% year-over-year, primarily driven by growth in TTS, as well as continued growth in the private bank and securities services.

Long-Term Debt

The weighted-average maturity of unsecured long-term debt issued by Citigroup and its affiliates (including Citibank) with a remaining life greater than one year was approximately 8.9 years as of March 31, 2021, compared to 9.0 years as of the prior year and 8.6 years as of the prior quarter. The weighted-average maturity is calculated based on the contractual maturity of each security. For securities that are redeemable prior to maturity at the option of the holder, the weighted-average maturity is calculated based on the earliest date an option becomes exercisable.

Citi’s long-term debt outstanding at the Citigroup parent company includes benchmark senior and subordinated debt and what Citi refers to as customer-related debt, consisting of structured notes, such as equity- and credit-linked notes, as well as non-structured notes. Citi’s issuance of customer-related debt is generally driven by customer demand and complements benchmark debt issuance as a source of funding for Citi’s non-bank entities. Citi’s long-term debt at the bank includes bank notes, FHLB advances and securitizations.

Long-Term Debt Outstanding

The following table sets forth Citi’s end-of-period total long-term debt outstanding for each of the dates indicated:


In billions of dollars	Mar. 31, 2021		Dec. 31, 2020		Mar. 31, 2020
Non-bank (1)
Benchmark debt:
Senior debt	$	120.1	$	126.2	$	115.5
Subordinated debt	25.9		27.1		27.5
Trust preferred	1.7		1.7		1.7
Customer-related debt	66.2		65.2		51.7
Local country and other (2)	5.9		6.7		7.3
Total non-bank	$	219.8	$	226.9	$	203.7
Bank
FHLB borrowings	$	10.9	$	10.9	$	16.0
Securitizations (3)	12.8		16.6		20.8
Citibank benchmark senior debt	9.2		13.6		22.2
Local country and other (2)	3.6		3.7		3.4
Total bank	$	36.5	$	44.8	$	62.4
Total long-term debt	$	256.3	$	271.7	$	266.1

Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet that, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.

(1) Non-bank includes long-term debt issued to third parties by the parent holding company (Citigroup) and Citi’s non-bank subsidiaries (including broker-dealer subsidiaries) that are consolidated into Citigroup. As of March 31, 2021, non-bank included $55.7 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries, as well as certain Citigroup consolidated hedging activities.

(2) Local country and other includes debt issued by Citi’s affiliates in support of their local operations. Within non-bank, certain secured financing is also included.

(3) Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

Citi’s total long-term debt outstanding decreased year-over-year, primarily driven by declines in unsecured benchmark senior debt, FHLB borrowings and securitizations at the bank, partially offset by the issuance of unsecured benchmark senior debt and customer-related debt at the non-bank entities. Sequentially, long-term debt outstanding decreased, driven primarily by declines in unsecured benchmark senior debt at the non-bank entities, as well as declines in unsecured benchmark senior debt and securitizations at the bank.

As part of its liability management, Citi has considered, and may continue to consider, opportunities to redeem or repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such redemptions and repurchases help reduce Citi’s overall funding costs. During the first quarter of 2021, Citi redeemed or repurchased an aggregate of approximately $10.7 billion of its outstanding long-term debt.

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:


	1Q21				4Q20				1Q20
In billions of dollars	Maturities		Issuances		Maturities		Issuances		Maturities		Issuances
Non-bank
Benchmark debt:
Senior debt	$	4.3	$	2.5	$	3.0	$	2.5	$	2.1	$	7.6
Subordinated debt	—		—		—		—		—		—
Trust preferred	—		—		—		—		—		—
Customer-related debt	8.6		12.2		6.3		7.4		6.4		7.9
Local country and other	1.4		0.5		1.6		0.2		0.4		0.2
Total non-bank	$	14.3	$	15.2	$	10.9	$	10.1	$	8.9	$	15.7
Bank
FHLB borrowings	$	—	$	—	$	3.8	$	—	$	2.4	$	12.9
Securitizations	3.7		—		0.1		0.3		0.1		—
Citibank benchmark senior debt	4.3		—		0.7		—		1.0		—
Local country and other	0.1		0.3		0.4		0.5		0.7		0.3
Total bank	$	8.1	$	0.3	$	5.0	$	0.8	$	4.2	$	13.2
Total	$	22.4	$	15.5	$	15.9	$	10.9	$	13.1	$	28.9

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2021, as well as its aggregate expected remaining long-term debt maturities by year as of March 31, 2021:


	1Q21		Maturities
In billions of dollars			2021		2022		2023		2024		2025		2026		Thereafter		Total
Non-bank
Benchmark debt:
Senior debt	$	4.3	$	10.2	$	11.5	$	12.8	$	11.2	$	7.3	$	18.8	$	48.2	$	120.1
Subordinated debt	—		—		0.8		1.3		1.1		5.2		2.6		15.0		25.9
Trust preferred	—		—		—		—		—		—		—		1.7		1.7
Customer-related debt	8.6		5.9		9.6		7.5		4.9		4.8		2.9		30.6		66.2
Local country and other	1.4		0.7		1.5		2.3		—		0.1		0.7		0.7		5.9
Total non-bank	$	14.3	$	16.8	$	23.4	$	23.9	$	17.2	$	17.4	$	25.0	$	96.2	$	219.8
Bank
FHLB borrowings	$	—	$	5.7	$	5.3	$	—	$	—	$	—	$	—	$	—	$	10.9
Securitizations	3.7		3.4		2.1		2.4		1.3		0.4		—		3.2		12.8
Citibank benchmark senior debt	4.3		—		2.5		4.0		—		2.7		—		—		9.2
Local country and other	0.1		0.8		1.4		0.2		0.6		0.1		0.1		0.3		3.6
Total bank	$	8.1	$	9.9	$	11.3	$	6.6	$	1.9	$	3.2	$	0.1	$	3.5	$	36.5
Total long-term debt	$	22.4	$	26.7	$	34.7	$	30.5	$	19.1	$	20.6	$	25.1	$	99.7	$	256.3

Secured Funding Transactions and Short-Term Borrowings

Citi supplements its primary sources of funding with short-term financings that generally include (i) secured funding transactions consisting of securities loaned or sold under agreements to repurchase, i.e., repos, and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants.

Secured Funding Transactions

Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both (i) secured lending activity and (ii) a portion of the securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which are typically collateralized by government debt securities. Generally, daily changes in the level of Citi’s secured funding are primarily due to fluctuations in secured lending activity in the matched book (as described below) and securities inventory.

Secured funding of $219 billion as of March 31, 2021 declined 1% from the prior-year period and increased 10% sequentially. Excluding the impact of FX translation, secured funding declined 6% from the prior-year period and increased 12% sequentially, both driven by normal business activity. The average balance for secured funding was approximately $235 billion for the quarter ended March 31, 2021.

The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less liquid securities, including equity securities, corporate bonds and asset-backed securities, the tenor of which is generally equal to or longer than the tenor of the corresponding matched book assets.

The remainder of the secured funding activity in the broker-dealer subsidiaries serves to fund securities inventory held in the context of market making and customer activities. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral and establishing minimum required funding tenors. The weighted average maturity of Citi’s secured funding of less liquid securities inventory was greater than 110 days as of March 31, 2021.

Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenor, haircut, collateral profile and client actions. In addition, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.

Short-Term Borrowings

Citi’s short-term borrowings of $32 billion decreased 42% year-over-year, primarily driven by a decline in FHLB advances. Sequentially, short-term borrowings increased by 9%, driven by customer-related debt issuance (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).

Credit Ratings

While not included in the table below, 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, 2021.

Ratings as of March 31, 2021

Citigroup Inc.

Citibank, N.A.

Senior
debt

Commercial
paper

Outlook

Long-
term

Short-
term

Outlook

Fitch Ratings (Fitch)

Negative

A+

Negative

Moody’s Investors Service (Moody’s)

P-2

Stable

Aa3

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 2020 Annual Report on Form 10-K.

Citigroup Inc. and Citibank—Potential Derivative Triggers

As of March 31, 2021, 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 $1.5 billion, compared to $0.6 billion as of December 31, 2020. Other funding sources, such as secured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.

As of March 31, 2021, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity due to derivative triggers by approximately $0.5 billion, compared to $0.4 billion as of December 31, 2020. Other funding sources, such as secured funding transactions and other margin requirements, for which there are no explicit triggers, could also be adversely impacted.

In total, as of March 31, 2021, 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 $1.9 billion, compared to $1.0 billion as of December 31, 2020 (see also Note 19 to the Consolidated Financial Statements). As detailed under “High-Quality Liquid Assets” above, Citigroup has various liquidity resources available to its bank and non-bank entities in part as a contingency for the potential events described above.

In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings at certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.

Citibank—Additional Potential Impacts

In addition to the above derivative triggers, Citi believes that a potential downgrade of Citibank’s senior debt/long-term rating across any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of March 31, 2021, Citibank had liquidity commitments of approximately $10.0 billion to consolidated asset-backed commercial paper conduits, unchanged from the prior quarter (for additional information, see Note 18 to the Consolidated Financial Statements).

In addition to the above-referenced liquidity resources of certain Citibank entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients’ adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.

MARKET RISK

Market risk emanates from both Citi’s trading and non-trading portfolios. For additional information on market risk and market risk management at Citi, see “Market Risk” and “Risk Factors” in Citi’s 2020 Annual Report on Form 10-K.

Market Risk of Non-Trading Portfolios

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 (bps) increase in interest rates:


In millions of dollars, except as otherwise noted	Mar. 31, 2021			Dec. 31, 2020			Mar. 31, 2020
Estimated annualized impact to net interest revenue
U.S. dollar (1)	$	102		$	373		$	(142)
All other currencies	636			683			660
Total	$	738		$	1,056		$	518
As a percentage of average interest-earning assets	0.03		%	0.05		%	0.03		%
Estimated initial negative impact to AOCI (after-tax) (2)	$	(5,395)		$	(5,645)		$	(5,746)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)	(32)			(34)			(34)

(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 $(9) million for a 100 bps instantaneous increase in interest rates as of March 31, 2021.

(2) Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

As shown in the table above, Citi decreased its net interest revenue exposure due to an increase in interest rates. The decrease was predominantly in U.S. dollar exposure, which was $102 million as of March 31, 2021, primarily driven by an increase in investment securities.

The relatively small quarterly change in the estimated impact to AOCI primarily reflected a continuation of the positioning strategy of Citi Treasury’s investment securities and related interest rate derivatives portfolio. In the event of a parallel instantaneous 100 bps increase in interest rates, Citi expects that the negative impact to AOCI would be offset in stockholders’ equity through the expected recovery of the impact on AOCI through accretion of Citi’s investment portfolio over a period of time. As of March 31, 2021, Citi expects that the negative $5.4 billion impact to AOCI in such a scenario could potentially be offset over approximately 35 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 five different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies. The 100 bps downward rate scenarios are impacted by the low level of interest rates in several countries and the assumption that market interest rates, as well as rates paid to depositors and charged to borrowers, do not fall below zero (i.e., the “flooring assumption”). The rate scenarios are also impacted by convexity related to mortgage products.

In addition, in the table below, 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 millions of dollars, except as otherwise noted	Scenario 1		Scenario 2		Scenario 3		Scenario 4		Scenario 5
Overnight rate change (bps)	100		100		—		—		(100)
10-year rate change (bps)	100		—		100		(100)		(100)
Estimated annualized impact to net interest revenue
U.S. dollar	$	102	$	167	$	64	$	(264)	$	(549)
All other currencies	636		594		37		(37)		(391)
Total	$	738	$	761	$	101	$	(301)	$	(940)
Estimated initial impact to AOCI (after-tax) (1)	$	(5,395)	$	(3,356)	$	(2,361)	$	1,843	$	3,301
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)	(32)		(20)		(15)		11		16

Note: Each scenario assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated.

(1) Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital

As of March 31, 2021, 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 $1.8 billion, or 1.1%, as a result of changes to Citi’s foreign currency translation adjustment in AOCI , net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, Euro and Indian rupee.

This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further affect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.

The effect of Citi’s ongoing management strategies with respect to 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, except as otherwise noted	Mar. 31, 2021			Dec. 31, 2020			Mar. 31, 2020
Change in FX spot rate (1)	(2.3)		%	5.5		%	(9.2)		%
Change in TCE due to FX translation, net of hedges	$	(1,030)		$	1,829		$	(3,201)
As a percentage of TCE	(0.7)		%	1.2		%	(2.1)		%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due to changes in FX translation, net of hedges (bps)	(1)			2			(5)

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

Interest Revenue/Expense and Net Interest Margin (NIM)


	1st Qtr.				4th Qtr.				1st Qtr.				Change
In millions of dollars, except as otherwise noted	2021				2020				2020				1Q21 vs. 1Q20
Interest revenue (1)	$	12,587			$	13,095			$	17,185			(27)	%
Interest expense (2)	2,368				2,564				5,647				(58)
Net interest revenue, taxable equivalent basis	$	10,219			$	10,531			$	11,538			(11)	%
Interest revenue—average rate (3)	2.41		%		2.48		%		3.69		%		(128)		bps
Interest expense—average rate	0.56				0.60				1.49				(93)		bps
Net interest margin (3)(4)	1.95				2.00				2.48				(53)		bps
Interest-rate benchmarks
Two-year U.S. Treasury note—average rate	0.13		%		0.15		%		1.08		%		(95)		bps
10-year U.S. Treasury note—average rate	1.34				0.86				1.37				(3)		bps
10-year vs. two-year spread	121			bps	71			bps	29			bps

Note: All interest expense amounts include FDIC, as well as other similar deposit insurance assessments outside of the U.S.

(1) Net interest revenue includes the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of $53 million, $48 million and $46 million for the three months ended March 31, 2021, December 31, 2020 and March 31, 2020, respectively.

(2) Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated Statement of Income and is therefore not reflected in Interest expense in the table above.

(3) The average rate on interest revenue and net interest margin reflects the taxable equivalent gross-up adjustment. See footnote 1 above.

(4) Citi’s net interest margin (NIM) is calculated by dividing net interest revenue by average interest-earning assets.

Non- ICG Markets Net Interest Revenue


	1st Qtr.		4th Qtr.		1st Qtr.		Change
In millions of dollars	2021		2020		2020		1Q21 vs. 1Q20
Net interest revenue (NIR)—taxable equivalent basis (1) per above	$	10,219	$	10,531	$	11,538	(11)	%
ICG Markets NIR—taxable equivalent basis (1)	1,334		1,348		1,182		13
Non- ICG Markets NIR—taxable equivalent basis (1)	$	8,885	$	9,183	$	10,356	(14)	%

Citi’s net interest revenue (NIR) in the first quarter of 2021 decreased 12% to $10.2 billion versus the prior-year period. Citi’s NIR on a taxable equivalent basis decreased 11% (as set forth in the table above). Excluding the impact of FX translation, this NIR declined year-over-year by approximately $1.4 billion, as a decline of approximately $1.5 billion in non- ICG Markets NIR was partially offset by a $140 million increase in ICG Markets (fixed income markets and equity markets) NIR. The decrease in non- ICG Markets NIR primarily reflected the impact of lower interest rates and lower loan balances in the consumer businesses as well as the impact of one fewer day versus last year. The increase in ICG Markets NIR largely reflected a change in the mix of trading positions in support of client activity.

Citi’s NIM was 1.95% on a taxable equivalent basis in the first quarter of 2021, a decrease of 5 basis points from the prior quarter, primarily reflecting the lower NIR, partially offset by Citi Treasury actions and balance sheet optimization.

Citi’s ICG Markets NIR and non- ICG Markets NIR are non-GAAP financial measures.

Additional Interest Rate Details

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

Taxable Equivalent Basis


Quarterly—Assets	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	2021		2020		2020		2021		2020		2020		2021		2020		2020
Deposits with banks (4)	$	307,340	$	334,056	$	207,130	$	145	$	126	$	527	0.19	%	0.15	%	1.02	%
Securities borrowed and purchased under agreements to resell (5)
In U.S. offices	$	163,790	$	158,013	$	141,351	$	117	$	126	$	749	0.29	%	0.32	%	2.13	%
In offices outside the U.S. (4)	142,591		140,628		127,549		177		196		459		0.50		0.55		1.45
Total	$	306,381	$	298,641	$	268,900	$	294	$	322	$	1,208	0.39	%	0.43	%	1.81	%
Trading account assets (6)(7)
In U.S. offices	$	154,798	$	147,080	$	130,138	$	752	$	835	$	975	1.97	%	2.26	%	3.01	%
In offices outside the U.S. (4)	153,019		148,317		122,320		586		571		619		1.55		1.53		2.04
Total	$	307,817	$	295,397	$	252,458	$	1,338	$	1,406	$	1,594	1.76	%	1.89	%	2.54	%
Investments
In U.S. offices
Taxable	$	295,570	$	282,847	$	238,298	$	806	$	801	$	1,158	1.11	%	1.13	%	1.95	%
Exempt from U.S. income tax	12,902		13,300		14,170		118		91		109		3.71		2.72		3.09
In offices outside the U.S. (4)	149,477		146,221		128,867		856		873		1,038		2.32		2.38		3.24
Total	$	457,949	$	442,368	$	381,335	$	1,780	$	1,765	$	2,305	1.58	%	1.59	%	2.43	%
Loans (net of unearned income) (8)
In U.S. offices	$	379,956	$	383,623	$	403,558	$	6,042	$	6,334	$	7,318	6.45	%	6.57	%	7.29	%
In offices outside the U.S. (4)	286,014		282,606		291,117		2,891		3,055		3,950		4.10		4.30		5.46
Total	$	665,970	$	666,229	$	694,675	$	8,933	$	9,389	$	11,268	5.44	%	5.61	%	6.52	%
Other interest-earning assets (9)	$	76,091	$	62,587	$	68,737	$	97	$	87	$	283	0.52	%	0.55	%	1.66	%
Total interest-earning assets	$	2,121,548	$	2,099,278	$	1,873,235	$	12,587	$	13,095	$	17,185	2.41	%	2.48	%	3.69	%
Non-interest-earning assets (6)	$	195,245	$	200,002	$	206,819

Total assets	$	2,316,793	$	2,299,280	$	2,080,054

(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 .

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

Taxable Equivalent Basis


Quarterly—Liabilities	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	2021		2020		2020		2021		2020		2020		2021		2020		2020
Deposits
In U.S. offices (4)	$	505,694	$	516,844	$	427,957	$	531	$	606	$	1,360	0.43	%	0.47	%	1.28	%
In offices outside the U.S. (5)	568,133		564,257		506,494		521		555		1,254		0.37		0.39		1.00
Total	$	1,073,827	$	1,081,101	$	934,451	$	1,052	$	1,161	$	2,614	0.40	%	0.43	%	1.13	%
Securities loaned and sold under agreements to repurchase (6)
In U.S. offices	$	146,942	$	138,118	$	128,499	$	171	$	166	$	718	0.47	%	0.48	%	2.25	%
In offices outside the U.S. (5)	88,321		89,139		70,011		82		81		367		0.38		0.36		2.11
Total	$	235,263	$	227,257	$	198,510	$	253	$	247	$	1,085	0.44	%	0.43	%	2.20	%
Trading account liabilities (7)(8)
In U.S. offices	$	51,797	$	41,271	$	36,453	$	22	$	44	$	138	0.17	%	0.42	%	1.52	%
In offices outside the U.S. (5)	65,567		54,204		48,047		92		78		101		0.57		0.57		0.85
Total	$	117,364	$	95,475	$	84,500	$	114	$	122	$	239	0.39	%	0.51	%	1.14	%
Short-term borrowings and other interest-bearing liabilities (9)
In U.S. offices	$	72,414	$	69,785	$	86,710	$	—	$	6	$	326	—	%	0.03	%	1.51	%
In offices outside the U.S. (5)	20,930		18,768		19,850		31		12		58		0.60		0.25		1.18
Total	$	93,344	$	88,553	$	106,560	$	31	$	18	$	384	0.13	%	0.08	%	1.45	%
Long-term debt (10)
In U.S. offices	$	201,491	$	217,148	$	198,006	$	905	$	1,016	$	1,318	1.82	%	1.86	%	2.68	%
In offices outside the U.S. (5)	4,773		3,810		4,186		13		—		7		1.10		—		0.67
Total	$	206,264	$	220,958	$	202,192	$	918	$	1,016	$	1,325	1.80	%	1.83	%	2.64	%
Total interest-bearing liabilities	$	1,726,062	$	1,713,344	$	1,526,213	$	2,368	$	2,564	$	5,647	0.56	%	0.60	%	1.49	%
Demand deposits in U.S. offices	$	56,632	$	33,739	$	26,709
Other non-interest-bearing liabilities (7)	333,113		355,944		333,293

Total liabilities	$	2,115,807	$	2,103,027	$	1,886,215
Citigroup stockholders’ equity	$	200,301	$	195,584	$	193,198
Noncontrolling interests	685		669		641
Total equity	$	200,986	$	196,253	$	193,839
Total liabilities and stockholders’ equity	$	2,316,793	$	2,299,280	$	2,080,054
Net interest revenue as a percentage of average interest-earning assets (11)
In U.S. offices	$	1,231,795	$	1,231,902	$	1,077,873	$	6,335	$	6,477	$	7,001	2.09	%	2.09	%	2.61	%
In offices outside the U.S. (6)	889,753		867,376		795,362		3,884		4,054		4,537		1.77		1.86		2.29
Total	$	2,121,548	$	2,099,278	$	1,873,235	$	10,219	$	10,531	$	11,538	1.95	%	2.00	%	2.48	%

(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 .

(8) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue . Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities , respectively.

(9) Includes Brokerage payables .

(10) Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt , as the changes in fair value for these obligations are recorded in Principal transactions .

(11) Includes allocations for capital and funding costs based on the location of the asset.

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


	1Q21 vs. 4Q20						1Q21 vs. 1Q20
	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 (3)	$	(11)	$	30	$	19	$	178	$	(560)	$	(382)
Securities borrowed and purchased under agreements to resell
In U.S. offices	$	4	$	(13)	$	(9)	$	103	$	(735)	$	(632)
In offices outside the U.S. (3)	3		(22)		(19)		49		(331)		(282)
Total	$	7	$	(35)	$	(28)	$	152	$	(1,066)	$	(914)
Trading account assets (4)
In U.S. offices	$	42	$	(125)	$	(83)	$	162	$	(385)	$	(223)
In offices outside the U.S. (3)	18		(3)		15		136		(169)		(33)
Total	$	60	$	(128)	$	(68)	$	298	$	(554)	$	(256)
Investments (1)
In U.S. offices	$	37	$	(5)	$	32	$	241	$	(584)	$	(343)
In offices outside the U.S. (3)	19		(36)		(17)		149		(331)		(182)
Total	$	56	$	(41)	$	15	$	390	$	(915)	$	(525)
Loans (net of unearned income) (5)
In U.S. offices	$	(60)	$	(232)	$	(292)	$	(411)	$	(865)	$	(1,276)
In offices outside the U.S. (3)	36		(200)		(164)		(68)		(991)		(1,059)
Total	$	(24)	$	(432)	$	(456)	$	(479)	$	(1,856)	$	(2,335)
Other interest-earning assets (6)	$	18	$	(8)	$	10	$	27	$	(213)	$	(186)
Total interest revenue	$	106	$	(614)	$	(508)	$	566	$	(5,164)	$	(4,598)

(1) The taxable equivalent adjustments primarily related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21% in 2021 and 2020, are 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) Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(4) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue . Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities , respectively.

(5) Includes cash-basis loans.

(6) Includes Brokerage receivables .

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


	1Q21 vs. 4Q20						1Q21 vs. 1Q20
	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	$	(13)	$	(62)	$	(75)	$	212	$	(1,041)	$	(829)
In offices outside the U.S. (3)	4		(38)		(34)		137		(870)		(733)
Total	$	(9)	$	(100)	$	(109)	$	349	$	(1,911)	$	(1,562)
Securities loaned and sold under agreements to repurchase
In U.S. offices	$	11	$	(6)	$	5	$	90	$	(637)	$	(547)
In offices outside the U.S. (3)	(1)		2		1		77		(362)		(285)
Total	$	10	$	(4)	$	6	$	167	$	(999)	$	(832)
Trading account liabilities (4)
In U.S. offices	$	9	$	(31)	$	(22)	$	42	$	(158)	$	(116)
In offices outside the U.S. (3)	16		(2)		14		30		(39)		(9)
Total	$	25	$	(33)	$	(8)	$	72	$	(197)	$	(125)
Short-term borrowings and other interest-bearing liabilities (5)
In U.S. offices	$	—	$	(6)	$	(6)	$	(46)	$	(280)	$	(326)
In offices outside the U.S. (3)	2		17		19		3		(30)		(27)
Total	$	2	$	11	$	13	$	(43)	$	(310)	$	(353)
Long-term debt
In U.S. offices	$	(71)	$	(40)	$	(111)	$	23	$	(436)	$	(413)
In offices outside the U.S. (3)	—		13		13		1		5		6
Total	$	(71)	$	(27)	$	(98)	$	24	$	(431)	$	(407)
Total interest expense	$	(43)	$	(153)	$	(196)	$	569	$	(3,848)	$	(3,279)
Net interest revenue	$	151	$	(463)	$	(312)	$	(3)	$	(1,316)	$	(1,319)

(1) The taxable equivalent adjustments primarily related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21% in 2021 and 2020, are 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) Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(5) Includes Brokerage payables .

Market Risk of Trading Portfolios

Value at Risk (VAR)

As of March 31, 2021, Citi believes its VAR model is conservatively calibrated to incorporate fat-tail scaling and the greater of short-term (approximately the most recent month) and long-term (three years) market volatility, and estimates that the conservative features of the VAR calibration contribute an approximate 34% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets. As of December 31, 2020, the add-on was 32%.

As set forth in the table below, Citi’s average trading VAR increased to $102 million at March 31, 2021 from $93 million at December 31, 2020, mainly due to an increase in foreign exchange and commodity exposures in ICG ’s Markets businesses, while average trading and credit portfolio VAR declined to $123 million from $126 million due to a reduction in market volatility.

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


			First Quarter				Fourth Quarter				First Quarter
In millions of dollars	March 31, 2021		2021 Average		Dec. 31, 2020		2020 Average		March 31, 2020		2020 Average
Interest rate	$	68	$	66	$	72	$	64	$	78	$	38
Credit spread	67		72		70		73		157		55
Covariance adjustment (1)	(43)		(43)		(51)		(47)		(55)		(26)
Fully diversified interest rate and credit spread (2)	$	92	$	95	$	91	$	90	$	180	$	67
Foreign exchange	45		45		40		33		29		21
Equity	37		30		31		32		92		37
Commodity	30		29		17		21		45		16
Covariance adjustment (1)	(105)		(97)		(85)		(83)		(155)		(66)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios) (2)	$	99	$	102	$	94	$	93	$	191	$	75
Specific risk-only component (3)	$	(2)	$	5	$	(1)	$	3	$	(16)	$	7
Total trading VAR—general market risk factors only (excluding credit portfolios)	$	101	$	97	$	95	$	90	$	207	$	68
Incremental impact of the credit portfolio (4)	$	28	$	21	$	29	$	33	$	217	$	44
Total trading and credit portfolio VAR	$	127	$	123	$	123	$	126	$	408	$	119

(1) Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each risk type. The benefit reflects the fact that the risks within individual and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.

(2) The total trading VAR includes mark-to-market and certain fair value option trading positions in ICG , with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.

(3) The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.

(4) The credit portfolio is composed of mark-to-market positions associated with non-trading business units 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 .

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
	2021				2020				2020
In millions of dollars	Low		High		Low		High		Low		High
Interest rate	$	51	$	84	$	40	$	89	$	28	$	78
Credit spread	63		82		63		78		36		162

Fully diversified interest rate and credit spread	$	86	$	106	$	80	$	106	$	44	$	180
Foreign exchange	41		49		27		40		14		32
Equity	21		37		26		41		13		141
Commodity	17		42		15		29		12		45

Total trading	$	89	$	120	$	77	$	112	$	47	$	191
Total trading and credit portfolio	108		139		115		135		58		414

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, 2021
Total—all market risk factors, including general and specific risk
Average—during quarter	$	104
High—during quarter	123
Low—during quarter	90

Regulatory VAR Back-testing

In accordance with Basel III, Citi is required to perform back-testing to evaluate the effectiveness of its Regulatory VAR model. Regulatory VAR back-testing is the process in which the daily one-day VAR, at a 99% confidence interval, is compared to the buy-and-hold profit and loss (i.e., the profit and loss impact if the portfolio is held constant at the end of the day and re-priced the following day). Buy-and-hold profit and loss represents the daily mark-to-market profit and loss attributable to price movements in covered positions from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, fees and commissions, intra-day trading profit and loss and changes in reserves.

Based on a 99% confidence level, Citi would expect two to three days in any one year where buy-and-hold losses exceed the Regulatory VAR. Given the conservative calibration of Citi’s VAR model (as a result of taking the greater of short- and long-term volatilities and fat-tail scaling of volatilities), Citi would expect fewer exceptions under normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.

As of March 31, 2021, there were no back-testing exceptions observed for Citi’s Regulatory VAR for the prior 12 months.

STRATEGIC RISK

For additional information regarding strategic risk, including Citi’s management of strategic risk, see “Managing Global Risk—Strategic Risk” in Citi’s 2020 Annual Report on Form 10-K.

LIBOR Transition Risk

Citi has continued its efforts to transition away from LIBOR, including implementing its LIBOR transition action plans and associated roadmaps under its key workstreams, as well as working with clients, regulators and various industry groups such as the Alternative Reference Rates Committee (ARRC). In addition, Citi has been monitoring regulatory, legislative and market developments regarding LIBOR transition, including the following:

• In March 2021, following the completion of its consultation, the ICE Benchmark Administration, the authorized LIBOR administrator, notified the U.K. Financial Conduct Authority of its intention to cease publication of GBP, EUR, CHF and JPY LIBOR settings for all tenors, as well as USD LIBOR settings for one-week and two-month tenors after December 31, 2021, while the publication of USD LIBOR settings for overnight and one-, three-, six- and 12-month tenors would cease after June 30, 2023.

• In April 2021, New York State legislation addressing USD LIBOR discontinuance became effective. The legislation addresses the transition away from USD LIBOR for legacy contracts that are governed by New York law and that lack fallback provisions or contain fallback provisions that are based in any way on USD LIBOR. Upon USD LIBOR’s permanent discontinuance, USD LIBOR in such contracts will be replaced with a rate based on SOFR plus a spread adjustment by operation of law.

For additional information about Citi’s actions to address a transition away from and discontinuance of LIBOR, see “Managing Global Risk—Strategic Risk—LIBOR Transition Risk” in Citi’s 2020 Annual Report on Form 10-K. For information about Citi’s LIBOR transition risks, see “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.

Country Risk

Top 25 Country Exposures

The following table presents Citi’s top 25 exposures by country (excluding the U.S.) as of March 31, 2021. (Including the U.S, the total exposure as of March 31, 2021 to the top 25 countries would represent approximately 96% of Citi’s exposure to all countries.)

For purposes of the table, loan amounts are reflected in the country where the loan is booked, which is generally based on the domicile of the borrower. For example, a loan to a Chinese subsidiary of a Switzerland-based corporation will generally be categorized as a loan in China. In addition, Citi has developed regional booking centers in certain countries,

most significantly in the United Kingdom (U.K.) and Ireland, in order to more efficiently serve its corporate customers. As an example, with respect to the U.K., only 35% of corporate loans presented in the table below are to U.K. domiciled entities (38% for unfunded commitments), with the balance of the loans predominately to European domiciled counterparties. Approximately 82% of the total U.K. funded loans and 84% of the total U.K. unfunded commitments were investment grade as of March 31, 2021.

Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.


In billions of dollars	ICG loans (1)		GCB loans		Other funded (2)		Unfunded (3)		Net MTM on derivatives/repos (4)		Total hedges (on loans and CVA)		Investment securities (5)		Trading account assets (6)		Total as of 1Q21		Total as of 4Q20		Total as of 1Q20		Total as a % of Citi as of 1Q21
United Kingdom	$	45.4	$	—	$	1.7	$	54.9	$	16.7	$	(6.4)	$	4.7	$	(1.7)	$	115.3	$	115.2	$	118.9	6.5	%
Mexico	13.9		13.4		0.3		8.2		3.9		(0.9)		19.1		4.3		62.2		64.5		56.9		3.5
Hong Kong	20.4		13.5		0.3		7.2		2.5		(6.5)		8.7		1.7		47.8		49.0		49.3		2.7
Ireland	12.3		—		0.7		30.0		0.5		(0.1)		—		0.7		44.1		43.9		40.5		2.5
Singapore	14.5		13.6		0.1		6.2		1.9		(3.5)		7.0		1.7		41.5		45.8		44.6		2.4
South Korea	3.3		17.8		0.1		2.4		1.3		(0.8)		10.6		0.3		35.0		35.8		33.5		2.0
India	6.9		4.1		1.0		6.3		2.2		(0.5)		9.1		0.5		29.6		31.4		30.2		1.7
Germany	0.3		—		0.2		6.2		5.0		(3.9)		9.9		8.1		25.8		24.4		21.5		1.5
Brazil	11.0		—		—		2.8		3.4		(0.6)		4.1		3.0		23.7		26.2		26.2		1.3
Australia	4.8		9.3		—		6.7		1.5		(0.7)		1.4		0.1		23.1		21.7		22.6		1.3
China	8.5		3.5		0.6		3.7		1.1		(0.5)		5.5		(1.3)		21.1		21.8		21.5		1.2
Japan	2.0		—		0.1		3.2		4.8		(1.9)		5.4		5.3		18.9		21.8		20.5		1.1
Taiwan	5.5		8.3		0.2		1.2		0.7		(0.1)		0.2		1.0		17.0		17.3		16.6		1.0
Canada	2.0		0.5		0.1		7.6		2.4		(1.1)		4.2		0.4		16.1		17.8		18.2		0.9
Jersey	7.1		—		0.1		7.2		—		(0.4)		—		—		14.0		13.4		11.7		0.8
United Arab Emirates	7.0		1.3		—		3.7		0.3		(0.4)		1.7		(0.1)		13.5		12.4		14.2		0.8
Poland	3.6		1.8		—		2.7		0.2		(0.1)		2.6		0.6		11.4		15.0		14.7		0.6
Malaysia	1.5		3.6		0.1		0.8		0.2		—		1.6		0.6		8.4		8.3		8.6		0.5
Thailand	0.9		2.8		—		2.2		—		—		1.5		—		7.4		8.0		7.3		0.4
Indonesia	2.1		0.6		—		1.3		0.3		(0.1)		1.7		0.2		6.1		6.0		5.3		0.3
Luxembourg	0.8		—		—		—		0.5		(1.0)		5.0		0.2		5.5		5.1		6.1		0.3
Cayman Islands	—		—		—		—		0.1		(0.8)		5.1		0.7		5.1		2.1		3.1		0.3
Russia	2.0		0.8		—		0.9		0.1		(0.1)		1.5		(0.1)		5.1		5.2		5.1		0.3
Czech Republic	0.8		—		—		0.7		2.2		—		0.7		0.1		4.5		4.3		3.3		0.3
Philippines	0.7		1.3		0.1		0.5		—		—		1.7		(0.2)		4.1		4.5		5.0		0.2
Total as a % of Citi’s total exposure																							34.4	%
Total as a % of Citi’s non-U.S. total exposure																							91.2	%

(1) ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of March 31, 2021, private bank loans in the table above totaled $33.5 billion, concentrated in Hong Kong ($10 billion), the U.K. ($8.5 billion) and Singapore ($7.3 billion).

(2) Other funded includes other direct exposures such as accounts receivable, loans HFS, other loans in Corporate/Other and investments accounted for under the equity method.

(3) Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.

(4) Net mark-to-market counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.

(5) Investment securities include debt securities available-for-sale, recorded at fair market value, and debt securities held-to-maturity, recorded at historical cost.

(6) Trading account assets are shown on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country.

Argentina

Citi operates in Argentina through its ICG businesses. As of March 31, 2021, Citi’s net investment in its Argentine operations was approximately $1.1 billion. Citi uses the U.S. dollar as the functional currency for its operations in Argentina because the Argentine economy is considered highly inflationary under U.S. GAAP.

As previously disclosed, the government of Argentina has continued to maintain certain capital and currency controls that restrict Citi’s ability to access U.S. dollars in Argentina and remit earnings from its Argentine operations. Citi’s net investment in its Argentine operations is likely to increase as Citi generates net income in its Argentine franchise and its earnings are unable to be remitted.

Citi economically hedges the foreign currency risk in its net Argentine peso-denominated assets to the extent possible and prudent using non-deliverable forward (NDF) derivative instruments that are primarily executed outside of Argentina. As of March 31, 2021, the international NDF market had very limited liquidity, resulting in Citi’s being unable to economically hedge nearly all of its Argentine peso exposure. As a result, and to the extent that Citi does not execute NDF contracts for this unhedged exposure in the future, Citi would record devaluations on its net Argentine peso‐denominated assets in earnings, without any benefit from a change in the fair value of derivative positions used to economically hedge the exposure.

Citi continually evaluates its economic exposure to its Argentine counterparties and reserves for changes in credit risk and sovereign risk associated with its Argentine assets. Citi believes it has established appropriate allowances for credit losses on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for such risks under U.S. GAAP as of March 31, 2021. However, U.S. regulatory agencies may require Citi to record additional reserves in the future, increasing ICG ’s cost of credit, based on the perceived country risk associated with its Argentine exposures. For additional information on emerging markets risks, see “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.

SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES

This section contains a summary of Citi’s most significant accounting policies. Note 1 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on Form 10-K contains a summary of all of Citigroup’s significant accounting policies. These policies, as well as estimates made by management, are integral to the presentation of Citi’s results of operations and financial condition. While all of these policies require a certain level of management judgment and estimates, this section highlights and discusses the significant accounting policies that require management to make highly difficult, complex or subjective judgments and estimates at times regarding matters that are inherently uncertain and susceptible to change (see also “Risk Factors—Operational Risks” in Citigroup’s 2020 Annual Report on Form 10-K). Management has discussed each of these significant accounting policies, the related estimates and its judgments with the Audit Committee of the Citigroup Board of Directors.

Valuations of Financial Instruments

Citigroup holds debt and equity securities, derivatives, retained interests in securitizations, investments in private equity and other financial instruments. A substantial portion of these assets and liabilities is reflected at fair value on Citi’s Consolidated Balance Sheet as Trading account assets , Available-for-sale securities and Trading account liabilities .

Citi purchases securities under agreements to resell (reverse repos or resale agreements) and sells securities under agreements to repurchase (repos), a substantial portion of which is carried at fair value. In addition, certain loans, short-term borrowings, long-term debt and deposits, as well as certain securities borrowed and loaned positions that are collateralized with cash, are carried at fair value. Citigroup holds its investments, trading assets and liabilities, and resale and repurchase agreements on Citi’s Consolidated Balance Sheet to meet customer needs and to manage liquidity needs, interest rate risks and private equity investing.

When available, Citi generally uses quoted market prices to determine fair value and classifies such items within Level 1 of the fair value hierarchy established under ASC 820-10, Fair Value Measurement . If quoted market prices are not available, fair value is based upon internally developed valuation models that use, where possible, current market-based or independently sourced market parameters, such as interest rates, currency rates and option volatilities. Such models are often based on a discounted cash flow analysis. In addition, items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified under the fair value hierarchy as Level 3 even though there may be some significant inputs that are readily observable.

Citi is required to exercise subjective judgments relating to the applicability and functionality of internal valuation models, the significance of inputs or value drivers to the valuation of an instrument and the degree of illiquidity and subsequent lack of observability in certain markets. These judgments have the potential to impact the Company’s

financial performance for instruments where the changes in fair value are recognized in either the Consolidated Statement of Income or in AOCI .

Losses on available-for-sale securities whose fair values are less than the amortized cost, where Citi intends to sell the security or could more-likely-than-not be required to sell the security, are recognized in earnings. Where Citi does not intend to sell the security nor could more-likely-than-not be required to sell the security, the portion of the loss related to credit is recognized as an allowance for credit losses with a corresponding provision for credit losses and the remainder of the loss is recognized in other comprehensive income. Such losses are capped at the difference between the fair value and amortized cost of the security.

For equity securities carried at cost or under the measurement alternative, decreases in fair value below the carrying value are recognized as impairment in the Consolidated Statement of Income. Moreover, for certain equity method investments, decreases in fair value are only recognized in earnings in the Consolidated Statement of Income if such decreases are judged to be an other-than-temporary impairment (OTTI). Adjudicating the temporary nature of fair value impairments is also inherently judgmental.

The fair value of financial instruments incorporates the effects of Citi’s own credit risk and the market view of counterparty credit risk, the quantification of which is also complex and judgmental. For additional information on Citi’s fair value analysis, see Notes 6, 20 and 21 to the Consolidated Financial Statements in this Form 10-Q and Note 1 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

Citi’s Allowance for Credit Losses (ACL)

The table below shows Citi’s ACL during the first quarter of 2021. For information on the drivers of Citi’s ACL release in the first quarter, see below. For additional information on Citi’s accounting policy on accounting for credit losses under CECL, see Note 1 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.


	ACL
In millions of dollars	Balance Dec. 31, 2020		1Q21 build (release)		1Q21 FX/Other		Balance Mar. 31, 2021		ACLL/EOP loans Mar. 31, 2021 (1)
Cards (1)	$	16,805	$	(1,523)	$	(42)	$	15,240	10.72	%
All other GCB	2,419		(283)		(42)		2,094
Global Consumer Banking	$	19,224	$	(1,806)	$	(84)	$	17,334	6.47	%
Institutional Clients Group	5,402		(1,312)		(6)		4,084		1.06
Corporate/Other	330		(109)		(1)		220
Allowance for credit losses on loans (ACLL)	$	24,956	$	(3,227)	$	(91)	$	21,638	3.29	%
Allowance for credit losses on unfunded lending commitments (ACLUC)	2,655		(626)		(17)		2,012
Other	146		1		(1)		146
Total ACL	$	27,757	$	(3,852)	$	(109)	$	23,796

(1) As of March 31, 2021, in North America GCB , Citi-branded cards ACLL/EOP loans was 9.8% and Citi retail services ACLL/EOP loans was 13.4%.

Citi provides reserves for an estimate of current expected credit losses in the funded loan portfolio and for unfunded lending commitments, standby letters of credit and financial guarantees (excluding those that are performance guarantees), on the Consolidated Balance Sheet in Allowance for credit losses on loans (ACLL) and Other liabilities , respectively. In addition, Citi provides allowances for an estimate of current expected credit losses for other financial assets measured at amortized cost, including held-to-maturity securities, reverse repurchase agreements, securities borrowed, deposits with banks and other financial receivables carried at amortized cost (these allowances, together with the ACLL, are referred to as the ACL).

The ACL is composed of quantitative and qualitative components. For the quantitative component, Citi uses a forward-looking base macroeconomic forecast that is complemented by a qualitative management adjustment component. As further discussed below, this qualitative component reflects (i) economic uncertainty related to an alternative downside scenario, (ii) loss adjustments for concentration and collateral, and (iii) specific adjustments based on the associated portfolio for estimating the ACL, including adjustments that reflect the current uncertainty around the estimated impact of the pandemic on credit loss estimates.

Quantitative Component

Citi estimates expected credit losses for its quantitative component based on (i) its comprehensive internal history and system of credit risk ratings, (ii) rating and score agency information regarding default rates and loss data, including internal data on the severity of losses in the event of default,

and (iii) a reasonable and supportable forecast of future macroeconomic conditions.

For its consumer and corporate portfolios, Citi’s expected credit loss is determined primarily by utilizing models for the borrowers’ probability of default (PD), loss given default (LGD) and exposure at default (EAD). The loss likelihood and severity models used for estimating expected credit losses are sensitive to changes in macroeconomic variables that inform the forecasts.

For corporate portfolios, the loss likelihood and loss severity models cover a wide range of geographic, industry, product and business segments that contribute to the portfolios.

In addition, Citi’s delinquency-managed portfolios containing smaller-balance homogeneous loans also primarily use PD, LGD and EAD models to determine expected credit losses and reserve balances based on leading credit indicators, including loan delinquencies and changes in portfolio size, as well as other current economic factors and credit trends, including housing prices, unemployment and gross domestic product (GDP). This methodology is applied separately for each product within each geographic region in which these portfolios exist, including the U.S., Mexico and Asia.

Default frequency, risk ratings, loss recovery rates, size and diversity of individual large credits and ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account. Changes in these estimates could have a direct impact on Citi’s credit costs and the allowance in any period.

Qualitative Management Adjustment Component

The qualitative management adjustment component considers, among other things, the uncertainty of forward-looking economic scenarios based on the likelihood and severity of downside scenarios, certain portfolio characteristics and concentrations, collateral coverage, model limitations, idiosyncratic events and other relevant criteria under banking supervisory guidance for the ACL. The qualitative management adjustment also reflects the current uncertainty around the estimated impact of the pandemic on credit loss estimates.

1Q21 Combined Quantitative and Qualitative Components

In the first quarter of 2021, Citi (i) released $1.9 billion of the ACL for its consumer portfolios and (ii) released $1.9 billion of the ACL for its corporate portfolios. Consumer and corporate ACLs were impacted by improvements in both macroeconomic conditions for the quantitative base scenario and the qualitative management adjustment associated with an alternative downside scenario, which incorporated a lower severity and likelihood. This release was partially offset by an increase in other qualitative adjustments related to ongoing uncertainty due to the pandemic, with focus on the collectability of consumer balances associated with borrowers who may be participating in non-Citi forbearance or rent moratorium programs.

The extent of the pandemic’s ultimate impact on Citi’s ACL will depend on, among other things, (i) how consumers respond to the conclusion of government stimulus and assistance programs; (ii) the impact on unemployment; (iii) the timing and extent of the economic recovery; (iv) the severity and duration of any resurgence of COVID-19; (v) the rate of distribution and administration of vaccines; and (vi) the extent of any market volatility. Citi believes its analysis of the ACL reflects the forward view of the economic analysis as of March 31, 2021, based on its latest available base macroeconomic forecast.

Macroeconomic Variables

Citi uses a multitude of variables in its base macroeconomic forecast as part of its calculation of both the quantitative and qualitative (including the downside scenario) components of the ACL, including both domestic and international variables for its global portfolios and exposures. Citi’s forecasts of the U.S. unemployment rate and U.S. Real GDP rate represent the key macroeconomic variables that most significantly affect its estimate of its consumer and corporate ACLs.

The tables below show these macroeconomic variables used in determining Citi’s 1Q20, 2Q20, 3Q20, 4Q20 and 1Q21 consumer and corporate ACLs, comparing Citi’s forecasted 2Q21, 4Q21 and 2Q22 quarterly average U.S. unemployment rate and Citi’s forecasted 2021, 2022 and 2023 year-over-year U.S. Real GDP growth rate:


	Quarterly average
U.S. unemployment	2Q21		4Q21		2Q22		13-quarter average (1)
Citi forecast at 1Q20	6.7	%	6.5	%	6.1	%	6.1	%
Citi forecast at 2Q20	7.2		5.9		5.7		7.2
Citi forecast at 3Q20	7.6		6.4		6.1		6.6
Citi forecast at 4Q20	7.0		6.3		6.1		6.1
Citi forecast at 1Q21	5.6		4.9		4.1		4.3

(1) Represents the average unemployment rate for the rolling, forward-looking 13 quarters in the forecast horizon.


	Year-over-year growth rate (1)
	Full year
U.S. Real GDP	2021		2022		2023
Citi forecast at 1Q20	1.5	%	1.9	%	1.9	%
Citi forecast at 2Q20	5.5		3.3		2.1
Citi forecast at 3Q20	3.3		2.8		2.6
Citi forecast at 4Q20	3.7		2.7		2.6
Citi forecast at 1Q21	6.2		4.1		1.9

(1) The year-over-year growth rate is the percentage change in the Real (inflation adjusted) GDP level.

Under the base macroeconomic forecast as of 1Q21, U.S. GDP growth is expected to remain strong in 2021 and 2022 and the unemployment rate is expected to continue to improve as the U.S. moves past the peak of the pandemic-related health and economic crisis.

Consumer

As discussed above, Citi’s total consumer ACL release (including Corporate/Other ) of $1.9 billion in the first quarter of 2021 reduced the ACL balance to $17.6 billion, or 6.41% of total consumer loans at March 31, 2021. The release was primarily driven by the improved macroeconomic forecast for the first quarter, as well as a decrease in loan volumes. Citi’s consumer ACL is largely driven by the cards businesses.

For cards, including Citi’s international businesses, the level of reserves relative to EOP loans decreased to 10.72% at March 31, 2021, compared to 10.98% at December 31, 2020, primarily due to the improved base macroeconomic forecast

for the first quarter of 2021. For the remaining consumer exposures, the level of reserves relative to EOP loans decreased slightly to 1.8% at March 31, 2021, compared to 2.0% at December 31, 2020.

Corporate

Citi’s corporate ACLL release of $1.3 billion in the first quarter of 2021 reduced the ACLL reserve balance to $4.1 billion, or 1.06% of total funded loans, and was primarily driven by the improved macroeconomic forecast scenario for the first quarter, as well as modest improvements in portfolio credit quality.

The ACLUC release of $0.6 billion in the first quarter of 2021 decreased the total corporate ACLUC reserve balance included in Other liabilities to $2.0 billion at March 31, 2021.

ACLL and Non-accrual Ratios

At March 31, 2021, the ratio of the allowance for credit losses to total funded loans was 3.29% (6.41% for consumer loans and 1.06% for corporate loans), compared to 3.73% at December 31, 2020 (6.77% for consumer loans and 1.42% for corporate loans).

Citi’s total non-accrual loans were $5.1 billion at March 31, 2021, down $578 million from December 31, 2020. Consumer non-accrual loans decreased $157 million to $2.0 billion at March 31, 2021 from $2.1 billion at December 31, 2020, while corporate non-accrual loans decreased $421 million to $3.1 billion at March 31, 2021 from $3.5 billion at December 31, 2020. In addition, the ratio of non-accrual loans to total corporate loans was 0.79%, and 0.72% of non-accrual loans to total consumer loans, at March 31, 2021.

Regulatory Capital Impact

Citi has elected to phase in the CECL impact for regulatory capital purposes. The transition provisions were recently modified to defer the phase-in. After two years with no impact on capital, the CECL transition impact will phase in over a three-year transition period with 25% of the impact (net of deferred taxes) recognized on the first day of each subsequent year, commencing January 1, 2022, and will be fully implemented on January 1, 2025. In addition, 25% of the build (pretax) made in 2020 and 2021 will be deferred and amortized over the same timeframe.

For a further description of the ACL and related accounts, see Notes 1 and 14 to the Consolidated Financial Statements.

For a discussion of the adoption of the CECL accounting pronouncement, see Note 1 to the Consolidated Financial Statements.

Goodwill

Citi performed the annual test as of July 1, 2020. The fair values of the Company’s reporting units as a percentage of their carrying values ranged from approximately 115% to 136%, resulting in no impairment. While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations, the current environment continues to evolve due to the COVID-19 pandemic. Deterioration in business performance or macroeconomic and market conditions, including potential adverse effects to economic forecasts due to the severity and duration of the pandemic, as well as the responses of governments, customers and clients, could negatively influence the assumptions used in the valuations, in particular, the discount and growth rates used in the net income projections. If the future were to differ from management’s best estimate of key economic assumptions and associated cash flows were to decrease, Citi could potentially experience material goodwill impairment charges in the future. See Note 15 to the Consolidated Financial Statements for a further discussion on goodwill.

Litigation Accruals

See the discussion in Note 23 to the Consolidated Financial Statements for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.

INCOME TAXES

Deferred Tax Assets

For additional information on Citi’s deferred tax assets (DTAs), see “Risk Factors—Strategic Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and Notes 1 and 9 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

At March 31, 2021, Citigroup had recorded net DTAs of approximately $24.2 billion, a decrease of $0.6 billion from December 31, 2020, primarily driven by the $3.9 billion ACL release, partially offset by losses in Other comprehensive income .

The table below summarizes Citi’s net DTAs balance:


Jurisdiction/Component	DTAs balance
In billions of dollars	March 31, 2021		December 31, 2020
Total U.S.	$	21.4	$	22.2
Total foreign	2.8		2.6
Total	$	24.2	$	24.8

Of Citi’s total net DTAs of $24.2 billion as of March 31, 2021, $9.8 billion (primarily relating to net operating losses, foreign tax credit (FTC) and general business credit carry-forwards, which were largely unchanged in the current quarter) was deducted in calculating Citi’s regulatory capital. Net DTAs arising from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” above). For the quarter ended March 31, 2021, Citi did not have any such DTAs. Accordingly, the remaining $14.4 billion of net DTAs as of March 31, 2021 was not deducted in calculating regulatory capital pursuant to Basel III standards and was appropriately risk weighted under those rules.

DTA Realizability

Citi believes that the realization of the recognized net DTAs of $24.2 billion at March 31, 2021 is more-likely-than-not based upon management’s expectations as to future taxable income in the jurisdictions in which the DTAs arise, as well as consideration of available tax planning strategies (as defined in ASC Topic 740, Income Taxes ).

In the second quarter of 2021, as part of the normal planning process, Citi will update its forecasts of operating income and its foreign source income forecast. These updates could affect Citi’s valuation allowance against FTC carry-forwards.

Effective Tax Rate

Citi’s reported effective tax rate for the first quarter of 2021 was approximately 23%. This compares to an effective tax rate of approximately 19% in the first quarter of 2020. The higher rate in the quarter reflected the increase in pretax earnings.

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, 2021. 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.

Citi had no reportable activities pursuant to Section 219 for the first quarter of 2021.

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, target and illustrative, and similar expressions or future or conditional verbs such as will, should, would and could.

Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results 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’s discussion and analysis of its results of operations above and in Citi’s 2020 Annual Report on Form 10-K and other SEC filings; (ii) the factors listed and described under “Risk Factors” in Citi’s 2020 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:

• rapidly evolving challenges and uncertainties related to the COVID-19 pandemic in the U.S. and globally, including the duration and further spread of the coronavirus; the potential for new variants of the virus; timely development, production and distribution of effective vaccines; the public response; government actions; any delay or weakness in the economic recovery or any future economic downturn; and the potential impact on Citi’s businesses and overall results of operations and financial condition;

• the potential impact on Citi’s ability to return capital to common shareholders consistent with its capital planning efforts and targets, due to, among other things, regulatory capital requirements, including the Stress Capital Buffer, Citi’s results of operations and financial condition, forecasts of macroeconomic conditions, regulatory evaluations of Citi’s ability to maintain an effective capital management framework and Citi’s effectiveness in managing and calculating its risk-weighted assets, and the Supplementary Leverage Ratio and GSIB surcharge, whether due to the impact of the pandemic, the results of the CCAR process and regulatory stress tests or otherwise;

• the ongoing regulatory and legislative uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, such as potential fiscal, monetary, regulatory, corporate and other income tax and other changes due to the new U.S. presidential administration, regulatory leadership and Congress or in response to the

pandemic; potential changes to various aspects of the regulatory capital framework; the future legislative and regulatory framework resulting from the U.K.’s exit from the European Union, including with respect to financial services; and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, business planning and compliance risks and costs;

• Citi’s ability to achieve its projected or expected results from its continued investments and efficiency initiatives, such as deepening client relationships, revenue growth, expense management and transformation of its infrastructure, risk management and controls, as part of Citi’s overall strategy to meet operational and financial objectives, including as a result of factors that Citi cannot control;

• Citi’s ability to achieve its objectives from the refresh of its strategy, including those related to its Global Wealth business and the plans to pursue exits of consumer businesses in 13 markets in Asia and EMEA , which may not be as productive or effective as Citi expects and could result in losses, charges or other negative financial or strategic impacts;

• the transition away from or discontinuance of LIBOR or any other interest rate benchmark and the adverse consequences it could have for market participants, including Citi;

• Citi’s ability to utilize its DTAs (including the foreign tax credit component of its DTAs) and thus reduce the negative impact of the DTAs on Citi’s regulatory capital, including as a result of its ability to generate U.S. taxable income;

• the potential impact to Citi if its interpretation or application of the complex income and non-income based tax laws to which it is subject, such as the Tax Cuts and Jobs Act (Tax Reform), withholding, stamp, service and other non-income taxes, differs from those of the relevant governmental taxing authorities, including as a result of litigation or examinations regarding non-income based tax matters;

• the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, limitations of hedges on foreign investments, foreign currency volatility, sovereign volatility, election outcomes, regulatory changes and political events; foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyperinflation), fraud, nationalization or loss of licenses; business restrictions, sanctions or asset freezes; potential criminal charges; closure of branches or subsidiaries; confiscation of assets, as well as U.S. regulators imposing mandatory loan loss or other reserve requirements on Citi; and higher compliance and regulatory risks and costs;

• the potential impact from a deterioration in or failure to maintain Citi’s co-branding or private label credit card relationships, due to, among other things, the general economic environment, declining sales and revenues, partner store closures, government-imposed restrictions, reduced air and business travel or other operational difficulties of the retailer or merchant, termination of a

particular relationship; or other factors, such as bankruptcies, liquidations, restructurings, consolidations or other similar events, whether due to the impact of the pandemic or otherwise;

• Citi’s ability in its resolution plan submissions to address any shortcomings or deficiencies identified or guidance provided by the Federal Reserve Board and FDIC;

• the potential impact on Citi’s performance and the performance of its individual businesses, including its competitive position and ability to effectively manage its businesses and continue to execute its strategies, if Citi is unable to attract, retain and motivate highly qualified employees;

• Citi’s ability to effectively compete with U.S. and non-U.S. financial services companies and others, including as a result of emerging technologies;

• the potential impact to Citi from climate change, including both physical and transition risks as well as higher regulatory, compliance and reputational risks and costs;

• the potential impact to Citi’s businesses, and results of operations and financial condition, as well as its macroeconomic outlook, due to macroeconomic, geopolitical and other challenges and uncertainties and volatilities, including, among others, governmental fiscal and monetary actions or expected actions, such as changes in interest rate policies and any program implemented to change the size of central bank balance sheets; geopolitical tensions and conflicts; protracted or widespread trade tensions; natural disasters; additional pandemics; and election outcomes;

• the potential impact to Citi from a failure in or disruption of its operational processes or systems, including as a result of, among other things, human error, such as processing errors, fraud or malice, accidental system or technological failure, electrical or telecommunication outages or failure of or cyber incidents involving computer servers or infrastructure or other similar losses or damage to Citi’s property or assets, or failures by third parties, as well as disruptions in the operations of Citi’s clients, customers or other third parties;

• the increasing risk of continually evolving, sophisticated cybersecurity activities faced by financial institutions and others, including Citi and third parties with which it does business, that could result in, among other things, theft, loss, misuse or disclosure of confidential client, customer or corporate information or assets and a disruption of computer, software or network systems; and the potential impact from such risks, including reputational damage, regulatory penalties, loss of revenues, additional costs (including repair, remediation and other costs), exposure to litigation and other financial losses;

• the potential impact of changes to, or the application of incorrect, assumptions, judgments or estimates in Citi’s financial statements, including estimates of Citi’s ACL, which depends on its CECL models and assumptions and forecasted macroeconomic conditions and management adjustments; reserves related to litigation, regulatory and tax matters exposures; valuation of DTAs; and fair value

of certain assets and liabilities, such as goodwill or any other asset for impairment;

• the financial impact from reclassification of any foreign currency translation adjustment (CTA) component of AOCI , including related hedges and taxes, into Citi’s earnings, due to the sale or substantial liquidation of any foreign entity, such as those related to its legacy businesses, whether due to Citi’s evaluation or refresh of its strategy or otherwise;

• the impact of changes to financial accounting and reporting standards or interpretations, on how Citi records and reports its financial condition and results of operations;

• the potential impact to Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk management and mitigation processes, strategies or models, including those related to its ability to manage and aggregate data, are deficient or ineffective, or require refinement, modification or enhancement, or any related action is taken by Citi’s U.S. banking regulators;

• the potential impact of credit risk and concentrations of risk on Citi’s results of operations, whether due to a default of or deterioration involving consumer, corporate or public sector borrowers or other counterparties in the U.S. or in various countries and jurisdictions globally, including from indemnification obligations in connection with various transactions, such as hedging or reinsurance arrangements related to those obligations, whether due to the pandemic or otherwise;

• the potential impact on Citi’s liquidity and/or costs of funding as a result of external factors, including, among others, the competitive environment for deposits, general disruptions in the financial markets, governmental fiscal and monetary policies, regulatory changes or negative investor perceptions of Citi’s creditworthiness, unexpected increases in cash or collateral requirements and the inability to monetize available liquidity resources, whether due to the pandemic or otherwise;

• the impact of a ratings downgrade of Citi or one or more of its more significant subsidiaries or issuing entities on Citi’s funding and liquidity as well as operations of certain of its businesses;

• the potential impact to Citi of ongoing interpretation and implementation of regulatory and legislative requirements and changes in the U.S. and globally, as well as heightened regulatory scrutiny and expectations for large financial institutions and their employees and agents, with respect to, among other things, governance, infrastructure, data and risk management practices and controls, including the impact on Citi’s compliance, regulatory and other risks and costs, such as increased regulatory oversight and restrictions, enforcement proceedings, penalties and fines; and

• the potential outcomes of the extensive legal and regulatory proceedings, examinations, investigations, consent orders and related compliance efforts and other inquiries, to which Citi is or may be subject at any given time, such as the previously disclosed October 2020 FRB and OCC consent orders, particularly given the increased focus by regulators on risk and controls, such as risk

management, compliance, data quality management and governance and internal controls, and policies and procedures; as well as the transformative efforts to remediate deficiencies on a timely and sufficient basis and increased expenses for such remediation efforts, together with the heightened scrutiny and expectations generally from regulators, and the severity of the remedies sought by regulators, such as civil money penalties, supervisory or enforcement orders, business restrictions, limitations on dividends and changes to directors and/or officers, and potential collateral consequences to Citi arising from such outcomes.

Any forward-looking statements made by or on behalf of Citigroup speak only as to the date they are made, and Citi does not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the forward-looking statements were made.

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FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS


CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Income (Unaudited)— For the Three Months Ended March 31, 2021 and 2020			88
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three Months Ended March 31, 2021 and 2020			89
Consolidated Balance Sheet—March 31, 2021 (Unaudited) and December 31, 2020			90
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three Months Ended March 31, 2021 and 2020			92
Consolidated Statement of Cash Flows (Unaudited)— For the Three Months Ended March 31, 2021 and 2020			94


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
Note 1—Basis of Presentation, Updated Accounting Policies and Accounting Changes			96
Note 2—Discontinued Operations and Significant Disposals			99
Note 3—Business Segments			100
Note 4—Interest Revenue and Expense			101
Note 5—Commissions and Fees; Administration and Other Fiduciary Fees			102
Note 6—Principal Transactions			104
Note 7—Incentive Plans			105
Note 8—Retirement Benefits			105
Note 9—Earnings per Share			109
Note 10—Securities Borrowed, Loaned and Subject to Repurchase Agreements			110
Note 11—Brokerage Receivables and Brokerage Payables			113
Note 12—Investments			114



Note 13—Loans			124
Note 14—Allowance for Credit Losses			138
Note 15—Goodwill and Intangible Assets			142
Note 16—Debt			144
Note 17—Changes in Accumulated Other Comprehensive Income (Loss) (AOCI)			145
Note 18—Securitizations and Variable Interest Entities			148
Note 19—Derivatives			157
Note 20—Fair Value Measurement			168
Note 21—Fair Value Elections			183
Note 22—Guarantees, Leases and Commitments			187
Note 23—Contingencies			192
Note 24—Condensed Consolidating Financial Statements			195

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	2021		2020
Revenues
Interest revenue	$	12,534	$	17,139
Interest expense	2,368		5,647
Net interest revenue	$	10,166	$	11,492
Commissions and fees	$	3,670	$	3,021
Principal transactions	3,913		5,261
Administration and other fiduciary fees	961		854
Realized gains on sales of investments, net	401		432
Impairment losses on investments:
Impairment losses on investments and other assets	( 69 )		( 55 )
Provision for credit losses on AFS debt securities (1)	—		—

Net impairment losses recognized in earnings	$	( 69 )	$	( 55 )
Other revenue (loss)	$	285	$	( 274 )
Total non-interest revenues	$	9,161	$	9,239
Total revenues, net of interest expense	$	19,327	$	20,731
Provisions for credit losses and for benefits and claims
Provision for credit losses on loans	$	( 1,479 )	$	6,377
Provision for credit losses on held-to-maturity (HTM) debt securities	( 11 )		6
Provision for credit losses on other assets	9		( 4 )
Policyholder benefits and claims	52		24
Provision for credit losses on unfunded lending commitments	( 626 )		557
Total provisions for credit losses and for benefits and claims	$	( 2,055 )	$	6,960
Operating expenses
Compensation and benefits	$	6,001	$	5,654
Premises and equipment	576		565
Technology/communication	1,852		1,723
Advertising and marketing	270		328
Other operating	2,374		2,373
Total operating expenses	$	11,073	$	10,643
Income from continuing operations before income taxes	$	10,309	$	3,128
Provision for income taxes	2,332		580
Income from continuing operations	$	7,977	$	2,548
Discontinued operations
Loss from discontinued operations	$	( 2 )	$	( 18 )

Benefit for income taxes	—		—
Income (loss) from discontinued operations, net of taxes	$	( 2 )	$	( 18 )
Net income before attribution of noncontrolling interests	$	7,975	$	2,530
Noncontrolling interests	33		( 6 )
Citigroup’s net income	$	7,942	$	2,536
Basic earnings per share (2)
Income from continuing operations	$	3.64	$	1.07
Income from discontinued operations, net of taxes	—		( 0.01 )
Net income	$	3.64	$	1.06
Weighted average common shares outstanding (in millions)	2,082.0		2,097.9
Diluted earnings per share (2)
Income from continuing operations	$	3.62	$	1.06
Income (loss) from discontinued operations, net of taxes	—		( 0.01 )
Net income	$	3.62	$	1.06
Adjusted weighted average common shares outstanding (in millions)	2,096.6		2,113.7

(1) In accordance with ASC 326.

(2) 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	2021		2020
Citigroup’s net income	$	7,942	$	2,536
Add: Citigroup’s other comprehensive income (1)
Net change in unrealized gains and losses on debt securities, net of taxes (1)	$	( 1,785 )	$	3,128
Net change in debt valuation adjustment (DVA), net of taxes (2)	( 42 )		3,140
Net change in cash flow hedges, net of taxes	( 556 )		1,897
Benefit plans liability adjustment, net of taxes	714		( 286 )
Net change in foreign currency translation adjustment, net of taxes and hedges	( 1,274 )		( 4,109 )
Net change in excluded component of fair value hedges, net of taxes	( 10 )		27
Citigroup’s total other comprehensive income (loss)	$	( 2,953 )	$	3,797
Citigroup’s total comprehensive income	$	4,989	$	6,333
Add: Other comprehensive loss attributable to noncontrolling interests	$	( 58 )	$	( 51 )
Add: Net income (loss) attributable to noncontrolling interests	33		( 6 )
Total comprehensive income	$	4,964	$	6,276

(1) See Note 17 to the Consolidated Financial Statements.

(2) See Note 20 to the Consolidated Financial Statements.

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


CONSOLIDATED BALANCE SHEET						Citigroup Inc. and Subsidiaries


	March 31,
	2021		December 31,
In millions of dollars	(Unaudited)		2020
Assets
Cash and due from banks (including segregated cash and other deposits)	$	26,204	$	26,349
Deposits with banks, net of allowance	298,478		283,266
Securities borrowed and purchased under agreements to resell (including $ 198,908 and $ 185,204 as of March 31, 2021 and December 31, 2020, respectively, at fair value), net of allowance	315,072		294,712
Brokerage receivables, net of allowance	60,465		44,806
Trading account assets (including $ 175,125 and $ 168,967 pledged to creditors at March 31, 2021 and December 31, 2020, respectively)	360,659		375,079
Investments:
Available-for-sale debt securities (including $ 6,740 and $ 5,921 pledged to creditors as of March 31, 2021 and December 31, 2020, respectively), net of allowance	304,036		335,084
Held-to-maturity debt securities (including $ 1,031 and $ 547 pledged to creditors as of March 31, 2021 and December 31, 2020, respectively), net of allowance	161,742		104,943
Equity securities (including $ 784 and $ 1,066 at fair value as of March 31, 2021 and December 31, 2020, respectively)	7,181		7,332
Total investments	$	472,959	$	447,359
Loans:
Consumer (including $ 15 and $ 14 as of March 31, 2021 and December 31, 2020, respectively, at fair value)	274,034		288,839
Corporate (including $ 7,510 and $ 6,840 as of March 31, 2021 and December 31, 2020, respectively, at fair value)	391,954		387,044
Loans, net of unearned income	$	665,988	$	675,883
Allowance for credit losses on loans (ACLL)	( 21,638 )		( 24,956 )
Total loans, net	$	644,350	$	650,927
Goodwill	21,905		22,162
Intangible assets (including MSRs of $ 433 and $ 336 as of March 31, 2021 and December 31, 2020, respectively, at fair value)	4,741		4,747
Other assets (including $ 10,175 and $ 14,613 as of March 31, 2021 and December 31, 2020, respectively, at fair value), net of allowance	109,433		110,683

Total assets	$	2,314,266	$	2,260,090

The following table presents certain assets of consolidated variable interest entities (VIEs), which are included on 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. In addition, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.


	March 31,
	2021		December 31,
In millions of dollars	(Unaudited)		2020
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs
Cash and due from banks	$	156	$	281
Trading account assets	7,659		8,104
Investments	903		837
Loans, net of unearned income
Consumer	34,514		37,561
Corporate	16,789		17,027
Loans, net of unearned income	$	51,303	$	54,588
Allowance for credit losses on loans (ACLL)	( 3,416 )		( 3,794 )
Total loans, net	$	47,887	$	50,794
Other assets	51		43
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs	$	56,656	$	60,059

Statement continues on the next page.

CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries

(Continued)


	March 31,
	2021		December 31,
In millions of dollars, except shares and per share amounts	(Unaudited)		2020
Liabilities
Non-interest-bearing deposits in U.S. offices	$	138,192	$	126,942
Interest-bearing deposits in U.S. offices (including $ 962 and $ 879 as of March 31, 2021 and December 31, 2020, respectively, at fair value)	497,335		503,213
Non-interest-bearing deposits in offices outside the U.S.	101,662		100,543
Interest-bearing deposits in offices outside the U.S. (including $ 2,178 and $ 1,079 as of March 31, 2021 and December 31, 2020, respectively, at fair value)	563,786		549,973
Total deposits	$	1,300,975	$	1,280,671
Securities loaned and sold under agreements to repurchase (including $ 68,713 and $ 60,206 as of March 31, 2021 and December 31, 2020, respectively, at fair value)	219,168		199,525
Brokerage payables	60,907		50,484
Trading account liabilities	179,117		168,027
Short-term borrowings (including $ 7,406 and $ 4,683 as of March 31, 2021 and December 31, 2020, respectively, at fair value)	32,087		29,514
Long-term debt (including $ 68,071 and $ 67,063 as of March 31, 2021 and December 31, 2020, respectively, at fair value)	256,335		271,686
Other liabilities (including $ 2,675 and $ 6,835 as of March 31, 2021 and December 31, 2020, respectively, at fair value), including allowance	62,404		59,983

Total liabilities	$	2,110,993	$	2,059,890
Stockholders’ equity
Preferred stock ($ 1.00 par value; authorized shares: 30 million), issued shares: as of March 31, 2021— 811,200 and as of December 31, 2020— 779,200 , at aggregate liquidation value	$	20,280	$	19,480
Common stock ($ 0.01 par value; authorized shares: 6 billion), issued shares: as of March 31, 2021— 3,099,690,888 and as of December 31, 2020— 3,099,763,661	31		31
Additional paid-in capital	107,694		107,846
Retained earnings	174,816		168,272
Treasury stock, at cost: March 31, 2021— 1,032,643,369 shares and December 31, 2020— 1,017,674,452 shares	( 65,261 )		( 64,129 )
Accumulated other comprehensive income (loss) ( AOCI )	( 35,011 )		( 32,058 )
Total Citigroup stockholders’ equity	$	202,549	$	199,442
Noncontrolling interests	724		758
Total equity	$	203,273	$	200,200
Total liabilities and equity	$	2,314,266	$	2,260,090

The following table presents certain liabilities of consolidated VIEs, which are included on 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,
	2021		December 31,
In millions of dollars	(Unaudited)		2020
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup
Short-term borrowings	$	9,344	$	9,278
Long-term debt	15,699		20,405
Other liabilities	384		463
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup	$	25,427	$	30,146

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


CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED)						Citigroup Inc. and Subsidiaries


	Three Months Ended March 31,
In millions of dollars	2021		2020
Preferred stock at aggregate liquidation value
Balance, beginning of period	$	19,480	$	17,980
Issuance of new preferred stock	2,300		1,500
Redemption of preferred stock	( 1,500 )		( 1,500 )
Balance, end of period	$	20,280	$	17,980
Common stock and additional paid-in capital (APIC)
Balance, beginning of period	$	107,877	$	107,871
Employee benefit plans	( 175 )		( 292 )
Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions)	23		2
Other	—		—
Balance, end of period	$	107,725	$	107,581
Retained earnings
Balance, beginning of period	$	168,272	$	165,369
Adjustments to opening balance, net of taxes (1)
Financial instruments—credit losses (CECL adoption)	—		( 3,076 )
Variable post-charge-off third-party collection costs	—		330
Adjusted balance, beginning of period	$	168,272	$	162,623
Citigroup’s net income	7,942		2,536
Common dividends (2)	( 1,074 )		( 1,081 )
Preferred dividends	( 292 )		( 291 )
Other (primarily reclassifications from APIC for preferred issuance costs on redemptions)	( 32 )		( 5 )
Balance, end of period	$	174,816	$	163,782
Treasury stock, at cost
Balance, beginning of period	$	( 64,129 )	$	( 61,660 )
Employee benefit plans (3)	468		438
Treasury stock acquired (4)	( 1,600 )		( 2,925 )
Balance, end of period	$	( 65,261 )	$	( 64,147 )
Citigroup’s accumulated other comprehensive income (loss)
Balance, beginning of period	$	( 32,058 )	$	( 36,318 )


Citigroup’s total other comprehensive income	( 2,953 )		3,797
Balance, end of period	$	( 35,011 )	$	( 32,521 )
Total Citigroup common stockholders’ equity	$	182,269	$	174,695
Total Citigroup stockholders’ equity	$	202,549	$	192,675
Noncontrolling interests
Balance, beginning of period	$	758	$	704
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary	—		( 6 )
Transactions between Citigroup and the noncontrolling-interest shareholders	—		—
Net income attributable to noncontrolling-interest shareholders	33		( 6 )
Distributions paid to noncontrolling-interest shareholders	—		—
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders	( 58 )		( 51 )
Other	( 9 )		10
Net change in noncontrolling interests	$	( 34 )	$	( 53 )
Balance, end of period	$	724	$	651
Total equity	$	203,273	$	193,326

(1) See Note 1 to the Consolidated Financial Statements for additional details.

(2) Common dividends declared were $ 0.51 per share in both of the first quarters of 2021 and 2020.

(3) Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.

(4) Primarily consists of open market purchases under Citi’s Board of Directors-approved common share repurchase program.

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


CONSOLIDATED STATEMENT OF CASH FLOWS						Citigroup Inc. and Subsidiaries
(UNAUDITED)


	Three Months Ended March 31,
In millions of dollars	2021		2020
Cash flows from operating activities of continuing operations
Net income before attribution of noncontrolling interests	$	7,975	$	2,530
Net income attributable to noncontrolling interests	33		( 6 )
Citigroup’s net income	$	7,942	$	2,536
Loss from discontinued operations, net of taxes	( 2 )		( 18 )

Income from continuing operations—excluding noncontrolling interests	$	7,944	$	2,554
Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations



Depreciation and amortization	962		927

Provisions for credit losses on loans and unfunded lending commitments	( 2,105 )		6,934
Realized gains from sales of investments	( 401 )		( 432 )
Impairment losses on investments and other assets	69		55
Change in trading account assets	14,405		( 88,875 )
Change in trading account liabilities	11,090		44,101
Change in brokerage receivables net of brokerage payables	( 5,236 )		( 2,931 )
Change in loans HFS	1,561		( 1,393 )
Change in other assets	( 383 )		( 3,123 )
Change in other liabilities	3,047		1,605
Other, net	( 7,755 )		15,045
Total adjustments	$	15,254	$	( 28,087 )
Net cash provided by (used in) operating activities of continuing operations	$	23,198	$	( 25,533 )
Cash flows from investing activities of continuing operations
Change in securities borrowed and purchased under agreements to resell	$	( 20,360 )	$	( 11,214 )
Change in loans	9,933		( 26,743 )
Proceeds from sales and securitizations of loans	323		596
Purchases of investments	( 111,187 )		( 108,658 )
Proceeds from sales of investments	46,049		44,399
Proceeds from maturities of investments	35,088		29,203


Capital expenditures on premises and equipment and capitalized software	( 830 )		( 460 )
Proceeds from sales of premises and equipment, subsidiaries and affiliates and repossessed assets	10		2
Other, net	40		18
Net cash used in investing activities of continuing operations	$	( 40,934 )	$	( 72,857 )
Cash flows from financing activities of continuing operations
Dividends paid	$	( 1,356 )	$	( 1,365 )
Issuance of preferred stock	2,300		1,500
Redemption of preferred stock	( 1,500 )		( 1,500 )
Treasury stock acquired	( 1,481 )		( 2,925 )
Stock tendered for payment of withholding taxes	( 312 )		( 406 )
Change in securities loaned and sold under agreements to repurchase	19,643		55,985
Issuance of long-term debt	15,516		28,927
Payments and redemptions of long-term debt	( 22,432 )		( 13,081 )
Change in deposits	20,304		114,321
Change in short-term borrowings	2,573		9,902


CONSOLIDATED STATEMENT OF CASH FLOWS
(UNAUDITED) (Continued)
	Three Months Ended March 31,
In millions of dollars	2021		2020
Net cash provided by financing activities of continuing operations	$	33,255	$	191,358
Effect of exchange rate changes on cash and due from banks	$	( 452 )	$	( 967 )


Change in cash, due from banks and deposits with banks	15,067		92,001
Cash, due from banks and deposits with banks at beginning of period	309,615		193,919
Cash, due from banks and deposits with banks at end of period	$	324,682	$	285,920
Cash and due from banks (including segregated cash and other deposits)	$	26,204	$	23,755
Deposits with banks, net of allowance	298,478		262,165
Cash, due from banks and deposits with banks at end of period	$	324,682	$	285,920
Supplemental disclosure of cash flow information for continuing operations
Cash paid during the period for income taxes	$	950	$	1,441
Cash paid during the period for interest	1,729		5,424
Non-cash investing activities (1)






Transfers to loans HFS (Other assets) from loans	$	636	$	224

(1) Operating and finance lease right-of-use assets and lease liabilities represent non-cash investing and financing activities, respectively, and are not included in the non-cash investing activities presented here. See Note 22 to the Consolidated Financial Statements for more information and balances as of March 31, 2021.

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

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION, UPDATED ACCOUNTING POLICIES AND ACCOUNTING CHANGES

Basis of Presentation

The accompanying unaudited Consolidated Financial Statements as of March 31, 2021 and for the three-month periods ended March 31, 2021 and 2020 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, 2020 (2020 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 these Consolidated Financial Statements are unaudited.

Throughout these Notes, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.

Certain reclassifications and updates have been made to the prior periods’ financial statements and notes to conform to the current period’s presentation.

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

See Note 1 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on Form 10-K for a summary of all of Citigroup’s significant accounting policies.

ACCOUNTING CHANGES

Accounting for Financial Instruments — Credit Losses

Overview

In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments — Credit Losses (Topic 326). The ASU introduced a new credit loss methodology, the current expected credit losses (CECL) methodology, which requires earlier recognition of credit losses while also providing additional disclosure about credit risk. Citi adopted the ASU as of January 1, 2020, which, as discussed below, resulted in an increase in Citi’s Allowance for credit losses and a decrease to opening Retained earnings , net of deferred income taxes, at January 1, 2020.

The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. The ACL is adjusted each period for changes in expected lifetime credit losses. The CECL methodology represents a significant change from prior U.S. GAAP and replaced the prior multiple existing impairment methods, which generally required that a loss be incurred before it was recognized. Within the life cycle of a loan or other financial asset, the methodology generally results in the earlier recognition of the provision for credit losses and the related ACL than prior U.S. GAAP. For available-for-sale debt securities where fair value is less than cost that Citi intends to hold or more-likely-than-not will not be required to sell, credit-related impairment, if any, is recognized through an ACL and adjusted each period for changes in credit risk.

January 1, 2020 CECL Transition (Day 1) Impact

The CECL methodology’s impact on expected credit losses, among other things, reflects Citi’s view of the current state of the economy, forecasted macroeconomic conditions and Citi’s portfolios. At the January 1, 2020 date of adoption, based on forecasts of macroeconomic conditions and exposures at that time, the aggregate impact to Citi was an approximate $ 4.1 billion, or an approximate 29 %, pretax increase in the Allowance for credit losses , along with a $ 3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $ 1.0 billion. This transition impact reflects (i) a $ 4.9 billion build to the Allowance for credit losses for Citi’s consumer exposures, primarily driven by the impact on credit card receivables of longer estimated tenors under the CECL lifetime expected credit loss methodology (loss coverage of approximately 23 months) compared to shorter estimated tenors under the probable loss methodology under prior U.S. GAAP (loss coverage of approximately 14 months), net of recoveries; and (ii) a release of $ 0.8 billion of reserves primarily related to Citi’s corporate net loan loss exposures, largely due to more precise contractual maturities that result in shorter remaining tenors, incorporation of recoveries and use

of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies.

Under the CECL methodology, the Allowance for credit losses consists of quantitative and qualitative components. Citi’s quantitative component of the Allowance for credit losses is model based and utilizes a single forward-looking macroeconomic forecast, complemented by the qualitative component described below, in estimating expected credit losses and discounts inputs for the corporate classifiably managed portfolios. Reasonable and supportable forecast periods vary by product. For example, Citi’s consumer models use a 13-quarter reasonable and supportable period and revert to historical loss experience thereafter, while its corporate loan models use a nine-quarter reasonable and supportable period followed by a three-quarter graduated transition to historical loss experience.

Citi’s qualitative component of the Allowance for credit losses considers (i) the uncertainty of forward-looking scenarios based on the likelihood and severity of a possible recession as another possible scenario; (ii) certain portfolio characteristics, such as portfolio concentration and collateral coverage; and (iii) model limitations as well as idiosyncratic events. Citi calculates a judgmental management adjustment, which is an alternative, more adverse scenario that only considers downside risk.

Accounting for Variable Post-Charge-Off Third-Party Collection Costs

In the fourth quarter of 2020, Citi revised the 2020 second quarter accounting conclusion for its variable post-charge-off third-party collection costs from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly results for 2020 were revised to reflect this change as if it were effective as of January 1, 2020, as follows:

• An increase to beginning retained earnings on January 1, 2020 of $ 330 million and a decrease of $ 443 million in the allowance for credit losses on loans, as well as a $ 113 million decrease in other assets related to income taxes.

• A decrease of $ 18 million to provisions for credit losses on loans in the first quarter and increases of $ 339 million and $ 122 million to provisions for credit losses on loans in the second and third quarters, respectively.

• Increases in operating expenses of $ 49 million and $ 45 million with a corresponding decrease in net credit losses, in the first and second quarters, respectively.

In making these revisions, Citi considered the guidance in ASC Topic 250, Accounting Changes and Error Corrections ; ASC Topic 270, Interim Reporting ; ASC Topic 250-S99-1, Assessing Materiality ; and ASC Topic 250-S99-23, Accounting Changes Not Retroactively Applied Due to Immateriality, Considering the Effects of Prior Year Misstatements when Quantifying Misstatements in Current Year Financial Statements . Citi believes that the effects of the

revisions were not material to any previously reported quarterly or annual period.

Reference Rate Reform

In March 2020, the FASB issued ASU No. 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting , which provides optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. Specifically, the guidance permits an entity, when certain criteria are met, to consider amendments to contracts made to comply with reference rate reform to meet the definition of a modification under U.S. GAAP. It further allows hedge accounting to be maintained and permits a one-time transfer or sale of qualifying held-to-maturity securities. The expedients and exceptions provided by the amendments are permitted to be adopted any time through December 31, 2022 and do not apply to contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for certain optional expedients elected for certain hedging relationships existing as of December 31, 2022. The ASU was adopted by Citi as of June 30, 2020 with prospective application and did not impact financial results in 2020.

In January 2021, the FASB issued ASU No. 2021-01, Reference Rate Reform (Topic 848): Scope , which clarifies that the scope of the initial accounting relief issued by the FASB in March 2020 includes derivative instruments that do not reference a rate that is expected to be discontinued but that use an interest rate for margining, discounting or contract price alignment that is modified as a result of reference rate reform (commonly referred to as the “discounting transition”). The amendments do not apply to contract modifications made after December 31, 2022, new hedging relationships entered into after December 31, 2022 and existing hedging relationships evaluated for effectiveness in periods after December 31, 2022, except for hedging relationships existing as of December 31, 2022, that apply certain optional expedients in which the accounting effects are recorded through the end of the hedging relationship. The ASU was adopted by Citi on a full retrospective basis upon issuance and did not impact financial results in 2020.

FUTURE ACCOUNTING CHANGES

Long-Duration Insurance Contracts

In August 2018, the FASB issued ASU No. 2018-12, Financial Services—Insurance: Targeted Improvements to the Accounting for Long-Duration Contracts , which changes the existing recognition, measurement, presentation and disclosures for long-duration contracts issued by an insurance entity. Specifically, the guidance (i) improves the timeliness of recognizing changes in the liability for future policy benefits and prescribes the rate used to discount future cash flows for long-duration insurance contracts, (ii) simplifies and improves the accounting for certain market-based options or guarantees associated with deposit (or account balance) contracts, (iii) simplifies the amortization of deferred acquisition costs and (iv) introduces additional quantitative and qualitative disclosures. Citi has certain insurance subsidiaries, primarily in Mexico, that issue long-duration insurance contracts that will be impacted by the requirements of ASU 2018-12.

The effective date of ASU 2018-12 was deferred for all insurance entities by ASU 2019-09, Finance Services—Insurance: Effective Date (issued in October 2019) and by ASU 2020-11, Financial Services—Insurance: Effective Date and Early Application (issued November 2020). Citi plans to adopt the targeted improvements in ASU 2018-12 on January 1, 2023 and is currently evaluating the impact of the standard on its insurance subsidiaries. Citi does not expect a material impact to its results of operations as a result of adopting the standard.

2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

The Company’s results from Discontinued operations consisted of residual activities related to previously divested operations. All Discontinued operations results are recorded within Corporate/Other .

The following table summarizes financial information for all Discontinued operations :


	Three Months Ended March 31,
In millions of dollars	2021		2020
Total revenues, net of interest expense	$	—	$	—
Loss from discontinued operations (1)	$	( 2 )	$	( 18 )

Benefit for income taxes	—		—
Income (loss) from discontinued operations, net of taxes	$	( 2 )	$	( 18 )

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

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

As of March 31, 2021, Citi did not have any definitive sales transactions related to its recently announced intention to pursue exits of its consumer franchises in 13 markets across Asia and EMEA . In addition, Citi did not have any significant disposals to report as of March 31, 2021.

For a description of the Company’s significant disposal transactions in prior periods and financial impact, see Note 2 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

3. BUSINESS SEGMENTS

Citigroup’s activities are conducted through the following business segments: Global Consumer Banking ( GCB) and Institutional Clients Group (ICG) . In addition, Corporate/Other includes activities not assigned to a specific business segment, as well as certain North America legacy loan portfolios, discontinued operations and other legacy assets.

Beginning in the first quarter of 2021, Citi changed its allocation for certain recurring expenses that are attributable to the business segments from Corporate/Other to GCB and ICG . These expenses include incremental investments related to risk and controls, technology capabilities and information security initiatives, as well as some incremental spend related to pandemic remediation. This change had no impact to earnings before interest and taxes at the Citi level, and given that these expenses were immaterial, the change is not reflected retrospectively. Citi’s consolidated results remained unchanged for all periods presented.

For additional information regarding Citigroup’s business segments, see Note 3 to the Consolidated Financial Statements in Citi’s 2020 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	2021		2020		2021		2020		2021		2020		March 31, 2021		December 31, 2020
Global Consumer Banking	$	7,037	$	8,174	$	658	$	( 266 )	$	2,174	$	( 741 )	$	439	$	434
Institutional Clients Group	12,220		12,484		1,736		1,044		5,972		3,626		1,776		1,730
Corporate/Other	70		73		( 62 )		( 198 )		( 169 )		( 337 )		99		96
Total	$	19,327	$	20,731	$	2,332	$	580	$	7,977	$	2,548	$	2,314	$	2,260

(1) Includes total revenues, net of interest expense (excluding Corporate/Other ), in North America of $ 9.3 billion and $ 10.2 billion; in EMEA of $ 3.7 billion and $ 3.5 billion; in Latin America of $ 2.1 billion and $ 2.6 billion; and in Asia of $ 4.1 billion and $ 4.4 billion for the three months ended March 31, 2021 and 2020, 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 $( 0.2 ) billion and $ 4.8 billion; in the ICG results of $( 1.8 ) billion and $ 2.0 billion; and in the Corporate/Other results of $( 0.1 ) billion and $ 0.2 billion for the three months ended March 31, 2021 and 2020, respectively.

100

4. INTEREST REVENUE AND EXPENSE

Interest revenue and Interest expense consisted of the following:


	Three Months Ended March 31,
In millions of dollars	2021		2020
Interest revenue
Loan interest, including fees	$	8,909	$	11,250
Deposits with banks	145		527
Securities borrowed and purchased under agreements to resell	294		1,208
Investments, including dividends	1,752		2,281
Trading account assets (1)	1,337		1,590
Other interest-bearing assets	97		283
Total interest revenue	$	12,534	$	17,139
Interest expense
Deposits (2)	$	1,052	$	2,614
Securities loaned and sold under agreements to repurchase	253		1,085
Trading account liabilities (1)	114		239
Short-term borrowings and other interest-bearing liabilities	31		384
Long-term debt	918		1,325
Total interest expense	$	2,368	$	5,647
Net interest revenue	$	10,166	$	11,492
Provision for credit losses on loans	( 1,479 )		6,377
Net interest revenue after provision for credit losses on loans	$	11,645	$	5,115

(1) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue . Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities , respectively.

(2) Includes deposit insurance fees and charges of $ 340 million and $ 225 million for the three months ended March 31, 2021 and 2020, respectively.

101

5. COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES

For additional information on Citi’s commissions and fees, and administration and other fiduciary fees, see Note 5 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

The following tables present Commissions and fees revenue:


	Three Months Ended March 31,
	2021
In millions of dollars	ICG		GCB		Corporate/Other		Total
Investment banking	$	1,624	$	—	$	—	$	1,624
Brokerage commissions	615		327		—		942
Credit- and bank-card income
Interchange fees	158		1,906		—		2,064
Card-related loan fees	5		177		—		182
Card rewards and partner payments (1)	( 75 )		( 2,096 )		—		( 2,171 )
Deposit-related fees (2)	244		85		—		329
Transactional service fees	241		24		—		265
Corporate finance (3)	158		—		—		158
Insurance distribution revenue	5		130		—		135
Insurance premiums	—		20		—		20
Loan servicing	12		7		4		23
Other	41		58		—		99
Total commissions and fees (4)	$	3,028	$	638	$	4	$	3,670


	Three Months Ended March 31,
	2020
In millions of dollars	ICG		GCB		Corporate/Other		Total
Investment banking	$	1,040	$	—	$	—	$	1,040
Brokerage commissions	577		249		—		826
Credit- and bank-card income
Interchange fees	261		1,917		—		2,178
Card-related loan fees	11		166		—		177
Card rewards and partner payments (1)	( 149 )		( 2,093 )		—		( 2,242 )
Deposit-related fees (2)	233		115		—		348
Transactional service fees	227		24		—		251
Corporate finance (3)	146		—		—		146
Insurance distribution revenue	4		125		—		129
Insurance premiums	—		43		—		43
Loan servicing	20		11		8		39
Other	30		56		—		86
Total commissions and fees (4)	$	2,400	$	613	$	8	$	3,021

(1) Citi’s consumer credit card programs have certain partner-sharing agreements that vary by partner. These agreements are subject to contractually based performance thresholds that, if met, would require Citi to make ongoing payments to the partner. The threshold is based on the profitability of a program and is generally calculated based on predefined program revenues less predefined program expenses. In most of Citi’s partner-sharing agreements, program expenses include net credit losses and, to the extent that the increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions.

(2) Includes overdraft fees of $ 24 million and $ 31 million for the three months ended March 31, 2021 and 2020, respectively. Overdraft fees are accounted for under ASC 310.

(3) Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.

102

(4) Commissions and fees includes $( 1,749 ) million and $( 1,802 ) million not accounted for under ASC 606, Revenue from Contracts with Customers , for the three months ended March 31, 2021 and 2020, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.

The following table presents Administration and other fiduciary fees revenue:


	Three Months Ended March 31,
	2021
In millions of dollars	ICG		GCB		Corporate/Other		Total
Custody fees	$	451	$	6	$	—	$	457
Fiduciary fees	192		167		—		359
Guarantee fees	142		2		1		145
Total administration and other fiduciary fees (1)	$	785	$	175	$	1	$	961


	Three Months Ended March 31,
	2020
In millions of dollars	ICG		GCB		Corporate/Other		Total
Custody fees	$	366	$	8	$	15	$	389
Fiduciary fees	172		156		—		328
Guarantee fees	134		2		1		137
Total administration and other fiduciary fees (1)	$	672	$	166	$	16	$	854

(1) Administration and other fiduciary fees includes $ 145 million and $ 136 million for the three months ended March 31, 2021 and 2020, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.

103

6. PRINCIPAL TRANSACTIONS

Principal transactions revenue consists of realized and unrealized gains and losses from trading activities. Trading activities include revenues from fixed income, equities, credit and commodities products and foreign exchange transactions that are managed on a portfolio basis and characterized below based on the primary risk managed by each trading desk. Not included in the table below is the impact of net interest revenue related to trading activities, which is an integral part of trading activities’ profitability. See Note 4 to the Consolidated Financial Statements for information about net interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustments) and FVA (funding valuation adjustments) on over-the-counter derivatives, and gains (losses) on certain economic hedges on loans in ICG . These adjustments are discussed further in Note 20 to the Consolidated Financial Statements.

In certain transactions, Citi incurs fees and presents these fees paid to third parties in operating expenses.

The following table presents Principal transactions revenue:


	Three Months Ended March 31,
In millions of dollars	2021		2020
Interest rate risks (1)	$	1,433	$	1,838
Foreign exchange risks (2)	962		1,066
Equity risks (3)	845		819
Commodity and other risks (4)	200		395
Credit products and risks (5)	473		1,143
Total	$	3,913	$	5,261

(1) Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.

(2) Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.

(3) Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.

(4) Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.

(5) Includes revenues from structured credit products.

104

7. INCENTIVE PLANS

For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 2020 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 2020 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	2021		2020			2021		2020		2021		2020		2021		2020

Benefits earned during the period	$	—	$	—		$	39	$	37	$	—	$	—	$	2	$	2
Interest cost on benefit obligation	82		106			62		64		3		5		25		24
Expected return on assets	( 182 )		( 208 )			( 61 )		( 65 )		( 4 )		( 5 )		( 22 )		( 20 )
Amortization of unrecognized:
Prior service cost (benefit)	1		1			( 1 )		( 1 )		( 2 )		—		( 2 )		( 2 )
Net actuarial loss	62		56			18		17		—		—		5		5






Total net (benefit) expense	$	( 37 )	$	( 45 )		$	57	$	52	$	( 3 )	$	—	$	8	$	9

105

Funded Status and Accumulated Other Comprehensive Income (AOCI)

The following table summarizes the funded status and amounts recognized on the Consolidated Balance Sheet for the Company’s

Significant Plans:



	Three Months Ended March 31, 2021
	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	$	13,815	$	8,629	$	559	$	1,390
Plans measured annually	( 25 )		( 2,248 )		—		( 277 )
Projected benefit obligation at beginning of year—Significant Plans	$	13,790	$	6,381	$	559	$	1,113





Benefits earned during the period	—		23		—		1
Interest cost on benefit obligation	$	82	$	52	3		22
Actuarial gain (1)	( 849 )		( 428 )		( 31 )		( 123 )
Benefits paid, net of participants’ contributions and government subsidy	$	( 216 )	$	( 84 )	( 9 )		( 18 )





Foreign exchange impact and other	—		( 135 )		—		( 28 )


Projected benefit obligation at period end—Significant Plans	$	12,807	$	5,809	$	522	$	967
Change in plan assets

Plan assets at fair value at beginning of year	$	13,309	$	7,831	$	331	$	1,146
Plans measured annually	—		( 1,500 )		—		( 8 )
Plan assets at fair value at beginning of year—Significant Plans	$	13,309	$	6,331	$	331	$	1,138




Actual return on plan assets	( 232 )		( 230 )		( 4 )		4
Company contributions, net of reimbursements	13		18		5		—

Benefits paid, net of participants’ contributions and government subsidy	( 216 )		( 84 )		( 9 )		( 18 )



Foreign exchange impact and other	—		( 108 )		—		( 30 )


Plan assets at fair value at period end—Significant Plans	$	12,874	$	5,927	$	323	$	1,094
Funded status of the Significant Plans
Qualified plans (2)	$	730	$	118	$	( 199 )	$	127
Nonqualified plans (3)	( 663 )		—		—		—
Funded status of the plans at period end—Significant Plans	$	67	$	118	$	( 199 )	$	127
Net amount recognized at period end
Benefit asset	$	730	$	705	$	—	$	127
Benefit liability	( 663 )		( 587 )		( 199 )		—
Net amount recognized on the balance sheet—Significant Plans	$	67	$	118	$	( 199 )	$	127
Amounts recognized in AOCI at period end

Prior service benefit	$	—	$	1	$	99	$	55
Net actuarial (loss) gain	( 6,627 )		( 1,043 )		78		( 221 )
Net amount recognized in equity (pretax)—Significant Plans	$	( 6,627 )	$	( 1,042 )	$	177	$	( 166 )
Accumulated benefit obligation at period end—Significant Plans	$	12,804	$	5,211	$	522	$	967

(1) During 2021, the actuarial gain is primarily due to the increase in global discount rates.

(2) 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, 2021 and no minimum required funding is expected for 2021.

(3) The nonqualified plans of the Company are unfunded.

106

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, 2021		For Year Ended December 31, 2020

Beginning of period balance, net of tax (1)(2)	$	( 6,864 )	$	( 6,809 )


Actuarial assumptions changes and plan experience	1,430		( 1,464 )
Net asset (loss) gain due to difference between actual and expected returns	( 718 )		1,076
Net amortization	81		318
Prior service credit	—		108
Curtailment/settlement loss (3)	—		( 8 )
Foreign exchange impact and other	114		( 108 )
Change in deferred taxes, net	( 193 )		23
Change, net of tax	$	714	$	( 55 )
End of period balance, net of tax (1)(2)	$	( 6,150 )	$	( 6,864 )

(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) 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, 2021		Dec. 31, 2020
U.S. plans
Qualified pension	2.45	%	2.55	%
Nonqualified pension	2.35		2.50
Postretirement	2.20		2.35
Non-U.S. plans
Pension	0.05 - 8.15		0.05 - 8.55
Weighted average	3.60		3.74
Postretirement	8.55		9.00

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, 2021		Dec. 31, 2020		Mar. 31, 2020
U.S. plans
Qualified pension	3.10	%	2.45	%	3.20	%
Nonqualified pension	3.00		2.35		3.25
Postretirement	2.85		2.20		3.20
Non-U.S. plans
Pension	0.25 - 9.30		0.05 - 8.15		0.45 - 9.45
Weighted average	3.59		3.60		4.38
Postretirement	9.70		8.55		9.75

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, 2021
In millions of dollars	One-percentage-point increase		One-percentage-point decrease
Pension
U.S. plans	$	9	$	( 15 )
Non-U.S. plans	—		5
Postretirement
U.S. plans	—		( 1 )
Non-U.S. plans	( 3 )		3

107

Contributions

For the U.S. pension plans, there were no required minimum cash contributions during the first three months of 2021.

The following table summarizes the Company’s actual contributions for the three months ended March 31, 2021 and 2020, as well as expected Company contributions for the remainder of 2021 and the actual contributions made in 2020:


	Pension plans						Postretirement plans
	U.S. plans (1)				Non-U.S. plans				U.S. plans				Non-U.S. plans
In millions of dollars	2021		2020		2021		2020		2021		2020		2021		2020
Company contributions (2) for the three months ended March 31	$	14	$	14	$	37	$	37	$	5	$	—	$	2	$	2
Company contributions (reimbursements) made during the remainder of the year	—		42		—		121		—		( 15 )		—		7
Company contributions expected to be made during the remainder of the year	43		—		114		—		5		—		6		—

(1) The U.S. plans include benefits paid directly by the Company for the nonqualified pension plans.

(2) Company contributions are composed of cash contributions made to the plans and benefits paid directly by the Company.

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	2021		2020
U.S. plans	$	105	$	101
Non-U.S. plans	92		76

Post Employment Plans

The following table summarizes the net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:


	Three Months Ended March 31,
In millions of dollars	2021		2020








Non-service-related expense	$	5	$	5
Total net expense	$	5	$	5

108

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 of dollars, except per share amounts	2021		2020
Earnings per common share
Income from continuing operations before attribution of noncontrolling interests	$	7,977	$	2,548
Less: Noncontrolling interests from continuing operations	33		( 6 )
Net income from continuing operations (for EPS purposes)	$	7,944	$	2,554
Loss from discontinued operations, net of taxes	( 2 )		( 18 )
Citigroup’s net income	$	7,942	$	2,536
Less: Preferred dividends (1)	292		291
Net income available to common shareholders	$	7,650	$	2,245
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS	66		21
Net income allocated to common shareholders for basic EPS	$	7,584	$	2,224
Weighted-average common shares outstanding applicable to basic EPS (in millions)	2,082.0		2,097.9
Basic earnings per share (2)
Income from continuing operations	$	3.64	$	1.07
Discontinued operations	—		( 0.01 )
Net income per share—basic	$	3.64	$	1.06
Diluted earnings per share
Net income allocated to common shareholders for basic EPS	$	7,584	$	2,224
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable	7		7
Net income allocated to common shareholders for diluted EPS	$	7,591	$	2,231
Weighted-average common shares outstanding applicable to basic EPS (in millions)	2,082.0		2,097.9
Effect of dilutive securities
Options (3)	0.1		0.1
Other employee plans	14.5		15.7
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions) (4)	2,096.6		2,113.7
Diluted earnings per share (2)
Income from continuing operations	$	3.62	$	1.06
Discontinued operations	—		( 0.01 )
Net income per share—diluted	$	3.62	$	1.06

(1) On April 1, 2021, Citi declared preferred dividends of approximately $ 253 million for the second quarter of 2021. During the first quarter of 2021, Citi redeemed all of its 41.4 million Series S preferred shares for $ 1.035 billion and 465,000 shares of its Series R preferred shares for $ 465 million; in February, Citi also issued 2.3 million of Series X preferred shares for $ 2.3 billion. On April 16, 2021, Citi announced that it will be redeeming all of its 1.25 million Series Q preferred shares for $ 1.25 billion and 1.035 million shares of its Series R preferred shares for $ 1.035 billion. As of May 5, 2021, Citi estimates it will distribute preferred dividends of approximately $ 266 million and $ 228 million in the third and fourth quarters of 2021, respectively, subject to such dividends being declared by the Citi Board of Directors.

(2) Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.

(3) During the first quarter of 2021 and 2020, no significant options to purchase shares of common stock were outstanding.

(4) Due to rounding, weighted-average common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to weighted-average common shares outstanding applicable to diluted EPS.

109

10. SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS

For additional information on the Company’s resale and repurchase agreements and securities borrowing and lending agreements, see Note 11 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

Securities borrowed and purchased under agreements to resell , at their respective carrying values, consisted of the following:


In millions of dollars	March 31, 2021		December 31, 2020
Securities purchased under agreements to resell	$	220,276	$	204,655
Deposits paid for securities borrowed	94,801		90,067
Total, net (1)	$	315,077	$	294,722
Allowance for credit losses on securities purchased and borrowed (2)	( 5 )		( 10 )
Total, net of allowance	$	315,072	$	294,712

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


In millions of dollars	March 31, 2021		December 31, 2020
Securities sold under agreements to repurchase	$	198,029	$	181,194
Deposits received for securities loaned	21,139		18,331
Total, net (1)	$	219,168	$	199,525

(1) The above tables do not include securities-for-securities lending transactions of $ 2.7 billion and $ 6.8 billion at March 31, 2021 and December 31, 2020, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables .

(2) See Note 14 to the Consolidated Financial Statements for further information.

It is the Company’s policy to take possession of the underlying collateral, monitor its market value relative to the amounts due under the agreements and, when necessary, require prompt transfer of additional collateral in order to maintain contractual margin protection. For resale and repurchase agreements, when necessary, the Company posts additional collateral in order to maintain contractual margin protection.

A substantial portion of the resale and repurchase agreements is recorded at fair value, as 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 amounts permitted under ASC 210-20-45. The tables also include amounts related to financial instruments that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting rights has been obtained. Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.


	As of March 31, 2021
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		Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default (2)		Net amounts (3)
Securities purchased under agreements to resell	$	336,164	$	115,888	$	220,276	$	184,850	$	35,426
Deposits paid for securities borrowed	106,008		11,207		94,801		20,754		74,047
Total	$	442,172	$	127,095	$	315,077	$	205,604	$	109,473

110


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		Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default (2)		Net amounts (3)
Securities sold under agreements to repurchase	$	313,917	$	115,888	$	198,029	$	102,256	$	95,773
Deposits received for securities loaned	32,346		11,207		21,139		11,085		10,054
Total	$	346,263	$	127,095	$	219,168	$	113,341	$	105,827


	As of December 31, 2020
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		Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default (2)		Net amounts (3)
Securities purchased under agreements to resell	$	362,025	$	157,370	$	204,655	$	159,232	$	45,423
Deposits paid for securities borrowed	96,425		6,358		90,067		13,474		76,593
Total	$	458,450	$	163,728	$	294,722	$	172,706	$	122,016


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		Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default (2)		Net amounts (3)
Securities sold under agreements to repurchase	$	338,564	$	157,370	$	181,194	$	95,563	$	85,631
Deposits received for securities loaned	24,689		6,358		18,331		7,982		10,349
Total	$	363,253	$	163,728	$	199,525	$	103,545	$	95,980

(1) Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.

(2) Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.

(3) Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by remaining contractual maturity:


	As of March 31, 2021
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	$	154,646	$	74,302	$	39,859	$	45,110	$	313,917
Deposits received for securities loaned	22,498		1,265		2,730		5,853		32,346
Total	$	177,144	$	75,567	$	42,589	$	50,963	$	346,263


	As of December 31, 2020
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	$	160,754	$	98,226	$	41,679	$	37,905	$	338,564
Deposits received for securities loaned	17,038		3		2,770		4,878		24,689
Total	$	177,792	$	98,229	$	44,449	$	42,783	$	363,253

111

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


	As of March 31, 2021
In millions of dollars	Repurchase agreements		Securities lending agreements		Total
U.S. Treasury and federal agency securities	$	106,286	$	—	$	106,286
State and municipal securities	636		—		636
Foreign government securities	118,501		1,909		120,410
Corporate bonds	21,778		148		21,926
Equity securities	22,651		30,136		52,787
Mortgage-backed securities	36,336		—		36,336
Asset-backed securities	2,501		—		2,501
Other	5,228		153		5,381
Total	$	313,917	$	32,346	$	346,263


	As of December 31, 2020
In millions of dollars	Repurchase agreements		Securities lending agreements		Total
U.S. Treasury and federal agency securities	$	112,437	$	—	$	112,437
State and municipal securities	664		2		666
Foreign government securities	130,017		194		130,211
Corporate bonds	20,149		78		20,227
Equity securities	21,497		24,149		45,646
Mortgage-backed securities	45,566		—		45,566
Asset-backed securities	3,307		—		3,307
Other	4,927		266		5,193
Total	$	338,564	$	24,689	$	363,253

112

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 2020 Annual Report on Form 10-K.

Brokerage receivables and Brokerage payables consisted of the following:


In millions of dollars	March 31, 2021		December 31, 2020
Receivables from customers	$	25,661	$	18,097
Receivables from brokers, dealers and clearing organizations	34,804		26,709
Total brokerage receivables (1)	$	60,465	$	44,806
Payables to customers	$	45,065	$	39,319
Payables to brokers, dealers and clearing organizations	15,842		11,165
Total brokerage payables (1)	$	60,907	$	50,484

(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.

113

12. INVESTMENTS

For additional information regarding Citi’s investment portfolios, including evaluating investments for impairment, see Note 13 to the Consolidated Financial Statements

in Citi’s 2020 Annual Report on Form 10-K.

The following table presents Citi’s investments by category:


In millions of dollars	March 31, 2021		December 31, 2020

Debt securities available-for-sale (AFS)	$	304,036	$	335,084
Debt securities held-to-maturity (HTM) (1)	161,742		104,943
Marketable equity securities carried at fair value (2)	249		515
Non-marketable equity securities carried at fair value (2)	535		551
Non-marketable equity securities measured using the measurement alternative (3)	1,079		962
Non-marketable equity securities carried at cost (4)	5,318		5,304
Total investments	$	472,959	$	447,359

(1) Carried at adjusted amortized cost basis, net of any ACL.

(2) Unrealized gains and losses are recognized in earnings.

(3) Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See ”Non-Marketable Equity Securities Not Carried at Fair Value” below.

(4) Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.

The following table presents interest and dividend income on investments:


	Three Months Ended March 31,
In millions of dollars	2021		2020
Taxable interest	$	1,652	$	2,179
Interest exempt from U.S. federal income tax	66		76
Dividend income	34		26
Total interest and dividend income on investments	$	1,752	$	2,281

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


	Three Months Ended March 31,
In millions of dollars	2021		2020
Gross realized investment gains	$	460	$	461
Gross realized investment losses	( 59 )		( 29 )
Net realized gains on sales of investments	$	401	$	432

114

Debt Securities Available-for-Sale

The amortized cost and fair value of AFS debt securities were as follows:


	March 31, 2021										December 31, 2020
In millions of dollars	Amortized cost		Gross unrealized gains		Gross unrealized losses		Allowance for credit losses		Fair value		Amortized cost		Gross unrealized gains		Gross unrealized losses		Allowance for credit losses		Fair value
Debt securities AFS
Mortgage-backed securities (1)
U.S. government-sponsored agency guaranteed	$	42,058	$	894	$	249	$	—	$	42,703	$	42,836	$	1,134	$	52	$	—	$	43,918



Non-U.S. residential	435		2		—		—		437		568		3		—		—		571
Commercial	44		1		—		—		45		49		1		—		—		50
Total mortgage-backed securities	$	42,537	$	897	$	249	$	—	$	43,185	$	43,453	$	1,138	$	52	$	—	$	44,539
U.S. Treasury and federal agency securities
U.S. Treasury	$	121,573	$	1,532	$	455	$	—	$	122,650	$	144,094	$	2,108	$	49	$	—	$	146,153
Agency obligations	50		—		—		—		50		50		1		—		—		51
Total U.S. Treasury and federal agency securities	$	121,623	$	1,532	$	455	$	—	$	122,700	$	144,144	$	2,109	$	49	$	—	$	146,204
State and municipal	$	3,283	$	87	$	119	$	—	$	3,251	$	3,753	$	123	$	157	$	—	$	3,719
Foreign government	119,126		979		491		—		119,614		123,467		1,623		122		—		124,968
Corporate	10,274		97		118		5		10,248		10,444		152		91		5		10,500
Asset-backed securities (1)	272		2		—		—		274		277		5		4		—		278
Other debt securities	4,758		6		—		—		4,764		4,871		5		—		—		4,876

Total debt securities AFS	$	301,873	$	3,600	$	1,432	$	5	$	304,036	$	330,409	$	5,155	$	475	$	5	$	335,084

(1) The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.

115

The following table shows the fair value of AFS debt 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, 2021
Debt securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	17,053	$	227	$	262	$	22	$	17,315	$	249

Non-U.S. residential	15		—		1		—		16		—
Commercial	1		—		—		—		1		—
Total mortgage-backed securities	$	17,069	$	227	$	263	$	22	$	17,332	$	249

U.S. Treasury	$	40,386	$	455	$	—	$	—	$	40,386	$	455


State and municipal	191		5		1,215		114		1,406		119
Foreign government	46,138		389		4,629		102		50,767		491
Corporate	3,017		116		39		2		3,056		118
Asset-backed securities	3		—		—		—		3		—
Other debt securities	1,079		—		—		—		1,079		—
Total debt securities AFS	$	107,883	$	1,192	$	6,146	$	240	$	114,029	$	1,432
December 31, 2020
Debt securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	3,588	$	30	$	298	$	22	$	3,886	$	52

Non-U.S. residential	1		—		—		—		1		—
Commercial	7		—		4		—		11		—
Total mortgage-backed securities	$	3,596	$	30	$	302	$	22	$	3,898	$	52
U.S. Treasury and federal agency securities
U.S. Treasury	$	25,031	$	49	$	—	$	—	$	25,031	$	49
Agency obligations	50		—		—		—		50		—
Total U.S. Treasury and federal agency securities	$	25,081	$	49	$	—	$	—	$	25,081	$	49
State and municipal	$	836	$	34	$	893	$	123	$	1,729	$	157
Foreign government	29,344		61		3,502		61		32,846		122
Corporate	1,083		90		24		1		1,107		91
Asset-backed securities	194		3		39		1		233		4
Other debt securities	182		—		—		—		182		—
Total debt securities AFS	$	60,316	$	267	$	4,760	$	208	$	65,076	$	475

116

The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:



	March 31, 2021				December 31, 2020
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities (1)
Due within 1 year	$	70	$	70	$	27	$	27
After 1 but within 5 years	387		389		567		571
After 5 but within 10 years	819		876		688		757
After 10 years (2)	41,261		41,850		42,171		43,184
Total	$	42,537	$	43,185	$	43,453	$	44,539
U.S. Treasury and federal agency securities
Due within 1 year	$	29,917	$	30,048	$	34,834	$	34,951
After 1 but within 5 years	90,482		91,455		108,160		110,091
After 5 but within 10 years	1,222		1,195		1,150		1,162
After 10 years (2)	2		2		—		—
Total	$	121,623	$	122,700	$	144,144	$	146,204
State and municipal
Due within 1 year	$	408	$	408	$	427	$	428
After 1 but within 5 years	117		118		189		198
After 5 but within 10 years	240		239		276		267
After 10 years (2)	2,518		2,486		2,861		2,826
Total	$	3,283	$	3,251	$	3,753	$	3,719
Foreign government
Due within 1 year	$	48,334	$	48,426	$	48,133	$	48,258
After 1 but within 5 years	63,516		63,789		67,365		68,586
After 5 but within 10 years	5,562		5,599		5,908		6,011
After 10 years (2)	1,714		1,800		2,061		2,113
Total	$	119,126	$	119,614	$	123,467	$	124,968
All other (3)
Due within 1 year	$	6,332	$	6,338	$	6,661	$	6,665
After 1 but within 5 years	7,886		7,898		7,814		7,891
After 5 but within 10 years	992		979		1,018		1,034
After 10 years (2)	94		71		99		64
Total	$	15,304	$	15,286	$	15,592	$	15,654
Total debt securities AFS	$	301,873	$	304,036	$	330,409	$	335,084

(1) Includes mortgage-backed securities of U.S. government-sponsored agencies. The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions.

(2) 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.

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Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM were as follows:


In millions of dollars	Amortized cost, net (1)		Gross unrealized gains		Gross unrealized losses		Fair value
March 31, 2021
Debt securities HTM
Mortgage-backed securities (2)
U.S. government-sponsored agency guaranteed	$	63,783	$	1,643	$	718	$	64,708

Non-U.S. residential	1,107		3		1		1,109
Commercial	887		2		1		888
Total mortgage-backed securities	$	65,777	$	1,648	$	720	$	66,705
U.S. Treasury securities	$	58,380	$	—	$	925	$	57,455
State and municipal (3)	9,446		631		17		10,060
Foreign government	1,877		45		8		1,914
Asset-backed securities (2)	26,262		10		31		26,241

Total debt securities HTM, net	$	161,742	$	2,334	$	1,701	$	162,375
December 31, 2020
Debt securities HTM
Mortgage-backed securities (2)
U.S. government-sponsored agency guaranteed	$	49,004	$	2,162	$	15	$	51,151



Non-U.S. residential	1,124		3		1		1,126
Commercial	825		1		1		825
Total mortgage-backed securities	$	50,953	$	2,166	$	17	$	53,102
U.S. Treasury securities (4)	$	21,293	$	4	$	55	$	21,242
State and municipal	9,185		755		11		9,929
Foreign government	1,931		91		—		2,022
Asset-backed securities (2)	21,581		6		92		21,495
Total debt securities HTM, net	$	104,943	$	3,022	$	175	$	107,790

(1) Amortized cost is reported net of ACL of $ 78 million and $ 86 million at March 31, 2021 and December 31, 2020, respectively.

(2) The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.

(3) In February 2021, Citibank transferred $ 237 million of state and municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized gain position of $ 14 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities.

(4) In August 2020, Citibank transferred $ 13.1 billion of investments in U.S. Treasury securities from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized gain position of $ 144 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities.

118

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



	March 31, 2021				December 31, 2020
In millions of dollars	Amortized cost (1)		Fair value		Amortized cost (1)		Fair value
Mortgage-backed securities
Due within 1 year	$	244	$	399	$	81	$	81
After 1 but within 5 years	596		626		463		477
After 5 but within 10 years	1,641		1,749		1,699		1,873
After 10 years (2)	63,296		63,931		48,710		50,671
Total	$	65,777	$	66,705	$	50,953	$	53,102
U.S. Treasury securities
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	28,176		27,697		18,955		19,127
After 5 but within 10 years	30,204		29,758		2,338		2,115
After 10 years (2)	—		—		—		—
Total	$	58,380	$	57,455	$	21,293	$	21,242
State and municipal
Due within 1 year	$	8	$	7	$	6	$	6
After 1 but within 5 years	172		176		139		142
After 5 but within 10 years	848		887		818		869
After 10 years (2)	8,418		8,990		8,222		8,912
Total	$	9,446	$	10,060	$	9,185	$	9,929
Foreign government
Due within 1 year	$	352	$	349	$	361	$	360
After 1 but within 5 years	1,525		1,565		1,570		1,662
After 5 but within 10 years	—		—		—		—
After 10 years (2)	—		—		—		—
Total	$	1,877	$	1,914	$	1,931	$	2,022
All other (3)
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	—		—		—		—
After 5 but within 10 years	13,973		13,956		11,795		15,020
After 10 years (2)	12,289		12,285		9,786		6,475
Total	$	26,262	$	26,241	$	21,581	$	21,495
Total debt securities HTM	$	161,742	$	162,375	$	104,943	$	107,790

(1) Amortized cost is reported net of ACL of $ 78 million and $ 86 million at March 31, 2021 and December 31, 2020, respectively.

(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 and asset-backed securities.

HTM Debt Securities Delinquency and Non-Accrual Details

Citi did not have any HTM securities that were delinquent or on non-accrual status at March 31, 2021 and December 31, 2020.

There were no purchased credit-deteriorated HTM debt securities held by the Company as of March 31, 2021 and December 31, 2020.

119

Evaluating Investments for Impairment

AFS Debt Securities

Overview—AFS Debt Securities

The Company conducts periodic reviews of all AFS debt securities with unrealized losses to evaluate whether the impairment resulted from expected credit losses or from other factors and to evaluate the Company’s intent to sell such securities.

An AFS debt security is impaired when the current fair value of an individual AFS debt security is less than its amortized cost basis.

The Company recognizes the entire difference between amortized cost basis and fair value in earnings for impaired AFS debt securities that Citi has an intent to sell or for which Citi believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those AFS debt securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings by recording an allowance for credit losses. Any remaining fair value decline for such securities is recorded in AOCI . The Company does not consider the length of time that the fair value of a security is below its amortized cost when determining if a credit loss exists.

For AFS debt securities, credit losses exist where Citi does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security. The allowance for credit losses is limited to the amount by which the AFS debt security’s amortized cost basis exceeds its fair value. The allowance is increased or decreased if credit conditions subsequently worsen or improve. Reversals of credit losses are recognized in earnings.

The Company’s review for impairment of AFS debt securities generally entails:

• identification and evaluation of impaired investments;

• consideration of evidential matter, including an evaluation of factors or triggers that could cause individual positions to qualify as credit impaired and those that would not support credit impairment; and

• documentation of the results of these analyses, as required under business policies.

The sections below describe the Company’s process for identifying expected credit impairments for debt security types that have the most significant unrealized losses as of March 31, 2021.

Mortgage-Backed Securities

Citi records no allowances for credit losses on U.S. government-agency-guaranteed mortgage-backed securities, because the Company expects to incur no credit losses in the event of default due to a history of incurring no credit losses and due to the nature of the counterparties.

State and Municipal Securities

The process for estimating credit losses in Citigroup’s AFS state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. Citi monitors the bond issuers and any insurers providing default protection in the form of financial guarantee insurance. The average external credit rating, ignoring any insurance, is Aa2/AA. In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments.

For AFS state and municipal bonds with unrealized losses that Citi plans to sell, or would more-likely-than-not be required to sell, the full impairment is recognized in earnings. For AFS state and municipal bonds where Citi has no intent to sell and it is more-likely-than-not that the Company will not be required to sell, Citi records an allowance for expected credit losses for the amount it expects not to collect, capped at the difference between the bond’s amortized cost basis and fair value.

Equity Method Investments

Management assesses equity method investments that have fair values that are less than their respective carrying values for other-than-temporary impairment (OTTI). Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 20 to the Consolidated Financial Statements).

For impaired equity method investments that Citi plans to sell prior to recovery of value or would more-likely-than-not be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized as OTTI in Other revenue regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.

For impaired equity method investments that management does not plan to sell and is not more-likely-than-not to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators:

• the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer;

• the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and

• the length of time and extent to which fair value has been less than the carrying value.

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Recognition and Measurement of Impairment

The following table presents total impairment on Investments recognized in earnings:


	Three Months Ended March 31, 2021						Three Months Ended March 31, 2020
In millions of dollars	AFS		Other assets		Total		AFS		Other assets		Total
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:
Total impairment losses recognized during the period	$	—	$	—	$	—	$	—	$	—	$	—
Less: portion of impairment loss recognized in AOCI (before taxes)	—		—		—		—		—		—
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell	$	—	$	—	$	—	$	—	$	—	$	—
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise	69		—		69		52		—		52
Total impairment losses recognized in earnings	$	69	$	—	$	69	$	52	$	—	$	52

Allowance for Credit Losses on AFS Debt Securities


	Three Months Ended March 31, 2021
In millions of dollars	Foreign government		Corporate		Total AFS
Allowance for credit losses at beginning of period	$	—	$	5	$	5
Less: Write-offs	—		—		—
Recoveries of amounts written-off	—		—		—
Net credit losses (NCLs)	$	—	$	—	$	—
NCLs	$	—	$	—	$	—
Credit losses on securities without previous credit losses	—		—		—
Net reserve builds (releases) on securities with previous credit losses	—		—		—


Total provision for credit losses	$	—	$	—	$	—
Initial allowance on newly purchased credit-deteriorated securities during the period	—		—		—
Allowance for credit losses at end of period	$	—	$	5	$	5

Citi did no t have an allowance for credit losses on AFS debt securities at March 31, 2020.

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Non-Marketable Equity Securities Not Carried at Fair Value

Non-marketable equity securities are required to be measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost.

The election to measure a non-marketable equity security using the measurement alternative is made on an instrument-by-instrument basis. Under the measurement alternative, an equity security is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer. The carrying value of the equity security is adjusted to fair value on the date of an observed transaction. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.

Equity securities under the measurement alternative are also assessed for impairment. On a quarterly basis, management qualitatively assesses whether each equity security under the measurement alternative is impaired. Impairment indicators that are considered include, but are not limited to, the following:

• a significant deterioration in the earnings performance, credit rating, asset quality or business prospects of the investee;

• a significant adverse change in the regulatory, economic or technological environment of the investee;

• a significant adverse change in the general market condition of either the geographical area or the industry in which the investee operates;

• a bona fide offer to purchase, an offer by the investee to sell or a completed auction process for the same or similar investment for an amount less than the carrying amount of that investment; and

• factors that raise significant concerns about the investee’s ability to continue as a going concern, such as negative cash flows from operations, working capital deficiencies or noncompliance with statutory capital requirements or debt covenants.

When the qualitative assessment indicates that impairment exists, the investment is written down to fair value, with the full difference between the fair value of the investment and its carrying amount recognized in earnings.

Below is the carrying value of non-marketable equity securities measured using the measurement alternative at March 31, 2021 and December 31, 2020:


In millions of dollars	March 31, 2021		December 31, 2020
Measurement alternative:
Carrying value	$	1,079	$	962

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


	Three Months Ended March 31,
In millions of dollars	2021		2020
Measurement alternative (1) :
Impairment losses	$	—	$	3
Downward changes for observable prices	—		—
Upward changes for observable prices	81		25

(1) See Note 20 to the Consolidated Financial Statements for additional information on these nonrecurring fair value measurements.


	Life-to-date amounts on securities still held
In millions of dollars	March 31, 2021
Measurement alternative:
Impairment losses	$	68
Downward changes for observable prices	53
Upward changes for observable prices	567

A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three months ended March 31, 2021 and 2020, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.

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 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 five 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.

122


	Fair value				Unfunded commitments				Redemption frequency (if currently eligible) monthly, quarterly, annually	Redemption notice period
In millions of dollars	March 31, 2021		December 31, 2020		March 31, 2021		December 31, 2020

Private equity funds (1)(2)	$	116	$	123	$	60	$	62	—	—
Real estate funds (2)(3)	4		9		2		20		—	—
Mutual/collective investment funds	19		20		—		—		—	—
Total	$	139	$	152	$	62	$	82	—	—

(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.

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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 1 to the Consolidated Financial Statements and Notes 1 and 14 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

Consumer Loans

Consumer loans represent loans and leases managed primarily by GCB and Corporate/Other .

Consumer Loans, Delinquencies and Non-Accrual Status at March 31, 2021


In millions of dollars	Total current (1)(2)		30–89 days past due (3)(4)		≥ 90 days past due (3)(4)		Past due government guaranteed (5)		Total loans		Non-accrual loans for which there is no ACLL		Non-accrual loans for which there is an ACLL		Total non-accrual		90 days past due and accruing
In North America offices (6)
Residential first mortgages (7)	$	44,638	$	272	$	344	$	485	$	45,739	$	128	$	460	$	588	$	325
Home equity loans (8)(9)	6,391		61		186		—		6,638		69		268		337		—
Credit cards	118,870		997		1,181		—		121,048		—		—		—		1,181
Personal, small business and other	4,565		25		10		—		4,600		2		34		36		—
Total	$	174,464	$	1,355	$	1,721	$	485	$	178,025	$	199	$	762	$	961	$	1,506
In offices outside North America (6)
Residential first mortgages (7)	$	39,426	$	205	$	202	$	—	$	39,833	$	—	$	479	$	479	$	—
Credit cards	20,397		344		396		—		21,137		—		281		281		269
Personal, small business and other	34,669		237		133		—		35,039		—		263		263		—
Total	$	94,492	$	786	$	731	$	—	$	96,009	$	—	$	1,023	$	1,023	$	269
Total Citigroup (10)	$	268,956	$	2,141	$	2,452	$	485	$	274,034	$	199	$	1,785	$	1,984	$	1,775

(1) Loans less than 30 days past due are presented as current.

(2) Includes $ 15 million of residential first mortgages recorded at fair value.

(3) Excludes loans guaranteed by U.S. government-sponsored agencies.

(4) Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification. Most modified loans in North America would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020 and began to age at that time.

(5) Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $ 0.1 billion and 90 days or more past due of $ 0.4 billion.

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

(7) Includes approximately $ 0.1 billion of residential first mortgage loans in process of foreclosure.

(8) Includes approximately $ 0.1 billion of home equity loans in process of foreclosure.

(9) Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.

(10) Consumer loans are net of unearned income of $ 700 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.

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Interest Income Recognized for Non-Accrual Consumer Loans


	Interest income
In millions of dollars	Three Months Ended March 31, 2021		Three Months Ended March 31, 2020
In North America offices (1)
Residential first mortgages	$	3	$	3
Home equity loans	2		2
Credit cards	—		—
Personal, small business and other	—		—
Total	$	5	$	5
In offices outside North America (1)
Residential first mortgages	$	—	$	—
Credit cards	—		—
Personal, small business and other	—		—
Total	$	—	$	—
Total Citigroup	$	5	$	5

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

Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2020


In millions of dollars	Total current (1)(2)		30–89 days past due (3)(4)		≥ 90 days past due (3)(4)		Past due government guaranteed (5)		Total loans		Non-accrual loans for which there is no ACLL		Non-accrual loans for which there is an ACLL		Total non-accrual		90 days past due and accruing
In North America offices (6)
Residential first mortgages (7)	$	46,471	$	402	$	381	$	524	$	47,778	$	136	$	509	$	645	$	332
Home equity loans (8)(9)	6,829		78		221		—		7,128		72		307		379		—
Credit cards	127,827		1,228		1,330		—		130,385		—		—		—		1,330
Personal, small business and other	4,472		27		10		—		4,509		2		33		35		—
Total	$	185,599	$	1,735	$	1,942	$	524	$	189,800	$	210	$	849	$	1,059	$	1,662
In offices outside North America (6)
Residential first mortgages (7)	$	39,557	$	213	$	199	$	—	$	39,969	$	—	$	486	$	486	$	—
Credit cards	21,718		429		545		—		22,692		—		384		384		376
Personal, small business and other	35,925		319		134		—		36,378		—		212		212		—
Total	$	97,200	$	961	$	878	$	—	$	99,039	$	—	$	1,082	$	1,082	$	376
Total Citigroup (10)	$	282,799	$	2,696	$	2,820	$	524	$	288,839	$	210	$	1,931	$	2,141	$	2,038

(1) Loans less than 30 days past due are presented as current.

(2) Includes $ 14 million of residential first mortgages recorded at fair value.

(3) Excludes loans guaranteed by U.S. government-sponsored agencies.

(4) Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification, and thus almost all would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer).

(5) Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $ 0.2 billion and 90 days or more past due of $ 0.3 billion.

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

(7) Includes approximately $ 0.1 billion of residential first mortgage loans in process of foreclosure.

(8) Includes approximately $ 0.1 billion of home equity loans in process of foreclosure.

(9) Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.

(10) Consumer loans are net of unearned income of $ 749 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.

During the three months ended March 31, 2021 and 2020, the Company sold and/or reclassified to HFS $ 96 million and $ 24 million , respectively, of consumer loans.

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Consumer Credit Scores (FICO)

The following tables provide details on the Fair Isaac Corporation (FICO) scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables by year of origination. FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio.


FICO score distribution in U.S. portfolio (1)(2)	March 31, 2021
In millions of dollars	Less than 680		680 to 760		Greater than 760		FICO not available		Total loans
Residential first mortgages
2021	$	21	$	730	$	1,650
2020	195		3,418		8,962
2019	131		1,639		4,700
2018	233		547		1,089
2017	286		740		1,612
Prior	1,905		4,880		11,365
Total residential first mortgages	$	2,771	$	11,954	$	29,378	$	1,636	$	45,739
Credit cards (3)	$	22,931	$	49,139	$	46,084	$	2,364	$	120,518

Home equity loans (pre-reset)	$	272	$	929	$	1,568
Home equity loans (post-reset)	965		1,439		1,455
Total home equity loans	$	1,237	$	2,368	$	3,023	$	10	$	6,638
Installment and other
2021	$	1	$	6	$	13
2020	26		65		112
2019	70		90		114
2018	67		66		70
2017	20		21		23
Prior	201		374		501
Personal, small business and other	$	385	$	622	$	833	$	2,760	$	4,600
Total	$	27,324	$	64,083	$	79,318	$	6,770	$	177,495

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FICO score distribution in U.S. portfolio (1)(2)	December 31, 2020
In millions of dollars	Less than 680		680 to 760		Greater than 760		FICO not available		Total loans
Residential first mortgages
2020	$	187	$	3,741	$	9,052
2019	150		1,857		5,384
2018	246		655		1,227
2017	298		846		1,829
2016	323		1,368		3,799
Prior	1,708		4,133		9,105
Total residential first mortgages	$	2,912	$	12,600	$	30,396	$	1,870	$	47,778
Credit cards (3)	$	26,227	$	52,778	$	49,767	$	1,041	$	129,813
Home equity loans (pre-reset)	$	292	$	1,014	$	1,657
Home equity loans (post-reset)	1,055		1,569		1,524
Total home equity loans	$	1,347	$	2,583	$	3,181	$	17	$	7,128
Installment and other
2020	$	23	$	58	$	95
2019	79		106		134
2018	82		80		84
2017	26		27		30
2016	10		9		8
Prior	214		393		529
Personal, small business and other	$	434	$	673	$	880	$	2,522	$	4,509
Total	$	30,920	$	68,634	$	84,224	$	5,450	$	189,228

(1) The FICO bands in the tables are consistent with general industry peer presentations.

(2) FICO scores are updated on either a monthly or quarterly basis. For updates that are made only quarterly, certain current-period loans by year of origination are greater than those disclosed in the prior periods. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become available.

(3) Excludes $ 530 million and $ 572 million of balances related to Canada for March 31, 2021 and December 31, 2020, respectively.

127

Loan to Value (LTV) Ratios

The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios by year of origination. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.


LTV distribution in U.S. portfolio	March 31, 2021
In millions of dollars	Less than or equal to 80%		> 80% but less than or equal to 100%		Greater than 100%		LTV not available		Total
Residential first mortgages
2021	$	1,958	$	443	$	—
2020	11,401		1,184		—
2019	6,093		377		3
2018	1,474		392		8
2017	2,449		192		3
Prior	18,084		98		17
Total residential first mortgages	$	41,459	$	2,686	$	31	$	1,563	$	45,739
Home equity loans (pre-reset)	$	2,684	$	50	$	15
Home equity loans (post-reset)	3,586		211		45
Total home equity loans	$	6,270	$	261	$	60	$	47	$	6,638
Total	$	47,729	$	2,947	$	91	$	1,610	$	52,377


LTV distribution in U.S. portfolio	December 31, 2020
In millions of dollars	Less than or equal to 80%		> 80% but less than or equal to 100%		Greater than 100%		LTV not available		Total
Residential first mortgages
2020	$	11,447	$	1,543	$	—
2019	7,029		376		2
2018	1,617		507		11
2017	2,711		269		4
2016	5,423		84		2
Prior	14,966		66		16
Total residential first mortgages	$	43,193	$	2,845	$	35	$	1,705	$	47,778
Home equity loans (pre-reset)	$	2,876	$	50	$	16
Home equity loans (post-reset)	3,782		290		58
Total home equity loans	$	6,658	$	340	$	74	$	56	$	7,128
Total	$	49,851	$	3,185	$	109	$	1,761	$	54,906

128

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, 2021								2021		2020
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	$	1,708	$	1,850	$	144	$	1,695	$	21	$	14
Home equity loans	457		645		45		498		3		3
Credit cards	1,992		2,593		844		1,946		35		26
Personal, small business and other	576		577		181		502		12		15
Total	$	4,733	$	5,665	$	1,214	$	4,641	$	71	$	58

(1)


	Balance at December 31, 2020
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	$	1,787	$	1,962	$	157	$	1,661
Home equity loans	478		651		60		527
Credit cards	1,982		2,135		918		1,926
Personal, small business and other	552		552		210		463
Total	$	4,799	$	5,300	$	1,345	$	4,577

(1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.

(2) For March 31, 2021, $ 209 million of residential first mortgages and $ 136 million of home equity loans do not have a specific allowance. For December 31, 2020, $ 211 million of residential first mortgages and $ 147 million of home equity loans do not have a specific allowance.

(3) Included in the Allowance for credit losses on loans .

(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 accrual and cash basis.

129

Consumer Troubled Debt Restructurings (1)


	For the Three Months Ended March 31, 2021 (1)
In millions of dollars, except number of loans modified	Number of loans modified	Post- modification recorded investment (2)(3)		Deferred principal (4)		Contingent principal forgiveness (5)		Principal forgiveness (6)		Average interest rate reduction
North America
Residential first mortgages	331	$	57	$	—	$	—	$	—	—	%
Home equity loans	50	4		—		—		—		—
Credit cards	59,046	300		—		—		—		17
Personal, small business and other	461	7		—		—		—		4
Total (7)	59,888	$	368	$	—	$	—	$	—
International
Residential first mortgages	467	$	24	$	—	$	—	$	—	1	%
Credit cards	24,599	102		—		—		7		15
Personal, small business and other	7,537	57		—		—		2		11
Total (7)	32,603	$	183	$	—	$	—	$	9


	For the Three Months Ended March 31, 2020 (1)
In millions of dollars, except number of loans modified	Number of loans modified	Post- modification recorded investment (2)(8)		Deferred principal (4)		Contingent principal forgiveness (5)		Principal forgiveness (6)		Average interest rate reduction
North America
Residential first mortgages	277	$	44	$	—	$	—	$	—	—	%
Home equity loans	82	8		—		—		—		2
Credit cards	67,282	305		—		—		—		17
Personal, small business and other	433	4		—		—		—		6
Total (7 )	68,074	$	361	$	—	$	—	$	—
International
Residential first mortgages	536	$	14	$	—	$	—	$	—	5	%
Credit cards	19,315	73		—		—		3		16
Personal, small business and other	7,654	52		—		—		2		11
Total (7)	27,505	$	139	$	—	$	—	$	5

(1) The above tables do not include loan modifications that meet the TDR relief criteria in the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) or the interagency guidance.

(2) Post-modification balances include past-due amounts that are capitalized at the modification date.

(3) Post-modification balances in North America include $ 3 million of residential first mortgages and $ 0.1 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31, 2021. These amounts include $ 1 million of residential first mortgages and $ 0.1 million of home equity loans that were newly classified as TDRs in the three months ended March 31, 2021, based on previously received OCC guidance.

(4) Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.

(5) Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.

(6) Represents portion of contractual loan principal that was forgiven at the time of permanent modification.

(7) The above tables reflect activity for restructured loans that were considered TDRs during the reporting period.

(8) Post-modification balances in North America include $ 4 million of residential first mortgages and $ 1 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31, 2020. These amounts include $ 3 million of residential first mortgages and $ 1 million of home equity loans that were newly classified as TDRs in the three months ended March 31, 2020, based on previously received OCC guidance.

130

The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due.


	Three Months Ended March 31,
In millions of dollars	2021		2020
North America
Residential first mortgages	$	18	$	14
Home equity loans	4		2
Credit cards	63		90
Personal, small business and other	1		1
Total	$	86	$	107
International
Residential first mortgages	$	12	$	6
Credit cards	52		33
Personal, small business and other	23		17
Total	$	87	$	56

Purchased Credit-Deteriorated Assets


	Three Months Ended March 31, 2021						Three Months Ended December 31, 2020						Three Months Ended March 31, 2020
In millions of dollars	Credit cards		Mortgages (1)		Installment and other		Credit cards		Mortgages (1)		Installment and other		Credit cards		Mortgages (1)		Installment and other
Purchase price	$	—	$	3	$	—	$	—	$	12	$	—	$	4	$	9	$	—
Allowance for credit losses at acquisition date	—		—		—		—		—		—		4		—		—
Discount or premium attributable to non-credit factors	—		—		—		—		—		—		—		—		—
Par value (amortized cost basis)	$	—	$	3	$	—	$	—	$	12	$	—	$	8	$	9	$	—

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

131

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, 2021		December 31, 2020
In North America offices (1)
Commercial and industrial	$	55,497	$	57,731
Financial institutions	57,009		55,809
Mortgage and real estate (2)	60,976		60,675
Installment and other	29,186		26,744
Lease financing	539		673
Total	$	203,207	$	201,632
In offices outside North America (1)
Commercial and industrial	$	102,666	$	104,072
Financial institutions	34,729		32,334
Mortgage and real estate (2)	11,166		11,371
Installment and other	35,347		33,759
Lease financing	56		65
Governments and official institutions	4,783		3,811
Total	$	188,747	$	185,412
Corporate loans, net of unearned income (3)	$	391,954	$	387,044

(1) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.

(2) Loans secured primarily by real estate.

(3) Corporate loans are net of unearned income of ($ 844 ) million and ($ 844 ) million at March 31, 2021 and December 31, 2020, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.

The Company sold and/or reclassified to held-for-sale $ 0.5 billion and $ 0.2 billion of corporate loans during the three months ended March 31, 2021 and 2020, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three months ended March 31, 2021 or 2020.

132

Corporate Loan Delinquencies and Non-Accrual Details at March 31, 2021


In millions of dollars	30–89 days past due and accruing (1)		≥ 90 days past due and accruing (1)		Total past due and accruing		Total non-accrual (2)		Total current (3)		Total loans (4)
Commercial and industrial	$	582	$	118	$	700	$	2,465	$	148,635	$	151,800
Financial institutions	969		174		1,143		36		90,339		91,518
Mortgage and real estate	189		84		273		496		71,373		72,142
Lease financing	28		—		28		27		540		595
Other	70		12		82		82		68,225		68,389
Loans at fair value											7,510

Total	$	1,838	$	388	$	2,226	$	3,106	$	379,112	$	391,954

Corporate Loan Delinquencies and Non-Accrual Details at December 31, 2020


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	$	400	$	109	$	509	$	2,795	$	153,036	$	156,340
Financial institutions	668		65		733		92		86,864		87,689
Mortgage and real estate	450		247		697		505		70,836		72,038
Lease financing	62		12		74		24		640		738
Other	112		19		131		111		63,157		63,399
Loans at fair value											6,840

Total	$	1,692	$	452	$	2,144	$	3,527	$	374,533	$	387,044

(1) Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.

(2) Non-accrual loans generally include those loans that are 90 days or more past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest and/or principal is doubtful.

(3) Loans less than 30 days past due are presented as current.

(4) Total loans include loans at fair value, which are not included in the various delinquency columns.

133

Corporate Loans Credit Quality Indicators


	Recorded investment in loans (1)
	Term loans by year of origination												Revolving line of credit arrangements (2)		March 31, 2021
In millions of dollars	2021		2020		2019		2018		2017		Prior
Investment grade (3)
Commercial and industrial (4)	$	29,070	$	11,833	$	6,534	$	5,311	$	3,416	$	10,120	$	26,712	$	92,996
Financial institutions (4)	10,473		5,551		2,242		1,582		1,025		2,254		58,910		82,037
Mortgage and real estate	2,473		5,494		5,820		4,827		2,205		2,847		1,728		25,394
Other (5)	8,994		6,575		2,392		4,588		606		6,744		32,683		62,582
Total investment grade	$	51,010	$	29,453	$	16,988	$	16,308	$	7,252	$	21,965	$	120,033	$	263,009
Non-investment grade (3)
Accrual
Commercial and industrial (4)	$	12,897	$	6,422	$	4,266	$	3,991	$	2,850	$	4,167	$	21,746	$	56,339
Financial institutions (4)	3,196		2,395		629		555		98		274		2,298		9,445
Mortgage and real estate	944		1,319		2,117		1,755		1,415		1,376		578		9,504
Other (5)	1,384		528		682		541		299		591		2,268		6,293
Non-accrual
Commercial and industrial (4)	81		197		227		86		106		286		1,482		2,465
Financial institutions	—		—		—		—		—		—		36		36
Mortgage and real estate	—		12		8		55		18		30		373		496
Other (5)	7		4		24		38		10		26		—		109
Total non-investment grade	$	18,509	$	10,877	$	7,953	$	7,021	$	4,796	$	6,750	$	28,781	$	84,687
Non-rated private bank loans managed on a delinquency basis (3)(6)	$	2,313	$	9,755	$	6,839	$	3,359	$	3,488	$	10,994	$	—	$	36,748
Loans at fair value (7)															7,510
Corporate loans, net of unearned income	$	71,832	$	50,085	$	31,780	$	26,688	$	15,536	$	39,709	$	148,814	$	391,954

134


	Recorded investment in loans (1)
	Term loans by year of origination												Revolving line of credit arrangements (2)		December 31, 2020
In millions of dollars	2020		2019		2018		2017		2016		Prior
Investment grade (3)
Commercial and industrial (4)	$	38,398	$	7,607	$	5,929	$	3,909	$	2,094	$	8,670	$	25,819	$	92,426
Financial institutions (4)	10,560		2,964		2,106		782		681		2,030		56,239		75,362
Mortgage and real estate	6,793		6,714		5,174		2,568		1,212		1,719		1,557		25,737
Other (5)	10,874		3,566		4,597		952		780		5,290		31,696		57,755
Total investment grade	$	66,625	$	20,851	$	17,806	$	8,211	$	4,767	$	17,709	$	115,311	$	251,280
Non-investment grade (3)
Accrual
Commercial and industrial (4)	$	19,683	$	4,794	$	4,645	$	2,883	$	1,182	$	4,533	$	23,400	$	61,120
Financial institutions (4)	7,413		700		654		274		141		197		2,855		12,234
Mortgage and real estate	1,882		1,919		2,058		1,457		697		837		551		9,401
Other (5)	1,407		918		725		370		186		657		1,986		6,249
Non-accrual
Commercial and industrial (4)	260		203		192		143		57		223		1,717		2,795
Financial institutions	1		—		—		—		—		—		91		92
Mortgage and real estate	13		4		3		18		8		32		427		505
Other (5)	15		3		12		29		2		65		9		135
Total non-investment grade	$	30,674	$	8,541	$	8,289	$	5,174	$	2,273	$	6,544	$	31,036	$	92,531
Non-rated private bank loans managed on a delinquency basis (3)(6)	$	9,823	$	7,121	$	3,533	$	3,674	$	4,300	$	7,942	$	—	$	36,393
Loans at fair value (7)															6,840
Corporate loans, net of unearned income	$	107,122	$	36,513	$	29,628	$	17,059	$	11,340	$	32,195	$	146,347	$	387,044

(1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.

(2) There were no significant revolving line of credit arrangements that converted to term loans during the quarter.

(3) Held-for-investment loans are accounted for on an amortized cost basis.

(4) Includes certain short-term loans with less than one year in tenor.

(5) Other includes installment and other, lease financing and loans to government and official institutions.

(6) Non-rated private bank loans mainly include mortgage and real estate loans to private banking clients.

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

135

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, 2021								Three Months Ended March 31, 2021		Three Months Ended March 31, 2020
In millions of dollars	Recorded investment (1)		Unpaid principal balance		Related specific allowance		Average carrying value (2)		Interest income recognized		Interest income recognized
Non-accrual corporate loans
Commercial and industrial	$	2,465	$	3,069	$	435	$	2,812	$	10	$	2
Financial institutions	36		120		6		134		—		—
Mortgage and real estate	496		798		38		486		—		—
Lease financing	27		27		—		31		—		—
Other	82		205		10		96		6		13
Total non-accrual corporate loans	$	3,106	$	4,219	$	489	$	3,559	$	16	$	15


	December 31, 2020
In millions of dollars	Recorded investment (1)		Unpaid principal balance		Related specific allowance		Average carrying value (2)
Non-accrual corporate loans
Commercial and industrial	$	2,795	$	3,664	$	442	$	2,649
Financial institutions	92		181		17		132
Mortgage and real estate	505		803		38		413
Lease financing	24		24		—		34
Other	111		235		18		174
Total non-accrual corporate loans	$	3,527	$	4,907	$	515	$	3,402


	March 31, 2021				December 31, 2020
In millions of dollars	Recorded investment (1)		Related specific allowance		Recorded investment (1)		Related specific allowance
Non-accrual corporate loans with specific allowances
Commercial and industrial	$	1,984	$	435	$	1,523	$	442
Financial institutions	34		6		90		17
Mortgage and real estate	236		38		246		38
Lease financing	23		—		—		—
Other	30		10		68		18
Total non-accrual corporate loans with specific allowances	$	2,307	$	489	$	1,927	$	515
Non-accrual corporate loans without specific allowances
Commercial and industrial	$	481			$	1,272
Financial institutions	2				2
Mortgage and real estate	260				259
Lease financing	4				24
Other	52				43
Total non-accrual corporate loans without specific allowances	$	799	N/A		$	1,600	N/A

(1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.

(2) Average carrying value represents the average recorded investment balance and does not include related specific allowances.

N/A Not applicable

136

Corporate Troubled Debt Restructurings (1)

For the Three Months Ended March 31, 2021


In millions of dollars	Carrying value of TDRs modified during the period		TDRs involving changes in the amount and/or timing of principal payments (2)		TDRs involving changes in the amount and/or timing of interest payments (3)		TDRs involving changes in the amount and/or timing of both principal and interest payments

Commercial and industrial	$	21	$	—	$	—	$	21


Mortgage and real estate	1		—		—		1

Other	1		1		—		—
Total	$	23	$	1	$	—	$	22

For the Three Months Ended March 31, 2020


In millions of dollars	Carrying value of TDRs modified during the period		TDRs involving changes in the amount and/or timing of principal payments (3)		TDRs involving changes in the amount and/or timing of interest payments (3)		TDRs involving changes in the amount and/or timing of both principal and interest payments

Commercial and industrial	$	94	$	—	$	—	$	94

Mortgage and real estate	4		—		—		4



Total	$	98	$	—	$	—	$	98

(1) The above tables do not include loan modifications that meet the TDR relief criteria in the CARES Act or the interagency guidance.

(2) TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectible may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.

(3) TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.

The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.


In millions of dollars	TDR balances at March 31, 2021		TDR loans that re-defaulted in 2021 within one year of modification		TDR balances at March 31, 2020		TDR loans that re-defaulted in 2020 within one year of modification
Commercial and industrial	$	283	$	—	$	685	$	—

Mortgage and real estate	83		—		77		—

Other	35		—		15		—
Total (1)	$	401	$	—	$	777	$	—

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

137

14. ALLOWANCE FOR CREDIT LOSSES


	Three Months Ended March 31,
In millions of dollars	2021		2020
Allowance for credit losses on loans (ACLL) at beginning of period	$	24,956	$	12,783
Adjustments to opening balance: (1)
Financial instruments—credit losses (CECL) (1)	—		4,201
Variable post-charge-off third-party collection costs (1)	—		( 443 )
Adjusted ACLL at beginning of period	$	24,956	$	16,541
Gross credit losses on loans	$	( 2,208 )	$	( 2,479 )
Gross recoveries on loans	460		420
Net credit losses on loans (NCLs)	$	( 1,748 )	$	( 2,059 )
Replenishment of NCLs	$	1,748	$	2,059
Net reserve builds (releases) for loans	( 3,068 )		4,094
Net specific reserve builds (releases) for loans	( 159 )		224
Total provision for credit losses on loans (PCLL)	$	( 1,479 )	$	6,377
Initial allowance for credit losses on newly purchased credit deteriorated assets during the period	—		4
Other, net (see table below)	( 91 )		( 483 )
ACLL at end of period	$	21,638	$	20,380
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period (2)	$	2,655	$	1,456
Adjustment to opening balance for CECL adoption (1)	—		( 194 )
Provision (release) for credit losses on unfunded lending commitments	( 626 )		557
Other, net	( 17 )		( 6 )
ACLUC at end of period (2)	$	2,012	$	1,813
Total allowance for credit losses on loans, leases and unfunded lending commitments	$	23,650	$	22,193


Other, net details	Three Months Ended March 31,
In millions of dollars	2021		2020



Sales or transfers of various consumer loan portfolios to HFS	$	—	$	( 3 )
FX translation	( 108 )		( 483 )
Other	17		3
Other, net	$	( 91 )	$	( 483 )

(1) See Note 1 to the Consolidated Financial Statements for further discussion of the impact of Citi’s adoption of CECL and the change in accounting principle for collection costs.

(2) Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.

138

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


	Three Months Ended
	March 31, 2021						March 31, 2020
In millions of dollars	Corporate		Consumer		Total		Corporate		Consumer		Total
ACLL at beginning of period	$	5,402	$	19,554	$	24,956	$	2,886	$	9,897	$	12,783
Adjustments to opening balance (1)
Financial instruments—credit losses (CECL)	—		—		—		( 721 )		4,922		4,201
Variable post-charge-off third-party collection costs	—		—		—		—		( 443 )		( 443 )
Adjusted ACLL at beginning of period	$	5,402	$	19,554	$	24,956	$	2,165	$	14,376	$	16,541
Charge-offs	( 203 )		( 2,005 )		( 2,208 )		( 139 )		( 2,340 )		( 2,479 )
Recoveries	17		443		460		12		408		420
Replenishment of net charge-offs	186		1,562		1,748		127		1,932		2,059
Net reserve builds (releases)	( 1,273 )		( 1,795 )		( 3,068 )		1,268		2,826		4,094
Net specific reserve builds (releases)	( 38 )		( 121 )		( 159 )		48		176		224
Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period	—		—		—		—		4		4
Other	( 7 )		( 84 )		( 91 )		( 30 )		( 453 )		( 483 )
Ending balance	$	4,084	$	17,554	$	21,638	$	3,451	$	16,929	$	20,380

(1) See “Accounting Changes” in Note 1 to the Consolidated Financial Statements for additional details.


	March 31, 2021						December 31, 2020
In millions of dollars	Corporate		Consumer		Total		Corporate		Consumer		Total
Allowance for credit losses on loans
Collectively evaluated	$	3,595	$	16,339	$	19,934	$	4,887	$	18,207	$	23,094
Individually evaluated	489		1,214		1,703		515		1,345		1,860
Purchased credit deteriorated	—		1		1		—		2		2
Total allowance for credit losses on loans	$	4,084	$	17,554	$	21,638	$	5,402	$	19,554	$	24,956
Loans, net of unearned income
Collectively evaluated	$	381,338	$	269,151	$	650,489	$	376,677	$	283,885	$	660,562
Individually evaluated	3,106		4,733		7,839		3,527		4,799		8,326
Purchased credit deteriorated	—		135		135		—		141		141
Held at fair value	7,510		15		7,525		6,840		14		6,854
Total loans, net of unearned income	$	391,954	$	274,034	$	665,988	$	387,044	$	288,839	$	675,883

139

Allowance for Credit Losses on HTM Debt Securities


	Three Months Ended March 31, 2021
In millions of dollars	Mortgage-backed		State and municipal		Foreign government		Asset-backed		Total HTM
Allowance for credit losses on HTM debt securities at beginning of period	$	3	$	74	$	6	$	3	$	86
Gross credit losses	—		—		—		—		—
Gross recoveries	3		—		—		—		3
Net credit losses (NCLs)	$	3	$	—	$	—	$	—	$	3
NCLs	$	( 3 )	$	—	$	—	$	—	$	( 3 )
Net reserve builds (releases)	1		( 5 )		( 1 )		( 3 )		( 8 )
Net specific reserve builds (releases)	—		—		—		—		—
Total provision for credit losses on HTM debt securities	$	( 2 )	$	( 5 )	$	( 1 )	$	( 3 )	$	( 11 )
Other, net	$	—	$	—	$	—	$	—	$	—
Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period	—		—		—		—		—
Allowance for credit losses on HTM debt securities at end of period	$	4	$	69	$	5	$	—	$	78

	Three Months Ended March 31, 2020
In millions of dollars	Mortgage-backed		State and municipal		Foreign government		Asset- backed		Total HTM
Allowance for credit losses on HTM debt securities at beginning of period	$	—	$	—	$	—	$	—	$	—
Adjustment to opening balance for CECL adoption	—		61		4		5		70


Net credit losses (NCLs)	$	—	$	—	$	—	$	—	$	—
NCLs	$	—	$	—	$	—	$	—	$	—
Net reserve builds (releases)	—		5		—		1		6
Net specific reserve builds (releases)	—		—		—		—		—
Total provision for credit losses on HTM debt securities	$	—	$	5	$	—	$	1	$	6
Other, net	$	—	$	—	$	—	$	—	$	—
Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period	—		—		—		—		—
Allowance for credit losses on HTM debt securities at end of period	$	—	$	66	$	4	$	6	$	76

140

Allowance for Credit Losses on Other Assets


	Three Months Ended March 31, 2021
In millions of dollars	Cash and due from banks		Deposits with banks		Securities borrowed and purchased under agreements to resell		Brokerage receivables		All other assets (1)		Total
Allowance for credit losses at beginning of period	$	—	$	20	$	10	$	—	$	25	$	55



Net credit losses (NCLs)	$	—	$	—	$	—	$	—	$	—	$	—
NCLs	$	—	$	—	$	—	$	—	$	—	$	—
Net reserve builds (releases)	—		9		( 5 )		—		5		9
Total provision for credit losses	$	—	$	9	$	( 5 )	$	—	$	5	$	9
Other, net	$	—	$	( 1 )	$	—	$	—	$	—	$	( 1 )
Allowance for credit losses on other assets at end of period	$	—	$	28	$	5	$	—	$	30	$	63

	Three Months Ended March 31, 2020
In millions of dollars	Cash and due from banks		Deposits with banks		Securities borrowed and purchased under agreements to resell		Brokerage receivables		All other assets (1)		Total
Allowance for credit losses at beginning of period	$	—	$	—	$	—	$	—	$	—	$	—
Adjustment to opening balance for CECL adoption	6		14		2		1		3		26


Net credit losses (NCLs)	$	—	$	—	$	—	$	—	$	—	$	—
NCLs	$	—	$	—	$	—	$	—	$	—	$	—
Net reserve builds (releases)	( 6 )		( 6 )		3		( 1 )		6		( 4 )
Total provision for credit losses	$	( 6 )	$	( 6 )	$	3	$	( 1 )	$	6	$	( 4 )
Other, net	$	—	$	—	$	—	$	—	$	32	$	32
Allowance for credit losses on other assets at end of period	$	—	$	8	$	5	$	—	$	41	$	54

(1) Primarily accounts receivable.

For ACL on AFS debt securities, see Note 12 to the Consolidated Financial Statements.

141

15. GOODWILL AND INTANGIBLE ASSETS

Goodwill

The changes in Goodwill were as follows:


In millions of dollars	Global Consumer Banking		Institutional Clients Group		Total
Balance at December 31, 2020	$	12,142	$	10,020	$	22,162
Foreign currency translation	( 68 )		( 189 )		( 257 )




Balance at March 31, 2021	$	12,074	$	9,831	$	21,905

Citi tests goodwill for impairment annually as of July 1 (the annual test) and through interim assessments between annual tests if an event occurs or circumstances change that could more-likely-than-not reduce the fair value of a reporting unit below its carrying amount. The results of the 2020 annual impairment test resulted in fair values as a percentage of carrying values between 115 % and 136 %. During the three months ended March 31, 2021, Citi qualitatively assessed the current environment, including the continuing impact of the COVID-19 pandemic, management’s announced strategy to pursue exits of its consumer franchises in 13 markets within Asia GCB , observed changes in market multiples, actual business performance, together with the latest available management forecasts. Based on the above, Citi determined it was not more-likely-than-not that the fair value of any reporting unit was below its book value and there was no indication of impairment as of March 31, 2021.

While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations, the current environment continues to evolve. Deterioration in business performance or macroeconomic and market conditions, including potential adverse effects to economic forecasts due to the severity and duration of the pandemic, as well as the responses of governments, customers and clients, could negatively influence the assumptions used in the valuations, in particular, the discount rates, exit multiples and growth rates used in net income projections. If the future were to differ from management’s best estimate of key economic assumptions, and associated cash flows were to decrease, Citi could potentially experience material goodwill impairment charges in the future.

For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 16 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K. Refer to Note 3 for a description of Citi’s Business Segments.

142

Intangible Assets

The components of intangible assets were as follows:


	March 31, 2021						December 31, 2020
In millions of dollars	Gross carrying amount		Accumulated amortization		Net carrying amount		Gross carrying amount		Accumulated amortization		Net carrying amount
Purchased credit card relationships	$	5,614	$	4,239	$	1,375	$	5,648	$	4,229	$	1,419
Credit card contract-related intangibles (1)	3,906		1,288		2,618		3,929		1,276		2,653
Core deposit intangibles	44		44		—		45		44		1
Other customer relationships	426		299		127		455		314		141
Present value of future profits	31		29		2		32		30		2
Indefinite-lived intangible assets	185		—		185		190		—		190
Other	61		60		1		72		67		5
Intangible assets (excluding MSRs)	$	10,267	$	5,959	$	4,308	$	10,371	$	5,960	$	4,411
Mortgage servicing rights (MSRs) (2)	433		—		433		336		—		336
Total intangible assets	$	10,700	$	5,959	$	4,741	$	10,707	$	5,960	$	4,747

(1) Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented 97 % and 96 % of the aggregate net carrying amount as of March 31, 2021 and December 31, 2020, respectively.

(2) For additional information on Citi’s MSRs, see Note 18 to the Consolidated Financial Statements.

The changes in intangible assets were as follows:


In millions of dollars	Net carrying amount at December 31, 2020		Acquisitions/renewals/ divestitures		Amortization		Impairments		FX translation and other		Net carrying amount at March 31, 2021
Purchased credit card relationships (1)	$	1,419	$	—	$	( 43 )	$	—	$	( 1 )	$	1,375
Credit card contract-related intangibles (2)	2,653		—		( 35 )		—		—		2,618
Core deposit intangibles	1		—		( 1 )		—		—		—
Other customer relationships	141		—		( 6 )		—		( 8 )		127
Present value of future profits	2		—		—		—		—		2
Indefinite-lived intangible assets	190		—		—		—		( 5 )		185
Other	5		5		( 10 )		—		1		1
Intangible assets (excluding MSRs)	$	4,411	$	5	$	( 95 )	$	—	$	( 13 )	$	4,308
Mortgage servicing rights (MSRs) (3)	336										433
Total intangible assets	$	4,747									$	4,741

(1) Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract-related intangibles, and include credit card accounts primarily in the Costco, Macy’s and Sears portfolios.

(2) Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented 97 % and 96 % of the aggregate net carrying amount at March 31, 2021 and December 31, 2020, respectively.

(3) For additional information on Citi’s MSRs, including the rollforward for the three months ended March 31, 2021, see Note 18 to the Consolidated Financial Statements.

143

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 2020 Annual Report on Form 10-K.

Short-Term Borrowings


In millions of dollars	March 31, 2021		December 31, 2020
Commercial paper
Bank (1)	$	10,026	$	10,022
Broker-dealer and other (2)	6,995		7,988
Total commercial paper	$	17,021	$	18,010
Other borrowings (3)	15,066		11,504
Total	$	32,087	$	29,514

(1) Represents Citibank entities as well as other bank entities.

(2) Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.

(3) Includes borrowings from Federal Home Loan Banks and other market participants. At March 31, 2021 and December 31, 2020, collateralized short-term advances from the Federal Home Loan Banks were $ 4.0 billion and $ 4.0 billion, respectively.

Long-Term Debt


In millions of dollars	March 31, 2021		December 31, 2020
Citigroup Inc. (1)	$	164,099	$	170,563
Bank (2)	36,488		44,742
Broker-dealer and other (3)	55,748		56,381
Total	$	256,335	$	271,686

(1) Represents the parent holding company.

(2) Represents Citibank entities as well as other bank entities. At March 31, 2021 and December 31, 2020, collateralized long-term advances from the Federal Home Loan Banks were $ 10.9 billion and $ 10.9 billion, respectively.

(3) Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company. Certain Citigroup consolidated hedging activities are also included in this line.

Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $ 1.7 billion at both March 31, 2021 and December 31, 2020.

The following table summarizes Citi’s outstanding trust preferred securities at March 31, 2021:


								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 securities and 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	Jun. 2007	99,901	138		3 mo. sterling LIBOR + 88.75 bps		50	138		Jun. 28, 2067	Jun. 28, 2017
Total obligated			$	2,578				$	2,584

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 outside investors from the trusts at the time of issuance. This differs from Citi’s balance sheet carrying value due primarily to unamortized discount and issuance costs.

(2) In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.

144

17. CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)

Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows:

Three Months Ended March 31, 2021


In millions of dollars	Net unrealized gains (losses) on debt securities		Debt valuation adjustment (DVA) (1)		Cash flow hedges (2)		Benefit plans (3)		Foreign currency translation adjustment (CTA), net of hedges (4)		Excluded component of fair value hedges		Accumulated other comprehensive income (loss)

Balance, December 31, 2020	$	3,320	$	( 1,419 )	$	1,593	$	( 6,864 )	$	( 28,641 )	$	( 47 )	$	( 32,058 )



Other comprehensive income before reclassifications	( 1,519 )		( 84 )		( 344 )		653		( 1,274 )		( 10 )		( 2,578 )
Increase (decrease) due to amounts reclassified from AOCI	( 266 )		42		( 212 )		61		—		—		( 375 )
Change, net of taxes	$	( 1,785 )	$	( 42 )	$	( 556 )	$	714	$	( 1,274 )	$	( 10 )	$	( 2,953 )
Balance at March 31, 2021	$	1,535	$	( 1,461 )	$	1,037	$	( 6,150 )	$	( 29,915 )	$	( 57 )	$	( 35,011 )

Three Months Ended March 31, 2020


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)		Excluded component of fair value hedges		Accumulated other comprehensive income (loss)

Balance, December 31, 2019	$	( 265 )	$	( 944 )	$	123	$	( 6,809 )	$	( 28,391 )	$	( 32 )	$	( 36,318 )



Other comprehensive income before reclassifications	3,417		3,116		1,898		( 344 )		( 4,109 )		27		4,005
Increase (decrease) due to amounts reclassified from AOCI	( 289 )		24		( 1 )		58		—		—		( 208 )
Change, net of taxes	$	3,128	$	3,140	$	1,897	$	( 286 )	$	( 4,109 )	$	27	$	3,797
Balance at March 31, 2020	$	2,863	$	2,196	$	2,020	$	( 7,095 )	$	( 32,500 )	$	( 5 )	$	( 32,521 )

(1) Reflects the after-tax valuation of Citi’s fair value options liabilities. See “Market Valuation Adjustments” in Note 20 to the Consolidated Financial Statements.

(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, Euro, South Korean won, Japanese yen, Polish zloty and Brazilian real against the U.S. dollar and changes in related tax effects and hedges for the three months ended March 31, 2021. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Australian dollar, South Korean won and Chilean peso against the U.S. dollar and changes in related tax effects and hedges for the three months ended March 31, 2020. Amounts recorded in the CTA component of AOCI remain in AOCI until the sale or substantial liquidation of the foreign entity, at which point such amounts related to the foreign entity are reclassified into earnings.

145

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

Three Months Ended March 31, 2021


In millions of dollars	Pretax		Tax effect		After-tax

Balance, December 31, 2020	$	( 36,992 )	$	4,934	$	( 32,058 )


Change in net unrealized gains (losses) on debt securities	( 2,427 )		642		( 1,785 )
Debt valuation adjustment (DVA)	( 38 )		( 4 )		( 42 )
Cash flow hedges	( 729 )		173		( 556 )
Benefit plans	907		( 193 )		714
Foreign currency translation adjustment	( 1,339 )		65		( 1,274 )
Excluded component of fair value hedges	( 13 )		3		( 10 )
Change	$	( 3,639 )	$	686	$	( 2,953 )
Balance at March 31, 2021	$	( 40,631 )	$	5,620	$	( 35,011 )

Three Months Ended March 31, 2020


In millions of dollars	Pretax		Tax effect		After-tax

Balance, December 31, 2019	$	( 42,772 )	$	6,454	$	( 36,318 )


Change in net unrealized gains (losses) on debt securities	4,121		( 993 )		3,128
Debt valuation adjustment (DVA)	4,188		( 1,048 )		3,140
Cash flow hedges	2,484		( 587 )		1,897
Benefit plans	( 418 )		132		( 286 )
Foreign currency translation adjustment	( 4,055 )		( 54 )		( 4,109 )
Excluded component of fair value hedges	33		( 6 )		27
Change	$	6,353	$	( 2,556 )	$	3,797
Balance, March 31, 2020	$	( 36,419 )	$	3,898	$	( 32,521 )

146

The Company recognized pretax gains (losses) related to amounts in AOCI reclassified to the Consolidated Statement of Income as follows:


	Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
	Three Months Ended March 31,
In millions of dollars	2021		2020
Realized (gains) losses on sales of investments	$	( 401 )	$	( 432 )
Gross impairment losses	69		52
Subtotal, pretax	$	( 332 )	$	( 380 )
Tax effect	66		91
Net realized (gains) losses on investments after-tax (1)	$	( 266 )	$	( 289 )
Realized DVA (gains) losses on fair value option liabilities, pretax	$	56	$	32
Tax effect	( 14 )		( 8 )
Net realized debt valuation adjustment, after-tax	$	42	$	24
Interest rate contracts	$	( 278 )	$	( 3 )
Foreign exchange contracts	1		1
Subtotal, pretax	$	( 277 )	$	( 2 )
Tax effect	65		1
Amortization of cash flow hedges, after-tax (2)	$	( 212 )	$	( 1 )
Amortization of unrecognized:
Prior service cost (benefit)	$	( 6 )	$	( 3 )
Net actuarial loss	87		79
Curtailment/settlement impact (3)	—		—
Subtotal, pretax	$	81	$	76
Tax effect	( 20 )		( 18 )
Amortization of benefit plans, after-tax (3)	$	61	$	58
Excluded component of fair value hedges, pretax	$	—	$	—
Tax effect	—		—
Excluded component of fair value hedges, after-tax	$	—	$	—
Foreign currency translation adjustment, pretax	$	—	$	—
Tax effect	—		—
Foreign currency translation adjustment, after-tax	$	—	$	—
Total amounts reclassified out of AOCI , pretax	$	( 472 )	$	( 274 )
Total tax effect	97		66
Total amounts reclassified out of AOCI , after-tax	$	( 375 )	$	( 208 )

(1) The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses in the Consolidated Statement of Income. See Note 12 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.

147

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 2020 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, 2021
							Maximum exposure to loss in significant unconsolidated VIEs (1)
							Funded exposures (2)				Unfunded exposures
In millions of dollars	Total involvement with SPE assets		Consolidated VIE/SPE assets		Significant unconsolidated VIE assets (3)		Debt investments		Equity investments		Funding commitments		Guarantees and derivatives		Total
Credit card securitizations	$	29,729	$	29,729	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations (4)
U.S. agency-sponsored	115,980		—		115,980		1,645		—		—		52		1,697
Non-agency-sponsored	56,969		862		56,107		2,724		—		5		1		2,730
Citi-administered asset-backed commercial paper conduits	16,493		16,493		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	12,126		—		12,126		4,015		—		—		—		4,015
Asset-based financing (5)	222,306		7,776		214,530		27,004		1,467		10,626		—		39,097
Municipal securities tender option bond trusts (TOBs)	3,324		910		2,414		7		—		1,557		—		1,564
Municipal investments	21,548		—		21,548		2,663		3,917		3,063		—		9,643
Client intermediation	1,177		736		441		88		—		—		56		144
Investment funds	471		150		321		2		—		14		2		18
Other	469		—		469		169		—		50		—		219
Total	$	480,592	$	56,656	$	423,936	$	38,317	$	5,384	$	15,315	$	111	$	59,127


	As of December 31, 2020
							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	$	32,420	$	32,420	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations (4)
U.S. agency-sponsored	123,999		—		123,999		1,948		—		—		61		2,009
Non-agency-sponsored	46,132		939		45,193		2,550		—		2		1		2,553
Citi-administered asset-backed commercial paper conduits	16,730		16,730		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	18,332		—		18,332		4,273		—		—		—		4,273
Asset-based financing (5)	222,274		8,069		214,205		25,153		1,587		9,114		—		35,854
Municipal securities tender option bond trusts (TOBs)	3,349		835		2,514		—		—		1,611		—		1,611
Municipal investments	20,335		—		20,335		2,569		4,056		3,041		—		9,666
Client intermediation	1,352		910		442		88		—		—		56		144
Investment funds	488		153		335		—		—		15		—		15
Other	—		—		—		—		—		—		—		—
Total	$	485,411	$	60,056	$	425,355	$	36,581	$	5,643	$	13,783	$	118	$	56,125

(1) The definition of maximum exposure to loss is included in the text that follows this table.

(2) Included on Citigroup’s March 31, 2021 and December 31, 2020 Consolidated Balance Sheet.

(3) A significant unconsolidated VIE is an entity in which the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss.

(4) Citigroup mortgage securitizations also include agency and non-agency (private label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.

(5) Included within this line are loans to third-party sponsored private equity funds, which represent $ 78 billion and $ 78 billion in unconsolidated VIE assets and $ 407 million and $ 425 million in maximum exposure to loss as of March 31, 2021 and December 31, 2020, respectively.

148

The previous tables do not include:

• certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC 946);

• certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;

• certain third-party sponsored private equity funds to which the Company provides secured credit facilities. The Company has no decision-making power and does not consolidate these funds, some of which may meet the definition of a VIE. The Company’s maximum exposure to loss is generally limited to a loan or lending-related commitment. As of March 31, 2021 and December 31, 2020, the Company’s maximum exposure to loss related to these deals was $ 59.3 billion and $ 57.0 billion, respectively (for more information on these positions, see Note 13 to the Consolidated Financial Statements and Note 26 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on Form 10-K);

• certain VIEs structured by third parties in which the Company holds securities in inventory, as these investments are made on arm’s-length terms;

• certain positions in mortgage- and asset-backed securities held by the Company, which are classified as Trading account assets or Investments , in which the Company has no other involvement with the related securitization entity deemed to be significant (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- and asset-backed securitizations in which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 in which the Company has no variable interest or continuing involvement as servicer was approximately $ 5.1 billion and $ 5.22 billion at March 31, 2021 and December 31, 2020, respectively;

• certain representations and warranties exposures in Citigroup residential mortgage securitizations, in which the original mortgage loan balances are no longer outstanding; and

• VIEs such as 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 in which the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments, unless fair value information is readily available to the Company.

The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE, adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.

149

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, 2021				December 31, 2020
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Non-agency-sponsored mortgage securitizations	$	—	$	5	$	—	$	2
Asset-based financing	—		10,626		—		9,114
Municipal securities tender option bond trusts (TOBs)	1,557		—		1,611		—
Municipal investments	—		3,063		—		3,041
Investment funds	—		14		—		15
Other	—		50		—		—
Total funding commitments	$	1,557	$	13,758	$	1,611	$	12,172

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, 2021		December 31, 2020
Cash	$	—	$	—
Trading account assets	1.8		2.0
Investments	10.2		10.6
Total loans, net of allowance	31.3		29.3
Other	0.4		0.3
Total assets	$	43.7	$	42.2

Credit Card Securitizations

Substantially all of the Company’s credit card securitization activity is through two trusts—Citibank Credit Card Master Trust (Master Trust) and Citibank Omni 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, 2021		December 31, 2020
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	12.1	$	15.7
Retained by Citigroup as trust-issued securities	7.6		7.9
Retained by Citigroup via non-certificated interests	12.1		11.1
Total	$	31.8	$	34.7

The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:


	Three Months Ended March 31,
In billions of dollars	2021		2020
Proceeds from new securitizations	$	—	$	—
Pay down of maturing notes	( 3.6 )		—

Master Trust Liabilities (at Par Value)

The weighted average maturity of the third-party term notes issued by the Master Trust was 3.5 years as of March 31, 2021 and 2.9 years as of December 31, 2020.


In billions of dollars	Mar. 31, 2021		Dec. 31, 2020
Term notes issued to third parties	$	10.6	$	13.9
Term notes retained by Citigroup affiliates	2.6		2.7
Total Master Trust liabilities	$	13.2	$	16.6

Omni Trust Liabilities (at Par Value)

The weighted average maturity of the third-party term notes issued by the Omni Trust was 0.9 years as of March 31, 2021 and 1.1 years as of December 31, 2020.


In billions of dollars	Mar. 31, 2021		Dec. 31, 2020
Term notes issued to third parties	$	1.5	$	1.8
Term notes retained by Citigroup affiliates	5.0		5.2
Total Omni Trust liabilities	$	6.5	$	7.0

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Mortgage Securitizations

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


	Three Months Ended March 31,
	2021				2020
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Principal securitized	$	3.0	$	11.0	$	2.0	$	1.6
Proceeds from new securitizations	3.2		10.6		2.1		2.5
Purchases of previously transferred financial assets	0.1		—		—		—

Note: Excludes re-securitization transactions.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $ 1.1 million for the three months ended March 31, 2021. For the three months ended March 31, 2021, gains recognized on the securitization of non-agency sponsored mortgages were $ 166.2 million.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $ 3 million for the three months ended March 31, 2020. Gains recognized on the securitization of non-agency sponsored mortgages were $ 39 million for the three months ended March 31, 2020.


	March 31, 2021						December 31, 2020
			Non-agency-sponsored mortgages (1)						Non-agency-sponsored mortgages (1)
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests (2)		Subordinated interests		U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Carrying value of retained interests (3)	$	421	$	2,402	$	236	$	315	$	1,210	$	145

(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.

(2) Senior interests in non-agency-sponsored mortgages include $ 104 million related to personal loan securitizations at March 31, 2021.

(3) Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 20 to the Consolidated Financial Statements for more information about fair value measurements.

151

Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:


	Three Months Ended March 31, 2021

			Non-agency-sponsored mortgages (1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	8.8	%	0.2	%	3.2	%
Weighted average constant prepayment rate	5.8	%	—	%	12.5	%
Weighted average anticipated net credit losses (2)	NM		0.4	%	1.7	%
Weighted average life	7.7 years		0.8 years		NM


	Three Months Ended March 31, 2020

			Non-agency-sponsored mortgages (1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	8.5	%	1.3	%	—	%
Weighted average constant prepayment rate	25.7	%	—	%	—	%
Weighted average anticipated net credit losses (2)	NM		1.6	%	—	%
Weighted average life	5.2 years		4.2 years		NM

(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.

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The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests. Key assumptions used in measuring the fair value of retained interests in securitizations of mortgage receivables at period end were as follows:


	March 31, 2021

			Non-agency-sponsored mortgages (1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	7.6	%	2.8	%	10.6	%
Weighted average constant prepayment rate	11.0	%	4.0	%	4.7	%
Weighted average anticipated net credit losses (2)	NM		1.0	%	1.5	%
Weighted average life	5.9 years		0.3 years		9.6 years


	December 31, 2020

			Non-agency-sponsored mortgages (1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	5.9	%	7.2	%	4.3	%
Weighted average constant prepayment rate	22.7	%	5.3	%	4.7	%
Weighted average anticipated net credit losses (2)	NM		1.2	%	1.4	%
Weighted average life	4.5 years		5.3 years		4.7 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.

NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

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The sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions is presented in the tables below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.


	March 31, 2021
			Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate
Adverse change of 10%	$	( 12 )	$	—	$	—
Adverse change of 20%	( 23 )		—		( 1 )
Constant prepayment rate
Adverse change of 10%	( 20 )		—		—
Adverse change of 20%	( 38 )		—		—
Anticipated net credit losses
Adverse change of 10%	NM		—		—
Adverse change of 20%	NM		—		—


	December 31, 2020
			Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate
Adverse change of 10%	$	( 8 )	$	—	$	( 1 )
Adverse change of 20%	( 15 )		( 1 )		( 1 )
Constant prepayment rate
Adverse change of 10%	( 21 )		—		—
Adverse change of 20%	( 40 )		—		—
Anticipated net credit losses
Adverse change of 10%	NM		—		—
Adverse change of 20%	NM		—		—

NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities:


										Liquidation losses
	Securitized assets				90 days past due				Three Months Ended March 31,
In billions of dollars, except liquidation losses in millions	Mar. 31, 2021		Dec. 31, 2020		Mar. 31, 2021		Dec. 31, 2020			2021		2020
Securitized assets
Residential mortgages (1)	$	17.4	$	16.9	$	0.4	$	0.5		$	1.5	$	11.0
Commercial and other	24.6		23.9		—		—			—		—
Total	$	42.0	$	40.8	$	0.4	$	0.5		$	1.5	$	11.0

(1) Securitized assets include $ 0.2 billion of personal loan securitizations as of March 31, 2021.

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Mortgage Servicing Rights (MSRs)

The fair value of Citi’s capitalized MSRs was $ 433 million and $ 367 million at March 31, 2021 and 2020, respectively. The MSRs correspond to principal loan balances of $ 52 billion and $ 59 billion as of March 31, 2021 and 2020, respectively. The following table summarizes the changes in capitalized MSRs:


	Three Months Ended March 31,
In millions of dollars	2021		2020
Balance, beginning of period	$	336	$	495
Originations	43		32
Changes in fair value of MSRs due to changes in inputs and assumptions	73		( 143 )
Other changes (1)	( 19 )		( 17 )
Sales of MSRs	—		—
Balance, as of March 31	$	433	$	367

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

The fair value of the MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, higher interest rates tend to lead to declining prepayments, which causes the fair value of the MSRs to increase. In managing this risk, Citigroup economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities, all classified as Trading account assets .

The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:


	Three Months Ended March 31,
In millions of dollars		2021		2020
Servicing fees		$	31	$	39
Late fees		1		2
Ancillary fees		—		—
Total MSR fees		$	32	$	41

In the Consolidated Statement of Income these fees are primarily classified as Commissions and fees , and changes in MSR fair values are classified as Other revenue .

Re-securitizations

The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. Citi did not transfer non-agency (private label) securities to re-securitization entities during the three months ended March 31, 2021 and 2020. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.

As of March 31, 2021 and December 31, 2020, Citi held no retained interests in private label re-securitization transactions structured by Citi.

The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the three months ended March 31, 2021, Citi transferred agency securities with a fair value of approximately $ 13.1 billion to re-securitization entities compared to approximately $ 7.4 billion for the three months ended March 31, 2020.

As of March 31, 2021, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $ 1.2 billion (including $ 335.0 million related to re-securitization transactions executed in 2021) compared to $ 1.6 billion as of December 31, 2020 (including $ 916.0 million related to re-securitization transactions executed in 2020), which is recorded in Trading account assets . The original fair values of agency re-securitization transactions in which Citi holds a retained interest as of March 31, 2021 and December 31, 2020 were approximately $ 76.2 billion and $ 83.6 billion, respectively.

As of March 31, 2021 and December 31, 2020, the Company did not consolidate any private label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits

At March 31, 2021 and December 31, 2020, the commercial paper conduits administered by Citi had approximately $ 16.5 billion and $ 16.7 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $ 19.2 billion and $ 17.1 billion, respectively.

Substantially all of the funding of the conduits is in the form of short-term commercial paper. At March 31, 2021 and December 31, 2020, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 60 and 54 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 letters of credit from the Company, which equal at least 8 % to 10 % of the conduit’s assets with a minimum of $ 200 million. The letters of credit provided by the Company to the conduits total approximately $ 1.5 billion and $ 1.5 billion as of March 31, 2021 and December 31, 2020, respectively. The net result across multi-seller conduits administered by the Company is that, in the event that defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then to the commercial paper investors.

At March 31, 2021 and December 31, 2020, the Company owned $ 6.5 billion and $ 6.6 billion, respectively, of the commercial paper issued by its administered conduits. The Company’s investments were not driven by market illiquidity and the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.

155

Collateralized Loan Obligations (CLOs)

There were no new securitizations during the three months ended March 31, 2021 and 2020. The following table summarizes selected retained interests related to Citigroup CLOs:


In millions of dollars	Mar. 31, 2021		Dec. 31, 2020
Carrying value of retained interests	$	1,598	$	1,611

All of Citi’s retained interests were held-to-maturity securities as of March 31, 2021 and December 31, 2020.

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, 2021
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	32,535	$	7,091
Corporate loans	15,535		10,742
Other (including investment funds, airlines and shipping)	166,460		21,264
Total	$	214,530	$	39,097


	December 31, 2020
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	34,570	$	7,758
Corporate loans	12,022		7,654
Other (including investment funds, airlines and shipping)	167,613		20,442
Total	$	214,205	$	35,854

Municipal Securities Tender Option Bond (TOB) Trusts

At March 31, 2021 and December 31, 2020, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.

At March 31, 2021 and December 31, 2020, liquidity agreements provided with respect to customer TOB trusts totaled $ 1.6 billion and $ 1.6 billion, respectively, of which $ 0.8 billion and $ 0.8 billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the residual owned by the customer was at least 25 % of the bond value at the inception of the transaction, no reimbursement agreement was executed.

The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $ 3 billion and $ 3.6 billion as of March 31, 2021 and December 31, 2020, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.

156

19. DERIVATIVES

In the ordinary course of business, Citigroup enters into various types of derivative transactions. All derivatives are recorded in Trading account assets/Trading account liabilities on the Consolidated Balance Sheet. For additional information regarding Citi’s use of and accounting for derivatives, see Note 22 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

Information pertaining to Citigroup’s derivatives activities, based on notional amounts, is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete measure of Citi’s exposure to derivative transactions. Citi’s derivative exposure arises primarily from market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades. For example, if Citi enters into a receive-fixed interest rate swap with $100 million notional, and offsets this risk with an identical but opposite pay-fixed position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk.

In addition, aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors.

157

Derivative Notionals


	Hedging instruments under ASC 815				Trading derivative instruments
In millions of dollars	March 31, 2021		December 31, 2020		March 31, 2021		December 31, 2020
Interest rate contracts
Swaps	$	292,103	$	334,351	$	20,393,789	$	17,724,147
Futures and forwards	—		—		5,605,982		4,142,514
Written options	—		—		1,596,927		1,573,483
Purchased options	—		—		1,519,811		1,418,255
Total interest rate contracts	$	292,103	$	334,351	$	29,116,509	$	24,858,399
Foreign exchange contracts
Swaps	$	60,364	$	65,709	$	6,569,793	$	6,567,304
Futures, forwards and spot	34,459		37,080		4,632,191		3,945,391
Written options	83		47		890,831		907,338
Purchased options	92		53		854,323		900,626
Total foreign exchange contracts	$	94,998	$	102,889	$	12,947,138	$	12,320,659
Equity contracts
Swaps	$	—	$	—	$	273,550	$	274,098
Futures and forwards	—		—		87,217		67,025
Written options	—		—		474,770		441,003
Purchased options	—		—		381,966		328,202
Total equity contracts	$	—	$	—	$	1,217,503	$	1,110,328
Commodity and other contracts
Swaps	$	—	$	—	$	86,953	$	80,127
Futures and forwards	1,340		924		155,094		143,175
Written options	—		—		75,989		71,376
Purchased options	—		—		73,052		67,849
Total commodity and other contracts	$	1,340	$	924	$	391,088	$	362,527
Credit derivatives (1)
Protection sold	$	—	$	—	$	609,231	$	543,607
Protection purchased	—		—		683,503		612,770
Total credit derivatives	$	—	$	—	$	1,292,734	$	1,156,377
Total derivative notionals	$	388,441	$	438,164	$	44,964,972	$	39,808,290

(1) Credit derivatives are arrangements designed to allow one party (protection purchaser) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.

158

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, 2021 and December 31, 2020. Gross positive fair values are offset against gross negative fair values by counterparty, pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.

In addition, the following tables reflect rule changes adopted by clearing organizations that require or allow entities to treat certain derivative assets, liabilities and the related variation margin as settlement of the related derivative fair values for legal and accounting purposes, as opposed to presenting gross derivative assets and liabilities that are subject to collateral, whereby the counterparties would also record a related collateral payable or receivable. As a result, the tables reflect a reduction of approximately $ 250 billion and $ 280 billion as of March 31, 2021 and December 31, 2020, respectively, of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now legally settled and not subject to collateral. The tables also present amounts that are not permitted to be offset, such as security collateral or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.

159

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


In millions of dollars at March 31, 2021	Derivatives classified in Trading account assets/liabilities (1)(2)
Derivatives instruments designated as ASC 815 hedges	Assets		Liabilities
Over-the-counter	$	1,326	$	44
Cleared	5		138

Interest rate contracts	$	1,331	$	182
Over-the-counter	$	1,310	$	1,689


Foreign exchange contracts	$	1,310	$	1,689




Total derivatives instruments designated as ASC 815 hedges	$	2,641	$	1,871
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	177,557	$	160,611
Cleared	12,030		14,425
Exchange traded	65		72
Interest rate contracts	$	189,652	$	175,108
Over-the-counter	$	137,979	$	135,353
Cleared	889		746

Foreign exchange contracts	$	138,868	$	136,099
Over-the-counter	$	25,396	$	36,140
Cleared	30		15
Exchange traded	18,883		20,016
Equity contracts	$	44,309	$	56,171
Over-the-counter	$	15,279	$	17,285

Exchange traded	1,139		1,394
Commodity and other contracts	$	16,418	$	18,679
Over-the-counter	$	8,199	$	7,723
Cleared	2,427		2,841

Credit derivatives	$	10,626	$	10,564
Total derivatives instruments not designated as ASC 815 hedges	$	399,873	$	396,621
Total derivatives	$	402,514	$	398,492
Cash collateral paid/received (3)	$	21,388	$	22,945
Less: Netting agreements (4)	( 307,824 )		( 307,824 )
Less: Netting cash collateral received/paid (5)	( 48,248 )		( 53,215 )
Net receivables/payables included on the Consolidated Balance Sheet (6)	$	67,830	$	60,398
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet

Less: Cash collateral received/paid	$	( 871 )	$	( 1,587 )
Less: Non-cash collateral received/paid	( 6,466 )		( 13,911 )
Total net receivables/payables (6)	$	60,493	$	44,900

(1) The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.

(2) Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.

(3) Reflects the net amount of the $ 74,603 million and $ 71,193 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $ 53,215 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $ 48,248 million was used to offset trading derivative assets.

(4) Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $ 278 billion, $ 12 billion and $ 18 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.

(5) Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.

(6) The net receivables/payables include approximately $ 11 billion of derivative asset and $ 10 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

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In millions of dollars at December 31, 2020	Derivatives classified in Trading account assets/liabilities (1)(2)
Derivatives instruments designated as ASC 815 hedges	Assets		Liabilities
Over-the-counter	$	1,781	$	161
Cleared	74		319

Interest rate contracts	$	1,855	$	480
Over-the-counter	$	2,037	$	2,042


Foreign exchange contracts	$	2,037	$	2,042




Total derivatives instruments designated as ASC 815 hedges	$	3,892	$	2,522
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	228,519	$	209,330
Cleared	11,041		12,563
Exchange traded	46		38
Interest rate contracts	$	239,606	$	221,931
Over-the-counter	$	153,791	$	152,784
Cleared	842		1,239
Exchange traded	—		1
Foreign exchange contracts	$	154,633	$	154,024
Over-the-counter	$	29,244	$	41,036
Cleared	1		18
Exchange traded	21,274		22,515
Equity contracts	$	50,519	$	63,569
Over-the-counter	$	13,659	$	17,076

Exchange traded	879		1,017
Commodity and other contracts	$	14,538	$	18,093
Over-the-counter	$	7,826	$	7,951
Cleared	1,963		2,178

Credit derivatives	$	9,789	$	10,129
Total derivatives instruments not designated as ASC 815 hedges	$	469,085	$	467,746
Total derivatives	$	472,977	$	470,268
Cash collateral paid/received (3)	$	32,778	$	8,196
Less: Netting agreements (4)	( 364,879 )		( 364,879 )
Less: Netting cash collateral received/paid (5)	( 63,915 )		( 45,628 )
Net receivables/payables included on the Consolidated Balance Sheet (6)	$	76,961	$	67,957
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet

Less: Cash collateral received/paid	$	( 1,567 )	$	( 473 )
Less: Non-cash collateral received/paid	( 7,408 )		( 13,087 )
Total net receivables/payables (6)	$	67,986	$	54,397

(1) The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.

(3) Reflects the net amount of the $ 78,406 million and $ 72,111 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $ 45,628 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $ 63,915 million was used to offset trading derivative assets.

(4) Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $ 336 billion, $ 9 billion and $ 20 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.

(6) The net receivables/payables include approximately $ 6 billion of derivative asset and $ 8 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

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For the three months ended March 31, 2021 and 2020, amounts recognized in Principal transactions in the Consolidated Statement of Income include certain derivatives not designated in a qualifying hedging relationship. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents how these portfolios are risk managed. See Note 6 to the Consolidated Financial Statements for further information.

The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains (losses) on the economically hedged items to the extent that such amounts are also recorded in Other revenue .


	Gains (losses) included in Other revenue
	Three Months Ended March 31,
In millions of dollars	2021		2020
Interest rate contracts	$	( 60 )	$	155
Foreign exchange	( 21 )		24
Total	$	( 81 )	$	179

Fair Value Hedges

Hedging of Benchmark Interest Rate Risk

Citigroup’s fair value hedges are primarily hedges of fixed-rate long-term debt or assets, such as available-for-sale debt securities or loans.

For qualifying fair value hedges of interest rate risk, the changes in the fair value of the derivative and the change in the fair value of the hedged item attributable to the hedged risk are presented within Interest revenue or Interest expense based on whether the hedged item is an asset or a liability.

Citigroup has executed a last-of-layer hedge, which permits an entity to hedge the interest rate risk of a stated portion of a closed portfolio of prepayable financial assets that are expected to remain outstanding for the designated tenor of the hedge. In accordance with ASC 815, an entity may exclude prepayment risk when measuring the change in fair value of the hedged item attributable to interest rate risk under the last-of-layer approach. Similar to other fair value hedges, where the hedged item is an asset, the fair value of the hedged item attributable to interest rate risk will be presented in Interest revenue along with the change in the fair value of the hedging instrument.

Hedging of Foreign Exchange Risk

Citigroup hedges the change in fair value attributable to foreign exchange rate movements in available-for-sale debt securities and long-term debt that are denominated in currencies other than the functional currency of the entity holding the securities or issuing the debt. The hedging instrument is generally a forward foreign exchange contract or a cross-currency swap contract. Citigroup considers the premium associated with forward contracts (i.e., the differential between the spot and contractual forward rates) as the cost of hedging; this amount is excluded from the assessment of hedge effectiveness and is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness and records it in Other comprehensive income.

Hedging of Commodity Price Risk

Citigroup hedges the change in fair value attributable to spot price movements in physical commodities inventories. The hedging instrument is a futures contract to sell the underlying commodity. In this hedge, the change in the value of the hedged inventory is reflected in earnings, which offsets the change in the fair value of the futures contract that is also reflected in earnings. Although the change in the fair value of the hedging instrument recorded in earnings includes changes in forward rates, Citigroup excludes the differential between the spot and the contractual forward rates under the futures contract from the assessment of hedge effectiveness, and it is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in forward rates from the assessment of hedge effectiveness and records it in Other comprehensive income.

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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,
	2021				2020
In millions of dollars	Other revenue		Net interest revenue		Other revenue		Net interest revenue
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	( 3,935 )	$	—	$	6,847
Foreign exchange hedges	( 210 )		—		( 1,911 )		—
Commodity hedges	( 289 )		—		290		—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	( 499 )	$	( 3,935 )	$	( 1,621 )	$	6,847
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—	$	3,826	$	—	$	( 6,815 )
Foreign exchange hedges	210		—		1,911		—
Commodity hedges	289		—		( 290 )		—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	499	$	3,826	$	1,621	$	( 6,815 )
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	( 4 )	$	—	$	( 5 )
Foreign exchange hedges (2)	4		—		( 58 )		—
Commodity hedges	( 22 )		—		( 25 )		—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges	$	( 18 )	$	( 4 )	$	( 83 )	$	( 5 )

(1) Gain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense . The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.

(2) Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI , are not reflected in the table above. The amount of cross-currency basis included in AOCI was $( 13 ) million and $ 33 million for the three months ended March 31, 2021 and 2020, respectively.

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Cumulative Basis Adjustment

Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative changes in the hedged risk. This cumulative hedge basis adjustment becomes part of the carrying value of the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at March 31, 2021 and December 31, 2020, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities, that would reverse through earnings in future periods.


In millions of dollars
Balance sheet line item in which hedged item is recorded	Carrying amount of hedged asset/ liability		Cumulative fair value hedging adjustment increasing (decreasing) the carrying amount
			Active		De-designated
As of March 31, 2021
Debt securities AFS (1)(3)	$	79,663	$	( 127 )	$	61
Long-term debt	157,408		1,665		4,400
As of December 31, 2020
Debt securities AFS (2)(3)	$	81,082	$	28	$	342
Long-term debt	169,026		5,554		4,989

(1) These amounts include a cumulative basis adjustment of $( 64 ) million for active hedges and $( 140 ) million for de-designated hedges as of March 31, 2021, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $ 7 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $ 36 billion as of March 31, 2021) in a last-of-layer hedging relationship.

(2) These amounts include a cumulative basis adjustment of $( 18 ) million for active hedges and $ 62 million for de-designated hedges as of December 31, 2020, related to certain prepayable financial assets designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $ 3 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $ 19 billion as of December 31, 2020) in a last-of-layer hedging relationship.

(3) Carrying amount represents the amortized cost.

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Cash Flow Hedges

Citigroup hedges the variability of forecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. These cash flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.

For cash flow hedges, the entire change in the fair value of the hedging derivative is recognized in AOCI and then reclassified to earnings in the same period that the forecasted hedged cash flows impact earnings. The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of March 31, 2021 is approximately $ 1.1 billion. The maximum length of time over which forecasted cash flows are hedged is 10 years.

The pretax change in AOCI from cash flow hedges is presented below. The after-tax impact of cash flow hedges on AOCI is shown in Note 17 to the Consolidated Financial Statements.


	Three Months Ended March 31,
In millions of dollars	2021				2020
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts	$	( 455 )			$	2,497
Foreign exchange contracts	3				( 11 )
Total gain (loss) recognized in AOCI	$	( 452 )			$	2,486
	Other revenue		Net interest revenue		Other revenue		Net interest revenue
Amount of gain (loss) reclassified from AOCI to earnings (1)
Interest rate contracts	$	—	$	278	$	—	$	3
Foreign exchange contracts	( 1 )		—		( 1 )		—
Total gain (loss) reclassified from AOCI into earnings	$	( 1 )	$	278	$	( 1 )	$	3
Net pretax change in cash flow hedges included within AOCI			$	( 729 )			$	2,484

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

165

Net Investment Hedges

The pretax gain (loss) recorded in Foreign currency translation adjustment within AOCI , related to net investment hedges, was $ 557 million and $ 2,085 million for the three months ended March 31, 2021 and 2020, respectively.

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, 2021	Receivable (1)		Payable (2)		Protection purchased		Protection sold
By industry of counterparty
Banks	$	2,886	$	3,402	$	126,799	$	123,430
Broker-dealers	1,913		1,269		48,722		46,866
Non-financial	107		95		6,658		2,789
Insurance and other financial institutions	5,720		5,798		501,324		436,146
Total by industry of counterparty	$	10,626	$	10,564	$	683,503	$	609,231
By instrument
Credit default swaps and options	$	9,647	$	10,020	$	667,075	$	602,994
Total return swaps and other	979		544		16,428		6,237
Total by instrument	$	10,626	$	10,564	$	683,503	$	609,231
By rating of reference entity
Investment grade	$	4,424	$	4,083	$	514,482	$	455,166
Non-investment grade	6,202		6,481		169,021		154,065
Total by rating of reference entity	$	10,626	$	10,564	$	683,503	$	609,231
By maturity
Within 1 year	$	1,186	$	1,237	$	148,225	$	133,828
From 1 to 5 years	6,413		6,419		439,990		396,443
After 5 years	3,027		2,908		95,288		78,960
Total by maturity	$	10,626	$	10,564	$	683,503	$	609,231

(1) The fair value amount receivable is composed of $ 4,166 million under protection purchased and $ 6,460 million under protection sold.

(2) The fair value amount payable is composed of $ 7,027 million under protection purchased and $ 3,537 million under protection sold.

166


	Fair values				Notionals
In millions of dollars at December 31, 2020	Receivable (1)		Payable (2)		Protection purchased		Protection sold
By industry of counterparty
Banks	$	2,902	$	3,187	$	117,685	$	120,739
Broker-dealers	1,770		1,215		46,928		44,692
Non-financial	109		90		5,740		2,217
Insurance and other financial institutions	5,008		5,637		442,417		375,959
Total by industry of counterparty	$	9,789	$	10,129	$	612,770	$	543,607
By instrument
Credit default swaps and options	$	9,254	$	9,254	$	599,633	$	538,426
Total return swaps and other	535		875		13,137		5,181
Total by instrument	$	9,789	$	10,129	$	612,770	$	543,607
By rating of reference entity
Investment grade	$	4,136	$	4,037	$	478,643	$	418,147
Non-investment grade	5,653		6,092		134,127		125,460
Total by rating of reference entity	$	9,789	$	10,129	$	612,770	$	543,607
By maturity
Within 1 year	$	914	$	1,355	$	134,080	$	125,464
From 1 to 5 years	6,022		5,991		421,682		374,376
After 5 years	2,853		2,783		57,008		43,767
Total by maturity	$	9,789	$	10,129	$	612,770	$	543,607

(1) The fair value amount receivable is composed of $ 3,514 million under protection purchased and $ 6,275 million under protection sold.

(2) The fair value amount payable is composed of $ 7,037 million under protection purchased and $ 3,092 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, 2021 and December 31, 2020 was $ 22 billion and $ 25 billion, respectively. The Company posted $ 19 billion and $ 22 billion as collateral for this exposure in the normal course of business as of March 31, 2021 and December 31, 2020, 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, 2021, the Company could be required to post an additional $ 1 billion as either collateral or settlement of the derivative transactions. In addition, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $ 1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $ 2 billion.

Derivatives Accompanied by Financial Asset Transfers

For transfers of financial assets accounted for as a sale by the Company, and for which the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed with the same counterparty in contemplation of the initial sale (and still outstanding), both the asset amounts derecognized and the gross cash proceeds received as of the date of derecognition were $ 1.9 billion and $ 2.0 billion as of March 31, 2021 and December 31, 2020, respectively.

At March 31, 2021, the fair value of these previously derecognized assets was $ 2.1 billion. The fair value of the total return swaps as of March 31, 2021 was $ 252 million recorded as gross derivative assets and $ 22 million recorded as gross derivative liabilities. At December 31, 2020, the fair value of these previously derecognized assets was $ 2.2 billion, and the fair value of the total return swaps was $ 135 million recorded as gross derivative assets and $ 7 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.

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20. FAIR VALUE MEASUREMENT

For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2020 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, 2021 and December 31, 2020:


	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	March 31, 2021		December 31, 2020
Counterparty CVA	$	( 642 )	$	( 800 )
Asset FVA	( 449 )		( 525 )
Citigroup (own credit) CVA	376		403
Liability FVA	91		67
Total CVA—derivative instruments	$	( 624 )	$	( 855 )

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	2021		2020
Counterparty CVA	$	9	$	( 283 )
Asset FVA	69		( 1,053 )
Own credit CVA	( 37 )		533
Liability FVA	24		337
Total CVA—derivative instruments	$	65	$	( 466 )
DVA related to own FVO liabilities (1)	$	( 38 )	$	4,188
Total CVA and DVA	$	27	$	3,722

(1) See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

Fair Value Hierarchy

ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:

• Level 1: Quoted prices for identical instruments in active markets.

• Level 2: Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets.

• Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable .

As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible. The frequency of transactions, the size of the bid/ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the relevance of observed prices in those markets.

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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, 2021 and December 31, 2020. 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, 2021	Level 1		Level 2		Level 3		Gross inventory		Netting (1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	308,726	$	262	$	308,988	$	( 110,080 )	$	198,908
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		35,846		38		35,884				35,884
Residential	—		317		268		585				585
Commercial	—		813		59		872				872
Total trading mortgage-backed securities	$	—	$	36,976	$	365	$	37,341	$	—	$	37,341
U.S. Treasury and federal agency securities	$	59,877	$	2,325	$	—	$	62,202			$	62,202
State and municipal	—		1,171		94		1,265				1,265
Foreign government	76,118		16,226		81		92,425				92,425
Corporate	1,256		19,209		290		20,755				20,755
Equity securities	53,461		11,296		89		64,846				64,846
Asset-backed securities	—		951		1,208		2,159				2,159
Other trading assets (2)	12		11,253		571		11,836				11,836
Total trading non-derivative assets	$	190,724	$	99,407	$	2,698	$	292,829	$	—	$	292,829
Trading derivatives
Interest rate contracts	$	95	$	187,808	$	3,080	$	190,983
Foreign exchange contracts	—		139,621		557		140,178
Equity contracts	141		42,287		1,881		44,309
Commodity contracts	—		14,704		1,714		16,418
Credit derivatives	—		9,459		1,167		10,626
Total trading derivatives	$	236	$	393,879	$	8,399	$	402,514
Cash collateral paid (3)							$	21,388
Netting agreements									$	( 307,824 )
Netting of cash collateral received									( 48,248 )
Total trading derivatives	$	236	$	393,879	$	8,399	$	423,902	$	( 356,072 )	$	67,830
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	42,673	$	30	$	42,703			$	42,703
Residential	—		437		—		437				437
Commercial	—		45		—		45				45
Total investment mortgage-backed securities	$	—	$	43,155	$	30	$	43,185	$	—	$	43,185
U.S. Treasury and federal agency securities	$	122,532	$	168	$	—	$	122,700			$	122,700
State and municipal	—		2,457		794		3,251				3,251
Foreign government	73,560		45,531		523		119,614				119,614
Corporate	6,212		3,980		56		10,248				10,248
Marketable equity securities	184		65		—		249				249
Asset-backed securities	—		270		4		274				274
Other debt securities	—		4,764		—		4,764				4,764
Non-marketable equity securities (4)	—		44		352		396				396
Total investments	$	202,488	$	100,434	$	1,759	$	304,681	$	—	$	304,681

Table continues on the next page.

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In millions of dollars at March 31, 2021	Level 1			Level 2			Level 3			Gross inventory		Netting (1)		Net balance
Loans	$	—		$	5,581		$	1,944		$	7,525			$	7,525
Mortgage servicing rights	—			—			433			433				433



Non-trading derivatives and other financial assets measured on a recurring basis	$	2,311		$	7,864		$	—		$	10,175	$	—	$	10,175
Total assets	$	395,759		$	915,891		$	15,495		$	1,348,533	$	( 466,152 )	$	882,381
Total as a percentage of gross assets (5)	29.8 %			69.0 %			1.2 %
Liabilities
Interest-bearing deposits	$	—		$	2,941		$	199		$	3,140			$	3,140
Securities loaned and sold under agreements to repurchase	—			161,693			977			162,670		( 93,957 )		68,713
Trading account liabilities
Securities sold, not yet purchased	104,802			13,730			167			118,699				118,699
Other trading liabilities	—			14			6			20				20
Total trading liabilities	$	104,802		$	13,744		$	173		$	118,719	$	—	$	118,719
Trading derivatives
Interest rate contracts	$	77		$	173,362		$	1,851		$	175,290
Foreign exchange contracts	1			137,144			643			137,788
Equity contracts	56			51,358			4,757			56,171
Commodity contracts	—			17,697			982			18,679
Credit derivatives	—			9,468			1,096			10,564
Total trading derivatives	$	134		$	389,029		$	9,329		$	398,492
Cash collateral received (6)										$	22,945
Netting agreements												$	( 307,824 )
Netting of cash collateral paid												( 53,215 )
Total trading derivatives	$	134		$	389,029		$	9,329		$	421,437	$	( 361,039 )	$	60,398
Short-term borrowings	$	—		$	7,357		$	49		$	7,406			$	7,406
Long-term debt	—			41,734			26,337			68,071				68,071




Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	2,619		$	48		$	8		$	2,675			$	2,675
Total liabilities	$	107,555		$	616,546		$	37,072		$	784,118	$	( 454,996 )	$	329,122
Total as a percentage of gross liabilities (5)	14.1		%	81.0		%	4.9		%

(1) Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.

(2) Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.

(3) Reflects the net amount of $ 74,603 million of gross cash collateral paid, of which $ 53,215 million was used to offset trading derivative liabilities.

(4) Amounts exclude $ 0.1 billion of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).

(5) Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.

(6) Reflects the net amount of $ 71,193 million of gross cash collateral received, of which $ 48,248 million was used to offset trading derivative assets.

170

Fair Value Levels


In millions of dollars at December 31, 2020	Level 1		Level 2		Level 3		Gross inventory		Netting (1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	335,073	$	320	$	335,393	$	( 150,189 )	$	185,204
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		42,903		27		42,930		—		42,930
Residential	—		391		340		731		—		731
Commercial	—		893		136		1,029		—		1,029
Total trading mortgage-backed securities	$	—	$	44,187	$	503	$	44,690	$	—	$	44,690
U.S. Treasury and federal agency securities	$	64,529	$	2,269	$	—	$	66,798	$	—	$	66,798
State and municipal	—		1,224		94		1,318		—		1,318
Foreign government	68,195		15,143		51		83,389		—		83,389
Corporate	1,607		18,840		375		20,822		—		20,822
Equity securities	54,117		12,289		73		66,479		—		66,479
Asset-backed securities	—		776		1,606		2,382		—		2,382
Other trading assets (2)	—		11,295		945		12,240		—		12,240
Total trading non-derivative assets	$	188,448	$	106,023	$	3,647	$	298,118	$	—	$	298,118
Trading derivatives
Interest rate contracts	$	42	$	238,026	$	3,393	$	241,461
Foreign exchange contracts	2		155,994		674		156,670
Equity contracts	66		48,362		2,091		50,519
Commodity contracts	—		13,546		992		14,538
Credit derivatives	—		8,634		1,155		9,789
Total trading derivatives	$	110	$	464,562	$	8,305	$	472,977
Cash collateral paid (3)							$	32,778
Netting agreements									$	( 364,879 )
Netting of cash collateral received									( 63,915 )
Total trading derivatives	$	110	$	464,562	$	8,305	$	505,755	$	( 428,794 )	$	76,961
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	43,888	$	30	$	43,918	$	—	$	43,918
Residential	—		571		—		571		—		571
Commercial	—		50		—		50		—		50
Total investment mortgage-backed securities	$	—	$	44,509	$	30	$	44,539	$	—	$	44,539
U.S. Treasury and federal agency securities	$	146,032	$	172	$	—	$	146,204	$	—	$	146,204
State and municipal	—		2,885		834		3,719		—		3,719
Foreign government	77,056		47,644		268		124,968		—		124,968
Corporate	6,326		4,114		60		10,500		—		10,500
Marketable equity securities	287		228		—		515		—		515
Asset-backed securities	—		277		1		278		—		278
Other debt securities	—		4,876		—		4,876		—		4,876
Non-marketable equity securities (4)	—		50		349		399		—		399
Total investments	$	229,701	$	104,755	$	1,542	$	335,998	$	—	$	335,998

Table continues on the next page.

171


In millions of dollars at December 31, 2020	Level 1			Level 2			Level 3			Gross inventory		Netting (2)		Net balance
Loans	$	—		$	4,869		$	1,985		$	6,854	$	—	$	6,854
Mortgage servicing rights	—			—			336			336		—		336



Non-trading derivatives and other financial assets measured on a recurring basis	$	6,230		$	8,383		$	—		$	14,613	$	—	$	14,613
Total assets	$	424,489		$	1,023,665		$	16,135		$	1,497,067	$	( 578,983 )	$	918,084
Total as a percentage of gross assets (5)	29.0 %			69.9 %			1.1 %
Liabilities
Interest-bearing deposits	$	—		$	1,752		$	206		$	1,958	$	—	$	1,958
Securities loaned and sold under agreements to repurchase	—			156,644			631			157,275		( 97,069 )		60,206
Trading account liabilities
Securities sold, not yet purchased	85,353			14,477			214			100,044		—		100,044
Other trading liabilities	—			—			26			26		—		26
Total trading liabilities	$	85,353		$	14,477		$	240		$	100,070	$	—	$	100,070
Trading account derivatives
Interest rate contracts	$	25		$	220,607		$	1,779		$	222,411
Foreign exchange contracts	3			155,441			622			156,066
Equity contracts	53			58,212			5,304			63,569
Commodity contracts	—			17,393			700			18,093
Credit derivatives	—			9,022			1,107			10,129
Total trading derivatives	$	81		$	460,675		$	9,512		$	470,268
Cash collateral received (6)										$	8,196
Netting agreements												$	( 364,879 )
Netting of cash collateral paid												( 45,628 )
Total trading derivatives	$	81		$	460,675		$	9,512		$	478,464	$	( 410,507 )	$	67,957
Short-term borrowings	$	—		$	4,464		$	219		$	4,683	$	—	$	4,683
Long-term debt	—			41,853			25,210			67,063		—		67,063



Non-trading derivatives and other financial liabilities measured on a recurring basis	$	6,762		$	72		$	1		$	6,835	$	—	$	6,835
Total liabilities	$	92,196		$	679,937		$	36,019		$	816,348	$	( 507,576 )	$	308,772
Total as a percentage of gross liabilities (5)	11.4		%	84.1		%	4.5		%

(3) Reflects the net amount of $ 78,406 million of gross cash collateral paid, of which $ 45,628 million was used to offset trading derivative liabilities.

(4) Amounts exclude $ 0.2 billion of investments measured at NAV in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).

(6) Reflects the net amount of $ 72,111 million of gross cash collateral received, of which $ 63,915 million was used to offset trading derivative assets.

172

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, 2021 and 2020. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.

The Company often hedges positions with offsetting positions that are classified in a different level. For example,

the gains and losses for assets and liabilities in the Level 3 category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:

Level 3 Fair Value Rollforward


			Net realized/unrealized gains (losses) incl. in (1)				Transfers														Unrealized gains (losses) still held (3)
In millions of dollars	Dec. 31, 2020		Principal transactions		Other (1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Mar. 31, 2021
Assets
Securities borrowed and purchased under agreements to resell	$	320	$	( 9 )	$	—	$	—	$	—	$	233	$	—	$	—	$	( 282 )	$	262	$	3
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	27		( 1 )		—		14		( 1 )		1		—		( 2 )		—		38		( 1 )
Residential	340		23		—		28		( 3 )		144		—		( 264 )		—		268		7
Commercial	136		5		—		16		( 33 )		13		—		( 78 )		—		59		( 7 )
Total trading mortgage-backed securities	$	503	$	27	$	—	$	58	$	( 37 )	$	158	$	—	$	( 344 )	$	—	$	365	$	( 1 )
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	94		—		—		—		—		—		—		—		—		94		1
Foreign government	51		1		—		11		—		57		—		( 39 )		—		81		( 3 )
Corporate	375		90		—		6		( 118 )		67		—		( 130 )		—		290		41
Marketable equity securities	73		45		—		4		( 2 )		12		—		( 43 )		—		89		9
Asset-backed securities	1,606		39		—		18		( 50 )		582		—		( 987 )		—		1,208		( 79 )
Other trading assets	945		( 44 )		—		30		( 8 )		147		4		( 499 )		( 4 )		571		1
Total trading non-derivative assets	$	3,647	$	158	$	—	$	127	$	( 215 )	$	1,023	$	4	$	( 2,042 )	$	( 4 )	$	2,698	$	( 31 )
Trading derivatives, net (4)
Interest rate contracts	$	1,614	$	( 172 )	$	—	$	( 45 )	$	—	$	—	$	( 84 )	$	—	$	( 84 )	$	1,229	$	( 85 )
Foreign exchange contracts	52		( 138 )		—		8		—		23		—		( 15 )		( 16 )		( 86 )		( 31 )
Equity contracts	( 3,213 )		303		—		36		6		24		—		( 23 )		( 9 )		( 2,876 )		268
Commodity contracts	292		314		—		158		( 5 )		66		—		( 110 )		17		732		324
Credit derivatives	48		( 64 )		—		67		3		—		—		—		17		71		( 64 )
Total trading derivatives, net (4)	$	( 1,207 )	$	243	$	—	$	224	$	4	$	113	$	( 84 )	$	( 148 )	$	( 75 )	$	( 930 )	$	412

Table continues on the next page.

173


			Net realized/unrealized gains (losses) incl. in (1)				Transfers														Unrealized gains (losses) still held (3)
In millions of dollars	Dec. 31, 2020		Principal transactions		Other (1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Mar. 31, 2021
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	30	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	30	$	—
Residential	—		—		—		—		—		—		—		—		—		—		—
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	30	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	30	$	—
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	834		—		( 18 )		4		—		1		—		( 27 )		—		794		( 16 )
Foreign government	268		—		( 2 )		—		—		330		—		( 73 )		—		523		( 11 )
Corporate	60		—		( 4 )		—		—		—		—		—		—		56		—
Marketable equity securities	—		—		—		—		—		—		—		—		—		—		—
Asset-backed securities	1		—		—		3		—		—		—		—		—		4		—
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	349		—		10		1		—		—		—		( 8 )		—		352		4
Total investments	$	1,542	$	—	$	( 14 )	$	8	$	—	$	331	$	—	$	( 108 )	$	—	$	1,759	$	( 23 )
Loans	$	1,985	$	—	$	( 128 )	$	211	$	—	$	—	$	1	$	—	$	( 125 )	$	1,944	$	( 125 )
Mortgage servicing rights	336		—		73		—		—		—		43		—		( 19 )		433		80
Other financial assets measured on a recurring basis	—		—		—		—		—		—		—		—		—		—		—
Liabilities
Interest-bearing deposits	$	206	$	—	$	16	$	—	$	—	$	—	$	9	$	—	$	—	$	199	$	7
Securities loaned and sold under agreements to repurchase	631		( 15 )		—		—		—		408		—		—		( 77 )		977		( 15 )
Trading account liabilities
Securities sold, not yet purchased	214		54		—		8		( 4 )		10		—		—		( 7 )		167		39
Other trading liabilities	26		20		—		—		—		—		—		—		—		6		21
Short-term borrowings	219		( 1 )		—		2		( 12 )		—		8		—		( 169 )		49		( 1 )
Long-term debt	25,210		2,622		—		932		( 2 )		—		5,720		—		( 2,901 )		26,337		1,962
Other financial liabilities measured on a recurring basis	1		—		( 3 )		—		—		—		14		—		( 10 )		8		( 3 )

(1) Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI , unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.

(2) Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.

(3) Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2021.

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

174


			Net realized/unrealized gains (losses) incl. in (1)				Transfers														Unrealized gains (losses) still held (3)
In millions of dollars	Dec. 31, 2019		Principal transactions		Other (1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Mar. 31, 2020
Assets
Securities borrowed or purchased under agreements to resell	$	303	$	( 20 )	$	—	$	—	$	—	$	66	$	—	$	—	$	( 49 )	$	300	$	3
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	10		( 75 )		—		12		( 3 )		141		—		—		—		85		4
Residential	123		( 8 )		—		60		( 4 )		178		—		( 45 )		—		304		( 11 )
Commercial	61		—		—		3		( 3 )		27		—		( 44 )		—		44		( 1 )
Total trading mortgage-backed securities	$	194	$	( 83 )	$	—	$	75	$	( 10 )	$	346	$	—	$	( 89 )	$	—	$	433	$	( 8 )
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	64		2		—		10		( 2 )		21		—		( 3 )		—		92		—
Foreign government	52		( 85 )		—		—		—		86		—		( 14 )		—		39		70
Corporate	313		302		—		22		8		215		—		( 448 )		—		412		246
Equity securities	100		—		—		28		( 3 )		32		—		( 14 )		—		143		1
Asset-backed securities	1,177		( 169 )		—		239		( 4 )		468		—		( 150 )		—		1,561		( 307 )
Other trading assets	555		193		—		28		( 137 )		105		8		( 103 )		( 10 )		639		195
Total trading non-derivative assets	$	2,455	$	160	$	—	$	402	$	( 148 )	$	1,273	$	8	$	( 821 )	$	( 10 )	$	3,319	$	197
Trading derivatives, net (4)
Interest rate contracts	$	1	$	351	$	—	$	1,383	$	( 22 )	$	1	$	56	$	13	$	( 28 )	$	1,755	$	314
Foreign exchange contracts	( 5 )		( 15 )		—		( 25 )		9		44		—		( 8 )		2		2		19
Equity contracts	( 1,596 )		( 210 )		—		( 287 )		224		3		—		( 1 )		31		( 1,836 )		( 223 )
Commodity contracts	( 59 )		( 459 )		—		38		( 56 )		46		—		( 34 )		( 18 )		( 542 )		( 441 )
Credit derivatives	( 56 )		946		—		154		( 286 )		—		—		—		58		816		946
Total trading derivatives, net (4)	$	( 1,715 )	$	613	$	—	$	1,263	$	( 131 )	$	94	$	56	$	( 30 )	$	45	$	195	$	615
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	32	$	—	$	14	$	—	$	1	$	—	$	—	$	—	$	—	$	47	$	34
Residential	—		—		—		—		—		—		—		—		—		—		—
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	32	$	—	$	14	$	—	$	1	$	—	$	—	$	—	$	—	$	47	$	34
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	623		—		( 31 )		138		—		—		—		( 43 )		—		687		( 9 )
Foreign government	96		—		( 2 )		27		—		147		—		( 43 )		—		225		( 16 )
Corporate	45		—		( 8 )		49		—		152		—		—		—		238		—
Equity securities	—		—		—		—		—		—		—		—		—		—		—
Asset-backed securities	22		—		5		—		—		—		—		( 11 )		—		16		—
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	441		—		( 74 )		—		—		—		—		( 3 )		( 10 )		354		( 76 )
Total investments	$	1,259	$	—	$	( 96 )	$	214	$	1	$	299	$	—	$	( 100 )	$	( 10 )	$	1,567	$	( 67 )

Table continues on the next page.

175


			Net realized/unrealized gains (losses) incl. in (1)				Transfers														Unrealized gains (losses) still held (3)
In millions of dollars	Dec. 31, 2019		Principal transactions		Other (1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Mar. 31, 2020
Loans	$	402	$	—	$	( 79 )	$	217	$	( 1 )	$	—	$	—	$	—	$	( 2 )	$	537	$	( 127 )
Mortgage servicing rights	495		—		( 143 )		—		—		—		32		—		( 17 )		367		( 133 )
Other financial assets measured on a recurring basis	1		—		—		—		—		—		—		( 1 )		—		—		—
Liabilities
Interest-bearing deposits	$	215	$	—	$	( 6 )	$	278	$	—	$	—	$	—	$	—	$	( 8 )	$	491	$	—
Securities loaned or sold under agreements to repurchase	757		27		—		—		—		—		—		—		—		730		( 33 )
Trading account liabilities																			—
Securities sold, not yet purchased	48		( 167 )		—		8		( 10 )		—		9		—		( 22 )		200		( 240 )
Other trading liabilities	—		—		—		—		—		—		—		—		—		—		—
Short-term borrowings	13		10		—		11		—		—		38		—		—		52		10
Long-term debt	17,169		1,311		—		3,189		( 2,693 )		—		4,261		—		( 1,346 )		19,269		936
Other financial liabilities measured on a recurring basis	—		—		—		—		—		—		2		—		( 2 )		—		—

(1) Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale investments are recorded in AOCI , unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.

(2) Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.

(4) Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only. Changes in fair value of available-for-sale debt securities are recorded in AOCI , unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.

Level 3 Fair Value Rollforward

There were no significant Level 3 transfers for the period December 31, 2020 to March 31, 2021.

The following were the significant Level 3 transfers for the period December 31, 2019 to March 31, 2020:

• Transfers of Interest rate contracts of $ 1.4 billion from Level 2 to Level 3 due to interest rate option volatility becoming an unobservable and/or significant input relative to the overall valuation of inflation and other interest rate derivatives.

• Transfers of Long-term debt of $ 3.2 billion from Level 2 to Level 3, primarily driven by $ 2.0 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to the overall valuation of certain structured long-term debt products and $ 1.2 billion related to structured debt products where unobservable credit spreads widened, causing the value of the embedded credit derivative feature to become significant relative to the total value of the instrument. In other instances, market changes have resulted in unobservable volatility becoming an insignificant input to the overall valuation of the instrument (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $ 2.7 billion of certain structured long-term debt products being transferred from Level 3 to Level 2.

176

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, 2021	Fair value (1) (in millions)		Methodology	Input	Low (2)(3)			High (2)(3)			Weighted average (4)
Assets
Securities borrowed and purchased under agreements to resell	$	262	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	0.34		%	0.40		%	0.37		%
Mortgage-backed securities	$	227	Price-based	Price	$	24.00		$	114.77		$	91.51
	148		Yield analysis	Yield	2.47		%	19.21		%	8.44		%
State and municipal, foreign government, corporate and other debt securities	$	1,488	Price-based	Price	$	—		$	865.86		$	89.54
	778		Model-based	Credit spread	35 bps			375 bps			230 bps
Marketable equity securities (5)	$	49	Price-based	Price	$	—		$	70,000		$	14,868
	32		Model-based	Recovery (in millions)	$	5,733		$	5,733		$	5,733
				WAL	1.23 years			1.23 years			1.23 years
Asset-backed securities	$	789	Price-based	Price	$	2.07		$	130.05		$	70.09
	422		Yield analysis	Yield	3.04		%	15.54		%	7.71		%
Non-marketable equities	$	214	Comparables analysis	Illiquidity discount	10.00		%	35.00		%	21.94		%
	100		Price-based	PE Ratio	12.00 x			28.40 x			18.42 x
	37		Model-based	Adjustment factor	0.11 x			0.56 x			0.26 x
				Price	$	0.97		$	1,960.00		$	1,538.36
				EBITDA multiples	4.20 x			16.70 x			11.85 x
				Revenue multiple	2.30 x			28.80 x			16.13 x
Derivatives—gross (6)
Interest rate contracts (gross)	$	4,892	Model-based	Inflation volatility	0.26		%	2.90		%	0.78		%
				IR normal volatility	0.12		%	0.89		%	0.61		%
Foreign exchange contracts (gross)	$	1,200	Model-based	FX volatility	0.59		%	13.70		%	11.78		%
				Interest rate	0.06		%	46.79		%	1.09		%


				IR normal volatility	0.12		%	0.88		%	0.41		%



Equity contracts (gross) (7)	$	6,594	Model-based	Equity volatility	5.98		%	94.42		%	42.72		%
				Forward price	61.90		%	108.04		%	93.54		%


Commodity and other contracts (gross)	2,672		Model-based	Commodity correlation	( 51.81 )		%	92.81		%	62.96		%
				Commodity volatility	0.10		%	65.86		%	24.26		%
				Forward price	9.42		%	383.13		%	94.30		%
Credit derivatives (gross)	$	1,848	Model-based	Credit spread	6 bps			500 bps			88 bps
	413		Price-based	Recovery rate	25.00		%	60.00		%	39.84		%
				Upfront points	—		%	99.12		%	50.13		%


Loans and leases	$	1,893	Model-based	Equity volatility	23.41		%	80.12		%	62.45		%
Mortgage servicing rights	$	354	Cash flow	Yield	3.00		%	16.60		%	7.57		%

177


As of March 31, 2021	Fair value (1) (in millions)		Methodology	Input	Low (2)(3)			High (2)(3)			Weighted average (4)
	79		Model-based	WAL	3.45 years			6.91 years			5.86 years
Liabilities
Interest-bearing deposits	$	199	Model-based	IR normal volatility	0.12		%	0.89		%	0.68		%
Securities loaned and sold under agreements to repurchase	$	977	Model-based	Interest rate	0.08		%	1.86		%	0.71		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	129	Model-based	IR lognormal volatility	60.74		%	140.02		%	109.00		%
	45		Price-based	Price	$	—		$	865.86		$	77.85
				Interest rate	0.20		%	39.36		%	7.26		%

Short-term borrowings and long-term debt	$	26,380	Model-based	IR normal volatility	0.12		%	0.89		%	0.62		%
				Forward price	9.42		%	383.13		%	92.82		%


As of December 31, 2020	Fair value (1) (in millions)		Methodology	Input	Low (2)(3)			High (2)(3)			Weighted average (4)
Assets
Securities borrowed and purchased under agreements to resell	$	320	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	0.30		%	0.35		%	0.32		%
Mortgage-backed securities	$	344	Price-based	Price	$	30		$	111		$	80
	168		Yield analysis	Yield	2.63		%	21.80		%	10.13		%
State and municipal, foreign government, corporate and other debt securities	$	1,566	Price-based	Price	$	—		$	2,265		$	90
	852		Model-based	Credit spread	35 bps			375 bps			226 bps
Marketable equity securities (5)	$	36	Model-based	Price	$	—		$	31,000		$	5,132
	36		Price-based	WAL	1.48 years			1.48 years			1.48 years
				Recovery (in millions)	$	5,733		$	5,733		$	5,733
Asset-backed securities	$	863	Price-based	Price	$	2		$	157		$	59
	744		Yield analysis	Yield	3.77		%	21.77		%	9.01		%
Non-marketable equities	$	205	Comparables analysis	Illiquidity discount	10.00		%	45.00		%	25.29		%
				PE ratio	13.60 x			28.00 x			22.83 x
	142		Price-based	Price	$	136		$	2,041		$	1,647
				EBITDA multiples	3.30 x			36.70 x			15.10 x
				Adjustment factor	0.20 x			0.61 x			0.25 x
				Appraised value (in thousands)	$	287		$	39,745		$	21,754
				Revenue multiple	2.70 x			28.00 x			8.92 x
Derivatives—gross (6)
Interest rate contracts (gross)	$	5,143	Model-based	Inflation volatility	0.27		%	2.36		%	0.78		%
				IR normal volatility	0.11		%	0.73		%	0.52		%
Foreign exchange contracts (gross)	$	1,296	Model-based	FX volatility	1.70		%	12.63		%	5.41		%
				Contingent event	100.00		%	100.00		%	100.00		%
				Interest rate	0.84		%	84.09		%	17.55		%
				IR normal volatility	0.11		%	0.52		%	0.46		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
				IR-IR correlation	( 21.71 )		%	40.00		%	38.09		%
Equity contracts (gross) (7)	$	7,330	Model-based	Equity volatility	5.00		%	91.43		%	42.74		%
				Forward price	65.88		%	105.20		%	91.82		%

178


As of December 31, 2020	Fair value (1) (in millions)		Methodology	Input	Low (2)(3)			High (2)(3)			Weighted average (4)
Commodity and other contracts (gross)	$	1,636	Model-based	Commodity correlation	( 44.92 )		%	95.91		%	70.60		%
				Commodity volatility	0.16		%	80.17		%	23.72		%
				Forward price	15.40		%	262.00		%	98.53		%
Credit derivatives (gross)	$	1,854	Model-based	Credit spread	3.50 bps			352.35 bps			99.89 bps
	408		Price-based	Recovery rate	20.00		%	60.00		%	41.60		%
				Credit correlation	25.00		%	80.00		%	43.36		%
				Upfront points	—		%	107.20		%	48.10		%




Loans and leases	$	1,804	Model-based	Equity volatility	24.65		%	83.09		%	58.23		%

Mortgage servicing rights	$	258	Cash flow	Yield	2.86		%	16.00		%	6.32		%
	78		Model-based	WAL	2.66 years			5.40 years			4.46 years
Liabilities
Interest-bearing deposits	$	206	Model-based	IR Normal volatility	0.11		%	0.73		%	0.54		%

Securities loaned and sold under agreements to repurchase	$	631	Model-based	Interest rate	0.08		%	1.86		%	0.71		%
Trading account liabilities
Securities sold, not yet purchased	$	178	Model-based	IR lognormal volatility	52.06		%	128.87		%	89.82		%
	62		Price-based	Price	$	—		$	866		$	80
				Interest rate	10.03		%	20.07		%	13.70		%




Short-term borrowings and long-term debt	$	24,827	Model-based	IR Normal volatility	0.11		%	0.73		%	0.51		%
				Forward price	15.40		%	262.00		%	92.48		%

(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 inputs are expressed on an absolute basis, not as a percentage of the notional amount.

(6) Both trading and non-trading account derivatives—assets and liabilities—are presented on a gross absolute value basis.

(7) Includes hybrid products.

179

Items Measured at Fair Value on a Nonrecurring Basis

Certain assets and liabilities are measured at fair value on a nonrecurring basis and, therefore, are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for the identical or similar investment of the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market value.

The following tables present the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded:


In millions of dollars	Fair value		Level 2		Level 3
March 31, 2021
Loans HFS (1)	$	1,859	$	895	$	964
Other real estate owned	26		6		20
Loans (2)	1,060		646		414

Non-marketable equity securities measured using the measurement alternative	254		254		—
Total assets at fair value on a nonrecurring basis	$	3,199	$	1,801	$	1,398


In millions of dollars	Fair value		Level 2		Level 3
December 31, 2020
Loans HFS (1)	$	3,375	$	478	$	2,897
Other real estate owned	17		4		13
Loans (2)	1,015		679		336
Non-marketable equity securities measured using the measurement alternative	315		312		3
Total assets at fair value on a nonrecurring basis	$	4,722	$	1,473	$	3,249

(1) Net of fair value amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.

(2) Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.

180

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, 2021	Fair value (1) (in millions)		Methodology	Input	Low (2)		High		Weighted average (3)
Loans held-for-sale	$	964	Price-based	Price	$	74.33	$	100.00	$	98.00
Other real estate owned	$	17	Recovery analysis	Appraised value (4)	$	186,431	$	4,328,299	$	3,682,631
	3		Price-based	Price	53.30		53.30		53.30
Loans (5)	$	377	Price-based	Price	$	2.50	$	50.00	$	25.06
	37		Recovery analysis	Appraised value (4)	95		43,646,426		15,277,236


As of December 31, 2020	Fair value (1) (in millions)		Methodology	Input	Low (2)			High			Weighted average (3)
Loans held-for-sale	$	2,683	Price-based	Price	$	79		$	100		$	98
Other real estate owned	$	7	Price-based	Appraised value (4)	$	3,110,711		$	4,241,357		$	3,586,975
	4		Recovery analysis	Price	51			51			51


Loans (5)	$	147	Price-based	Price	$	2		$	49		$	23
	73		Recovery analysis	Recovery rate	0.99		%	78.00		%	13.37		%
				Appraised value (4)	$	34		$	43,646,426		$	17,762,950

(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) Appraised values are disclosed in whole dollars.

(5) Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.

Nonrecurring Fair Value Changes

The following tables present total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:


	Three Months Ended March 31,
In millions of dollars	2021		2020
Loans HFS	$	( 4 )	$	( 391 )
Other real estate owned	—		—
Loans (1)	1		( 44 )
Non-marketable equity securities measured using the measurement alternative	81		22

Total nonrecurring fair value gains (losses)	$	78	$	( 413 )

(1) Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.

181

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 below therefore excludes items measured at fair value on a recurring basis presented in the tables above.


	March 31, 2021				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	167.1	$	167.3	$	59.4	$	105.4	$	2.5
Securities borrowed and purchased under agreements to resell	116.2		116.2		—		116.2		—
Loans (1)(2)	636.2		653.1		—		0.9		652.2
Other financial assets (2)(3)	415.8		415.8		305.5		19.2		91.1
Liabilities
Deposits	$	1,297.8	$	1,298.6	$	—	$	1,125.7	$	172.9
Securities loaned and sold under agreements to repurchase	150.5		150.5		—		150.5		—
Long-term debt (4)	188.3		201.4		—		181.0		20.4
Other financial liabilities (5)	117.6		117.6		—		18.3		99.3


	December 31, 2020				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	110.3	$	113.2	$	23.3	$	87.0	$	2.9
Securities borrowed and purchased under agreements to resell	109.5		109.5		—		109.5		—
Loans (1)(2)	643.3		663.9		—		0.6		663.3
Other financial assets (2)(3)	383.2		383.2		291.5		18.1		73.6
Liabilities
Deposits	$	1,278.7	$	1,278.8	$	—	$	1,093.3	$	185.5
Securities loaned and sold under agreements to repurchase	139.3		139.3		—		139.3		—
Long-term debt (4)	204.6		221.2		—		197.8		23.4
Other financial liabilities (5)	102.4		102.4		—		19.2		83.2

(1) The carrying value of loans is net of the Allowance for credit losses on loans of $ 21.6 billion for March 31, 2021 and $ 25.0 billion for December 31, 2020. In addition, the carrying values exclude $ 0.6 billion and $ 0.7 billion of lease finance receivables at March 31, 2021 and December 31, 2020, respectively.

(2) Includes items measured at fair value on a nonrecurring basis.

(3) Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

(4) The carrying value includes long-term debt balances under qualifying fair value hedges.

(5) Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

The estimated fair values of the Company’s corporate unfunded lending commitments at March 31, 2021 and December 31, 2020 were liabilities of $ 7.3 billion and $ 7.3 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.

182

21. FAIR VALUE ELECTIONS

The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election may not otherwise be revoked once an election is made. The

changes in fair value are recorded in current earnings. Movements in DVA are reported as a component of AOCI . Additional discussion regarding the applicable areas in which fair value elections were made is presented in Note 20 to the Consolidated Financial Statements.

The Company has elected fair value accounting for its mortgage servicing rights (MSRs). 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)
	Three Months Ended March 31,
In millions of dollars	2021		2020
Assets
Securities borrowed and purchased under agreements to resell	$	( 28 )	$	92
Trading account assets	101		( 834 )
Investments	—		—
Loans
Certain corporate loans	129		( 863 )
Certain consumer loans	—		1
Total loans	$	129	$	( 862 )
Other assets
MSRs	$	73	$	( 143 )
Certain mortgage loans HFS (1)	( 3 )		62
Total other assets	$	70	$	( 81 )
Total assets	$	272	$	( 1,685 )
Liabilities
Interest-bearing deposits	$	37	$	112
Securities loaned and sold under agreements to repurchase	13		( 288 )
Trading account liabilities	2		( 61 )
Short-term borrowings (2)	( 135 )		1,256
Long-term debt (2)	2,008		7,365
Total liabilities	$	1,925	$	8,384

(1) Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected under the fair value option.

(2) Includes DVA that is included in AOCI . See Notes 17 and 20 to the Consolidated Financial Statements.

183

Own Debt Valuation Adjustments (DVA)

Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected using Citi’s credit spreads observed in the bond market. Changes in fair value of fair value option liabilities related to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI .

Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse debt and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.

The estimated changes in the fair value of these non-derivative liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) were a loss of $ 38 million and a gain of $ 4,188 million for the three months ended March 31, 2021 and 2020, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.

The Fair Value Option for Financial Assets and Financial Liabilities

Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain Uncollateralized Short-Term Borrowings

The Company elected the fair value option for certain portfolios of fixed income securities purchased under agreements to resell and fixed income securities sold under agreements to repurchase, securities borrowed, securities loaned and certain uncollateralized short-term borrowings held primarily by broker-dealer entities in the United States, the United Kingdom and Japan. In each case, the election was made because the related interest rate risk is managed on a portfolio basis, primarily with offsetting derivative instruments that are accounted for at fair value through earnings.

Changes in fair value for transactions in these portfolios are recorded in Principal transactions . The related interest revenue and interest expense are measured based on the contractual rates specified in the transactions and are reported as Interest revenue and Interest expense in the Consolidated Statement of Income.

Certain Loans and Other Credit Products

Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.

The following table provides information about certain credit products carried at fair value:


	March 31, 2021				December 31, 2020
In millions of dollars	Trading assets		Loans		Trading assets		Loans
Carrying amount reported on the Consolidated Balance Sheet	$	7,147	$	7,525	$	8,063	$	6,854
Aggregate unpaid principal balance in excess of (less than) fair value	( 112 )		( 229 )		( 915 )		( 14 )
Balance of non-accrual loans or loans more than 90 days past due	—		4		—		4
Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due	—		—		—		—

184

In addition to the amounts reported above, $ 921 million and $ 1,068 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of March 31, 2021 and December 31, 2020, respectively.

Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in Citi’s Consolidated Statement of Income. Related interest revenue is measured based on the contractual interest rates and reported as Interest revenue on Trading account assets or loan interest depending on the balance sheet classifications of the credit products. The changes in fair value for the three months ended March 31, 2021 and 2020 due to instrument-specific credit risk totaled to a loss of $( 2 ) million and a loss of $( 83 ) 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 $ 0.7 billion and $ 0.5 billion at March 31, 2021 and December 31, 2020, 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, 2021, there were approximately $ 6.0 billion and $ 5.0 billion of notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively.

Certain Investments in Private Equity and

Real Estate Ventures

Citigroup invests in private equity and real estate ventures for the purpose of earning investment returns and for capital appreciation. The Company has elected the fair value option for certain of these ventures, because such investments are considered similar to many private equity or hedge fund activities in Citi’s investment companies, which are reported at fair value. The fair value option brings consistency in the accounting and evaluation of these investments. All investments (debt and equity) in such private equity and real estate entities are accounted for at fair value. These investments are classified as Investments on Citigroup’s Consolidated Balance Sheet.

Changes in the fair values of these investments are classified in Other revenue in the Company’s Consolidated Statement of Income.

Certain Mortgage Loans Held-for-Sale (HFS)

Citigroup has elected the fair value option for certain purchased and originated prime fixed-rate and conforming adjustable-rate first mortgage loans HFS. These loans are intended for sale or securitization and are hedged with derivative instruments. The Company has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications.

The following table provides information about certain mortgage loans HFS carried at fair value:


In millions of dollars	March 31, 2021		December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet	$	1,434	$	1,742
Aggregate fair value in excess of (less than) unpaid principal balance	( 276 )		91
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	—		—

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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, 2021 and 2020 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.

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, 2021		December 31, 2020
Interest rate linked	$	24.7	$	16.0
Foreign exchange linked	0.8		1.2
Equity linked	29.5		27.3
Commodity linked	1.4		1.4
Credit linked	2.6		2.6
Total	$	59.0	$	48.5

The portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value are reported in Principal transactions . Changes in the fair value of these 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. The portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value are reported in Principal transactions.

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, 2021		December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet	$	68,071	$	67,063
Aggregate unpaid principal balance in excess of (less than) fair value	( 3,433 )		( 5,130 )

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


In millions of dollars	March 31, 2021		December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet	$	7,406	$	4,683
Aggregate unpaid principal balance in excess of (less than) fair value	—		68

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22. GUARANTEES, LEASES 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 2020 Annual Report on Form 10-K.

The following tables present information about Citi’s guarantees at March 31, 2021 and December 31, 2020:


	Maximum potential amount of future payments
In billions of dollars at March 31, 2021	Expire within 1 year		Expire after 1 year		Total amount outstanding		Carrying value (in millions of dollars)
Financial standby letters of credit	$	23.3	$	70.8	$	94.1	$	1,123
Performance guarantees	6.6		6.2		12.8		63
Derivative instruments considered to be guarantees	12.2		57.2		69.4		458
Loans sold with recourse	—		1.2		1.2		8
Securities lending indemnifications (1)	132.1		—		132.1		—
Credit card merchant processing (2)	96.4		—		96.4		3
Credit card arrangements with partners	—		0.8		0.8		7
Custody indemnifications and other	—		23.1		23.1		33
Total	$	270.6	$	159.3	$	429.9	$	1,695


	Maximum potential amount of future payments
In billions of dollars at December 31, 2020	Expire within 1 year		Expire after 1 year		Total amount outstanding		Carrying value ( in millions of dollars)
Financial standby letters of credit	$	25.3	$	68.4	$	93.7	$	1,407
Performance guarantees	7.3		6.0		13.3		72
Derivative instruments considered to be guarantees	20.0		60.9		80.9		671
Loans sold with recourse	—		1.2		1.2		9
Securities lending indemnifications (1)	112.2		—		112.2		—
Credit card merchant processing (2)	101.9		—		101.9		3
Credit card arrangements with partners	0.2		0.8		1.0		7
Custody indemnifications and other	—		37.3		37.3		35
Total	$	266.9	$	174.6	$	441.5	$	2,204

(1) The carrying values of securities lending indemnifications were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.

(2) At March 31, 2021 and December 31, 2020, this maximum potential exposure was estimated to be $ 96 billion and $ 102 billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants.

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Loans Sold with Recourse

Loans sold with recourse represent Citi’s obligations to reimburse the buyers for loan losses under certain circumstances. Recourse refers to the clause in a sales agreement under which a seller/lender will fully reimburse the buyer/investor for any losses resulting from the purchased loans. This may be accomplished by the sellers taking back any loans that become delinquent.

In addition to the amounts shown in the tables above, Citi has recorded a repurchase reserve for its potential repurchases or make-whole liability regarding residential mortgage representation and warranty claims related to its whole loan sales to U.S. government-sponsored agencies and, to a lesser extent, private investors. The repurchase reserve was approximately $ 32 million and $ 31 million at March 31, 2021 and December 31, 2020, respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet.

Credit Card Arrangements with Partners

Citi, in one of its credit card partner arrangements, provides guarantees to the partner regarding the volume of certain customer originations during the term of the agreement. To the extent that such origination targets are not met, the guarantees serve to compensate the partner for certain payments that otherwise would have been generated in connection with such originations.

Other Guarantees and Indemnifications

Credit Card Protection Programs

Citi, through its credit card businesses, provides various cardholder protection programs on several of its card products, including programs that provide insurance coverage for rental cars, coverage for certain losses associated with purchased products, price protection for certain purchases and protection for lost luggage. These guarantees are not included in the table, since the total outstanding amount of the guarantees and Citi’s maximum exposure to loss cannot be quantified. The protection is limited to certain types of purchases and losses, and it is not possible to quantify the purchases that would qualify for these benefits at any given time. Citi assesses the probability and amount of its potential liability related to these programs based on the extent and nature of its historical loss experience. At March 31, 2021 and December 31, 2020, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were immaterial.

Value-Transfer Networks (Including Exchanges and Clearing Houses) (VTNs)

Citi is a member of, or shareholder in, hundreds of value-transfer networks (VTNs) (payment, clearing and settlement systems as well as exchanges) around the world. As a condition of membership, many of these VTNs require that members stand ready to pay a pro rata share of the losses incurred by the organization due to another member’s default on its obligations. Citi’s potential obligations may be limited to its membership interests in the VTNs, contributions to the VTN’s funds, or, in certain narrow cases, to the full pro rata share. The maximum exposure is difficult to estimate as this

would require an assessment of claims that have not yet occurred; however, Citi believes the risk of loss is remote given historical experience with the VTNs. Accordingly, Citi’s participation in VTNs is not reported in the guarantees tables above, and there are no amounts reflected on the Consolidated Balance Sheet as of March 31, 2021 or December 31, 2020 for potential obligations that could arise from Citi’s involvement with VTN associations.

Long-Term Care Insurance Indemnification

In 2000, Travelers Life & Annuity (Travelers), then a subsidiary of Citi, entered into a reinsurance agreement to transfer the risks and rewards of its long-term care (LTC) business to GE Life (now Genworth Financial Inc., or Genworth), then a subsidiary of the General Electric Company (GE). As part of this transaction, the reinsurance obligations were provided by two regulated insurance subsidiaries of GE Life, which funded two collateral trusts with securities. Presently, as discussed below, the trusts are referred to as the Genworth Trusts.

As part of GE’s spin-off of Genworth in 2004, GE retained the risks and rewards associated with the 2000 Travelers reinsurance agreement by providing a reinsurance contract to Genworth through GE’s Union Fidelity Life Insurance Company (UFLIC) subsidiary that covers the Travelers LTC policies. In addition, GE provided a capital maintenance agreement in favor of UFLIC that is designed to assure that UFLIC will have the funds to pay its reinsurance obligations. As a result of these reinsurance agreements and the spin-off of Genworth, Genworth has reinsurance protection from UFLIC (supported by GE) and has reinsurance obligations in connection with the Travelers LTC policies. As noted below, the Genworth reinsurance obligations now benefit Brighthouse Financial, Inc. (Brighthouse). While neither Brighthouse nor Citi are direct beneficiaries of the capital maintenance agreement between GE and UFLIC, Brighthouse and Citi benefit indirectly from the existence of the capital maintenance agreement, which helps assure that UFLIC will continue to have funds necessary to pay its reinsurance obligations to Genworth.

In connection with Citi’s 2005 sale of Travelers to MetLife Inc. (MetLife), Citi provided an indemnification to MetLife for losses (including policyholder claims) relating to the LTC business for the entire term of the Travelers LTC policies, which, as noted above, are reinsured by subsidiaries of Genworth. In 2017, MetLife spun off its retail insurance business to Brighthouse. As a result, the Travelers LTC policies now reside with Brighthouse. The original reinsurance agreement between Travelers (now Brighthouse) and Genworth remains in place and Brighthouse is the sole beneficiary of the Genworth Trusts. The Genworth Trusts are designed to provide collateral to Brighthouse in an amount equal to the statutory liabilities of Brighthouse in respect of the Travelers LTC policies. The assets in the Genworth Trusts are evaluated and adjusted periodically to ensure that the fair value of the assets continues to provide collateral in an amount equal to these estimated statutory liabilities, as the liabilities change over time.

If both (i) Genworth fails to perform under the original Travelers/GE Life reinsurance agreement for any reason,

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including its insolvency or the failure of UFLIC to perform under its reinsurance contract or GE to perform under the capital maintenance agreement, and (ii) the assets of the two Genworth Trusts are insufficient or unavailable, then Citi, through its LTC reinsurance indemnification, must reimburse Brighthouse for any losses incurred in connection with the LTC policies. Since both events would have to occur before Citi would become responsible for any payment to Brighthouse pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is no liability reflected on the Consolidated Balance Sheet as of March 31, 2021 and December 31, 2020 related to this indemnification. However, if both events become reasonably possible (meaning more than remote but less than probable), Citi will be required to estimate and disclose a reasonably possible loss or range of loss to the extent that such an estimate could be made. In addition, if both events become probable, Citi will be required to accrue for such liability in accordance with applicable accounting principles.

Citi continues to closely monitor its potential exposure under this indemnification obligation, given GE’s 2018 LTC and other charges and the September 2019 AM Best credit ratings downgrade for the Genworth subsidiaries.

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.

Futures and Over-the-Counter Derivatives Clearing

Citi provides clearing services on central clearing parties (CCP) for clients that need to clear exchange-traded and over-the-counter (OTC) derivative contracts with CCPs. Based on all relevant facts and circumstances, Citi has concluded that it acts as an agent for accounting purposes in its role as clearing member for these client transactions. As such, Citi does not reflect the underlying exchange-traded or OTC derivatives contracts in its Consolidated Financial Statements. See Note 19 for a discussion of Citi’s derivatives activities that are reflected in its Consolidated Financial Statements.

As a clearing member, Citi collects and remits cash and securities collateral (margin) between its clients and the respective CCP. In certain circumstances, Citi collects a higher amount of cash (or securities) from its clients than it needs to remit to the CCPs. This excess cash is then held at depository institutions such as banks or carry brokers.

There are two types of margin: initial and variation. Where Citi obtains benefits from or controls cash initial margin (e.g., retains an interest spread), cash initial margin collected from clients and remitted to the CCP or depository institutions is reflected within Brokerage payables (payables to customers) and Brokerage receivables (receivables from brokers, dealers and clearing organizations) or Cash and due from banks , respectively.

However, for exchange-traded and OTC-cleared derivative 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 $ 16.8 billion and $ 16.6 billion as of March 31, 2021 and December 31, 2020, respectively.

Variation margin due from clients to the respective CCP, or from the CCP to clients, reflects changes in the value of the client’s derivative contracts for each trading day. As a clearing member, Citi is exposed to the risk of non-performance by clients (e.g., failure of a client to post variation margin to the CCP for negative changes in the value of the client’s derivative contracts). In the event of non-performance by a client, Citi would move to close out the client’s positions. The CCP would typically utilize initial margin posted by the client and held by the CCP, with any remaining shortfalls required to be paid by Citi as clearing member. Citi generally holds incremental cash or securities margin posted by the client, which would typically be expected to be sufficient to mitigate Citi’s credit risk in the event the client fails to perform.

As required by ASC 860-30-25-5, securities collateral posted by clients is not recognized on Citi’s Consolidated Balance Sheet.

Carrying Value—Guarantees and Indemnifications

At March 31, 2021 and December 31, 2020, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to approximately $ 1.7 billion and $ 2.2 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities . For loans sold with recourse, the carrying value of the liability is included in Other liabilities .

Collateral

Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $ 60.5 billion and $ 51.6 billion at March 31, 2021 and December 31, 2020, respectively. Securities and other marketable assets held as collateral amounted to $ 92.2 billion and $ 80.1 billion at March 31, 2021 and December 31, 2020, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. In addition, letters of credit in favor of Citi held as collateral amounted to $ 4.9 billion and $ 6.6 billion at March 31, 2021 and December 31, 2020, respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.

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Performance Risk

Presented in the tables below are the maximum potential amounts of future payments that are classified based on internal and external credit ratings. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.


	Maximum potential amount of future payments
In billions of dollars at March 31, 2021	Investment grade		Non-investment grade		Not rated		Total
Financial standby letters of credit	$	78.2	$	15.6	$	0.3	$	94.1
Performance guarantees	9.7		3.1		—		12.8
Derivative instruments deemed to be guarantees	—		—		69.4		69.4
Loans sold with recourse	—		—		1.2		1.2
Securities lending indemnifications	—		—		132.1		132.1
Credit card merchant processing	—		—		96.4		96.4
Credit card arrangements with partners	—		—		0.8		0.8
Custody indemnifications and other	10.6		12.5		—		23.1
Total	$	98.5	$	31.2	$	300.2	$	429.9


	Maximum potential amount of future payments
In billions of dollars at December 31, 2020	Investment grade		Non-investment grade		Not rated		Total
Financial standby letters of credit	$	78.5	$	14.6	$	0.6	$	93.7
Performance guarantees	9.8		3.0		0.5		13.3
Derivative instruments deemed to be guarantees	—		—		80.9		80.9
Loans sold with recourse	—		—		1.2		1.2
Securities lending indemnifications	—		—		112.2		112.2
Credit card merchant processing	—		—		101.9		101.9
Credit card arrangements with partners	—		—		1.0		1.0
Custody indemnifications and other	24.9		12.4		—		37.3
Total	$	113.2	$	30.0	$	298.3	$	441.5

Leases

The Company’s operating leases, where Citi is a lessee, include real estate such as office space and branches and various types of equipment. These leases have a weighted-average remaining lease term of approximately six years as of March 31, 2021. The operating lease ROU asset and lease liability were $ 2.9 billion and $ 3.1 billion, respectively, as of March 31, 2021, compared to an operating lease ROU asset of $ 2.8 billion and lease liability of $ 3.1 billion as of December 31, 2020. The Company recognizes fixed lease costs on a straight-line basis throughout the lease term in the Consolidated Statement of Income. In addition, variable lease costs are recognized in the period in which the obligation for those payments is incurred.

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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, 2021		December 31, 2020
Commercial and similar letters of credit	$	783	$	5,092	$	5,875	$	5,221
One- to four-family residential mortgages	3,393		2,387		5,780		5,002
Revolving open-end loans secured by one- to four-family residential properties	8,105		1,204		9,309		9,626
Commercial real estate, construction and land development	13,980		2,356		16,336		12,867
Credit card lines	609,591		100,961		710,552		710,399
Commercial and other consumer loan commitments	217,804		123,196		341,000		322,458
Other commitments and contingencies	5,302		1,299		6,601		5,715
Total	$	858,958	$	236,495	$	1,095,453	$	1,071,288

The majority of unused commitments are contingent upon customers maintaining specific credit standards. Commercial commitments generally have floating interest rates and fixed expiration dates and may require payment of fees. Such fees (net of certain direct costs) are deferred and, upon exercise of the commitment, amortized over the life of the loan or, if exercise is deemed remote, amortized over the commitment period.

Other Commitments and Contingencies

Other commitments and contingencies include all other transactions related to commitments and contingencies not reported on the lines above.

Unsettled Reverse Repurchase and Securities Borrowing Agreements and Unsettled Repurchase and Securities Lending Agreements

In addition, in the normal course of business, Citigroup enters into reverse repurchase and securities borrowing agreements, as well as repurchase and securities lending agreements, which settle at a future date. At March 31, 2021 and December 31, 2020, Citigroup had approximately $ 117.8 billion and $ 71.8 billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $ 72.9 billion and $ 62.5 billion of unsettled repurchase and securities lending agreements, respectively. For a further discussion of securities purchased under agreements to resell and securities borrowed, and securities sold under agreements to repurchase and securities loaned, including the Company’s policy for offsetting repurchase and reverse repurchase agreements, see Note 10 to the Consolidated Financial Statements.

Restricted Cash

Citigroup defines restricted cash (as cash subject to withdrawal restrictions) to include cash deposited with central banks that must be maintained to meet minimum regulatory requirements, and cash set aside for the benefit of customers or for other purposes such as compensating balance arrangements or debt retirement. Restricted cash includes minimum reserve requirements with the Federal Reserve Bank and certain other central banks and cash segregated to satisfy rules regarding the protection of customer assets as required by Citigroup broker-dealers’ primary regulators, including the United States Securities and Exchange Commission (SEC), the Commodity Futures Trading Commission and the United Kingdom’s Prudential Regulation Authority.

Restricted cash is included on the Consolidated Balance Sheet within the following balance sheet lines:


In millions of dollars	March 31, 2021		December 31, 2020
Cash and due from banks	$	3,884	$	3,774
Deposits with banks, net of allowance	12,006		14,203
Total	$	15,890	$	17,977

In response to the COVID-19 pandemic, the Federal Reserve Bank and certain other central banks eased regulations related to minimum required cash deposited with central banks.

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23. CONTINGENCIES

The following information supplements and amends, as applicable, the disclosure in Note 27 to the Consolidated Financial Statements in Citi’s 2020 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 any litigation, regulatory, or tax matters disclosed herein, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters.

If Citigroup has not accrued for a matter because the matter does not meet the criteria for accrual (as set forth above), or Citigroup believes an exposure to loss exists in excess of the amount accrued for a particular matter, in each case assuming a material loss is reasonably possible but not probable, Citigroup discloses the matter. In addition, for such matters, Citigroup discloses an estimate of the aggregate reasonably possible loss or range of loss in excess of the amounts accrued for those matters as to which an estimate can be made. At March 31, 2021, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately $ 1.4 billion in the aggregate.

As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation, regulatory, tax, or other matters are subject to particular uncertainties. For example, at the time of making an estimate, Citigroup may 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, regulators, or tax authorities may prove to be wrong; and the outcomes it is attempting to predict are often not amenable to the use of statistical or other quantitative analytical tools. In addition, from time to time an outcome may occur that Citigroup had not accounted for in its estimates because it had deemed such an outcome to be remote. For all these reasons, the amount of loss in excess of 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 any litigation, regulatory, and tax matters disclosed herein, see Note 27 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

ANZ Underwriting Matter

In March 2021, the investigation of Citigroup Global Markets Australia Pty Limited commenced by the Australia Securities and Investments Commission in 2016 concluded with no enforcement action.

Foreign Exchange Matters

Antitrust and Other Litigation : In 2020, a London-based investment manager issued a claim against Citibank and Citigroup Global Markets Limited (CGML), captioned THE ECU GROUP PLC v. CITIBANK N.A. AND OTHERS, in the High Court of Justice in London. The claimant alleges that it suffered losses from the handling and execution of certain foreign exchange stop loss orders and market orders. The claimant asserts common law and statutory claims and seeks compensatory damages. Additional information concerning this action is publicly available in court filings under the docket number FL-2020-000046.

On January 29, 2021, in J WISBEY & ASSOCIATES PTY LTD v. UBS AG & ORS, the court refused an application by plaintiffs to amend their pleadings. Additional information concerning this action is publicly available in court filings under the docket number VID567/2019.

Interbank Offered Rates–Related Litigation and Other Matters

Antitrust and Other Litigation : On March 17, 2021, in FUND LIQUIDATION HOLDINGS LLC, AS ASSIGNOR AND SUCCESSOR-IN-INTEREST TO FRONTPOINT ASIAN EVENT DRIVEN FUND L.P., ET AL. v. CITIBANK, N.A., ET AL., the United States Court of Appeals for the Second Circuit vacated the judgment of the district court regarding the court’s lack of jurisdiction and remanded the case for further proceedings. Additional information concerning this action is publicly available in court filings under the docket numbers 16 Civ. 5263 (S.D.N.Y.) (Hellerstein, J.) and 19-2719 (2d Cir.).

On April 8, 2021, in SCS BANQUE DELUBAC & CIE v. CITIGROUP INC., ET AL., the Cour de cassation of France affirmed the decision of the Court of Appeal of Nîmes, which had held that no court of France has territorial jurisdiction over Banque Delubac’s claims, and dismissed the plaintiff’s appeal. Additional information concerning this action is publicly available in court filings under docket numbers RG no. 2018F02750 in the Commercial Court of Marseille and 19-16.931 in the Cour de cassation .

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Revlon-related Wire Transfer Litigation

On February 26, 2021, Citibank filed a notice of appeal in the United States Court of Appeals of the district court’s judgment in favor of the defendants. Additional information concerning this action is publicly available in court filings under docket numbers 20-CV-6539 (S.D.N.Y.) (Furman, J.) and 21-487 (2d Cir.).

Shareholder Derivative and Securities Litigation

On February 4, 2021, three putative class action complaints were consolidated under the case name IN RE CITIGROUP SECURITIES LITIGATION, and a consolidated amended complaint was filed on April 20, 2021. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-9132 (S.D.N.Y.) (Nathan, J.).

On February 8, 2021, in IN RE CITIGROUP INC. SHAREHOLDER DERIVATIVE LITIGATION, the United States District Court for the Southern District of New York granted defendants’ motion for a stay pending resolution of defendants’ anticipated motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-09438 (S.D.N.Y.) (Nathan, J.).

On February 25, 2021, the Supreme Court of the State of New York stayed two derivative actions, which have been consolidated under the case name IN RE CITIGROUP INC. DERIVATIVE LITIGATION, pending resolution of defendants’ anticipated motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 656759/2020 (N.Y. Sup. Ct.) (Schecter, J.).

Sovereign Securities Matters

Antitrust and Other Litigation : On February 9, 2021, purchasers of Euro-denominated sovereign debt issued by European central governments added Citigroup Global Markets Inc., CGML and others as defendants to a putative class action, captioned IN RE EUROPEAN GOVERNMENT BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants engaged in a conspiracy to inflate prices of European government bonds in primary market auctions and to fix the prices of European government bonds in secondary markets. Plaintiffs assert a claim under the Sherman Act and seek treble damages and attorneys’ fees. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 02601 (S.D.N.Y.) (Marrero, J.).

On March 31, 2021, in IN RE TREASURY SECURITIES AUCTION ANTITRUST LITIGATION, the court granted defendants’ motion to dismiss all claims, without prejudice to plaintiffs filing an amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 15-MD-2673 (S.D.N.Y.) (Gardephe, J.).

On March 8, 2021, CITY OF NEW ORLEANS, ET AL. v. BANK OF AMERICA CORPORATION, ET AL. was transferred to the United States District Court for the Middle District of Louisiana. Additional information concerning this action is publicly available in court filings under the docket number 21 Civ. 147 (M.D. La.) (Dick, C.J.).

Tribune Company Bankruptcy

On April 19, 2021, the United States Supreme Court denied the Tribune noteholders’ petition for certiorari. Additional information concerning this action is publicly available in court filings under the docket numbers 12 MC 2296 (S.D.N.Y.) (Cote, J.), 13-3992 (2d Cir.), and 20-8 (U.S.).

Wind Farm Litigation

Beginning in March 2021, six wind farms in Texas have commenced actions in New York and Texas state courts for declaratory judgments and breach of contract, asserting that the February 2021 winter storm in Texas excused their performance to deliver energy to Citi Energy Inc. (CEI) under the force majeure provisions of their contracts with CEI. In addition to seeking a declaration that damages are not owed to CEI, the wind farms also seek temporary restraining orders and/or preliminary injunctions, preventing CEI from exercising remedies under the contracts. Additional information concerning these actions is publicly available in court filings under docket numbers 652078/2021 (Sup. Ct. N.Y. Cnty.) (Reed, J.), 2021-01387 (1st Dep’t), 652312/2021 (Sup. Ct. N.Y. Cnty.) (Reed, J.), 2021-23588 (District Court Harris County TX) (Schaffer, J.), and 2021-26150 (District Court Harris County TX) (Engelhart, J.).

Settlement Payments

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

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24. CONDENSED CONSOLIDATING FINANCIAL STATEMENTS

Citigroup previously amended its Registration Statement on Form S-3 on file with the SEC (File No. 33-192302), which added 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, 2021 and 2020, Condensed Consolidating Balance Sheet as of March 31, 2021 and December 31, 2020 and Condensed Consolidating Statement of Cash Flows for the three months ended March 31, 2021 and 2020 for Citigroup Inc., the parent holding company (Citigroup parent company), CGMHI, other Citigroup subsidiaries and eliminations and total consolidating adjustments. “Other Citigroup subsidiaries and eliminations” includes all other subsidiaries of Citigroup, intercompany eliminations and income (loss) from discontinued operations. “Consolidating adjustments” includes Citigroup parent company elimination of distributed and undistributed income of subsidiaries and investment in subsidiaries.

These Condensed Consolidating Financial Statements have been prepared and presented in accordance with SEC Regulation S-X Rule 3-10, “Financial Statements of Guarantors and Issuers of Guaranteed Securities Registered or Being Registered.”

These Condensed Consolidating Financial Statements are presented for purposes of additional analysis, but should be considered in relation to the Consolidated Financial Statements of Citigroup taken as a whole.

195

Condensed Consolidating Statements of Income and Comprehensive Income


	Three Months Ended March 31, 2021
In millions of dollars	Citigroup parent company		CGMHI		Other Citigroup subsidiaries and eliminations		Consolidating adjustments		Citigroup consolidated
Revenues
Dividends from subsidiaries	$	100	$	—	$	—	$	( 100 )	$	—
Interest revenue	—		971		11,563		—		12,534
Interest revenue—intercompany	958		145		( 1,103 )		—		—
Interest expense	1,212		223		933		—		2,368
Interest expense—intercompany	84		329		( 413 )		—		—
Net interest revenue	$	( 338 )	$	564	$	9,940	$	—	$	10,166
Commissions and fees	$	—	$	2,161	$	1,509	$	—	$	3,670
Commissions and fees—intercompany	( 26 )		47		( 21 )		—		—
Principal transactions	1,769		5,658		( 3,514 )		—		3,913
Principal transactions—intercompany	( 1,878 )		( 4,238 )		6,116		—		—
Other revenue	55		103		1,420		—		1,578
Other revenue—intercompany	( 64 )		( 20 )		84		—		—
Total non-interest revenues	$	( 144 )	$	3,711	$	5,594	$	—	$	9,161
Total revenues, net of interest expense	$	( 382 )	$	4,275	$	15,534	$	( 100 )	$	19,327
Provisions for credit losses and for benefits and claims	$	—	$	4	$	( 2,059 )	$	—	$	( 2,055 )
Operating expenses
Compensation and benefits	$	28	$	1,334	$	4,639	$	—	$	6,001
Compensation and benefits—intercompany	24		—		( 24 )		—		—
Other operating	11		642		4,419		—		5,072
Other operating—intercompany	3		680		( 683 )		—		—
Total operating expenses	$	66	$	2,656	$	8,351	$	—	$	11,073
Equity in undistributed income of subsidiaries	$	8,173	$	—	$	—	$	( 8,173 )	$	—
Income (loss) from continuing operations before income taxes	$	7,725	$	1,615	$	9,242	$	( 8,273 )	$	10,309
Provision (benefit) for income taxes	( 217 )		452		2,097		—		2,332
Income (loss) from continuing operations	$	7,942	$	1,163	$	7,145	$	( 8,273 )	$	7,977
Income (loss) from discontinued operations, net of taxes	—		—		( 2 )		—		( 2 )
Net income before attribution of noncontrolling interests	$	7,942	$	1,163	$	7,143	$	( 8,273 )	$	7,975
Noncontrolling interests	—		—		33		—		33
Net income (loss)	$	7,942	$	1,163	$	7,110	$	( 8,273 )	$	7,942
Comprehensive income
Add: Other comprehensive income (loss)	$	( 2,953 )	$	( 50 )	$	537	$	( 487 )	$	( 2,953 )
Total Citigroup comprehensive income (loss)	$	4,989	$	1,113	$	7,647	$	( 8,760 )	$	4,989
Add: Other comprehensive income attributable to noncontrolling interests	$	—	$	—	$	( 58 )	$	—	$	( 58 )
Add: Net income attributable to noncontrolling interests	—		—		33		—		33
Total comprehensive income (loss)	$	4,989	$	1,113	$	7,622	$	( 8,760 )	$	4,964

196

Condensed Consolidating Statements of Income and Comprehensive Income


	Three Months Ended March 31, 2020
In millions of dollars	Citigroup parent company		CGMHI		Other Citigroup subsidiaries and eliminations		Consolidating adjustments		Citigroup consolidated
Revenues
Dividends from subsidiaries	$	105	$	—	$	—	$	( 105 )	$	—
Interest revenue	—		1,903		15,236		—		17,139
Interest revenue—intercompany	1,144		341		( 1,485 )		—		—
Interest expense	1,143		1,141		3,363		—		5,647
Interest expense—intercompany	248		782		( 1,030 )		—		—
Net interest revenue	$	( 247 )	$	321	$	11,418	$	—	$	11,492
Commissions and fees	$	—	$	1,550	$	1,471	$	—	$	3,021
Commissions and fees—intercompany	( 19 )		164		( 145 )		—		—
Principal transactions	( 672 )		6,254		( 321 )		—		5,261
Principal transactions—intercompany	502		( 4,391 )		3,889		—		—
Other revenue	80		49		828		—		957
Other revenue—intercompany	( 70 )		13		57		—		—
Total non-interest revenues	$	( 179 )	$	3,639	$	5,779	$	—	$	9,239
Total revenues, net of interest expense	$	( 321 )	$	3,960	$	17,197	$	( 105 )	$	20,731
Provisions for credit losses and for benefits and claims	$	—	$	( 1 )	$	6,961	$	—	$	6,960
Operating expenses
Compensation and benefits	$	28	$	1,296	$	4,330	$	—	$	5,654
Compensation and benefits—intercompany	74		—		( 74 )		—		—
Other operating	23		598		4,368		—		4,989
Other operating—intercompany	4		482		( 486 )		—		—
Total operating expenses	$	129	$	2,376	$	8,138	$	—	$	10,643
Equity in undistributed income of subsidiaries	$	2,382	$	—	$	—	$	( 2,382 )	$	—
Income (loss) from continuing operations before income taxes	$	1,932	$	1,585	$	2,098	$	( 2,487 )	$	3,128
Provision (benefit) for income taxes	( 604 )		337		847		—		580
Income (loss) from continuing operations	$	2,536	$	1,248	$	1,251	$	( 2,487 )	$	2,548
Income (loss) from discontinued operations, net of taxes	—		—		( 18 )		—		( 18 )
Net income (loss) before attribution of noncontrolling interests	$	2,536	$	1,248	$	1,233	$	( 2,487 )	$	2,530
Noncontrolling interests	—		—		( 6 )		—		( 6 )
Net income (loss)	$	2,536	$	1,248	$	1,239	$	( 2,487 )	$	2,536
Comprehensive income
Add: Other comprehensive income (loss)	$	3,797	$	1,757	$	13,459	$	( 15,216 )	$	3,797
Total Citigroup comprehensive income (loss)	$	6,333	$	3,005	$	14,698	$	( 17,703 )	$	6,333
Add: Other comprehensive income attributable to noncontrolling interests	$	—	$	—	$	( 51 )	$	—	$	( 51 )
Add: Net income attributable to noncontrolling interests	—		—		( 6 )		—		( 6 )
Total comprehensive income (loss)	$	6,333	$	3,005	$	14,641	$	( 17,703 )	$	6,276

197

Condensed Consolidating Balance Sheet


	March 31, 2021
In millions of dollars	Citigroup parent company		CGMHI		Other Citigroup subsidiaries and eliminations		Consolidating adjustments		Citigroup consolidated
Assets
Cash and due from banks	$	—	$	676	$	25,528	$	—	$	26,204
Cash and due from banks—intercompany	11		5,929		( 5,940 )		—		—
Deposits with banks, net of allowance	—		5,408		293,070		—		298,478
Deposits with banks—intercompany	3,000		8,833		( 11,833 )		—		—
Securities borrowed and purchased under resale agreements	—		258,976		56,096		—		315,072
Securities borrowed and purchased under resale agreements—intercompany	—		25,598		( 25,598 )		—		—
Trading account assets	265		222,114		138,280		—		360,659
Trading account assets—intercompany	1,202		11,732		( 12,934 )		—		—
Investments, net of allowance	1		235		472,723		—		472,959
Loans, net of unearned income	—		3,442		662,546		—		665,988
Loans, net of unearned income—intercompany	—		—		—		—		—
Allowance for credit losses on loans (ACLL)	—		—		( 21,638 )		—		( 21,638 )
Total loans, net	$	—	$	3,442	$	640,908	$	—	$	644,350
Advances to subsidiaries	$	149,378	$	—	$	( 149,378 )	$	—	$	—
Investments in subsidiaries	218,488		—		—		( 218,488 )		—
Other assets, net of allowance (1)	12,591		72,333		111,620		—		196,544
Other assets—intercompany	3,445		54,272		( 57,717 )		—		—
Total assets	$	388,381	$	669,548	$	1,474,825	$	( 218,488 )	$	2,314,266
Liabilities and equity
Deposits	$	—	$	—	$	1,300,975	$	—	$	1,300,975
Deposits—intercompany	—		—		—		—		—
Securities loaned and sold under repurchase agreements	—		201,562		17,606		—		219,168
Securities loaned and sold under repurchase agreements—intercompany	—		63,566		( 63,566 )		—		—
Trading account liabilities	32		129,449		49,636		—		179,117
Trading account liabilities—intercompany	1,000		11,181		( 12,181 )		—		—
Short-term borrowings	—		12,874		19,213		—		32,087
Short-term borrowings—intercompany	—		12,942		( 12,942 )		—		—
Long-term debt	164,099		50,267		41,969		—		256,335
Long-term debt—intercompany	—		72,433		( 72,433 )		—		—
Advances from subsidiaries	17,937		—		( 17,937 )		—		—
Other liabilities, including allowance	2,695		60,243		60,373		—		123,311
Other liabilities—intercompany	69		18,352		( 18,421 )		—		—
Stockholders’ equity	202,549		36,679		182,533		( 218,488 )		203,273
Total liabilities and equity	$	388,381	$	669,548	$	1,474,825	$	( 218,488 )	$	2,314,266

(1) Other assets for Citigroup parent company at March 31, 2021 included $ 31.6 billion of placements to Citibank and its branches, of which $ 19.4 billion had a remaining term of less than 30 days.

198

Condensed Consolidating Balance Sheet


	December 31, 2020
In millions of dollars	Citigroup parent company		CGMHI		Other Citigroup subsidiaries and eliminations		Consolidating adjustments		Citigroup consolidated
Assets
Cash and due from banks	$	—	$	628	$	25,721	$	—	$	26,349
Cash and due from banks—intercompany	16		6,081		( 6,097 )		—		—
Deposits with banks, net of allowance	—		5,224		278,042		—		283,266
Deposits with banks—intercompany	4,500		8,179		( 12,679 )		—		—
Securities borrowed and purchased under resale agreements	—		238,718		55,994		—		294,712
Securities borrowed and purchased under resale agreements—intercompany	—		24,309		( 24,309 )		—		—
Trading account assets	307		222,278		152,494		—		375,079
Trading account assets—intercompany	723		9,400		( 10,123 )		—		—
Investments, net of allowance	1		374		446,984		—		447,359
Loans, net of unearned income	—		2,524		673,359		—		675,883
Loans, net of unearned income—intercompany	—		—		—		—		—
Allowance for credit losses on loans (ACLL)	—		—		( 24,956 )		—		( 24,956 )
Total loans, net	$	—	$	2,524	$	648,403	$	—	$	650,927
Advances to subsidiaries	$	152,383	$	—	$	( 152,383 )	$	—	$	—
Investments in subsidiaries	213,267		—		—		( 213,267 )		—
Other assets, net of allowance (1)	12,156		60,273		109,969		—		182,398
Other assets—intercompany	2,781		51,489		( 54,270 )		—		—
Total assets	$	386,134	$	629,477	$	1,457,746	$	( 213,267 )	$	2,260,090
Liabilities and equity
Deposits	$	—	$	—	$	1,280,671	$	—	$	1,280,671
Deposits—intercompany	—		—		—		—		—
Securities loaned and sold under repurchase agreements	—		184,786		14,739		—		199,525
Securities loaned and sold under repurchase agreements—intercompany	—		76,590		( 76,590 )		—		—
Trading account liabilities	—		113,100		54,927		—		168,027
Trading account liabilities—intercompany	397		8,591		( 8,988 )		—		—
Short-term borrowings	—		12,323		17,191		—		29,514
Short-term borrowings—intercompany	—		12,757		( 12,757 )		—		—
Long-term debt	170,563		47,732		53,391		—		271,686
Long-term debt—intercompany	—		67,322		( 67,322 )		—		—
Advances from subsidiaries	12,975		—		( 12,975 )		—		—
Other liabilities, including allowance	2,692		55,217		52,558		—		110,467
Other liabilities—intercompany	65		15,378		( 15,443 )		—		—
Stockholders’ equity	199,442		35,681		178,344		( 213,267 )		200,200
Total liabilities and equity	$	386,134	$	629,477	$	1,457,746	$	( 213,267 )	$	2,260,090

(1) Other assets for Citigroup parent company at December 31, 2020 included $ 29.5 billion of placements to Citibank and its branches, of which $ 24.3 billion had a remaining term of less than 30 days.

199

Condensed Consolidating Statement of Cash Flows


	Three Months Ended March 31, 2021
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	$	( 4,966 )	$	12,638	$	15,526	$	—	$	23,198
Cash flows from investing activities of continuing operations
Purchases of investments	$	—	$	—	$	( 111,187 )	$	—	$	( 111,187 )
Proceeds from sales of investments	—		—		46,049		—		46,049
Proceeds from maturities of investments	—		—		35,088		—		35,088

Change in loans	—		—		9,933		—		9,933
Proceeds from sales and securitizations of loans	—		—		323		—		323


Change in securities borrowed and purchased under agreements to resell	—		( 21,547 )		1,187		—		( 20,360 )
Changes in investments and advances—intercompany	1,887		( 2,991 )		1,104		—		—
Other investing activities	—		( 23 )		( 757 )		—		( 780 )
Net cash provided by (used in) investing activities of continuing operations	$	1,887	$	( 24,561 )	$	( 18,260 )	$	—	$	( 40,934 )
Cash flows from financing activities of continuing operations
Dividends paid	$	( 1,356 )	$	( 115 )	$	115	$	—	$	( 1,356 )
Issuance of preferred stock	2,300		—		—		—		2,300
Redemption of preferred stock	( 1,500 )		—		—		—		( 1,500 )
Treasury stock acquired	( 1,481 )		—		—		—		( 1,481 )
Proceeds (repayments) from issuance of long-term debt, net	( 1,039 )		3,172		( 9,049 )		—		( 6,916 )
Proceeds (repayments) from issuance of long-term debt—intercompany, net	—		5,702		( 5,702 )		—		—
Change in deposits	—		—		20,304		—		20,304
Change in securities loaned and sold under agreements to repurchase	—		3,752		15,891		—		19,643
Change in short-term borrowings	—		551		2,022		—		2,573
Net change in short-term borrowings and other advances—intercompany	4,962		( 405 )		( 4,557 )		—		—

Other financing activities	( 312 )		—		—		—		( 312 )
Net cash provided by financing activities of continuing operations	$	1,574	$	12,657	$	19,024	$	—	$	33,255
Effect of exchange rate changes on cash and due from banks	$	—	$	—	$	( 452 )	$	—	$	( 452 )


Change in cash and due from banks and deposits with banks	$	( 1,505 )	$	734	$	15,838	$	—	$	15,067
Cash and due from banks and deposits with banks at beginning of period	4,516		20,112		284,987		—		309,615
Cash and due from banks and deposits with banks at end of period	$	3,011	$	20,846	$	300,825	$	—	$	324,682
Cash and due from banks	$	11	$	6,605	$	19,588	$	—	$	26,204
Deposits with banks, net of allowance	3,000		14,241		281,237		—		298,478
Cash and due from banks and deposits with banks at end of period	$	3,011	$	20,846	$	300,825	$	—	$	324,682
Supplemental disclosure of cash flow information for continuing operations
Cash paid during the period for income taxes	$	99	$	31	$	820	$	—	$	950
Cash paid during the period for interest	126		634		969		—		1,729
Non-cash investing activities





Transfers to loans HFS from loans	$	—	$	—	$	636	$	—	$	636

200

Condensed Consolidating Statement of Cash Flows


	Three Months Ended March 31, 2020
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	$	4,334	$	( 38,869 )	$	9,002	$	—	$	( 25,533 )
Cash flows from investing activities of continuing operations
Purchases of investments	$	—	$	—	$	( 108,658 )	$	—	$	( 108,658 )
Proceeds from sales of investments	—		—		44,399		—		44,399
Proceeds from maturities of investments	—		—		29,203		—		29,203
Change in loans	—		—		( 26,743 )		—		( 26,743 )
Proceeds from sales and securitizations of loans	—		—		596		—		596


Change in securities borrowed and purchased under agreements to resell	—		( 8,421 )		( 2,793 )		—		( 11,214 )
Changes in investments and advances—intercompany	1,121		( 9,442 )		8,321		—		—
Other investing activities	—		—		( 440 )		—		( 440 )
Net cash provided by (used in) investing activities of continuing operations	$	1,121	$	( 17,863 )	$	( 56,115 )	$	—	$	( 72,857 )
Cash flows from financing activities of continuing operations
Dividends paid	$	( 1,365 )	$	—	$	—	$	—	$	( 1,365 )
Issuance of preferred stock	1,500		—		—		—		1,500
Redemption of preferred stock	( 1,500 )		—		—		—		( 1,500 )
Treasury stock acquired	( 2,925 )		—		—		—		( 2,925 )
Proceeds (repayments) from issuance of long-term debt, net	5,742		72		10,032		—		15,846
Proceeds (repayments) from issuance of long-term debt—intercompany, net	—		554		( 554 )		—		—
Change in deposits	—		—		114,321		—		114,321
Change in securities loaned and sold under agreements to repurchase	—		49,341		6,644		—		55,985
Change in short-term borrowings	—		2,901		7,001		—		9,902
Net change in short-term borrowings and other advances—intercompany	( 6,507 )		7,040		( 533 )		—		—

Other financing activities	( 406 )		( 119 )		119		—		( 406 )
Net cash provided by (used in) financing activities of continuing operations	$	( 5,461 )	$	59,789	$	137,030	$	—	$	191,358
Effect of exchange rate changes on cash and due from banks	$	—	$	—	$	( 967 )	$	—	$	( 967 )


Change in cash and due from banks and deposits with banks	$	( 6 )	$	3,057	$	88,950	$	—	$	92,001
Cash and due from banks and deposits with banks at beginning of period	3,021		16,441		174,457		—		193,919
Cash and due from banks and deposits with banks at end of period	$	3,015	$	19,498	$	263,407	$	—	$	285,920
Cash and due from banks	$	15	$	4,525	$	19,215	$	—	$	23,755
Deposits with banks, net of allowance	3,000		14,973		244,192		—		262,165
Cash and due from banks and deposits with banks at end of period	$	3,015	$	19,498	$	263,407	$	—	$	285,920
Supplemental disclosure of cash flow information for continuing operations
Cash paid during the period for income taxes	$	16	$	78	$	1,347	$	—	$	1,441
Cash paid during the period for interest	998		1,983		2,443		—		5,424
Non-cash investing activities





Transfers to loans HFS from loans	$	—	$	—	$	224	$	—	$	224

201

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

Unregistered Sales of Equity Securities

None.

Equity Security Repurchases

Based on measures announced by the Federal Reserve Board in December 2020, share repurchases were permitted by Citi starting in the first quarter of 2021, subject to limitations based on net income for the four preceding calendar quarters, in addition to common dividends paid. Citi commenced share repurchases in February 2021 and repurchased an aggregate of $1.6 billion during the first quarter of 2021, as indicated in the table below. All shares repurchased were added to treasury stock. These limitations on capital distributions were extended by the Federal Reserve Board into the second quarter of 2021.

Based on the limitations on capital distributions, Citi is authorized to return capital to common shareholders of up to $4.1 billion during the second quarter of 2021, including common share repurchases and common dividends, subject to approval by Citi’s Board of Directors and the latest financial and macroeconomic conditions. For additional information on these capital distribution limitations, see “Capital Resources—Federal Reserve Board Limitations on Capital Distributions” above.

The following table summarizes Citi’s common share repurchases:


In millions, except per share amounts	Total shares purchased	Average price paid per share
January 2021
Open market repurchases	—	$	—
Employee transactions (1)	—	—
February 2021
Open market repurchases	3.5	67.22
Employee transactions (1)	—	—
March 2021
Open market repurchases	19.0	72.01
Employee transactions (1)	—	—
Total for 1Q21	22.5	$	71.26

(1) During the first quarter, pursuant to Citigroup’s Board of Directors’ authorization, Citi repurchased 4,720,987 shares (at an average price of $64.08) of common stock, added to treasury stock, related to activity on employee stock programs where shares were withheld to satisfy the employee tax requirements.

Dividends

Consistent with the regulatory capital framework, Citi declared common dividends of $0.51 per share for the second quarter of 2021 on April 1, 2021, and intends to maintain its planned capital actions, which include common dividends of $0.51 per share through the third quarter of 2021 (the remaining quarters of the 2020 CCAR cycle).

In addition to Board of Directors’ approval, Citi’s ability to pay common stock dividends substantially depends on 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—Stress Testing Component of Capital Planning” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.

Through the end of the second quarter of 2021, dividends continue to be capped and tied to a formula based on recent income. These limitations on capital distributions may be extended by the Federal Reserve Board. For additional information on these capital distribution limitations, see “Capital Resources—Federal Reserve Board Limitations on Capital Distributions” above.

Any dividend on Citi’s outstanding common stock would also need to be in compliance with Citi’s obligations on its outstanding preferred stock.

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 2020 Annual Report on Form 10-K.

202

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 5th day of May, 2021.

CITIGROUP INC.

(Registrant)

By /s/ Mark A. L. Mason

Mark A. L. Mason

Chief Financial Officer

(Principal Financial Officer)

By /s/ Johnbull E. Okpara

Johnbull E. Okpara

Controller and Chief Accounting Officer

(Principal Accounting Officer)

203

EXHIBIT INDEX


Exhibit
Number						Description of Exhibit
3.01						Restated Certificate of Incorporation of Citigroup, as amended, as in effect on the date hereof, incorporated by reference to Exhibit 3.01 to the Company’s Annual Report on Form 10-K for the year ended December 31, 2020 filed February 26, 2021 (File No. 1-9924).

10.01+*						Form of Citigroup Inc. Performance Share Unit Award Agreement (for awards granted on February 11, 2021 and in future years).

10.02+*						The Amended and Restated 2011 Citigroup Executive Performance Plan (as amended and restated as of January 1, 2021).

10.03+*						Agreement between Bradford Hu and Citibank, N.A. (dated as of March 12, 2021).

31.01+						Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.02+						Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.01+						Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

99.01+						List of Securities Registered Pursuant to Section 12(b) of the Securities Exchange Act of 1934, formatted in Inline XBRL.

101.01+						Financial statements from the Quarterly Report on Form 10-Q of Citigroup for the quarter ended March 3 1 , 202 1 , filed on May 5 , 202 1 , formatted in Inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Shareholders’ Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to the Consolidated Financial Statements.

104						See the cover page of this Quarterly Report on Form 10-Q, formatted in Inline XBRL.

The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.

* Denotes a management contract or compensatory plan or arrangement.

+ Filed herewith.

204

TABLE OF CONTENTS

Exhibits

3.01 Restated Certificate of Incorporation of Citigroup, as amended, as in effect on the date hereof, incorporated by reference to Exhibit 3.01 to the Companys Annual Report on Form 10-K for the year ended December 31, 2020 filed February 26, 2021 (File No. 1-9924). 10.01+* Form of Citigroup Inc. Performance Share Unit Award Agreement (for awards granted on February 11, 2021 and in future years). 10.02+* The Amended and Restated 2011 Citigroup Executive Performance Plan (as amended and restated as of January 1, 2021). 10.03+* Agreement between Bradford Hu and Citibank, N.A. (dated as of March 12, 2021). 31.01+ Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. 31.02+ Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. 32.01+ Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. 99.01+ List of Securities Registered Pursuant to Section 12(b) of the Securities Exchange Act of 1934, formatted in Inline XBRL.

Customer name	Ticker
Apartment Investment and Management Company	AIV
American Express Company	AXP
AutoNation, Inc.	AN
AutoZone, Inc.	AZO
Bank of America Corporation	BAC
Banco Bilbao Vizcaya Argentaria, S.A.	BBVA
Equity Residential	EQR
Granite Construction Incorporated	GVA
JPMorgan Chase & Co.	JPM
M&T Bank Corporation	MTB
Provident Financial Services, Inc.	PFS
Simon Property Group, Inc.	SPG
Synovus Financial Corp.	SNV
Mr. Cooper Group Inc.	COOP

Supplier name	Ticker
Visa Inc.	V
Mastercard Incorporated	MA
Bank of America Corporation	BAC
salesforce.com, inc.	CRM
JPMorgan Chase & Co.	JPM
Adobe Inc.	ADBE
Cisco Systems, Inc.	CSCO
Oracle Corporation	ORCL

C 10-Q Quarter ended March 31, 2021

Exhibits